By means of Event Study, Panel Data Regression and Feasible Generalized Least Squares, we discuss the influence of uncertainty of information on the Post-Earnings Announcement Drift. We find that there are not significant differences between the H-share financial statements and the A-share...

This paper investigates whether non-overlapping trading time between two markets can cause return predictability from one market to another. We select cross-listed stocks in mainland China and Hong Kong. A weak return predictability is found in short horizon but no predictability exists in long...