Multi-Market Trading and Investor Reactions

Market reaction to firm-release public information relies on dissemination of news by the media and processing of information by attentive investors. We directly examine the impact of media coverage and investor attention conditional on the same information event by investigating the post earnings announcement drift of A-shares and H-shares of multi-listed Chinese firms. Relatively higher local media coverage and investor attention strongly predict a smaller return drift. Our evidences support the causal role of media and attention on investor reaction. ∗Department of Finance, School of Management, Fudan University, Shanghai, PR China; tel: (86-21) 6565-4787; fax: (86-21) 6564-8384; email: [email protected] †Research School of Finance, Actuarial Studies and Applied Statistics, College of Business and Economics, Australia National University, Canberra ACT 0200, Australia; tel: (61-2) 61257293; fax: (61-2) 6125 0087; email: [email protected]