Can media exposure improve stock price efficiency in China and why?

China Journal of Accounting Research - Tập 9 - Trang 83-114 - 2016
Jeong-Bon Kim1, Zhongbo Yu2, Hao Zhang3
1School of Accounting and Finance, University of Waterloo, Canada
2Shenzhen Stock Exchange Research Institute, China
3College of Business, City University of Hong Kong, Hong Kong, China

Tài liệu tham khảo

Allen, 2005, Law, finance, and economic growth in China, J. Financ. Econ., 77, 57, 10.1016/j.jfineco.2004.06.010 Acemoglu, 2005, Unbundling institutions, J. Polit. Econ., 113, 949, 10.1086/432166 Boehmer, 2009, Institutional investors and the information efficiency of prices, Rev. Financ. Stud., 22, 3563, 10.1093/rfs/hhp028 Chan, 2006, Stock price synchronicity and analyst coverage in emerging markets, J. Financ. Econ., 80, 115, 10.1016/j.jfineco.2005.03.010 Chen, 2007, Price informativeness and investment sensitivity to stock price, Rev. Financ. Stud., 20, 619, 10.1093/rfs/hhl024 Dyck, 2008, The corporate governance role of the media: evidence from Russia, J. Finance, 63, 1093, 10.1111/j.1540-6261.2008.01353.x Dyck, 2010, Who blows the whistle on corporate fraud, J. Finance, 65, 2213, 10.1111/j.1540-6261.2010.01614.x Easley, 1996, Cream-skimming or profit sharing? The curious role of purchased order flow, J. Finance, 51, 811, 10.1111/j.1540-6261.1996.tb02708.x Engelberg, 2011, The causal impact of media in financial markets, J. Finance, 66, 67, 10.1111/j.1540-6261.2010.01626.x Esarey, 2005, Cornering the market: state strategies for controlling China’s commercial media, Asian Perspect., 29, 37, 10.1353/apr.2005.0002 Fan, 2009 Fang, 2009, Media coverage and the cross-section of stock returns, J. Finance, 64, 2023, 10.1111/j.1540-6261.2009.01493.x Fernandes, 2009, Insider trading laws and stock price informativeness, Rev. Financ. Stud., 22, 1845, 10.1093/rfs/hhn066 Ferreira, 2011, Board structure and price informativeness, J. Financ. Econ., 99, 523, 10.1016/j.jfineco.2010.10.007 Ferreira, 2007, Corporate governance, idiosyncratic risk and information flow, J. Finance, 62, 951, 10.1111/j.1540-6261.2007.01228.x Gul, 2010, Ownership concentration, foreign shareholding, audit quality, and stock price synchronicity: evidence from China, J. Financ. Econ., 95, 425, 10.1016/j.jfineco.2009.11.005 Haw, 2012, Investor protection and price informativeness about future earnings: international evidence, Rev. Account. Stud., 17, 389, 10.1007/s11142-012-9181-z Hasbrouck, 1993, Assessing the quality of a security market: a new approach to transaction-cost measurement, Rev. Financ. Stud., 6, 191, 10.1093/rfs/6.1.191 Hillert, A., Jacobs, H., Muller, S., 2012. Media Makes Momentum. University of Mannheim Working Paper. Huang, 2001, China’s state-run tabloids – the rise of city newspapers, Gazette, 63, 435, 10.1177/0016549201063005005 Huang, 2007, Trace the stones in crossing the river: media structural changes in post-WTO China, Gazette, 69, 413, 10.1177/1748048507080867 Huang, 2003 Hutton, 2009, Opaque financial reports, R2, and crash risk, J. Financ. Econ., 94, 67, 10.1016/j.jfineco.2008.10.003 Jiang, 2010, Tunneling through intercorporate loans: the China experience, J. Financ. Econ., 98, 1, 10.1016/j.jfineco.2010.05.002 Jin, 2006, R2 round the world: new theory and new tests, J. Financ. Econ., 79, 257, 10.1016/j.jfineco.2004.11.003 Keatley, R.L., 2003. The Role of the Media in a Market Economy. National Committee on U.S.–China Relations China Policy Series 1, pp. 1–20. Kim, 2012, IFRS reporting, firm-specific information flow, and institutional environments: international evidence, Rev. Account. Stud., 17, 475, 10.1007/s11142-012-9190-y Klibanoff, 1998, Investor reaction to salient news in closed-end country funds, J. Finance, 53, 673, 10.1111/0022-1082.265570 La Porta, 1998, Law and finance, J. Polit. Econ., 106, 1113, 10.1086/250042 La Porta, 2000, Investor protection and corporate governance, J. Financ. Econ., 58, 3, 10.1016/S0304-405X(00)00065-9 La Porta, 2004, Judicial checks and balances, J. Polit. Econ., 112, 445, 10.1086/381480 Leuz, 2003, Earnings management and investor protection: an international comparison, J. Financ. Econ., 69, 505, 10.1016/S0304-405X(03)00121-1 Liebman, 2005, Watchdog or demagogue? The media in the Chinese legal system, Columbia Law Rev., 105, 1 Lin, 2006, Dancing beautifully but with hands cuffed? A historical review of journalism formation during media commercialization in China, Perspectives, 7, 79 Lin, F., 2008. Turning Gray: Transition of Political Communication in China, 1978–2008. PhD Dissertation, Department of Sociology, University of Chicago, Chicago. Merton, 1987, A simple model of capital market equilibrium with incomplete information, J. Finance, 42, 483, 10.1111/j.1540-6261.1987.tb04565.x Miller, 2006, The press as a watchdog for accounting fraud, J. Account. Res., 44, 1001, 10.1111/j.1475-679X.2006.00224.x Morck, 2000, The information content of stock markets: why do emerging markets have synchronous stock price movements?, J. Financ. Econ., 58, 215, 10.1016/S0304-405X(00)00071-4 Pistor, 2005, Governing stock market in transition economics: lessons from China, Am. Law Econ. Rev., 7, 184, 10.1093/aler/ahi008 Piotroski, 2004, The influence of analysts, institutional investors, and insiders on the incorporation of market, industry and firm-specific information into share prices, Account. Rev., 79, 1119, 10.2308/accr.2004.79.4.1119 Rosenbaum, 1984, Reducing bias in observational studies using subclassification on the propensity score, J. Am. Stat. Assoc., 79, 516, 10.1080/01621459.1984.10478078 Srinidhi, B., Zhang, H., Zhang, T., 2012. Auditor Choice and Earnings Quality in Politically Connected Firms: Evidence Non-state-controlled Firms in China, Working Paper, City University of Hong Kong. Tobin, 1982, On the efficiency of the financial system, Lloyd’s Bank. Rev., 153, 1 Tetlock, 2008, More than words: quantifying language to measure firms’ fundamentals, J. Finance, 63, 1437, 10.1111/j.1540-6261.2008.01362.x Vega, 2006, Stock price reaction to public and private information, J. Financ. Econ., 82, 103, 10.1016/j.jfineco.2005.07.011