Abstract

This paper examines whether and how changes in the information and trading environments of the Shanghai and Hong Kong markets impact the post earnings-announcement drift (PEAD) of cross-listing A-H shares after the implementation of the Shanghai-Hong Kong Connect. Our empirical evidence shows that there is a decrease in the PEAD in the Shanghai market and an increase in the PEAD in the Hong Kong market. We provide explanations for the different PEAD in the two markets based on the changes in asymmetric information, different risk preferences and demand differences. Our findings complement the literature on PEAD.

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