Abstract
In this paper, we investigate the price changes and trading volume reactions during the days surrounding the announcements of annual earnings based on a 31-day observation window for a sample of Hong Kong firms listed on the Stock Exchange of Hong Kong (SEHK). The major findings of our study: (1) materially support the findings of Morse (1981), (2) demonstrate significant price and volume reactions over four days surrounding the annual earnings announcement over the years 1992 to 1995, (3) show similar market reaction for Blue Chip stocks compared to Non–Blue Chip stocks, and (4) indicate a larger overall price reaction for Non–Blue Chip stocks and mixed results regarding volume reaction when comparing the Blue Chip and Non–Blue Chip stocks. These results show that, although the Hong Kong results are largely in line with the U.S. and international evidence, the Blue Chip stocks are followed more and remain the mainstream stocks for Hong Kong investors.
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