Earnings seasonality,management earnings forecasts and stock returns

We examine whether management earnings forecasts(MEFs)help reduce the stock return seasonality associated with earnings seasonality around earnings announcements(EAs)in Chinese A-share markets.We find that firms in historically low earnings seasons outperform firms in high earnings seasons by 2.1%around MEFs.Firms in low earnings seasons also have higher trading volume and return volatility than their counterparts around EAs and MEFs.MEFs significantly reduce the ability of historical seasonal earnings rankings to negatively predict announcement returns,volume and volatility around EAs.The reduction effects are stronger when MEFs are voluntary or made closer to EAs.The evidence suggests that MEFs facilitate the correction of investors’tendency to extrapolate earnings seasonality and its resulted stock mispricing.

The impact of investor structure on stock price crash sensitivity:Evidence from China's stock market

Stock price crash sensitivity refers to the conditional probability of a stock crash when the market collapses.It focuses on individual stocks'sensitivity to the market crash and can affect stock pricing significantly.Although the crash sensitivity of China's stock market is very high as a whole(Weigert,2016),different individual stocks show varying degrees of crash sensitivity.This paper,adopting the perspective of institutional investors,explores the reasons for the difference in crash sensitivity in China's stock market,and finds that:First,institutional investors'shareholdings is positively related to firms'stock price crash sensitivity.However,after dividing institutional investors into professional(represented by financial institutions)and non-professional institutional investors(represented by general legal persons),we find that only professional institutional investors'shareholdings is negatively related to firms'stock price crash sensitivity.Second,the impact of professional institutional investors on the crash sensitivity is influenced by stock liquidity and media sentiment:when the stock liquidity of listed companies is good or the media sentiment is strong,the negative impact of professional institutional investors on the crash sensitivity is accordingly high.This paper,by highlighting the investor structure,attempts a pioneering exploration of the influencing factors of the difference in stock price crash sensitivity in China.Our empirical results enrich research on stock price crash sensitivity and the heterogeneity of institutional investors.They can also serve to guide regulatory authorities'development of institutional investors and efforts to maintain market stability.