Table 4 Descriptive statistics and...

Table 4

Descriptive statistics and correlations for the Short-window Test around earnings announcements (H1)

Variable	N	Mean	Std Dev	Minimum	Maximum
Panel A Descriptive Statistics
pricedif22	789	1.89	0.91	0.83	5.38
pricedif55	789	1.89	0.90	0.83	5.40
pricedif1010	789	1.88	0.90	0.83	5.29
aturnover22	789	1.64%	1.89	0.02	9.09
aturnover55	789	1.66%	1.90	0.02	9.51
aturnover1010	789	1.68%	1.91	0.03	9.79
Gain	789	0.34	0.92	0.00	5.98
Note(s): pricedif22, pricedif55, and pricedif1010 is the 5-day (−2, +2), 11-day (−5, +5) and 21-day (−10, +10) average price difference around the earnings announcement day 0, respectively; $P r i c e d i f_{t} = \frac{P r i c e_{A} * e x c h a n g e r a t e}{P r i c e_{H}}$ where t represents short-window of (−2, +2), (−5, +5) and (−10, +10) aturnover22, aturnover55 and aturnover1010 is the 5-day, 11-day and 21-day average A share turnover around the earnings announcement day, respectively, in a percentage of tradable A shares; ${Gain}_{i, t} = \frac{{fairvalue}_{i, t} + {invest}_{i, t} + {disposal}_{i, t}}{{net}_{profit} i, t}$

Variable	N	Mean	Std Dev	Minimum	Maximum
Panel A Descriptive Statistics
pricedif22	789	1.89	0.91	0.83	5.38
pricedif55	789	1.89	0.90	0.83	5.40
pricedif1010	789	1.88	0.90	0.83	5.29
aturnover22	789	1.64%	1.89	0.02	9.09
aturnover55	789	1.66%	1.90	0.02	9.51
aturnover1010	789	1.68%	1.91	0.03	9.79
Gain	789	0.34	0.92	0.00	5.98
Note(s): pricedif22, pricedif55, and pricedif1010 is the 5-day (−2, +2), 11-day (−5, +5) and 21-day (−10, +10) average price difference around the earnings announcement day 0, respectively; $P r i c e d i f_{t} = \frac{P r i c e_{A} * e x c h a n g e r a t e}{P r i c e_{H}}$ where t represents short-window of (−2, +2), (−5, +5) and (−10, +10) aturnover22, aturnover55 and aturnover1010 is the 5-day, 11-day and 21-day average A share turnover around the earnings announcement day, respectively, in a percentage of tradable A shares; ${Gain}_{i, t} = \frac{{fairvalue}_{i, t} + {invest}_{i, t} + {disposal}_{i, t}}{{net}_{profit} i, t}$

	pricedif22	pricedif55	pricedif1010	aturnover22	aturnover55	aturnover1010	Gain
Panel B Correlations
pricedif22	1	0.999^***	0.996^***	0.332^***	0.340^***	0.342^***	0.320^***
pricedif55	0.999^***	1	0.999^***	0.329^***	0.337^***	0.339^***	0.323^***
pricedif1010	0.995^***	0.998^***	1	0.324^***	0.332^***	0.335^***	0.326^***
aturnover22	0.328^***	0.326^***	0.322^***	1	0.989^***	0.973^***	−0.042
aturnover55	0.323^***	0.323^***	0.318^***	0.978^***	1	0.990^***	−0.040
aturnover1010	0.318^***	0.317^***	0.312^***	0.946^***	0.982^***	1	−0.039
Gain	0.305^***	0.307^***	0.307^***	0	0.006	0.00300	1

	pricedif22	pricedif55	pricedif1010	aturnover22	aturnover55	aturnover1010	Gain
Panel B Correlations
pricedif22	1	0.999^***	0.996^***	0.332^***	0.340^***	0.342^***	0.320^***
pricedif55	0.999^***	1	0.999^***	0.329^***	0.337^***	0.339^***	0.323^***
pricedif1010	0.995^***	0.998^***	1	0.324^***	0.332^***	0.335^***	0.326^***
aturnover22	0.328^***	0.326^***	0.322^***	1	0.989^***	0.973^***	−0.042
aturnover55	0.323^***	0.323^***	0.318^***	0.978^***	1	0.990^***	−0.040
aturnover1010	0.318^***	0.317^***	0.312^***	0.946^***	0.982^***	1	−0.039
Gain	0.305^***	0.307^***	0.307^***	0	0.006	0.00300	1

Note(s): Spearman’s rank correlations appear above the diagonal while Pearson’s correlation coefficients appear below the diagonal. ^*, ^** and ^*** indicate statistically significant at the 10%, 5% and 1% levels, respectively. All variables are as defined in Panel A above

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