Table 5 Univariate Test of earnings...

Table 5

Univariate Test of earnings quality in A and H share markets: Market reactions to earning announcements

Earnings quality	Observations	A & H shares	Returns (−2, +2)	Returns(−5, +5)	Returns(−10, +10)
High	596	A share	0.054	0.060	0.052
		H share	0.045	0.062	0.055
		Difference	0.009^*	−0.002	−0.003
Low	595	A share	0.130	0.110	0.088
		H share	0.094	0.089	0.061
		Difference	0.036^**	0.021	0.026^*

Earnings quality	Observations	A & H shares	Returns (−2, +2)	Returns(−5, +5)	Returns(−10, +10)
High	596	A share	0.054	0.060	0.052
		H share	0.045	0.062	0.055
		Difference	0.009^*	−0.002	−0.003
Low	595	A share	0.130	0.110	0.088
		H share	0.094	0.089	0.061
		Difference	0.036^**	0.021	0.026^*

Note(s): We employ a market model in A and H share markets with its own market index to estimate returns around the earnings announcements. Earnings quality is measured by Gain. We classify the sample into two subgroups based on the median value of Gain. The total observations in this table (1,191) are larger than observations in Table 6 which requires non-missing control variables. ^*, ^** and ^*** indicate statistically significant at the 10%, 5% and 1% levels, respectively

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