| Summary: | 碩士 === 國立高雄第一科技大學 === 金融系碩士班金融組 === 102 === This study examines the impacts of news sentiment and press freedom on cumulative abnormal returns during the earnings announcements in the Shanghai, Shenzhen and Taiwan stock markets. The news sentiment ratio of public news information content is calculated by using the content analysis of semantic orientation in this study. The empirical results show that the firms with news released before the earnings announcements have a significant negative impact on the cumulative abnormal returns after the earnings announcements. Relatively, firms with more optimistic financial news released prior to the event date have a significant positive impact on the cumulative abnormal returns. In the other words, firms disclose more optimistic public news before the earnings announcements, which may increase cumulative abnormal returns during the announcements date. We verify that the public news information can explain the reaction of the cumulative abnormal returns. Furthermore, this study considers the difference in terms of press freedom in the Taiwan, Shanghai and Shenzhen Stock Exchanges to compare with the impact of press freedom on abnormal returns. The empirical results find that the freer the press freedom is, the more negatively significant will be the impact of news on the abnormal returns, which means that the press freedom may decrease the news explanatory power for the abnormal returns. The intuition is that investors may receive the more public news information related to trade. The better (worse) press freedom is the less (stronger) information asymmetry exists which may reduce (increase) the risk premium and result the lower (higher) the cumulative abnormal returns.
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