Momentum or reversal after price shocks: The impact of information on stock returns

In recent years, researches on stock price behavior after factor driven major price shocks have raised more attention. In this paper, investors´ under-reaction (overreaction) to information is regarded as an interpretation of momentum (reversal). Using analyst reports as a proxy, we compare post-event stock returns evolution of stocks with information and without information after major price shocks in Chinese Stocks Market. We use data of Hushen 300 index stocks from January 1, 2007 to June 30, 2012 to do empirical analysis, and show that price events are followed by drifts accompanied by either information or not. The results show that the impact of information on post-event returns is the same as the other drivers of price shocks, and the investor under-react to all price shock drivers.