Summary:
In the capital markets, information intermediaries (such as securities analysts and financial media) play a critical role in disseminating, interpreting, and verifying information, which significantly influences market information efficiency and capital allocation efficiency. However, with the rapid increase in listed companies and the explosive growth of information, the attention resources of information intermediaries have become increasingly scarce. This has led to some companies being gradually “marginalized” by the market due to a lack of attention. This paper defines such companies as “market-marginalized companies”, referring to those that are neither tracked by analysts nor covered by mainstream media. Statistics indicate that approximately 15.29% of observed samples fall into a state of information intermediary absence. The existence of market-marginalized companies significantly undermines the effectiveness of the capital market's pricing mechanism, causing the potential investment value of these companies to remain insufficiently reflected. In the long term, the continued distortion of the pricing mechanism not only weakens investors' ability to price risk, but also erodes their trust in the market, ultimately harming the core function of the capital market in supporting economic growth. Particularly in the context of the registration-based IPO system reform, when the market expansion rate exceeds the service capacity of information intermediaries, the new generation of growth-oriented enterprises may fall into pricing errors due to their inability to break through the attention threshold, thus falling into a vicious cycle of “listing-neglect-delisting”, which ultimately hinders the healthy metabolism of the capital market. Therefore, systematically examining the stock price behavior and governance pathways of marginalized companies in the market holds significant theoretical and practical implications for enhancing the overall efficiency of capital markets, protecting investor interests, and promoting high-quality financial development. Using a sample of Chinese A-share listed companies from 2005 to 2021, this paper innovatively focuses on “marginalized companies” that are neglected by information intermediaries. It explores the impact of information intermediary absence on post-earnings announcement drift (PEAD) and further investigates how internal and external governance mechanisms can effectively mitigate this effect. The empirical tests reveal that, compared to companies with comprehensive information intermediary coverage, market-marginalized companies exhibit more serious post-earnings announcement drift, strongly corroborating the important function of information intermediaries in price discovery. Governance effect tests indicate that a high-quality information environment and effective corporate governance mechanisms significantly mitigate the magnitude of PEAD. These findings suggest that enhancing information transparency and optimizing corporate governance structures can partially offset the adverse effects of information intermediary gaps, reducing irrational stock price volatility caused by information asymmetry. This provides actionable insights for firms seeking to address the challenges posed by attention scarcity from information intermediaries. This study makes three primary contributions: First, this study systematically identifies and reveals the existence and market characteristics of the long-neglected group of “market-marginalized companies”, broadening the perspective of capital market research. Unlike prior studies that focus predominantly on prominent key enterprises, this paper delves into the potential risks and behavioral traits of these “marginalized companies”. This not only assists investors in identifying market blind spots but also offers new insights for regulators to optimize policy frameworks. Second, this paper innovatively introduces the “market-marginalized companies” perspective to expand the study of PEAD. Unlike existing literature that primarily examines PEAD phenomena at the aggregate market level, this study emphasizes corporate heterogeneity within external information environments. It analyzes the phenomenon based on the practical constraint of attention faced by market information intermediaries, offering a novel theoretical explanation for the formation mechanism of PEAD anomalies. Third, this paper proposes actionable governance strategies to address the issue of information intermediary absence, offering feasible pathways for market optimization and policy formulation. The policy implications are as follows: First, enhance the role of information intermediaries by incentivizing broader and deeper coverage of neglected firms and supporting their use of big data and AI to improve information processing and price discovery. Second, actively promote the standardization and development of interactive online platforms to establish real-time, open, and trustworthy communication channels. This will compensate for the coverage gaps of traditional intermediaries, thereby improving market transparency and pricing efficiency. Third, guide companies to refine their internal governance structures. Relevant institutions should promote best governance practices and reinforce external oversight to ensure sound governance, fostering mutual prosperity between the real economy and capital markets.
游家兴, 邵平平, 刘淳. 市场边缘化公司盈余公告后价格漂移现象研究[J]. 金融研究, 2026, 548(2): 152-169.
YOU Jiaxing, SHAO Pingping, LIU Chun. A Study on the Post-Earnings Announcement Drift Phenomenon in Market-Marginalized Companies. Journal of Financial Research, 2026, 548(2): 152-169.
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