Abstract: By analyzing the panel data of abnormal returns during quarterly announced earning information from 2002 to 2006 between A-share market and H-share market,we study the influences of heterogeneous beliefs on the stock pricing.This research points out that the results based on PRC-GAAP are not different from those based on IASs.All investors,no matter they are from the A-share market or H-share market,can correctly read the earning information announced by stock exchanges respectively,there is much obvious private information in A-share market than in H-share market and this asymmetry information will persist until post announcement,the investors from H-share market have superior information processing abilities than those from A-share market,heterogeneous beliefs playing a role in stock pring and trading system is one of the reasons why result in the different stock price performances in segmented capital markets.

Key words: segmented capital markets, heterogeneous beliefs, earning announcements, stock returns