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Research On The Market Response About The Disclosure Of Periodical Reports

Posted on:2005-12-11Degree:DoctorType:Dissertation
Country:ChinaCandidate:Q C ZhangFull Text:PDF
GTID:1116360122982232Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
For there is a strong relationship between investors' investment-decision and list company' financial statements, the economic meaning of information has displayed strongly in capital market. Periodical reports are the most important information sources, and the disclosed information is the most interested information for the investors. So it is very important to know how mature of our investors are and what efficient level of our stock market is by exploring the market response to the announcement of the periodical reports.This dissertation has investigated the behavior of our stock market around and after earnings announcements. Empirical results show: (1) There is a significant positive relationship between unexpected earnings and abnormal trading volume, and the results support that there is significant information content in the earnings information. Besides, we also discover when unexpected earnings is negative, the market reaction is more sensitive, and investors interested in annual report more than interim report; (2) We find there is little significant effect of announcements on the bid-ask spreads per se, but the components of the bid-ask spread affected remarkably. The adverse selection component increases markedly either before or after the announcement date; (3) The results show that post-earnings announcement drift is found in our stock market regardless of which measures is used to represent the unexpected earnings surprise, which means that our stock market is not semi-strong efficient because investors can gain abnormal returns with publicly available earnings information. But it should be noted that investors must design appropriate portfolio when they define unexpected earnings with different models. If he measures unexpected earnings with accounting numbers, he should use contrary investment strategy; If he measures unexpected earnings with stock market data, he should use momentum trading strategy.
Keywords/Search Tags:unexpected earnings, abnormal trading volume, bid-ask spread, information asymmetry cost, post-earnings-announcement drift
PDF Full Text Request
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