The Research On The Post-Earnings-Announcement Drift In The Securities Market Based On Investors Heterogeneous Beliefs

Post-Earnings-Announcement Drift (PEAD), a stock price's drift phenomenon caused by alteration of earning data in financial announcement of listed companies is an important market anomaly of financial study. Post-Earnings-Announcement Drift has long been concerned and studied theoretically and practically, but failed to be analyzed comprehensively about its emergence and mechanism due to the limitation of its analytical framework and theoretical hypothesis.Recently, based on behavioral finance theory, some overseas scholars have made further study on PEAD from the perspective of sociology, psychology and anthropology by practicing the financial theory, information economics and game theory and method, making some valuable conclusions. While domestic exploration on PEAD has just started. So, as an emerging securities market, it's a valuable and challenging research subject to study the Chinese stock market, but also there are the same problems with the foreign one in the process of development and maturation. It is a valuable and challenging financial research task to Understand how earnings announcement effect on the securities market and try to provide scientific decision-making reference for investors and give specific policy recommendations to the Government and regulatory agencies.On the basis of the latest research result home and abroad, this paper discusses the deep-seated reasons and the influences on investors of the PEAD from the perspective of bounded rational investors'heterogeneous beliefs. It also discusses the emergence and mechanism of PEAD, analyzing the role the investors'heterogeneous beliefs and thus initiated investment decision behavior play in the circumstance of information asymmetry. By analyzing the latest data of A share market in Shanghai and Shenzhen, this paper validates the abundance of accounting earnings information announced by listed companies, describes the stock price trend and its variation feature and explains its influencing factors by conducting theoretical deduction and empirical analysis on the basis of the simulation experiment's result made by the scholars home and aboard. Through the analysis and interpretation of the causes of investor's heterogeneous beliefs and the features of trading behavior, this paper probes into the problems of accounting earnings information in the process of transferring, concluding the dynamic feature of the market price in PEAD, providing a powerful theoretical evidence for the discussion of the specific conformation and manner of the market anomaly under the circumstance of the unique system of Chinese stock market . The difference with any other similar research is that this paper analyzes the driving effect of the heterogeneous beliefs investors on the stock price drifting caused by earnings momentum after the empirical test of the PEAD affected by Investors Heterogeneous Beliefs.There are the following conclusions by research: The relationship among of PEDA and Investor's price behavior of heterogeneous beliefs and trading strategies are closely related. Further gradual information flow, limited attention of investors and heterogeneous priors are the key factors of the formation of investors'heterogeneity of beliefs. There was a significant earnings announcement effect on Chinese securities market. Empirical studies have shown that Chinese securities market has not yet reached the semi-strong-form efficient, PEAD still exists, specifically such as advance reaction or the excessive reaction to earnings announcement information. And post-announcement movement phenomenon also exists. Investors'heterogeneous beliefs have significant effect on PEDA. Studying the characteristics of stock price continuing drift after Post-Earnings -Announcement of Chinese securities market, it found that heterogeneous beliefs of investors has a certain degree of predictive capability on the stock of Standardized unexpected earning. It further illustrates the heterogeneity of beliefs is an important factor in the PEDA influences on investors'changes of share proportion and stock earnings.Through the research of Post-Earnings-Announcement Drift based on the analysis of Investors of Heterogeneous Beliefs Chinese securities market, this paper discusses whether heterogeneous beliefs investors can hold the earnings data effectively; whether there is a relationship between share holding changes and earnings momentum; whether heterogeneous beliefs investors have different impacts on stock price earnings drifting, and the like. It also makes a new exploration to the microstructure governance of Chinese stock market, hoping to provide a solid theoretical support and decision-making reference to the investment and market supervision.