The Research On Investor Protection Level Of A-share Earnings Announcement

Based on the review of references, according to the reaction of actual market from the angle "ex-post", this dissertation investigates the investor protection level of listed companies in'our A-share market, which specifically try to handle the following three issues:First, the investor protection level is a relative concept, which the dissertation considers the reaction of market close-by the annual earnings announcement as a high level "template" in the status of efficient market. However, the reality is much more complicated than the efficient market as an abstract concept, what's the influence that the annual earnings affected by the earnings management? As a major tool of research on the investor protection level, what's the conclusion that the earning-return model will provide under the actual market circumstance? The dissertation shall investigate the above two issues, to ensure that the investor protection level could be reflected by the market reaction-there is the comparability between actual market reaction and efficient market situation.Second, in view of the index of the investor protection level whether belongs to the "ex-ante" categories or belongs to the equity of reform of split share structure. Thus, pursuant to the market reaction of annual earnings announcement to build up the index of which the investor protection level could be quantized, then try to investigate the investor protection level of A-share annual earnings announcement by regression model constructed upon the market reaction of efficient market. This issue is the key point of the dissertation-designing the investor protection index which is based on the economic consequence and repeatable, distinguishing the actual investor protection level.Third, the "new creation" investor protection level index, around which the conclusion is unsteady, therefore the dissertation uses a traditional method at present to further prove the investor protection level of annual earnings announcement-using the reaction of market close-by the annual earnings announcement directly:One side, investigate whether or not there is any abnormal in earnings-return relationship before and after annual earnings announcement; on the other side, investigate whether or not there is any abnormal in stock volumes before and after annual earnings announcement. The above comparing basis is still the market reaction under the circumstance of efficient market.The dissertation is divided into seven chapters, the main content of each listed below:Chapter 1, Introduction. The chapter introduces four aspects:1, the research background; 2, the research purpose; 3, the research ideas; 4, the prospective innovations.Chapter 2, Review of references. The chapter reviews references around the earnings management, the market reaction of earnings, the investor protection, etc. Make observations based on all present references and point out the disadvantages.Chapter 3, Theory analysis. First, the chapter reviews the basic content of efficient markets hypothesis and its influences to the accounting. Second, discuss the market reaction under the circumstance of efficient market as the basis of evaluating investor protection level in actual market. Third, discuss the market reaction under the circumstance of actual market. At last, come to the conclusion-earning-return model, pointing out its influence by actual market.Chapter 4, Earnings management & earning-return model. The chapter mainly lays the root for the following issues. First, discuss the two main methods of earnings management:The influence of discretionary accruals and nonrecurring earnings components to the listed companies'annual earnings. The discretionary accruals shall affect the quality of earnings, which will directly affect the investor's evaluation of earnings. The nonrecurring earnings components shall lead to earning- return's non linearity. Second, investigate the earning-return relationship in our A-share market, mainly analyze whether or not there is any information content in loss company, whether or not there is non-linearity in earning-return, whether or not there is any information content in auditor opinion, and whether or not there is any revise of earning- return's non linearity without consideration of nonrecurring earnings components.Chapter 5, Investor protection:indexation research. The chapter is the key point of the dissertation. First, design investor protection index pursuant to actual market reaction, build up research model pursuant to efficient market. Second, regression analysis to the research model, investigate the investor protection level of A-share annual earnings announcement. Third, avoid the stock price's interruption by other information, to investigate the investor protection level via artificial collection, by listed companies which only provided their annual report at the window of annual earnings announcement during 2005-2008.Chapter 6, Investor protection:market reaction. There may be some defaults in the research conclusion due to the investor protection index designed by author himself, therefore, use the traditional method at present, from the angles of earnings-return and trading volumes, to investigate the market reaction before and after the annual earnings announcement separately. Comparing to the situation under the circumstance of efficient market, investigate the investor protection level of A-share annual earnings announcement.Chapter 7, Conclusion. The chapter is about conclusions, generalizing main points of view, abstracting main innovations, introducing main restrictions. Bring out policies and suggestions at last.There are three aspects of innovations in the dissertation:First, there are two main aspects of research on investor protection in our country at present:1, "Ex-ante" research, to investigate the investor protection level or design investor protection index via institutional level. "Ex-ante" index only tells the possibility of investor protection level, couldn't judge from actual economic consequence.2, Reform of split share structure. Base on the "ex-post" angle, to check out valuable consideration's rationality by the investigation of index. There are some restrictions in the conclusion since the non-repeatable of reform of split share structure.The dissertation designs investor protection index pursuant to the cumulative abnormal return before and after the annual earnings announcement. Investigate the investor protection level through multiple linear regressions. Compare to former relative research, the index here is more definite, and could be considered as a derivation of "event research", to investigate the investor protection level from the information disclosure and market reaction.Second, besides designing the investor protection index, the dissertation via traditional method:investigate the investor protection level in A-share market through earnings-return model and trading volumes. Although these are common methods, it is found out that the stock price and trading volumes have already systematically reacted prior to announcement and no significant relationship in the earning-return by dividing annual earnings announcement into before and after.Those papers about the earning-return relationship are still based on the annual announcement as the middle point of symmetry window. And there are few papers about trading volumes. The dissertation extends the research field of traditional earning-return model and trading volumes. There are further discussions about why the stock price before annual earnings announcement and trading volumes reacted in advance, why there is no significant relationship in earnings-return after annual announcement.Third, there is little empirical research on company with loss and with meager profits in our country at present. The dissertation systematically investigates the influence of annual earnings level caused by discretionary accruals and nonrecurring earnings component in the loss or meager profits company. Meanwhile, it is found out that there is "earnings reverse" phenomenon in the nonrecurring earnings component. Besides, the dissertation also makes some extending research on earning-return model.