Information Disclosure And Behavior Of Market Participants

Information disclosure is the core content of the efficient capital market operation.Considering the development stage of Chinese capital market,how to improve the information disclosure system has become a practical problem to be solved urgently.Based on the market microstructure theory and the behavioral finance theory,this paper establishes the market clearing model under the condition of investors' limited rationality,explores the influence of information disclosure quality on price discovery efficiency,and analyses the mechanism of Post-Earnings Announcement Drift(PEAD)and management opportunities for information disclosure.On this basis,this paper makes further empirical study on the analyst forecasts behavior,the behavior of management forecasts and the behavior of management self-interest in Chinese capital market,which provides a theoretical and empirical basis for information disclosure in Chinese securities market.The specific research content mainly includes the following five aspects:Firstly,the study of information disclosure and investors' bounded rationality.This part introduces the expected deviation and reference-dependent preferences to depict limited rational characteristics of investors and builds two-period economic model containing information friction and investors' learning.Then this study explores the influence of information disclosure quality and limited rationality of investors on price discovery efficiency.The results show that under the same conditions,the efficiency of price discovery is negatively correlated with the degree of investors' limited rationality and positively correlated with the information disclosure quality.Also,it proves that the expected deviation and reference-dependent preference of investors are the important reasons for Post Earning Announcement Drift(PEAD).Secondly,the study of disclosure behavior of analyst forecasts and effectiveness.The breakthrough point of this part is the change of information asymmetry before and after the release of analyst forecasts,and this part explores the dynamic process of the integration of analyst forecasts into market price from the perspective of market microstructure theory.The results show that the information asymmetry among investors decreases after the release of analyst forecasts,which indicates that analyst forecasts contain information that unsophisticated investors do not know.In the robustness test,this part shows that the accuracy,releasing time and tracking quantity of analyst forecasts,as well as the efforts of analysts,work experience and industry rankings,are important factors affecting the decline of information asymmetry.Thirdly,the study of management forecasts behavior and market reaction.This part systematically explores the behavior pattern and market reactions of the management forecasts of Chinese listed companies.The results show that the accuracy and the releasing time of management forecasts have the inverted U-shaped relationship,which provides direct evidence for the strategic disclosure of Chinese listed companies.Furthermore,for the management forecasts released after the fiscal quarter,the price response is negative related to the releasing time,and the decline of information asymmetry is positive related to the releasing time.This indicates that investors believe that the credibility of later management forecasts is lower,and uncertainty is higher for the management forecasts released after the fiscal quarter.Fourth,the study of information disclosure and the behavior of management selfinterest.This part analyses the relationship between information precision of management forecasts and excess returns after the announcements to verify whether the management of listed companies manipulates information.The results show that both the announcement returns and post-announcement returns are positively related with information precision,indicating that there is suspicion of information precision manipulation.Furthermore,we find the managers provide more discretionary accruals,more pessimistic guidance and more management insiders trade when the information precision is higher.In addition,investor sophistication and strength of external regulation are important factors affecting the information precision manipulation.When the investor sophistication is higher or the external supervision environment is stronger,the managers are less likely to implement information precision manipulation.