The Analysis On The Market Conductibility Of Statement Window-dressing

This paper begins with the analysis of the root and the objective condition of window-dressing, to explain why there is always unavoidable statement window-dressing either in our juvenile securities market or in America mature securities market. Then, analyses the ultimate motivation and the multi-motivation of statement window-dressing. on the base of the information content and the CAPM theory, this paper classifies all "A" shares in 1999 and 2000 in two parts, the one part named the aggregate of studied sample is in the statement window-dressing motivation area, the other part named the aggregate of control sample is out of this area. There are some companies who have financial numbers (such as accruals) in the aggregate of studied sample. This paper defines them the studied samples. Then we defines the company that is in the aggregate of control sample and have the same unexpected earnings divided assets with studied sample as control sample. After that, this paper compares the difference of abnormal returns and cumulative abnormal returns in the thirty days before the statement announcement and the thirty days after the statement announcement between studied sample and control sample, which is to test if there is the market conductibility. And this paper analyses this condubtibility from theoretical point. At last, this paper analyses different game theory models in different condition to explain why so many companies do some statement window-dressing, why there is mislead function in Chinese securities market and how to change it. Then this paper give some material advice to father it.