Empirical Research On The Information Content Of Special Treatment Announcement

It has been 7 years, since the listed company of China started to disclose Special Treatment (ST) announcements in 1993. As the development of securities market, substantial progress has been made in the ST system in the past 7 years. Because the history of China's securities market is not long, the academia of china has not conducted full, deep and system research in this field. Under the situation, whether the ST announcements disclosed by the our listed company have information content is important theoretical and realistic meaning.The first part mainly focuses on relevant documents which include Special Treatment announcements and the information content at home and abroad. I am surprised that so many perspectives can be chosen to observe the information content of ST and so many positive techniques used.The second part carries out an analysis of cumulative average abnormal return. Through testing the degree of deviation from zero of cumulative average abnormal return statistically in the certain test window in the days around the disclosed Special Treatment announcement, the paper analyses whether Special Treatment announcement our listed company disclosed has information content.The third part makes an analysis of earning response coefficient. On the basis of samples and test window selection, a regression equation is established. This is the quantitative analysis the paper carries out.The research indicates that Special Treatment announcement our listed company disclosed has the information content relevant to the stock prices, and there are differences in the information content in different years within the time of my research. It also reveals that no statistical distinction in different industry. The annual study shows the strong negative response year by year and the price reactions to announcements of Special Treatment are related to the institution movement.