A Empirical Research On Post-Earnings-Announcement Drift Based On Divergent Investor Opinions

Based on the bounded-rationality and combining the psychology with finance and started from the investors'real behavior, Behavioral Finance could give a view with more human nature to investors'behavior and the rule of the financial market through the analysis of investors'psychology. Nowadays, using Behavioral Finance to find the problems in our stock market, to study the real rules of Chinese stock market and also to further guide investors'investment are very useful in both academic area and practical area.The study of financial abnormity is an important part of Behavioral Fnance. Post-Earnings-Announcement Drift is the most famous abnormity which has been studied abroad. Based on the recent study on it, this thesis starts from stock market abnormity, which verifies the efficiency of Chinese stock market and conjectures the reason of the abnormity, then proves the hypothesis with data.The thesis tries to apply the newest theory of Behavioral Finance to Chinese stock market.Firstly, this thesis briefly introduces the basic theory and concepts of Post-Earnings-Announcement Drift and expatiates the significance, meanings and technical route of the thesis.Secondly, it introduces the theory of divergent investor opinions and how it influences the Post-Earnings-Announcement Drift which is the academic base of this thesis. Thirdly, the thesis defines the calculation of every variable and uses the latest method of unexpected news and divergent investors'opinions to verify the Post-Earnings-Announcement Drift also to analyse the relationship between Post-Earnings-Announcement Drift and the divergent investor opinions.In the end, this thesis studies the relationship between several factors and Post-Earnings-Announcement Drift from behavioral finance's view, and also works out a model.This thesis shows that Post-Earnings-Announcement Drift is still observable in Chinese stock market, and the divergent investors'opinions can explain the Post-Earnings-Announcement to a certain extent. And Post-Earnings-Announcement is influenced by several factors.