An Empirical Study Of Influential Factors On The Return-Earnings Relation

This paper mainly focuses on an empirical study of influential factors on the return-earnings relation on the domestic securities market The research shows that future earnings explains more of the annual return variation than current annual earnings does, and that voluntary disclosure, ownership structure, and proprietary cost are the mainly influential factors on the return-earnings relation. So this paper mainly makes an empirical study on the effect of voluntary disclosure, ownership structure and proprietary cost on the return-future earnings relation.In this paper, the author starts with introducing the prior researches on the field both abroad and domestic, including the study on return-earnings relation, influential factors on the return-earnings relation and voluntary disclosure, ownership structure, and proprietary cost regarded as influential factors on the return-earnings relation. Then, the author provides an elaborate theoretical analysis on the return-earnings relation and its influential factors. Based on the theoretical analysis, the author chooses the models involved in the study. Then, based on a detailed introduction to the design of the research, the author makes an empirical study of influential on the return-earnings relation on the domestic securities market. Based on the empirical study, the conclusions are:1) There exists a positive association between current returns and earnings, and when future earnings are added to the return-earnings model specification, the association is much stronger, suggesting that future earnings explain more of the annual return variation than current annual earnings do;2) The association between current return and future earnings is positively related through voluntary disclosure level; 3) The positive association between current return and future earnings is weaker for firms with higher dominant ownership, stronger for firms with higher outside block ownership, and weaker for firms with higher government ownership, And it's not notably associated with management ownership but suggests a negative relationship judging from the sign; 4) The positive association between current return and future earnings is weaker for firms with higher proprietary cost. Finally, the author gives advice for the government, the listed companies, and investors as well, points out several shortages in the research, and provides a prospect for the future research.