Empirical Research On The Information Content Of China's Listed Companies In Quarterly Reports

The security market is based on the system of information disclosure, the core content of which is accounting information. In recent years, with an increasing number of listed companies, the information disclosure system of listed company standardizes progressively, meanwhile the quarter financial report gradually becomes an important composition of the information disclosure sysytem. The quarter report formulation can provide investors timely management status of listed companies, investing decision information and the predicting information of next period surplus. The analysis of quarter report plays a greater role of decision making along with the impementation of quarter report disclosure policy. Therefore, the response of market to the quarter financial report of surplus information is a valuable problem to study.This paper selects the third-quarter financial reports of 300 listed companies of Shanghai and Shenzhen market, ranging from 2002 to 2007 as samples, on the bases of effective capital market theory and accounting surplus information theory. The author makes an empirical research on the information content of quarter financial report and futherly analyses efficiency situation of stock market in China, through two study method of 15 trading days' change of average abnormal return and accumulated average abnormal reture around and after the quarter surplus announcement and the regression analysis of inexpectant accounting surplus to abnormal reture. The empirical result demonstrates that: (1) the average abnormal reture and accumulated average abnormal reture around and after quarter surplus announcement change obviously, which illustrates the quarter surplus reports are of information content in our A share market; (2) the market can treat different types of accounting surplus data distinguishly by analysing inexpectant surplus as good news or bad news, but it reacts intensely to good news and flatly to bad news: (3) the market investors are paying more and more attention on accounting surplus of listed companies, which can be viewed in the annual text that the surplus reaction coefficient significance enhances; (4) A share market is, basically, under a state of semi-strong efficiency, or at least of an effective process from weak to semi-strong.The article offers considerable reference value in empirical study of accounting information content, investigation on the content of our stock market's accounting surplus information and investors' realized degree of accounting surplus information. It also, simutaneously, has a certain pratical significance to develop and perfect the information disclosure system of stock market on the fundament of analysis of the market's efficient situation.