Listed Company's Annual Financial Report Accounting Earnings Information Content Of The Empirical Analysis

Stock market is an important part of market economy system and important symbol of one country's economy development. The stock market is established on the basis of information disclosure, and the accounting information is the core content of information disclosure. The research on financial report information is the hotspot of western accounting empirical research in the last years.This paper firstly defines the accounting earnings information, and review the different theoretical models of valuation function of accounting earnings. The role of accounting earnings is analyzed within the paradigm of information perspective, valuation perspective and contract perspective, respectively. This paper is conducted by the information perspective. On the basis of the literature survey, the author gives this paper's research framework, and hopes that can judge whether the annual report has accounting earnings information, whether Chinese stock market is Semi-strong efficient market, whether the investors are rational.Chapter4 and chapter5 are the core segments of this paper. In chapter 4, the author divides the stocks into two parts. One is good-news portfolio, whose annual accounting earnings exceed the market expectation; and the other is bad-news portfolio, whose annual accounting earnings miss the market expectation. If the annual accounting earnings have information, the yield curves of these two portfolios are different before and after the annual report disclosure date. This means that the good-news portfolio can get positive revenue, and the bad-news portfolio can get negative revenue. The author checks up this proposition through t-test and mapping the CAR and AAR curves during the time windows. In chapter 5, the author applies the ERC (Earnings Reaction Coefficient) to analysis the linear relationship between accounting earnings and CAR. Meanwhile, the author explains the relationship between annual accounting earnings and abnormal fluctuation of stock price by using the multi-factors regression model.This paper comes to the conclusion that Chinese annual reports have information, and Chinese stock market is not semi-strong efficient market. At last, the author gives some advice to improve and develop Chinese stock market.