The Annual Report Earnings Announcement Asymmetric Cumulative Excess Return Of Value Stocks In China And Glamor Stocks

This article based on local and foreign scholar's studies on earnings announcement and value/glamour stock, creates and uses the variable of different P/E to define the relative level of market, and chooses earnings announcement as the even for analyzing the market response to good and bad earnings announcement. The article investigates Shanghai list companies from 1998 year to 2002 year's data, and gets two models by the methods of correlation and step-wise regression. By comparing two models 's response to good and bad earnings announcement in the difference level of market, the conclusion of this article is:(1) The price response to bad and good earnings announcement is asymmetry;(2)The price response to bad and good earnings announcement changes as the relative level of the market changes;(3) The notion that as the market rises, the asymmetry in the response to good and bad news becomes relatively more pronounced for glamour stocks is not applied to our security market.