A Sensitive Research On Accounting Information Risk And Price Momentum

In the capital market, the risk of accounting information is the permanent topic, and it is also a long-term task to get rid of it. Effective information disclosure system is the political guarantee to promote the improvement of accounting information of ChiNext listed companies. However, the improvement of the quality of accounting information disclosure helps to reduce cost for agency and supervision, preventing insiders of companies listed on ChiNext from making insider trading and fraud, reducing the extent of information asymmetry, and helps investors get sufficient information, avoids blindly following the trend, and promote the efficiency, sustainable development of capital market.Considering the short time since the second board market was launched in China, the low development of groups of institutional investors, while individual investors are the major force and the fact of using the approval system as an alternative to the registration system, the Chinese government takes strict control on the issue of securities reckon, which makes capital market lack certain competition or less competitive. And it can easily lead to individual investors' dependence, and the content disclosed just in the procedure and formal. In return, individual investors can easily rely on the current situation, what's more, it will lead to the content disclosed just in the procedure and formal.Based on China's special background and combined with the relevant theory of behavioral finance, after analyzing the information asymmetry in expanding the accounting information risk level from the aspects of the quality of accounting information disclosure and disclosure of information which lead investors to use price momentum strategies to gain excessive economic return on investment and explaining that the stronger the inertia in the stock market is, the greater the risk of accounting information will be, this article puts forward policy recommendations on betterments for information disclosure of listed companies and how to reduce the investor's blind behavior.Based on the efficient market hypothesis, information asymmetry theory, principal-agent theory, This paper using the DSSW model theory want to analysis the negative correlation between accounting information quality and price inertia. Then on this basis of the listed company's characteristic, choosing listed before 2010 company full sample as the research object, respectively, using modified DD model to calculate the earnings quality and the announcement 20 days prior to the cumulative abnormal return to measure the quality of accounting information disclosure and information disclosure level. Based on the modified Fama-French model, analyzes the sensitivity between quality of accounting information disclosure and information disclosure level and price inertia.Theoretical study on analyzed characteristics and situation of China's listed companies on ChiNext. The study found that, as ChiNext stays as an emerging market, it is subjected to the lack of information disclosure evaluation system, the not fully played intermediaries'intermediary function, the irrational investment behavior and other factors. The ChiNext in China has five main features, as follow:firstly high price-earnings ratio and issue premium in the early issuance; secondly, the phenomenon that one owes the largest part in equity structure is still exist, but the state-owned shares make the biggest part is not obvious; thirdly, industry distribution is not the single high-tech industry, but manufacturing and information technology industry concentration are the major part; fourthly, investors is mainly retail-oriented, market scale is small, but the number of listed companies increased rapidly; fifthly, high attention is being paid to the information disclosure system framework, but the construction of the evaluation system on the quality of information disclosure is still at the embryonic stage.Empirical studies have found, it emphasized the effects that the quality of information disclosure and information disclosure make on the price momentum, and through the stability test, the results show that:firstly, price momentum phenomenon is obvious in short-term investment, the price momentum strategies can significantly gain excess returns, while in the long-term investment, price momentum phenomenon is ease up. Secondly, the opinion that the quality of information disclosure for the price momentum effect is not distinct which is relevant to the investors'non-rational and behavioral bias. Thirdly, the fact that the lower information disclosure level is, the more significant the price momentum phenomenon is, explains that the high accounting information risk level expands the phenomenon of the price momentum, which generates excess returns.Based on the previous study, the third part of this article including the sixth chapter, puts forward some political suggestions to the ChiNext listed company information on disclosure and investors' investment behavior:firstly, it is emergent to establish the evaluation system of information disclosure quality to change the formulation and implement the target that substance over form. Secondly, encouraging voluntary information disclosure, paying attention to the way that the soft information is disclosure in the form of elements of capital.3 committed to improving individual investors accounting and finance expertise, and give full play to the role of institutional investors intermediary function, forcing the ChiNext listed companies to regulate their own behavior of information disclosure, from the source to control the quality of information disclosure.