| 1.BACKGROUNDIn2001, Enron which "Fortune" magazine named the most innovative U.S. energy trading giant came crashing down, and then pull the largest financial reporting fraud scandal, in recent years of the United States, following, U.S. retail giant Kmart filed for bankruptcy, many venerable Fortune500large companies might be involved in financial reporting fraud. The trap of the surging wave of financial fraud, and over statements directly harmed the economic interests of investors. Not only in foreign, Irregularities are not uncommon in China’s stock market, from1997to1998, Joan China source, red light industrial, Dongfang Boiler three cases cast a shadow over the nascent Chinese stock market.In the21st century, with the strengthening of supervision, more and more information disclosure violations were surfaced,2000, the aftershocks of Zhengbaiwen, Dawn shares, the Monkey King shares the case has not completely disappeared, Also the MACAT case was exposed in2001. Then, Guangxia storm pushed information disclosure violations to the climax. In recent years, ST Kelon, ST Jinli, Dongfang Electronics, blue-ray science and technology stocks had punished by the regulatory authorities because of information disclosure violations. Especially in2007, an unprecedented bull market of China’s securities market, the birth of a super bull stock-Hangxiao Steel. From the February12opening price of4.24yuan, to the highest price of19.7yuan on April16, just use two months. It has gone through17daily limits. The price rose to4.24yuan from the start to the highest19.7yuan, the stock turned over4.7times. Unknown Hangxiao Steel rises to fame, because it got a34.4billion yuan from Africa encore contract. With the high price a single escort, Hangxiao Steel is not only pull even more than a dozen daily limit, but also in the once SFC suspension, still arrogant diminished, continue to remain high. However, in April30th,2007, have continuous pull out the thirteen daily limits of listed companies Hangxiao Steel "legend" to finally outcome. Because the project contract in Angola, the total amount equivalent to31.34billion yuan have an important impact to Hangxiao Steel’s operating result, but the company did not timely disclosure of this incident, and misleading statements in a number of information disclosure. After investigation, the SFC found the company in terms of information disclosure in violation of the provisions of relevant laws, the disclosure of information "not timely, inaccurate, and incomplete. Then Hangxiao Steel fell, a large of small investors’losses. Since2000, violations of the securities regulators announced a listed company files there are709cases, of which there are355public reprimands. These violations are no doubt the interests at play, often received damage to the interests of small and medium investors. Disclose such information breaches, ignore the law and serious violations of standards of integrity, The disclosure of irregularities behavior in these information, ignoring the law and discipline, which seriously violation of the standards of integrity, This is not only to give the small and medium-sized investors to bring the huge economic losses, and but also constitute a serious threat to the stability and healthy development of the market.May be cruel, but this is the status of the Chinese stock market, how to enable investors to avoid buying the information disclosed in violation of the shares of listed companies have suffered losses, and how regulatory agencies can effectively suppress the listed companies’information disclosure violations, is a reality and deserves thinking of the the problem.2.PURPOSEThis paper tries to study the market reaction to the disclosure of information by listed companies, and use event study methodology to measure the market losses caused by information disclosure violations quantitatively. Then Investors can more fully assess the investment value and risks of the listed companies to minimize investment losses; Effectively predict the information disclosure violations listed companies by the listed companies to disclose non-compliance warning, Investors will be able to avoid this type of investment traps, regulators will be able to advance to the listed company of such high-risk screened out and implementation of key regulatory, rational and efficient allocation of limited regulatory resources; Through the analysis of the empirical results, Making countermeasures and suggestions In corporate governance, external auditing, securities regulators in favor of the Chinese securities market stability and healthy development.3.MAIN CONTENT AND VIEWThe first chapter is the introduction, mainly introduces the background and significance of this research, thus to study the main content and the frame structure; elaborate the method used in this paper and the data processing by using model; talk about the main contributions and shortcomings.The second chapter is the literature review, divided into illegal information disclosure of listed companies and market reaction of illegal information disclosure of listed companies and early warning research, through the consult massive literature material, this chapter of the domestic and international related research methods, the results are summarized and presented in this paper, the illegal information disclosure Market reaction and early-warning research these two aspects of analysis method. For the illegal information disclosure of listed companies to market, this paper select the security market of our country2005-2008year all the illegal information disclosure of listed companies as the sample, in a bid to new research interval, obtains more accurate results. For the illegal information disclosure of listed companies and early warning research, can refer to the early warning indicators include financial, marketing, corporate governance and other types of index, specific directors constitute, term and representation, the proportion of independent directors, the proportion of corporate shareholders, ownership concentration, senior management ownership, industry characteristics, the size of the company and profit ability, can use the model of rough set to build prediction model, logistic model, the possible index after the screening, selection of logistic model early warning research of illegal information disclosure of listed companies.The third chapter is the illegal information disclosure of listed companies the market response and warning the theoretical analysis of feasibility, mostly2005to2008information disclosure irregularities were in time dimension and dimension to categories for statistical analysis, and with the help of signal theory, information asymmetry theory, rational economic man theory, principal-agent theory, theoretical analysis the illegal information disclosure of listed companies cause, different classes, different periods of information disclosure of Listed Companies in the market response differences of information disclosure of listed companies, the feasibility of establishing early warning model.The fourth chapter is the illegal information disclosure of listed companies an empirical analysis of the market reaction, including research sample selection, research interval selection, excess stock returns are calculated and the empirical results and analysis, here, respectively using the event study method to calculate the sample empirical results and according to the securities of different features for classification of the empirical results, statistically different type of violation, different year and different stock market irregularities violations in the announcement day and give investors a loss. Through the research, this paper draws a conclusion:investors in the announcement a few days ago15days to be aware of illegal information and respond, in the announcement day or the adverse reaction from basic released end; for the different types, different years, different market information disclosure, investors are sensitive to different levels, over the years information disclosure irregularities, the market reaction is also more and more rational, investors are more and more with a variety of valuable information, but not the noise of investment decision-making; information disclosure irregularities to investors the loss is great, for the effective Information Disclosure Violation warning model research is very necessary.The fifth chapter is the illegal information disclosure of listed companies warning empirical analysis, in the domestic and foreign scholars about the information disclosure fraud on the basis of the study, impact the company’s information disclosure of related factors were hypothesized, based on financial, market and management perspective, using stepwise Logistic regression analysis of prediction variable abstraction and screening, using descriptive statistics comparison of early warning indicators of significant, use the two Logistic regression models for violation of listed companies inspection, identification and prediction, as investors and creditors and other stakeholders to provide basis for decision making. Through the research, this paper draws a conclusion:the information disclosure irregularities were announced last fiscal year, the company in financial condition, market condition and level of management, and the normal companies exist obvious differences; the profit ability of the listed companies and the violation is negatively related to intention, liabilities and illegal orientation was positively related to the shares of a listed company; the average daily turnover and illegal information disclosure is negatively related to intention; ownership concentration of Listed Companies in the next year is less likely illegal information disclosure; audit quality of listed companies and information disclosure irregularities occurred was negatively related to assets; net interest rate, the rate of assets and liabilities for financial early-warning variables, with the stock market average daily volume for warning variables, to the ownership concentration degree, external audit type corporate governance as a warning variables, this paper establishes the Logistic regression model to test sample the overall identification success rate was65%, for investors, the company’s financial data, stock market transaction data and management data has certain value of information. The sixth chapter is summarizing the paper, including the research conclusion, study and research prospect.4.CONTRIBUTIONSThe main contributions of this paper are:First, using data from2005to2008, to explore the latest status of violations disclosed by the listed companies’ information from the perspective and total of the irregularity.Second, use the event study method listed companies disclosed violations announcement before and after its stock price to calculate the increasing incidence of extremely before and after20days of excess returns, verify the information of listed companies to disclose whether it will reward investors with losses. And to classify samples according to the category of violation type, violation annual study to explore the different violation types, different years, different markets, and investors’sensitivity of the information disclosed violations.Third, to explore the characteristics of the violations listed companies, including its financial situation, market transactions and governance, and use logistic regression to find out the screening in recent years of financial disclosure violations listed companies, market transactions, and corporate governance indicators.Fourth, the use of descriptive statistics, observations disclosure violations listed on the company’s financial market transactions, corporate governance indicators, and there were significant differences between the integrity of the listed companies and listed companies’information disclosure using binary logistic regression to establish an early warning model of irregularities to help investors and rational investment. |
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