Research On Short-term Market Reaction Of Financial Restatement In Listed Companies

In the securities market, important basis for investors derived from the listed company’s annual financial reports, however, Financial Restatement on Annual report suggests the information revealed has been errors or omissions. Based on the efficient market hypothesis, financial restatement can bring certain market reaction. Because China’s stock market reached only "weak effective" or "the semi-strong efficient", Each stage of the restated window period will bring different market reaction. According to the information asymmetry theory, financial restatement can cause market adverse selection. Based on the research of the existing literature, this paper expounds system background of restated financial, and detailed analysis the present situation of financial restatement; According to the efficient market hypothesis and information asymmetry theory, and put forward the corresponding hypotheses; Author selected the annual report of restatement released from January1,2009through December31,2010in A stock market, through sorting get250valid samples, Use SPSS19.0software, using event study and weighted least-square regression model (WLS) do empirical analysis, finally draw the conclusion:(1) In the trading day before restatement announced (leak period) and trading day after publication(lag period),there are significant market reaction;But owe to adverse selection caused by information asymmetry, the market reaction betray the expected.(2) Correction notice cause significant negative market reaction;Due to reduce the information asymmetry, supplement the announcement bring the positive market reaction;And supplement and correction notice bring negative response, but not significantly.(3) The technical restated does not affect the value and other essential problems;So such problems reflect flatly.However, due to the lack of professional accounting knowledge, noise trading of investor seriously influenced "accounting problems, reducing surplus of the financial retelling", so this kind of restated didn’t appear the expected "significant negative market reaction."(4) Wethere financial restatement involved the core accounting index, the market reaction vary wildly. Restatements involved core accounting index will bring the significant negative market reaction.(5) Because Listed company choose the timing of the information disclosure,the empirical results also suggest that the announcement of restatement disclose on delay, the market react negative significantly. According to the results of the study, the final section of the article put forward several proposals,and illustrate the limitations.The contribution of this paper is:(1)Divided incident into three stages for the first time, namely the leak period, the same day, and lag period.In the three stages, the article put hypothesis, and empirical analysis.(2) Regression model introduced new factors of restatement announcement timeliness.(3) Improve regression method(WLS),to eliminate the defects of the existing literature Using the OLS method.