Empirical Research On The Impact Of Frequency Of Information Disclosure On Stock Yield Distribution

The frequency of information disclosure refers to the amount of informationdisclosed within a unit time, which is an important indicator to reflect the features ofinformation announced by listed companies. As an evidence to discriminate whetherthe listed companies have disclosed adequate information, it will affect the investors’judgment on the values. The yield is one of the most important factors to reflect thevalue of the stocks, the Efficient Market Hypothesis made a lot of models ofinvestment management in finance, such as EMH,CAPM and MM-Models, assumethat the statistical distribution of stock returns follow a normal distribution. However,existing researches prove that the yield distribution does not follow a normaldistribution, while it shows significant skewness and phenomenon of “leptokurtic andfat tail”. This study, based on the existing research achievements, attempts to explore“whether” and “how”, the frequency of information disclosure would affect the yieldstatistical distribution characteristics.In this study, the stock market data of China is picked using empirical methodsof econometrics. Empirical research about the impact on frequency of informationdisclosure on stock yield distribution has been done. The reason why the yielddistribution does not follow a normal distribution has been found. The specificresearch ideas are as followed: Firstly,1076listed companies from2001to2011wereselected as the research object to construct panel data model, in order to accomplish aRegression Analysis, and the relevance of the mean, variance, skewness and kurtosiswith the yield are examined separately using the software of Eviews6.0; Secondly,company size, financial leverage and price-earnings ratio have been picked as thecontrol variables. Robustness tests are conducted on the overall samples by groupusing the three indicators separately, to examine the credibility of the empiricalresults of the overall sample. The results show that, as the frequency of information disclosure increases, the information asymmetry between investors and listedcompanies will be reduced, and it will make it easier for the companies to getrecognitions from investors, thus, stock prices would go up pushed by thereinforcement of the investors’ choosing of the companies, and the overall level ofstock market yield will increase, too, when investors obtain new information, theywould make another judgments on the value of the stocks based on the newinformation. Every time listed companies release new information, the impact ofyield would occur, leading to the increase of the fluctuation; The more informationthe investors obtain, the yield distribution tend to be more positively skewed, whichwill increase the likelihood of positive yield for investors, and there is smallprobability of extreme positive returns. This conclusion also proves that with theincrease of frequency of information disclosure, the mean of yield would increase;When the investor obtain more information, not only will the fluctuation of yieldincrease, it will also make the tail thicker than the normal distribution, and thepersistence of fluctuations of deviation from the mean yield more significant.Therefore, when the frequency of information disclosure is improved, the yielddistribution will deviate from normal distribution further. The previous empiricalresults have all been validated by robustness tests.Based on empirical results, the regulatory authorities should encourage listedcompanies to increase information disclosure, to reduce the degree of asymmetrybetween the investors and the companies, and improve the overall income ofinvestors. Yet, what must be noted is that, the over improvement of the informationdisclosure frequency would lead to sustained fluctuations of stock prices and yield.