Research Fama-French Three-factor Model In China After Earnings Announcement Drift On

The interaction between market information and stock prices and the relationship is focused on modern theory of financial market. Thesynthesizer is Fama proposed the effective market theory, however, with the development of research, market vision emerged, the market formed a huge challenge to the efficient market theory, and China capital market establishment time late, development is not mature and perfect, for there is much controversy Chinese effectiveness of the capital market, the earnings announcement drift phenomenon by Ball and Brown in1968found in the securities market is the special vision, refers to the earnings announcement after the release of the information, stock prices and unexpected positive relationship between earnings, if unexpected earningsis positive, stock prices will continue upward drift. If the unexpected earnings is negative, the stock price will continue to drift downward, motiondirection of stock prices and unexpected earnings direction. A lot ofscholars home and abroad based on the stock market data to empirical study proved the existence of this great vision, and the reasons wereexplained from every angle.Based on China’s Shanghai stock exchange A share stock market data as the research object, the three factor model of Fama and based on French,in accordance with the scale factor and book value ratio factor are grouped and cross structure9portfolio, the abnormal return for each combination ofrate and the relationship between unexpected earnings, empiricalvalidation the three factor model in Chinese stock market, and furtherexplain the post Earnings Announcement Drift, research, scholars at home and abroad to join the liquidity index, exchange rate index, index arbitragetransaction cost and cost indicators as control variables based on the model, the empirical validation of our securities market listing Corporation in the release of its post earnings announcement that whether the stock price abnormal rate of return, change direction and abnormal returns andearnings announcement published by the unexpected earnings direction.The purpose is to prove the existence of post earnings announcement drift phenomenon in the securities market of china. Due to the development of China’s securities market is not mature is not perfect, and the stock market system existence malpractice, factors influencing the stock return volatilityis more complex, and the behavior of investors is difficult to predict, based on this, in order to establish the operation system of stock market in our country, we must run the rule and the influence to the stock market stock returns the volatility of the listing Corporation, in order to further improve the operation efficiency, and provide a theoretical basis for investors, andultimately improve the efficiency of our stock market.