Rumors Of Listed-company And The Empirical Study On The Determining Factors Of Clarification Effect

In recent years, there are “rumors abound” and “clarification announcement theclear and unclear” phenomenon in China’s stock market. Start with this phenomenon,this paper collects120effect clarification announcements from Shanghai and Shenzhenlisted companies during2011years and2012years. From the perspective of rumorpsychology, this paper tries to use event study methods and multiple regression methodsto study the rumors and the effective of clarification announcement in China’s listedcompanies.Firstly, as a starting point, this paper reviews different scholars’ research on rumorsand clarification announcement both in foreign and domestic. We find that the foreignscholars’ make munch more research about rumors, but not much about the clarificationproblem. In domestic, we make less research. Thus our research is very important.Secondly, this paper divides rumors into positive rumors and negative rumors inempirical research and examines the impact of positive rumors and negative rumors onmarket. The results show that, on the day of rumor happened, the positive rumors havesignificantly positive abnormal return, while the negative rumors have significantlynegative abnormal return. And the negative rumors have significantly negativeabnormal return before the rumors day. For the market reaction of clarificationannouncements, this study also uses the event study from the aspects of positiveclarification announcement and negative rumors clarification announcement. The resultsshow that market has significant market reaction on the day of clarificationannouncement, but the results are opposite. It indicates that market under-react to theclarification announcement, but over-react to the rumors.Thirdly, this paper makes research about the influence factors of clarificationannouncement effects. Clarification announcement as the important way of dealingrumors, it is worth us to pay much attention on it. In this paper, we make theinvestigation of clarification announcement effect from the characteristics ofclarification announcement, such as time lag of clarification announcement, the sourceof rumors, the quality of clarification announcement, whether the suspension, thequantity of clarification announcement and the reputation of the company. The resultsshow that only the suspension and the quantity of clarification announcement aresignificant and conform to the hypothesis while others are not. The results indicate thatthe suspension after the rumors happened can improve the effect of clarification, what is more, the more specific of clarification announcement, the better of clarification effect.Finally, this paper uses the dual-process theory and adds the situational variablesinto the multiple regression models. We find that the interpretation effect of the modelhas improved much.