Study On The Impact Of Heterogeneous Beliefs On Post Earning Announcement Drift In The Securities Market

Earning Announcement Drift(PEAD) has long been studied theoretically andpractically. The development of behavioral finance theory make the explanation andresearch of this anomalies more deeply. Nowadays, the retail investors is mainparticipator in our securities market. The earnings quality of information disclosureof listed company was reinforced in the new Corporation Accounting Standard in2007,which enhance the securities market pay more attention to the PEAD. Thus, itis meaningful to deeply analyze the mechanism of PEAD from the perspective ofinvestors heterogeneous beliefs and considering the earning quality facto r. Hence,this thesis aims to examine the influence of investors heterogeneous beliefs on PostEarnings Announcement Drift.Firstly, this paper presents the domestic and abroad documents about PEAD andheterogeneous beliefs and elaborates the relevant theory. Then we analyze themechanism of how heterogeneous beliefs influences PEAD and propose the r esearchhypothesis. Secondly, we confirm the empirical analysis method and the variablemetric method, and construct the multiple regression model. Thirdly, the thesisselects publicly disclosed annual report information A-share non-financial listedenterprises in Shanghai and Shenzhen from2007to2011as research sample. Then,We choose event-study, multivariate regression analysis and Bootstrap analysis totests and verifies the research hypothesis. What’s more, this paper investigates thefeatures of the PEAD and the influence of investors heterogeneous beliefs.The empirical results show that the PEAD anomalies obviously exist in oursecurities market in the selected sample. The investors heterogeneous beliefs has asignificant effect on PEAD. To the good or bad news, investors heterogeneousbeliefs has different influence on the sensitivity of unexpected surplus-relatedcumulative abnormal return. The proportion of institutional investors owned stockshave a significant negative impact on the cumulative abnormal return. Investors’heterogeneous beliefs affect the Post Earning Announcement Drift, however, whichare different at different levels of earnings quality. There are different degree ofearnings management behavior in China’s listed companies and obviousheterogeneous beliefs in China’s investor. But they have limited ability to analysisthe information. Therefore, institutional investors owned stocks are not expected toplay a role in stabilizing markets and reducing investors’ heterogeneous beliefs. Aiming at the above problems, we put forward the policy to strengthen the securitiesmarket regulation, correctly guide the development of individual investors andinstitutional investors, complete market discipline mechanism.