Research On The Stock Price Effect Of The Earnings Preannouncement Information From Listed Companies

In 1998,the China Securities Regulatory Commission issued “Chinese on Relevant Issues concerning the 1998 annual reports of listed companies notice”,this is Chinese stock market for the first time put earnings preannouncement disclosure system.With the continuous development of Chinese securities market,earnings preannouncement disclosure system is also constantly improve the earnings preannouncement revisions.The original intention of the earnings preannouncement disclosure system is to enhance the information symmetry.Based on the earnings preannouncement of Listed Companies Information Disclosure Notice,dose the Chinese securities market is really effective? Notice in the results before and after the disclosure of information,how the listed companies stock price reaction?This paper first reviews the relevant literature and theoretical basis of the earnings preannouncement,analyzes and summarizes the changes of the domestic earnings preannouncement system,and makes a classification of the earnings preannouncement information of the domestic listed companies.Then,selected 1055 samples of Shanghai Stock Exchange(SSE)A-share listed companies from January 1,2006 to December 31,2015,The samples were divided into positive news,negative news and neutral news,and from January 1,2006 to December 31,2015 this period of time the market were divided into bull market and bear market.By adopting event study method,the event date is the day that listed companies released earnings preannouncement.Select 20 trading days before event date and 10 trading days after event date as the event window;select 60 trading days before event date and 21 trading days before event date as the estimated window.Conducted grouping study according to bull market & bear market,positive news & negative news,share rise & share fall before earnings preannouncement respectively.Finally,Test robust of the method of events window and estimated window,test robust of classification standard of the positive news and negative news,test robust of division standard of rise group and fall group.The research results showed that the negative news disclosed in bear market makes the stock fall more obviously;there is a positive correlation concerning the share rise & share fall before and after earnings announcement for listed companies which is not obvious within a short time.The results also indicated that China's securities market is weak form of efficient market and investors can obtain excess earnings with the information of earnings announcement.