The Research On The Phenomenon Of Post-earning Announcement Dirft In A Shares Of Shanghai Stock Exchange In China

There has been a lot of research on the phenomenon of post-earning announcement drift since Ball and Brown put forward the phenomenon of post-earning announcement drift in 1968.Because our capital market developed later and is not very mature,the phenomenon of research literature is not much,some scholars have concluded that the phenomenon of post-earning announcement drift exists in the Chinese market,some scholars have concluded that the phenomenon of post-earning announcement drift does not exist in the Chinese market.The theoretical significance of this thesis is to explore the phenomenon of post-earning announcement drift in China's A-share market,and analyze the factors that affect the phenomenon of post-earning announcement drift.The practical significance of this thesis is that investors can make the right trading operation through rational judgment in the face of earnings announcement.This thesis chooses the trading data of 5,15 and 30 trading days after the annual report in 546 listed companies of China Shanghai Stock Exchange from 2013 to 2015.This thesis is a short panel data.By comparing the pooled regression model,the fixed effects estimator and the random effects estimator,the weighted least squares methodis selected for empirical analysis.This thesis validates the phenomenon of post-earning announcement drift in China's A-share market.The results show that the unanticipated surplus was positively correlated with the cumulative abnormal yield in 15 and 30 trading days.This thesis also explores the impact of firm size,corporate book-market ratio and company location on earnings drift after earnings announcement,the larger the size of the company,the abnormal yield is smaller after the earnings announcement.The greater the book-market ratio of the company,the abnormal yield is greater after the earnings announcement.After the earnings announcement,the cumulative abnormal rate of return of the company's location in the high level of economic development is higher than the company's location in the low level of economic development..Based on the research of this thesis,the following policy suggestions are put forward:(1)Because the results of this study are based on the accuracy of the earnings report,regulators,listed companies managers,accounting firms,investors need to do their own work to ensure that listed companies issued real earnings information report.(2)Although this article confirms the phenomenon of post-earning announcement drift,investors can not only expect the surplus and the stock should be considered more factors,such as ecomonic,industrial and corporation development.(3)The impact of the company's location on the cumulative abnormal rate of return is based on the conclusion of large data,can not guarantee that each company is applicable,so the poor stocks of economically developed provinces are not recommended to hold,on the contrary high-quality stocks of economically underdeveloped provinces are recommended to hold.(4)When other conditions are identical,investing the stocks that the unanticipated surplus is positive,relatively small,low-growth,the company's location is in the economically developed area.