A Study Of Investors Heterogeneous Beliefs Effect On The Post-Earning-Announcement Drift

Earning Announcement Drift(PEAD)has long been studied theoretically and practically.The development of behavioral finance theory make the explanation and research of this anomalies more deeply.Nowadays,the retail investors is main participator in our securities market.The earnings quality of information disclosure of listed company was reinforced in the new Corporation Accounting Standard in2007,which enhance the securities market pay more attention to the PEAD.With the gradual relaxation of short-selling restrictions,PEAD shows a new feature,Thus,it is meaningful to deeply analyze the mechanism of PEAD from the perspective of investors heterogeneous beliefs and considering the earning quality factor.Hence,this thesis aims to examine the influence of investors heterogeneous beliefs on Post Earnings Announcement Drift.Firstly,this paper presents the domestic and abroad documents about PEAD and heterogeneous beliefs and elaborates the relevant theory.Then we analyze the mechanism of how heterogeneous beliefs influences PEAD and propose the research hypothesis.Secondly,we confirm the empirical analysis method and the variable metric method,and construct the multiple regression model.Thirdly,this article takes a sample company of the Shanghai-Shenzhen 300 Index constituent company as an empirical research,selects its annual report data published in 2013-2015 and transaction data before and after the announcement date as sample data.Then,We choose event-study and multivariate regression analysis to tests and verifies the research hypothesis.What's more,this paper investigates the features of the PEAD and the influence of investors heterogeneous beliefs.The empirical results show that the PEAD anomalies obviously exist in our securities market in the selected sample.The investors heterogeneous beliefs has a significant effect on PEAD.The heterogeneity of investors' beliefs is positively correlated with the short-term cumulative excess returns around the earnings announcement date and positively correlated with the long-term cumulative excess return rate;the relationship between institutional investors and cumulative excess returns is not significant.There may be disclosure of surplus information in listed companies.The ability of investors in China to analyze information is limited.Therefore,institutional investors owned stocks are not expected to play a role in stabilizing markets and reducing investors' heterogeneous beliefs.Aiming at the above problems,we put forward the policy to strengthen the securities market regulation,correctly guide the development of individual investors and institutional investors,complete market discipline mechanism.