| In November of 2018,the establishment of the Science and Technology Innovation Board was officially announced,which is also an important milestone in the transition of China's securities market access system from Approval system to Registered System.From the perspective of earning forecast and taking the relatively mature H-share market as the benchmark,the study of the characteristics and influence factors of the abnormal rates of return is of great significance to explore the efficiency of the A-share market in information absorption and asset pricing,as well as to deepen the understanding of the core of the reform.In this paper,a sample of Chinese firms cross-listed in both A-share market and H-share market is taken as the research object.Basing on the Event Study,this paper studies how the two market react to the same event—earning forcast.The result shows the two market are both reacting quickly and significantly to the different type of earning forecast but doesn't last long,and no significant difference are observed between the two markets.It means that the absorption efficiency of A-share market for information is not weaker than that of H-share market.The market efficiency of Ashare market is similar to that of H-share market,and the market pricing efficiency is almost the same.Further,The regression results indicates that the type of earning forecast,the growth rate of total assets and the book-to-market ratio had a significant impact on the cumulative abnormal rates of return in the A-share market and the same on the H-share market except the growth rate of total assets.The study of the characteristics and influence factors of the abnormal rates of return from the perspective of earning forecast in the two markets is not only providing a micro foundation for exploring the efficiency of information absorption and asset pricing,but also filling in the blank of comparative studies on the A-share market and h-share market. |
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