The Research Of Market Reaction On The Release Of Preliminary Earnings Estimates

With the continuous development of China's stock market,relevant policies and systems are constantly being formulated and improved.The preliminary earnings estimates is a major innovation in China's securities market.It is used to disclose the current operating conditions in advance of the end of the reporting period and before the official financial report is released.When the company releases performance reports,how different markets react,and whether the stock's excess return rate will change,is of great practical significance to study this issue,which not only helps investors better interpret the performance information,but also improves investment decisions.It can promote the improvement and development of China's securities market system.In addition,under the background of global integration and financial liberalization,China is also actively exploring exchanges between the capital market and the outside world.“Shanghai-Hong Kong Stock Connect” is an important measure for capital exchange in China's securities market.Therefore,this paper focuses on the market reaction caused by the release of A+H shares in two markets,and explores the market factors that cause different reactions in the two markets.First of all,this paper illustrates the key concept " Preliminary earnings estimates" of this article,then integrates and summarizes relevant papers at home and abroad.Secondly,as an auxiliary normative study,this paper expounds the theoretical basis of the research.In the empirical step,this paper first uses the event research method to study in detail when the A+H shares companies release performance reports,how the A-share market and the H-share market react to “good news” and “bad news” respectively.It was found that:(1)regardless of the A-share market or the H-share market,will respond to the release of the performance report.In the A-share market,the good news group had a positive and significant impact before and on the day of the event;the bad news group had a negative and significant impact many days after the event.In the H-share market,the Good News Group had a positive market reaction before and on the day of the event,and the incident had a negative reaction in the future;the bad news group had a positive response after the event.(2)For the cumulative average excess return rate,the good news groups of both markets showed a gradual upward trend before the event day,and stabilized at a higher level after the event day and event day.The bad news group is not significant enough.(3)For the cumulative average excess return rate in different window periods,in the A-share market,it is significant in T(-1,1)and T(-2,2),while in the H-share market,this remarkable Sex does not exist.(4)In order to further explore the market reasons that caused the difference in the cumulative average excess return rate in the different window periods of the two markets,this paper chooses the difference of CAR(-2,2)as the dependent variable,and the difference in stock demand and liquidity between the two markets.Different factors,information asymmetry factors and exchange rate factors were used as independent variables,and the information in the performance report and the business indicators that can reflect the basic situation of the company were selected as the control variables for multiple regression analysis.The difference between stock demand and window period T(-2,2)was found.The cumulative excess returns of the two markets are significantly negatively correlated.Finally,the paper also puts forward corresponding suggestions for small and medium investors,listed companies and regulatory authorities,and points out the shortcomings of this paper.