Stock Price Effect Of Heterogeneous Beliefs In Annual Report Disclosure

In the traditional financial theory,the assumption of "homogeneous expectation" is insufficient to explain the anomaly in many markets.In this paper,we discusses the "heterogeneous beliefs" and its stock price effect from the perspective of behavioral finance.In order to test the stock price effect of the heterogeneous beliefs of investors,this paper uses the method of event analysis to study the relationship between the change of the investor's heterogeneous beliefs and the stock price.In the process of empirical analysis,this paper has designed the related investment portfolio,and using the method of regression analysis.In addition,this paper finds out the phenomenon of financial reporting information disclosure before the financial reporting being released from the perspective of heterogeneous beliefs.Through empirical analysis,this paper draws the following conclusions: First,the publication of the annual report can effectively reduce the level of investor heterogeneity beliefs.Secondly,the level of heterogeneous beliefs is negatively correlated with the cumulative abnormal return arround annual report announcement.Finally,the relevant information disclosure fourth days before the annual report announcement.In addition,this paper also provides the corresponding policy recommendations for investors and regulators.