Research On The Abnormal Fluctuation Effect Of Stock Price Caused By Research Report

The securities research report is a product of the development and maturity of the securities market.In the capital market,analysts are important transmitter of information between the demand side and the supply side of funds.Securities analysts have relatively professional financial knowledge and information advantages directly researching the enterprise.They can first understand the financial and operational status of the company and organized into the form of research reports,provide investors with the value information.This process increases the speed at which corporate information is transmitted to the market,allowing the company's operating conditions to be reflected more quickly in its stock price,and may also have an impact on stock price volatility.Due to the information asymmetry of the market,investors fully rely on the forecast information issued by analysts.Once the research report reveals favorable or negative investment trends,it will promote the stock price to rise or fall sharply;as a direct audience of analysts' earnings forecasts,institutions Investors have higher equity and their investment decisions will have an impact on the stock price.The analysis of the impact of the research report on stock market volatility and the factors are important guarantees for maintaining the healthy development of the Chinese analyst industry.Based on the above research background,this paper constructs a quantitative model of stock price effect from the perspective of stock price anomaly fluctuation.The model is mainly divided into two parts: the first part obtains the time series of high frequency transaction price through data preprocessing,and constructs the N-DFA model to remove the sequence.The trend components of each stage,verify whether the release of the research report has an impact on the abnormal fluctuation of the stock price;the second part,this paper splits the excess return of the stock based on the FamaFrench five-factor return decomposition model.Compensation for public factor risk and individual trait risk.The trait factor is used as the explanatory variable,and the influence of the research report on the excess return is studied through the multivariate model.After empirical research,it is concluded that the vast majority of research reports are optimistic and biased.In addition,the speculative and irrational investment psychology of Chinese investors,investors tend to chase highly concerned and highflow stocks,thus researching In the few trading days after the release of the report,there was a sudden rise in the stock price.This abnormal fluctuation was temporary and a bubble that exceeded the normal stock price.There are two main innovations: First,a new definition method for abnormal fluctuations is proposed,an N-DFA model is constructed,and the DFA index is used as an important indicator for judging the sequence characteristics to determine whether the release of the research report will be abnormal for the stock price.Secondly,the trait factor is based on the five-factor model.By studying the relationship between the trait factor and the research report,to reflect the impact of the research report on the excess return of stocks.Adding explanatory variables such as prediction accuracy and optimistic deviation.To quantify the specific influencing factors.These two innovations provide a new perspective for the stock price effect of the research report.I hope that in the future study,different data processing methods can be tried to improve the accuracy of the threshold,reduce the error of the abnormal point test,and improve the fitting model index.In-depth study of the stock price effect of research indicators.