Analysis Of PEAD Based On Posting Volume

In the securities market,investors mostly make corresponding decisions based on the information they have,so changes in information dissemination will largely affect the price of stocks and the returns of investors.However,the Chinese market is dominated by small and medium-sized investors.For them,the earnings announcements are few deterministic news.Therefore,the research on the effect of earnings announcement has always been important status.Investors' attention is limited will cause the market to respond to information in a short period of time.If investors pay more attention to earnings information,the surplus inertia will decrease.The development of the Internet provides us with new possibilities for measuring the choice of investors' attention indicators.Based on this,this paper measures the attention degree of investors' postings and studies the earnings announcement effect of China's market.This paper takes the earnings announcement of the third quarter of 2012-2016 Ashare listed companies in Shanghai and Shenzhen as the background,excludes financial stocks and ST stocks,and finally obtains 12,561 quarterly reports of 2,807 companys.Investors in the Eastern Fortune website stock bar forum on the 5 days before and after the average effective postings as a proxy indicator of investor concern.Using the literature analysis method to sort out the classical theory,using the event research method and statistical description and the multiple regression model for empirical test,the following conclusions are obtained.First,the earnings announcement effect is real in the Chinese A-share market.In addition,investors' high attention in the vicinity of the earnings announcement event can promote the integration of earnings information into the stock price,reduce the surplus inertia,improve the immediate response of the stock's accumulated excess returns and reduce the degree of long-term drift.In addition,the posting of investors in the stock market and the discussion of the bad news can significantly increase the shortterm abnormal trading volume of the stock after the announcement.Finally,through group verification,it is found that the market reaction of Chinese institutional investors with high shareholding ratio and analysts' forecast before the official announcement is more affected by investors' attention.