Research On The Impact Of Information Risk On Stock Expected Return Under Earnings Announcement

The traditional perfectly efficient market hypothesis holds that the information available to all investors in the stock market is homogeneous and there is no information risk in the stock market.However,scholars at home and abroad have found that information risk,as an important part of security risk,has a very important impact on asset returns.Compared with the securities market in Europe and the United States,China’s securities market has a late start,and the market supervision mechanism needs to be improved.Therefore,information risks are more likely to exist in the securities market,thus affecting asset prices.The research results are influenced by many factors,one of information risk measurement index.This paper takes the stocks issued by a-share listed companies from 2007 to 2020 as samples,conducts analysis through portfolio analysis and Fama-Macbeth cross-sectional regression,and takes earnings announcement as an information event to study the impact of abnormal idiosynctic volatility on stock expected returns.The robustness of the regression results is tested by changing the "information trading day" to reconstruct the abnormal characteristic volatility,selecting different sub-sample cross-sectional regression and changing the anomalous characteristic volatility regression model.The empirical results show that :(1)under the background of earnings announcement,abnormal trait volatility has a significant positive impact on the expected return of stocks,indicating that under the background of earnings announcement,abnormal trait volatility does reflect the information risk of stocks,and thus has an impact on the expected return of stocks.(2)The investment strategy of buying high abnormal volatility portfolio and selling low abnormal volatility portfolio can obtain higher returns in the portfolio of large market capitalization,high book-to-market ratio,high liquidity,high Beta coefficient and medium momentum factor.(3)The impact of abnormal idiosyncratic volatility on stock expected returns has a certain degree of persistence.(4)The influence of abnormal idiosyncratic volatility on stock expected return rate mainly exists in the main board market.