Market Response Emperical Study Of Listed Company On Critical Information Disclosure Change

The Problem of effective information transmition to the market has become the main cause which impede the full development of market of China security market currently. Based on the principle of behavior impacted on the quality which measured the announcement information transmittion efficiency of the delegated variable to the market, we study the listed company market response from the point of view of behavior when the information disclosure is changed and based on the result of emperical response of market which influence the information disclosure transmittion the information efficiency of various factors to the market.(1) Empirical study has been made by the behavior of the listed company Information Disclosure which has the impact on the effective information transmition to the market when the quality of Information Disclosure which is delegate variable of the effective information transmition to the market is used as explained variable. A deep research has made from the cause of impacting on the quality of Information Disclosure of SME board when analyzing the quality of Information Disclosure of SME board. Creative using two variable of the behavior of Information Disclosure such as the time difference and frequency of information disclosure as explanatory variable. Ordered multi classification logistic regression has made on the relation between the effective information transmition to the market, the time difference, frequency of information disclosure and six control variable by using the quality evaluated data of listed company of Shenzhen Small and medium-size Enterprise Stock Maeket in 2014 as research object. The result show that the trend of the quality of Information Disclosure is going up first and down later with the time difference increasing and decrease with the frequency of information disclosure increasing.(2) By selecting before and after 15 days event window and using the data of the broker change of IPO and after IPO from 2004 to 2011, the study is made that the market response of the broker change as alternation is available by using event study method to calculate CAR value. The result shows that all of the CAR values are negative after CAR calculation during window period whatever IPO and after IPO. Conclusion is made that bounded rationality is existed in shareholder of China security market. It has been also found that there is an information leakage before the information disclosure of broker is changed. The values of CAR for broke change after information disclosure of IPO is negative to show that information disclosure of broke change had been some degree leakage before information disclosure, it is the inside information that make the shareholder response in advance.(3) By selecting before and after 10 days event window and using the effective data of the Shanghai Stock Exchange main board of listing Corporation from 2004 to 2011,the study has made that market response of listed company Information Disclosure of alternation of financing capital is obtained by using event study method to calculate CAR value. The result show that the negative relation is between CAT of before and after alternation and if alternation of financing capital of IPO and whether existing affiliate transaction, positive relation with ROE. Logistic regression model has been used to calculate the degree of the positive and negative probability.(4) By selecting before 10 days and after 4 days event window and using the data of the control transfer change from 2009 to 2012, the study of the market response of listed company Information Disclosure of control transfer show that the negative relation is existing in Buyer nature, Lninc total revenue, asset-liability ratio, Cash flow debt ratio.(5) Conclusion has been made that different degree suggestion has been given for listed company, investor and superintendent after comparing with the result of the broker change, alternation of financing capital and control transfer.Empirical analysis has been made by the response of security market for the three information disclosure alternation to test the degree of security market response. The target for this is to be able to standard behavior, embrace the good chance for investor, guidance and assistance for regulator and approve the quality of information disclosure to transmit the effective information to the market eventually.