An Investigation Into The Impact Of Fair Disclosure On The Securities Market Efficiency

Shenzhen Stock Exchange officially implemented Regulation Fair Disclosure in August 2006, which was the first time in the development of our country capital market. At the same time, this paper studied the impact of Regulation Fair Disclosure on the stock market efficiency from the aspect of the disclosure policy of listed companies, the information asymmetry among the investors, the trading of the investors and the informational efficiency of stock prices. This paper argued that the influence that fair disclosure brought to the efficiency of stock market depended on the adequacy of the information supply in the stock market, the fluency of information and the effective utilizing of the investors for the information.This Paper selected a sample of earnings announcement coming from the main board A-share listed companies of Shenzhen Stock Exchange Market between the fourth quarter in 2005 and the third quarter in 2010. This paper empirically analyzed leakage before the earnings announcement, chilling and the changes of the information content of price based on the large sample. We found that Fair Disclosure could decrease the leakage before the earnings announcement, did not bring the chilling for the listed company's disclosure. Fair Disclosure also decreased the earnings news that was not reflected in the stock price prior to the earnings announcement. Thus Fair Disclosure increased the information efficiency of the price. In conclusion, Fair Disclosure could improve the efficiency of the securities market.