Comparative Study Of The Relation Between Stock Prices And Accounting Information Of ShenZhen Multi-level Stock Market

The establishment of multi-level of China's stock market is mainly through the extension from main board to the small board and then to the GEM.Although the main board market has experienced 20 years of development history, market development is still inseparable from the speculative capital problems. Small board and GEM feature the strong growth in the industry and small scale of share capital compared to the main board, which to some extent, induce the speculative factors. In this context, it is necessary to value relevance of accounting information in the main board, small and medium board and the GEM, then to find different rules of stock price response to accounting information.By use of Ohlson residual income valuation model, we empirically examine sensitivity and its difference of the stock price response to earnings per share, net asset per share and asset liability ratio from multi-level capital market. It is found that:(1) the sensitivity of stock price to accounting information focus more on the EPS rather than NAPS. The sensitivity significance of stock price to EPS does vary with time and market level, while sensitivity significance of stock price to NAPS shows a considerable period features, and consistency explanatory power is weak. From the point of the sensitivity of price to EPS, sensitivity coefficient in GEM is the highest, then small board in the middle, the main board lowest. By comparing the goodness of fit, we find that when the mean EPS is higher and the cofficient of variation of EPS lower, the degree of fitting is better. (2) The mean and concentration of Capital structure in main board is the highest, middle and small board in the middle, while the GEM with minimum capital structure, and the lowest concentration. There is no clear regularity in reality of the optimal capital structure. Capital structure as a investment indicator is selectable by market, the Main Board and GEM markets is not clear, while the middle and small board obvious, which indicates that capital structure as a investment basis is of less stability and reliability. EPS has dominant information content at the explanation of stock price.