Non-Linear Research Of Earnings Response Coefficient

This paper focuses on non-linear research of earnings response coefficient. Firstly, the defects in theory of linear model leads to a surplus of non-linear theoretical research. Secondly, in summing up the conclusion of the study at home and abroad and on the basis of actual contact listed companies in China, this article uses fact research, and the second curve model of the ERC to the overall non-linearity and sub-studies, in the other, lists a corresponding comparison of linear model.After selecting 1,458 samples in A-share manufacturing listed companies of the Shanghai and Shenzhen exchanges from 2003 to 2006, the author gives the descriptive statistics of unexpected earnings and accumulative abnormal stock return in the whole range of plus and minus subparagraphs, At the same time, the paper makes the study of linear and non-linear model on earnings response coefficient for Positive Test. In the whole range of plus and minus subparagraphs, the non-linear model is better than the linear model for information of accounting earnings. This shows the usefulness of the information policy in accounting earnings, also, shows the loss and non-linear of that marginal effect on the ERC. On the other, only within the small range, the performance of linear model is better than non-linear model. Within most range, neither liner nor non-linear model can be good for the reunification of the ERC. The response of non-symmetry for the market of"good news"and"bad news"is proved. Taking the applicability of non-linear problems in China as well as the complexity of the response factor into account ,this paper provide the improvement suggestion in the future research.