Results Of Letters Of The Stock Market Reaction To Empirical Research

Reporting preliminary earnings estimates is an institutional innovation in the disclosure of 2004's annual reports of listed companies. There are many discussions on preliminary earnings estimates , however, there are few empirical researches about the relationship between preliminary earnings estimates and stock market reaction. This research aimed to discuss about the stock-return behavior before and after the disclosure of preliminary earnings estimates in short run. Another problem discussed in the research was how the earnings information and other information of preliminary earnings estimates contributes to the short-term abnormal returns.Firstly, this work reviewed related literatures. Secondly, briefly introduced and compared the rule and institutional system domestically and abroad. Thirdly, brought forward hypothesis and established the research model. Finally, we selected 134 samples to do the empirical research. The main conclusion is as follow.1. Through the examination of the cross-sectional mean CAR of the full sample, we documented significant negative mean abnormal returns associated with preliminary earnings estimates in the days around disclosure. Also we found that there were no significant abnormal returns in the days short before disclosure, and there were significant positive mean abnormal returns in the days short after disclosure.2. Three different kinds of earnings indexes carry explanatory power for the market response. Unexpected earnings of EPS and NI are significantly relevant to the CAR in the days around the disclosure, and the CAR of the good news disclosures is significantly higher than the one of the bad news disclosures. UE of ROE is not significantly relevant to the CAR in the days around the disclosure, and the CAR of the good news disclosures is significantly higher than the one of the bad news disclosures. Additionally, the unexpected earnings of EPS has the strongest explanatory power for the market reactions.3. The information of the initiator of the preliminary earnings estimates carry significant explanatory power for the market reactions, while the information of the content contains an explanatory paragraph is not. The excess return of the listed companies of the main board is significantly higher the one of the SME board.