The Impact Of Annual Report Announcement Time On Stock Abnormal Returns And Market Returns

The annual report is one of the most important periodical reports for listed companies,and is also one of the most important public information to public investors.The annual report disclosures the listed company’s business condition and financial status of the previous year,and has great significance for the investors’ expectation of the profitability of the company’s future.According to the Efficient Market Hypothesis(EMH),when the market is a semi-strong efficient market,investors cannot get the abnormal return through the public information,all publicly available information could quickly react on the changes of the stock price.But since Ball,and Brown(1968)found the phenomenon of the Post-earning-announcement Drift(PEAD),the scholars proved the PEAD through various methods,and explained the reason of the PEAD through different ways such as information lag,investor behavior deviations.As for the PEAD in Chinese stock market,a lot of research have been done by domestic scholars,and scholars explained from different aspects such as information quality and media attention and so on.This paper is in view of the Annual Report of the Market of Chinese stock market,and studies the impact of annual report announcement time on stock excess returns and market returns mainly from the aspect of announcement time as the breakthrough point.The empirical test and analysis is made in this paper through the event study method and multiple regression analysis,using the annual report announcement time as well as the Shanghai A-share Index data from the Shanghai Stock Exchange during year 2009 to 2016.First,the sample data is ranked according to the unexpected earnings from big to small and grouped to ten divisions.And then this paper names the first group and the second group as the winner portfolio,the ninth group and the tenth group as the loser portfolio.Then the paper compares the cumulative average excess return of the winner portfolio and the loser portfolio within 60 days after the annual report to test the existence of PEAD in the Chinese A-share Market.The result shows that the Shanghai A-share Market in China has yet reached the semi-strong efficiency market.Although the form of drift is different from the results of previous domestic researching,the price of the stock still has the trend of fluctuations in the opposite direction of the unexpected return.To be clearly,the cumulative average excess return of the winner portfolio whose unexpected return is positive fluctuates below zero continuously after the annual report is reported,while the cumulative average excess return of the loser portfolio whose unexpected return is negative fluctuates above zero continuously after the annual report is reported.Secondly,the paper ranks the sample companies according to the annual report announcement time to observe the cumulative average excess return of the early announcement group and the late announcement group after the annual report is published.Meanwhile,the regression analysis is used in this paper to test the relationship between the cumulative excess return and annual report announcement time to check the impact of the annual report announcement time on excess returns.The result finds that the early announcement group could earn higher excess returns than the late announcement group.Finally,this paper studies the relationship between the weekly market return and the announcement of concentration and announcement time.First of all,the regression analysis is used to test the impact of the weight which is calculated as the weekly announced annual report proportion of the total sample companies on the weekly market return.The result finds that the more the proportion of the annual report announced within a week is,the higher the market return is.Then,the relationship between weekly market return and the proportion of the weekly accumulative annual report and announcement time is tested based on the method of the regression analysis.The result finds that market return is more sensitive to the early announcement companies,and finds that the more the cumulative number of the annual report is,the lower the market return is.It is mainly explained in this paper that the impact of the annual report announcement time on the abnormal return and market return from the aspect of risk exposure.Since the early announcement company makes the earlier announcement to investors compared to the late announcement company,the early announcement company is exposed higher risk in the market,and therefore is required higher expected announcement return.And investors adjust the total market expectations through the announced annual report,so when the number of annual report increase in one week,the market return would increase too.It is argued in this paper that scholars could use the data such as volume,quarterly report and make better research from the perspective of corporate governance in the further research.