Research On The Impact Of Information Disclosure Quality On Stock Price Drift

Stock price drift is an important anomaly in capital market.It refers to that after the earnings announcement of listed companies is issued,the stock price of companies with high unexpected earnings will continue to rise in the future for a period of time,that is,there will be upward drift of stock price,from which investors can obtain excess earnings;on the contrary,companies with low unexpected earnings will continue to decline in the future for a period of time,that is,there will be downward drift of stock price,and investors need to bear the excess Losses.If there is such an anomaly in the market,it means that investors do not respond enough to the company’s information,and the stock price cannot fully reflect all the company’s information.In the capital market,the quality of information disclosure of listed companies is an important factor affecting investors’ investment judgment.In March 2019,CSRC strengthened the supervision of information disclosure of listed companies,requiring listed companies to improve the authenticity,transparency and standardization of information disclosure.In December 2019,the newly revised Securities Law of CSRC clearly proposed to further strengthen the management of information disclosure quality of listed companies.The state attaches more and more importance to the quality of information disclosure of listed companies.Will the quality of information disclosure have a certain impact on the phenomenon of stock price drift?This paper is divided into two parts:one is to judge whether there is stock price drift in the GEM market in 2014-2018;the other is to study the impact of information disclosure quality on stock price drift.Considering that some information of listed companies has been reflected in the market before the announcement,the five trading days before the earnings announcement,five trading days after the earnings announcement and 10 trading days after the earnings announcement are selected as the time window period.In order to improve the accuracy of the results,two methods are used to classify the company’s information disclosure quality:one is the quantitative classification method,which uses the modified Jones model for reference,regards the maneuverable accrued profit as the proxy variable of the information disclosure quality,and takes the average of the absolute value of the maneuverable accrued profit as the dividing point,and the higher the average value indicates the poor quality of the company’s information disclosure,Take 1,if lower than average,it means that the company’s information disclosure quality is good,take 0;secondly,qualitative classification method is used to conduct robustness test,and the listed companies are divided into four grades according to the quality rating standard of Shenzhen Stock Exchange:excellent(a),good(b),qualified(c)and unqualified(d),of which both excellent and good are taken 0,qualified and unqualified are taken 1,and standardized unexpected earnings and information cover are constructed The interaction term of disclosure quality is used to study the impact of information disclosure quality on stock price drift.The results show that:first,there is the phenomenon of stock price drift in the GEM market in China,and the phenomenon exists in the first five trading days before the announcement date,and continues to 10 trading days after the announcement.Second,before earnings announcement,companies with poor information disclosure quality have a higher impact on stock price drift than companies with good information disclosure quality because of the higher degree of information opacity.Third,after the earnings announcement,the information of listed companies is open,and the value of earnings information to investors’ speculation is less.At this time,the quality of information disclosure will not significantly affect the stock price drift.In view of the above conclusions,the following suggestions are put forward:relevant regulatory authorities need to further strengthen the supervision of information disclosure of listed companies and standardize relevant systems;listed companies should improve the accuracy and confidentiality of the company’s quarterly report,interim report and annual report disclosure;investors can understand the company’s information disclosure quality before investment,and improve their professional knowledge to prevent excessive speculators Investment loss caused by speculation.The main innovations are as follows:first,the research area is the growth enterprise market;second,the window period is 5 trading days before the earnings announcement,5 trading days after the earnings announcement and 10 trading days after the earnings announcement,considering the situation before and after the earnings announcement;third,China’s capital market increasingly attaches importance to the quality of information disclosure of listed companies,and studies the impact of the quality of information disclosure on the stock price drift,It is of great practical significance to understand and promote the healthy development of China’s capital market.