| The root cause of the high-quality development of China’s financial market lies in the improvement of the market’s information absorption and processing mechanism,and market information mainly comes from various information disclosures of listed companies.Among them,performance forecasts and periodic reports have obvious new information value,reflected in the excess return rate of individual stocks in the secondary market stock price performance.The report of the 20 th National Congress of the Communist Party of China also clearly pointed out that "deepening the reform of the financial system and guarding against the bottom line of systemic risks".In this context,compliant information disclosure is a key means to solve information asymmetry among different entities in the financial market,and is an important tool to maintain financial market stability and prevent financial risks.Existing research has shown that both performance forecasts and regular reports are informative,and their release of information triggers market reactions in the stock market.This paper takes A+H cross listed companies from October 2010 to April 2022 as the research object,takes the excess return rate as the indicator of market reaction,uses the event study method to explore the market reaction to their annual performance forecast and annual periodic report events,and further studies the impact of the quality of performance information disclosure on the market reaction to annual periodic report disclosure.At the same time,utilizing the particularity of the research object of A+H listed companies,taking the relatively mature H-share market as the comparative object,a horizontal comparison is conducted on the market reaction changes of the two markets,exploring the market reaction of A and H markets to the same event,which is of great significance for exploring the information absorption efficiency and asset pricing efficiency of the two markets.This article found through research that,firstly,both annual performance forecasts and annual periodic reports have significant information content,and the market response triggered by annual performance forecasts is stronger than that of annual periodic reports.Secondly,good news type performance forecast events will generate significant positive excess returns,while bad news type performance forecast events will generate significant negative excess returns,and investors’ market reaction to bad news is stronger than that of good news.A horizontal comparative study of the two markets has found that the effectiveness of the A-share market is no longer weaker than that of the H-share market after years of development,and the linkage between the two markets is becoming increasingly close.In addition,this article also explores the impact of performance information disclosure quality on the market response of annual periodic reports in the A and H markets.The research results show that in the A-share market,there is a significant negative correlation between the time interval between performance forecasts and periodic reports and the market response of annual periodic reports,while in the Hshare market,there is no significant correlation;In the A-share market,there is a significant negative correlation between the accuracy of performance forecasts and the market response to periodic reports that do not meet expectations;In the H-share market,there is a significant positive correlation between the accuracy of performance forecasts and the market response to regular reports that meet expectations.Finally,based on the empirical research results,this article proposes relevant suggestions for investors,listed companies,and regulatory agencies to promote the healthy development of China’s capital market. |
