Research On The Impact Of Heterogeneous Belief Changes On Stock Returns Before And After Abnormal Trading Announcement

Financial anomalies emerge one after another.The "rational man" presupposition under the traditional financial theory can no longer explain the economic problems in reality.With the uninterrupted expand of behavioral finance theory,academic circles try to study investor behavior from the perspective of experimental psychology,and put forward the concept of heterogeneous belief.Heterogeneous belief means that investors cannot keep rational and calm thinking in the face of abnormal stock price fluctuations,and there are great differences between different investors in the expected return of the same asset.The existence of heterogeneous beliefs exacerbates speculative sentiment and stock price volatility.Regulators clearly require listed companies to issue abnormal trading announcements within the specified time limit after abnormal stock price fluctuations.It can be seen that abnormal trading announcements have a very significant effect in disclosing and explaining abnormal stock price fluctuations.This paper will focus on the impact of investors’ heterogeneous belief changes on stock returns before and after abnormal trading announcement.This research conclusion is of great significance in theory and reality.Theoretically,it provides a new theoretical basis for improving market operation efficiency.At the practical level,it helps investors,listed companies and regulators to recognize the importance of abnormal trading announcement to the disclosure of abnormal stock prices,and promote the improvement of regulatory system and information disclosure system.This paper takes the 300 component companies in Shanghai and Shenzhen that issued abnormal trading announcements from August 7,2006 to December 31,2020 as the sample,use portfolio analysis and event regression tests the relevant data before and after the abnormal trading announcement of the sample stocks through.Firstly,the portfolio analysis method is used to construct the investor portfolio,and the significance test of the inter group return difference of the "high-low" group of the portfolio is carried out.The test confirmed that the relationship between the heterogeneous belief level and the stock return after the announcement.In order to further verify this conclusion,this paper takes the group difference of the portfolio as the change index of heterogeneous belief,and uses the event research method for linear regression.The regression results show that in the [-2,2] window,the change of heterogeneous beliefs before and after abnormal trading announcement does have a undeniably optimistic impact in terms of cumulative excess return,and will not affect its significance after adding control variables.Finally,this paper verifies the conclusion again by changing the measurement index of heterogeneous belief,the calculation method of heterogeneous belief change index and expanding the estimation window.The conclusions of this paper not only help investors,listed companies and regulators recognize the importance of abnormal trading announcements for disclosing abnormal stock prices,but also provide a new theoretical basis for the empirical study of heterogeneous beliefs on asset pricing,which is of great significance both in theory and reality.