Impact of listed companies' interim reports on market information transmission

YU Zhong-bo, TIAN Gao-liang, ZENG Zhen

Systems Engineering - Theory & Practice ›› 2012 ›› Issue (6) : 1151-1165.

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Systems Engineering - Theory & Practice ›› 2012 ›› Issue (6) : 1151-1165. DOI: 10.12011/1000-6788(2012)6-1151
ARTICLE

Impact of listed companies' interim reports on market information transmission

  • YU Zhong-bo, TIAN Gao-liang, ZENG Zhen
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Abstract

The paper studies the effect of interim reports on the information environment of capital market based on the sample of listing companies between 2000 and 2009 in China capital market, and the empirical results present positive evidence of interim reports on the capital market environment. The empirical evidences show that interim reports do improve the stock price informativeness: The frequency of interim reports negatively related with stock price synchronicity, positively related with stock price idiosyncratic volatility and the probability of informed trading (PIN). Using R&D expenditure, the number of financial analysts covering and marketization index as proxies of information environment in which firms located in, the paper shows that the positive effect of interim reports on stock price informativeness is more significant in firms with high information asymmetry. For further tests, the paper demonstrates that interim reports make the distribution of information arrival rate smoother, thus reducing the probability of stock price crash. The incorporation of earnings information into stock price is more efficient in firms with high frequency of interim reports, that is interim reports positively related with earnings response coefficient (ERC), negatively related with post earnings announcement drift (PEAD).

Key words

interim report / stock price informativeness / stock price crash / earnings response coefficient (ERC) / post earnings announcement drift (PEAD)

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YU Zhong-bo , TIAN Gao-liang , ZENG Zhen. Impact of listed companies' interim reports on market information transmission. Systems Engineering - Theory & Practice, 2012(6): 1151-1165 https://doi.org/10.12011/1000-6788(2012)6-1151

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