Empirical Research of the Relationship between Securities Company' Research Reports and Abnormal Returns on Stock——Evidence from China's A-share Market

Abstract

Abstract:

Research reports released by securities companies are an important basis for stock investors to make investment decisions. Drawing upon a total of 51894 research reports released by securities companies covering 2225 A-share listed companies in Shanghai and Shenzhen stock markets of China from July 1st, 2014 to Sept 30th, 2017, we analyze the effect of research reports on short-term abnormal stock returns after their publication by using event-study methodology. The empirical results are as follows: (1) There is a reverse relationship between the attention degree of research reports and short-term abnormal stock returns, which indicates an obvious “media effect”. (2) The influence of rating sentiment on stock short-term abnormal return rate is asymmetric in both bull and bear market. Finally, it is advised to promote the return of stock value and reduce market volatility by improving information disclosure system, maintaining research report independence and establishing a value investment concept.

Key words: research report, stock, abnormal returns, attention degree, rating sentiment

Song Huilin, Peng Diyun, Huang Xin. Empirical Research of the Relationship between Securities Company' Research Reports and Abnormal Returns on Stock——Evidence from China's A-share Market[J]. , 2020, 32(5): 53-64.

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