[经管营销]05陈工孟、高宁Information_Content_and_Timing_of_Earnings_Announcements.pdf

Journal of Business Finance Accounting , 32(1) (2), January/March 2005, 0306-686X Information Content and Timing of Earnings Announcements GONGMENG CHEN, LOUIS T. W. CHENG AND NING GAO * Abstract: The China Securities Regulatory Commission requires all listed firms to make earnings announcements by the end of April each year. This requirement creates a unique opportunity for us to evaluate the timing of earnings announcements in a four-month cluster. Firms, which are willing to make early announcements, tend to surprise the market, as indicated by the higher volume and price reactions. Later announcements are more predict- able, as indicated by the lower volume and price reactions. These results indicate that an information asymmetry exists between early and late earnings announcements in Mainland China. Keywords: earnings, information asymmetry, volume, Chinese market 1. INTRODUCTION In this study, we examine the abnormal volume and price effects of the timings of earnings announcements in China. The Chinese stock market recently eclipsed Hong Kong’s as the second largest in Asia. China has become one of the top 10 trading nations, and the second largest recipient of foreign direct investment in the world. The ratio of stock market capitalization to GDP increased from zero in 1990 to 50% in * The first and second authors are Associate Professors of Finance and the third author is a Research Fellow at the School of Accounting and Finance, Hong Kong Polytechnic University. The second author is also HSBC Fellow at the School of Business and Economics, University of Exeter. They thank the anonymous referee for his valuable comments. Any remaining errors are the authors’ ow