Study on Stock Price Behavior Around Periodical Reports Based on Asymmetric Information
|Course||Management Science and Engineering|
|Keywords||Regular bulletins Market Microstructure Asymmetric information Informed Trading Price behavior|
Efficiency of market research has been the core of financial economics , price behavior before and after the regular bulletins vision of the efficient market hypothesis proposed by Fama challenges . Information is the main line throughout all company events , information distribution , transmission has a direct influence and determine the significance of the traders trading strategies and price behavior . A vision of the behavior of the price information on the market failed to achieve effective market requirements perfectly and completely state . Theoretical framework , the information model of the financial market microstructure analysis reveal the impact of the process asymmetric information for investors trading behavior and stock price behavior before and after the regular bulletins from information asymmetry angle . First, the informed trader strategy trading model based on public information , through numerical simulation analysis before the publication of private information in the different distribution of informed traders , informed traders trading strategies and stock price behavior patterns , and on China market empirical research , analyze the trading behavior of informed traders and liquidity traders regularly prior to the announcement of the change , and the impact of price behavior . Secondly , a direct measure of the information about the composition of the announcement during investigated the characteristics of China 's listed companies before and after regular bulletins and price discovery . Then , through empirical study examined before and after the regular bulletins of information distribution characteristics , and analysis of the distribution of information before and after the announcement of the price discovery . Finally, this research work , a summary and outlook , highlighted the deficiencies of this article and future research directions .