Dissertation > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market

An Empirical Study of the price information content

Author XuJing
Tutor HuQingKang
School Fudan University
Course World economy
Keywords Price information content Surplus Cointegration test
CLC F830.91
Type Master's thesis
Year 2009
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The relationship between price changes and earnings changes in a very long period of time , since the focus of attention are empirical accounting Institute . Affected by the financial crisis , the global stock market remains in the doldrums , the stock and surplus problem is becoming increasingly important in this context . However , from the literature available , most are concentrated on the study of the information content in surplus , paid little attention to the problem of the information content of the price . Compared with foreign research , our research on the relationship between stock prices and earnings level is a lot of difference , and the level of its research is still stuck in the 1970s , the level of the foreign . At this stage, all literature is still focused its attention on the information content of the surplus . Therefore , a correct understanding of price information content as well as the share price and earnings complex interaction relationship of great significance to our current empirical research . First, the content on the share price at home and abroad were reviewed , including basic concepts of information content and price information content , and content of the basic theory of domestic and foreign price information are summarized as well as domestic research on the information content of the stock price trend forecasting . Selection of the Shanghai stock market manufacturing listed companies on the basis of theoretical research , data , through the establishment of the regression equation model to verify whether a stock is the information content exists , the next sample panel data unit root test , cointegration test to analyze the share price movement and the interaction between the surplus between changes . Which can provide some ideas and methods of decision-making for the investors .

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