【报告摘要】

This study examines how annual report information shocks and heterogeneous investors affect price discovery during the preopening period. Using order-book snapshots and tick-by-tick records for Shanghai and Shenzhen A-share main-board stocks, we find that price discovery improves as the opening approaches. Annual report announcements reduce price discovery efficiency relative to non-announcement days, although this adverse effect weakens near the opening. Order-level evidence shows that these announcements increase investor disagreement and noise trading, reflected in more order submissions and cancellations, smaller orders, greater aggressiveness, and wider buy-sell quote dispersion. Institutional investors demonstrate stronger information-processing and pricing abilities than retail investors, and their aggressive orders in the final preopening minute facilitate price discovery. Higher accounting and textual information quality accelerates price adjustment, while prior earnings forecasts or preliminary earnings reports mitigate the adverse announcement effect. Exploiting investors’ first opportunity to trade on annual reports, this study reveals how earnings information quality affects price discovery through heterogeneous investors’ information processing and order decisions.

【报告人简介】

李彤，天津大学管理与经济学部博士研究生。主要研究方向包括资本市场、会计信息披露与市场微观结构、大数据与文本分析等，目前已在Annals of Operations Research、Economics Letters、International Journal of Finance & Economics，以及《计量经济学报》《系统管理学报》《运筹与管理》等期刊发表论文9篇。曾获博士研究生国家奖学金、第十三届中国投资学年会论文二等奖，并在亚洲金融学年会、China International Risk Forum、中国金融学年会、金融系统工程与风险管理年会等学术会议汇报工作论文。现担任Journal of Alternative Investments、International Review of Economics and Finance、Journal of International Financial Management & Accounting、China Finance Review International 等期刊匿名审稿人。

【特别提醒】

未经论文作者和主办方允许，严禁将讲座内容录制并公开传播，违者将有可能被追究法律责任。

 

撰稿：曲琦 审核：刘行 单位：东北财经大学会计学院 辽宁省资本市场财务与会计研究生创新与学术交流中心