Information Disclosure Ratings and Market Volatility from Analyst Forecasts Perspective
DU Hao-yang1, KE Jin-chuan1, FANG Xin2
1.School of Economics and Management, Beijing Jiaotong University, Beijing 100044, China; 2.School of International Trade and Economics, Henan University of Economics and Law, Zhengzhou 450046, China
Abstract This paper selects 2007~2014 Shenzhen-A-share listed companies as samples, takes the Shenzhen Stock Exchange website “credit file” to measure information disclosure rating, and uses descriptive statistics, correlation analysis and regression analysis method to study the impact of the information disclosure rating on market volatility. The results show that the higher the information disclosure rating of listed companies, the smaller the market volatility, the impact mechanism being that: the higher the rating of disclosure, the higher the analyst earnings forecast accuracy, thereby reducing the market volatility. Robustness test results indicate conclusions are robust. Based on this, we put forward some suggestions to improve market quality and promote the healthy development of the analysts industry and other policy recommendations.
DU Gao-Yang,KE Jin-Chuan,FANG Xin. Information Disclosure Ratings and Market Volatility from Analyst Forecasts Perspective. Economic Survey, 2017, 34(2): 0158.
2017, Vol. 34 
