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An Empirical Analysis of the Annual Report Effect of High Market Capitalization Companies in China

Liu Xin(School of Statistics, Chengdu University of Information Technology)
Huang Xi(School of Statistics, Chengdu University of Information Technology)
Su Ganya(School of Statistics, Chengdu University of Information Technology)

Abstract

In this paper, we study the abnormal stock price returns of the top 10 stocks in the Chinese stock market in terms of total market capitalization before and after the release of their annual reports in the past 10 years, using the event study method implemented by the Event Study package of the Alpha Library under Python, using a market model to estimate normal returns. The results find that and most of the events have insider phenomenon.

Keywords

Event research method; Python; High cap companies; Annual report release

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References

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Zhou Zhanqiang, Wang Zijian. Securities market anomalies and their theoretical explanation[J]. Management Modernization,2002(02):21-25.

Chen Tao. An empirical study on the effect of annual reports in the Chinese securities market[D]. Southwest University of Finance and Economics, 2005.



DOI: http://dx.doi.org/10.26549/jfr.v5i2.7177

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