The empirical study of listed companies “clarification announcement”

There are lots of studies about announcement effect, and for investors' behavior the empirical results of different markets in different periods are various. At the same time, under the same background the investors' behavior should be consistent in theory. From 2008, when the A-share stock market was bear market in China, if the investors have consistent behavior after the clarification announcement. Based on the clarification announcement of A-share stock market during 2008 to 2012, using the method of event study, building rumor model and announcement model, this paper studied the individual stocks yield fluctuation in the phase of market rumors and the phase of clarification announcement, then analyzed the investors' behavior. The results show in bear market, investors' behavior has consistency. When rumors emerged, investors react strongly, and for good news the reaction is stronger than for bad news. Meanwhile investors would neglect the clarification announcement, so the market performance is lack of reaction.