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China's listed companies declared XBRL market reaction

Author: JiangZuo°°ZhuangMingLai From: www.yourpaper.net Posted: 2009-05-01 08:38:16 Read:
[Abstract] This article by listed companies in China from 2003 to 2006, the Shanghai Stock Exchange XBRL data test of 49 listed companies, XBRL in China's market reaction is not significant. The author of the reason for the existence and the corresponding recommendations.

As an emerging technology, XBRL on a global scale has been gradually applied to the field of accounting. By standardized financial indicators and enhanced analysis tools, to avoid the risk of manual data collection, reducing the cost of data collection, which greatly improved the financial reporting disclosure of information timeliness, accuracy and flexibility of data, financial data a wider range of comparability, easier to investors to understand the information of listed companies and information sharing.


Scalable financial reporting language (eXtensible Financial Reporting Markup Language, XFRML), formerly known as XBRL is a freely available electronic language for financial reporting standards. It is
XBRL first by accountant Charles Hoffman of the U.S. state of Washington in April 1998, under the auspices of the AICPA (AICPA) on December 31, 1998 to create a
For domestic applications, the Shanghai Stock Exchange (hereinafter referred to as the "SSE") Listed Companies' Annual summary submitted in 2003, chose the Shanghai Stock Exchange listed companies 50 pilot application of the XBRL standard, and in the pilot success report is submitted in the first quarter of 2004, based on the use of standards and technology. Shenzhen Stock Exchange (hereinafter referred to as "the Shenzhen Stock Exchange") was released in January 2005 based on The XBRL listed companies regularly report the new version 1.0 of the production system, the Shenzhen Stock Exchange all the listed companies to use the system to the production of the 2004 annual report, and directly generate XBRL instance document. In February of the same year, the Shenzhen Stock Exchange "XBRL demonstration", listed companies, investors and regulators and users of information processing at a lower cost, higher efficiency for 39 constituent stocks index in Shenzhen listed companies in the last five years of financial data and instance files.

Second, the literature review

Overseas studies have shown that investment or adoption of information technology will have on the market forward reaction (Hayes et al, 2000; Hayes et al., 2001; Im et al., 2001; Subramani and Walden, 2001), but Dos Santos et al (1993) only to find that there is uncertainty about the IT investment and market response. XBRL is a financial investment, the acquisition of assets in the financial statements, the market these costs are expected to be short-lived, without affecting the future cash flows. Therefore, the introduction of XBRL will not significantly affect the value of the company. However, if the market to provide such additional information will cause investors concerned about the future cash flows. This information allows investors to understand the import cost is persistent, so that it is understood that the introduction of successful cash flow impact.
Lang & Warfield (1997) pointed out that non-financial information and forward-looking (forward-looking) not only can change the mode to the financial statements, and the potential impact of the company's cash flow. Dos Santos et al. (1993) in 1981 and 1988 IT information for 97 companies announced the study, found no significant abnormal compensation rate within the event window, but which announced that there are marked "innovative information technology investment" (ie time using information technology technology) companies have positive abnormal returns, investors IT information declared to be deemed competitive strategy, and is likely to generate positive cash flow in the future. Im et al (2001) using stock returns and trading volume in the day before the date of declaration and to test investors for investment in information technology or declared reaction, in addition to the share price and trading volume was no significant positive changes in the trading volume more negative.
Hayes et al (2000) laboratory information systems outsourcing (information system outsourcing) announced for the reaction of the market, whether the evaluation of outsourcing information systems to create the value of the company. Hayes (2001) collected from the Lexis-Nexis database 91 declared ERP sample in three days (t = -1 to t = 1) in the event window, standardized cumulative abnormal returns significantly greater than zero. Subramani & Walden (2001) found that e-commerce online investment market is increasingly important, so the event study methodology investigation investors for 251 implementation of e-commerce declared cumulative abnormal returns, and found that this positive news for the market reaction.
Based on the efficient market hypothesis, publicly announced for the capital market XBRL and non-financial information, investors will quickly get the message and respond. If investors believe that the application of XBRL will make the company's future operating results improved, investors may be adjusted before the expected future cash flows, declared the application of XBRL event in advance to respond to the reaction in the stock price, generate abnormal returns. Foreign investment for the information technology market reaction made empirical test results of the same, so I will test China's listed companies declared XBRL event messages, the capital markets will produce the stock abnormal returns.

Third, the research assumptions and design

(A) research hypothesis
Based on the above analysis, the hypothesis is established as follows: the company declared using XBRL events, will produce abnormal returns.

(B) study design
Research methods
The author uses standard event study methodology, the company declared the news of the XBRL cumulative abnormal returns (CAR) to test the market has a positive reaction to this declaration.
The calculation of the rate of return are generally continuously compounded rate of return to calculate the expected return on the average Adjustment Act (Mean-Adjusted Returns Model) is often used in the event study methodology, market indexation (Market-adjusted Returns Model) and risk-adjusted Act (Risk-Adjusted Returns Model). One of the most commonly used method of risk-adjusted market model (Market Model). This article used in the calculation of the abnormal returns expected return on the market model. The market model is estimated period data by OLS (Ordinary Least Square, OLS) to calculate the parameters in the following regression model:
R it = ¶Ń i ¶¬ i R mt ¶Ň it t = t 1 , t 2 , t 3 ... t n i = 1,2,3 ... N
i: on behalf of the company; N: the number of companies;; n: t: on behalf of the estimation period estimated period the number of days
The R mt : market rate of return in period t, the R IT : I t rate of return;
¶Ń i and beta i : estimated parameters;
¶Ň it : error term is generally assumed the for epsilon it -N (0, the sigma 2 ) (iid)
The observed abnormal returns calculated based on the actual rate of return of the event date minus the expected rate of return are not events, as follows:
AR iE = R i E -E (R i E ), E °  W = (T a , T b )
Wherein: W = (T a , the T b ) is the length of the event period, the T a Representative the number of days before the event I want to observe, Tb Representative event to be observed in the future the number of days that W = T b -T is a 1
E: for a period in the event of W;
AR iE : i E period in the event of abnormal rate of return;
R i E : E period in the event of actual return i;
E (R i E ): i E period in the event of the expected rate of return.
Each company will calculate the abnormal returns in the event window to get the total cumulative abnormal returns (CAR). The author in the estimation of selection, the setting of the period in which the estimate is too short, may make the predictive ability of the prediction mode is reduced, but if you set a long period, most likely making structural changes occurred during the period, generating mode is not stability (instability) phenomenon. Therefore, the author of the estimation period set, respectively, using the 200 trading days prior to the time of the event (i.e. event before 202 days to 3 days before), another test of the type of event window (100 days, 300 days) and also found that CAR is not significant.
As for the events of the set, should be based on different research purposes and to make different choices - the longer event period setting can better event for the price, but also vulnerable to other external factors affected. In order to avoid interference factors in the event of window, in information technology, but also have a shorter window to test the theme (Dos Santos et al, 1993; Im et al., 2001; Subremani & Walden, 2001; Hayes et al., 2000; Hayes et al., 2001). Therefore, I follow the practice of the short window, taken before the event, after two days (t = -2 to t = 2), that the use of 5-day event window, to ensure the reliability of the findings.
To determine in order to more clearly understand the date of declaration of investment for the degree of reflection of the message, the event date to determine on research, the study is based on the SSE.
Sample selection
49 listed companies in this study will be selected SSE February 25, 2003 to November 22, 2004 as the research sample (see table), the data derived from the Chinese listed companies' financial database (CSMAR) Beijing Xenophon Limited (Peking University's China Center for Economic Research) CCER database and the relevant information of the website of the China Securities Regulatory Commission, Shanghai Stock Exchange and Shenzhen Stock Exchange.
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