Financial Reporting Quality and Noise in Stock Returns: Evidence from Chinese A-B Twin Shares
利用中国A-B股双胞胎股票（同一公司、同一交易所但投资者不同）的数据，研究发现财务报告质量越高，股票回报中的噪音越低，且2007年会计改革作为外生冲击也支持这一结论。
ABSTRACT We examine how financial reporting quality affects the degree of noise in stock returns using the setting of Chinese A-B twin shares, which are shares for the same firm, traded on the same exchange, but with separate investor clienteles (i.e., mainly domestic versus foreign). We measure return noise using the correlation between firm-specific returns of A-B twin shares and find that higher financial reporting quality leads to less return noise, both in panel regressions and using China's 2007 accounting standard reform as an exogenous shock to financial reporting quality. We also find that returns are less noisy around earnings announcements than during other trading days. Our results suggest that higher-quality financial reporting can reduce the degree of noise in returns and make returns more efficient. JEL Classifications: G14; G15; M41.