Manipulated Information Dissemination and Risk-Adjusted Momentum Return in the Chinese Stock Market

EB-dynaRE: Real-Time Adjustor for Brownian Movement with Examples of Predicting Stock Trends Based on a Novel Event-Based Supervised Learning Algorithm

“…As a result, many of the quantitative trading strategies more or less treat the predicting the time series of stock market changes over time as gambling. However, we believe in this research that many macroeconomic factors could influence the changes of the stock market in a short run as Lehmann and Lin et al show in their research to exploit such short-term effects of macroeconomic effects (Lehmann, 1990) (Lin et al, 2019).…”

“…For example, Lehmann states in his 1990 research that, despite the intensive transaction for shot-term buy and sell, frequent trading based on information from the past days and weeks can result in abnormal returns (Lehmann, 1990). Similarly, as an application of Jegadeesh et al's study, Lin et al uses the artificial intelligence technologies that are lately available as a result of the recent boom of computational growth to take advantage of the short-term momentum (Lin et al, 2019). In the Chinese market, specifically, information disparity ends up with huge short-term trading opportunities for either parties with excessive media information or major corporations that are capable of exploiting public information.…”

Effects of the information gap in the stock market: A case of Dar Es salaam Stock Exchange

“…Theoretical and empirical research shows that a lack of financial reporting transparency and disclosure increases information asymmetry between investors by increasing private information search incentives and by raising the amount of private information compared to publicly available information (Lin et al, 2020). Higher levels of information asymmetry cost investors because they lead to a lack of informed valuation, increasing adverse risk and, hence, increasing market illiquidity.…”

“…The forward-looking information disclosed by companies of a higher reputation has a greater effect on stock return volatility (Veron & Wolff, 2016) Consequently, information asymmetry proxies should reflect, among other things, firms' accounting quality, and financial reporting by adopting IFRS. Institutional factors, firms' reporting incentive and country enforcement, media coverage, manipulated listed company information, company's beta, dividend payment history, stock price movement, annual EPS reports, management structure, earning to equity, and growth ratio (Abad et al, 2017(Abad et al, , 2018Baker & Haslem, 1973;Bravo, 2016;Gilson, 2000;Lin et al, 2020).…”

“…Analysts and investors also frequently examine several financial ratios that are intended to indicate the financial stability, profitability, and growth potential of a publicly-traded company through audited financial statements (Frydman & Stillwagon, 2018). Consequently, a few of the key financial ratios that investors and analysts consider include the following Price Earnings (P/E) Ratio, Debt to Equity Ratio, Return on Equity (ROE) Ratio, Profit Margin, Return on assets (ROA), dividend yield, price to book (P/B) ratio, current ratio, and the inventory turnover ratio in determining performance efficiency of the firm (Abad et al, 2017(Abad et al, , 2018Lin et al, 2020) In unrestricted and extremely competitive markets, demand and supply pressures determine the prices or interest rates (Ilahi et al, 2015). However, in a theoretical sense, markets are said to be efficient, if there is a free flow of information and the market fascinates this information fully and quickly (Fama, 1970).…”