Topic: Earnings Information Quality, Investor Heterogeneity, and Price Discovery: Evidence from High-Frequency Order Dynamics in the Preopening Period

Date & Time: 13:30-15:00  18 June, 2026

Venue: Room 245, Quanxue Building

Organizers: School of Accounting, Dongbei University of Finance and Economics; Liaoning Province Capital Market Finance and Accounting Graduate Innovation and Academic Exchange Center

Abstract：

This study examines how annual report information shocks and heterogeneous investors affect price discovery during the preopening period. Using order-book snapshots and tick-by-tick records for Shanghai and Shenzhen A-share main-board stocks, we find that price discovery improves as the opening approaches. Annual report announcements reduce price discovery efficiency relative to non-announcement days, although this adverse effect weakens near the opening. Order-level evidence shows that these announcements increase investor disagreement and noise trading, reflected in more order submissions and cancellations, smaller orders, greater aggressiveness, and wider buy-sell quote dispersion. Institutional investors demonstrate stronger information-processing and pricing abilities than retail investors, and their aggressive orders in the final preopening minute facilitate price discovery. Higher accounting and textual information quality accelerates price adjustment, while prior earnings forecasts or preliminary earnings reports mitigate the adverse announcement effect. Exploiting investors’ first opportunity to trade on annual reports, this study reveals how earnings information quality affects price discovery through heterogeneous investors’ information processing and order decisions.

Introduction of Speaker:

 Tong LI, Ph.D. candidate at the College of Management and Economics, Tianjin University. His research interests include capital markets, accounting information disclosure and market microstructure, as well as big data and textual analysis. He has published nine papers in journals such as Annals of Operations Research, Economics Letters, International Journal of Finance & Economics, China Journal of Econometrics, Journal of Systems Management, and Operations Research and Management. He has received the National Scholarship for Ph.D. students and the Second Prize for outstanding paper at the 13th China Annual Conference on Investment. He has also presented working papers at academic conferences including the Asian Finance Association Annual Meeting, the China International Risk Forum, the China Annual Conference on Finance, and the Annual Symposium on Financial Systems Engineering and Risk Management. He currently serves as an anonymous reviewer for journals including the Journal of Alternative Investments, International Review of Economics and Finance, Journal of International Financial Management & Accounting, and China Finance Review International.