郝如宾、Liao Guanmin、Ding Wenhong、Guan Wei：“The informativeness of regional GDP announcements: Evidence from China”, JOURNAL OF EMPIRICAL FINANCE（ABS 3）,2022(67):78-99，DOI：10.1016/j.jempfin.2022.03.001

摘要：How information drives stock price is an essential question in the capital market. Prior literature finds mixed evidence on whether stock markets respond to gross domestic product (GDP) news. This study reexamines the informativeness of GDP announcements in China. Using 595 quarterly provincial  GDP  announcements from 2008 to 2019, we find that provincial GDP news is significantly and positively associated with the short-window stock return of firms domiciled in that province. We further find that the stock market reacts more strongly to provincial GDP figures of higher credibility. GDP figures are more credible when they miss their targets set by local governments, when the provincial top officials are close to retirement, when  the province has a high degree of marketization, and when the local government has lower ownership in local economy. In addition, we find that financial analysts use provincial GDP announcements to update their forecasts. Their earnings forecast revisions issued immediately after provincial GDP announcements are more accurate than earnings forecasts issued before GDP announcements. Overall, we find  evidence  that regional GDP numbers constitute important public information for the stock market and that investors can understand how local officials' political incentives influence the quality of GDP numbers.