This paper investigates the semi-strong form of efficiency of Chinese stock markets in response to earnings forecast announcement by employing the methodology of event study. The sample period is from January 2009 to January 2018, in total 564 event were examined. The reaction of markets to different types of new announcement is investigated and presented separately. Firstly, examination of positive and negative earnings forecast report shows that information shock brings a significant positive and negative returns during the event window. In addition, analysis of different sub-windows showed prices adjust to news quickly and effectively. However, no news announcements bring no significant shock to market, prices are not impacted by slight change forecasts. In general, empirical results provided evidences of semi-strong market efficiency. Earnings forecast announcements possess huge impact on market prices, therefore participants can make abnormal profit if they act on the information very quickly. However, beyond event window information becomes ineffective and does not possess any kind of content to make above market returns .
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