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| Indicator category | Indicator dimension | Indicator name | Indicator description |
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| Stock performance | Earning | Average daily return | Average daily return of 30 trading days before the material information announcement date |
| Yield amplitude | Difference between the maximum return and minimum of 30 trading days before the material information announcement date |
| Cumulative excess return | Accumulation excess return of the 30 trading days before the material information announcement date |
| Cumulative excess return amplitude | Difference between the maximum cumulative excess return and the minimum of the 30 trading days before the material information announcement date |
| Liquidity | Relative turnover rate | The ratio of the sample shares actual turnover and the reference turnover from T-150 days to T-30 days |
| Relative spread | The ratio of the actual spread and the average daily spread from T-150 days to T-30 days |
| Relative trading volume | The ratio of the actual trading volume and the average daily trading volume from T-150 days to T-30 days |
| Relative illiquidity ratio | The ratio of the actual noncurrent ratio and the average daily noncurrent ratio from T-150 days to T-30 days |
| Relative amplitude | The ratio of the actual amplitude and the average daily amplitude from T-150 days to T-30 days |
| Volatility | Earnings volatility | The standard deviation of the sample stocks returns for the 30 trading days before the information release |
| Riskiness | BETA | Average daily beta of 30 trading days before the material information announcement date |
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| Corporate governance | Meeting status | The meeting times of the board of directors, the meeting times of the board of supervisors, etc. |
| Executive information | The first three directors’ total compensation, the first three executives’ total compensation, independent director number, number of directors holding shares, shareholding ratio of the supervisory board, etc. |
| Shareholding status | CR-5 index, CR-10 index, Z index, Herfindahl-5 index, shareholding ratio of the largest shareholder, shareholding ratio of top five shareholders, etc. |
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| Financial indices | Solvency | Current ratio, quick ratio, cash ratio, asset debt ratio, interest coverage ratio, property right ratio |
| Operating capacity | Inventory turnover, current asset turnover, fixed asset turnover ratio, total asset turnover ratio, accounts payable turnover ratio |
| Profitability | Net assets per share, earnings per share, operating margin, cost margin, return on assets, etc. |
| Growth capacity | Total asset growth rate, operating revenue growth rate, operating profit growth rate, capital preservation and appreciation rate, capital accumulation rate, etc. |
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| Media coverage | Media attention | The number of news reports in the 3 months before the material information announcement date |
| Negative media sentiment | The sentiment score of each news report in the 3 months before material information announcement date is calculated, and then, we calculate the proportion of reports with negative sentiment scores |
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| Insider trading | Insider trading | A binary variable that takes value of 1 if insider trading occurred and 0 otherwise |
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