After the listed company discloses the annual report, the exchange will organize professionals to review the annual report, and issue an annual report inquiry letter to the listed company for possible questions, requesting the company to reply and publicly disclose. Based on this institutional background, this paper takes the A-share listed companies of Shenzhen Stock Exchange as the research object, and studies the listed companies whose annual reports were inquired from 2014 to 2017.The research finds that after controlling other factors, when the annual report is inquired by the exchange, the company has a higher degree of earnings management and a worsening earnings quality, which indicates that the exchange is targeted in the annual report review, focusing on companies with poorer earnings quality.It is also found the possibility of state-controlled listed companies being questioned is lower than non-state-owned holdings companies, indicating that there is a bias in the annual report inquiry of the exchange. Further test shows that after the annual report is inquired,the level of earnings management of the company in the next year is still high, and earnings quality has not been improved. The regulatory effect of annual report inquiry, a non punitive regulatory measure, is limited in improving earnings quality.