A multi-stage differential difference analysis is conducted on the data of profit and loss information of derivatives trading in the disclosure information of A-share listed companies in 2020, and it is found that there is a significant negative announcement premium in both positive and negative derivative information. The instantaneous stock price on the day of the disclosure of derivatives and the cumulative abnormal return rate in the 3 to 5 trading days decreased significantly, and the derivative information did not significantly affect the long-term value of the stock. Narrowing down the disclosure types, we find that regular disclosure of derivatives information leads to less instantaneous stock price volatility and more significant reported earnings drift.