실적공시예고의 개인 및 전문투자자에 대한 차별적 유용성
The Asymmetric Usefulness of Prior Notice and between Individual and Professional Investors
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
금융감독원은 2005년 결산실적에 대한 공시예고(이하 실적공시예고)를 처음 도입하였다. 이러한 안내공시가 선행되면 투자자들이 공시이익을 쉽게 검색할 수 있다. 본 연구는 개인 및 전문투자자로 양분하여 거래행태를 분석함으로써 공시이익에 대한 수집과정에 있어 실적공시예고의 차별적 유용성을 살펴본다. 구체적으로, 본 연구는 개인 및 전문투자자의 비대칭적 매수 및 매도거래행태를 분석한다. 투자자 유형별로 매수 및 매도거래의 비대칭성을 분석하는 것은 정보수집과정에서 실적공시예고의 차별적 유용성을 검증할 수 있는 단서가 될 수 있다. 공시이익을 때맞추어 인지할 수 있으면 개인투자자의 거래참여로 매수주문이 증가할 것이기 때문이다. 반면 매도주문은 주식보유를 전제로 하기 때문에 거래참여가 곧바로 매도주문의 증가로 이어지기는 어렵다. 따라서 실적공시예고가 선행될 때 관심수준이 한정된 개인투자자에서 이익공시일의 매수거래가 매도거래보다 활발해질 것으로 예상된다. 실증분석결과, 예상과 마찬가지로 실적공시예고가 선행되었을 개인투자자에서 매수거래가 매도거래에 비하여 활성화되었지만, 전문투자자에서는 그렇지 않았다. 이러한 현상은 실적공시예고가 선행될 때 개인투자자들이 공시이익을 쉽게 인지하게 되어 거래참여도 증가되는 것으로 해석된다. 본 연구결과는 실적공시예고가 정보수집능력이 부족한 개인투자자들이 공시이익을 적시에 인식하는 데 긍정적인 역할을 한다는 시사점을 제공한다.
Abstract
The prior notice on disclosure of final earnings(referred to as the “prior notice” hereafter) was introduced in 2005 with the voluntary disclosure. The prior notice could help investor to recognize important disclosed information more timely. In particular, individual investors who are hard to dedicate much time to collect the information are likely to recognize disclosed earnings. This study examines the effect of disclosing prior notice on the trading behavior around earnings announcement day. For this purpose, this paper divides trading behavior into individual and professional investors'. Analyzing the difference in behavior of buying and selling stocks between these two groups provides a clue as to whether the attention is paid by limited attention investors. because limited attention investors tend to invest in stocks that attention is driven in the market (Barber and Odean 2008). So, when a particular stock is salient, the limited attention investors are likely to do buying than selling stocks. As a result, the buy-trading of individual investors are more active than sell-trading. But that of professional investors is not. Those phenomena are interpreted as the probability that individual investors could timely pay attention to earnings announcement due to prior notice. This study shows that the prior notice helps individual investors who are in a disadvantageous position to timely collect important accounting information. In Korea, only small number of firms announce the prior notice before earnings announcement. Under this status quo, our results suggest that as more firms disclose their earnings announcement day, individual investors could be able to easily use the accounting information in their investment.
참고문헌 (43)
- 강나라, "실적공시예고와 이익공시일의 시장반응", 회계학연구, 42(4), pp.273~309 (2017), 한국회계학회[DOI]
- 권수영, "자본시장에서의 회계정보유용성" (2010), 신영사
- 박진우, "이익공시와 정보비대칭에 따른 투자자 유형별 거래행태", 재무관리연구, 29(3), pp.55~81 (2012), 한국재무관리학회
- 백복현, "연간이익공시 시점에 대한 연구", 회계학연구, 37(4), pp.253~293 (2012), 한국회계학회
- 안윤영, "외국인투자자와 정보비대칭 간의 관계", 회계학연구, 30(4), pp.109~131 (2005), 한국회계학회
- 윤용석, "대규모 기업 집단 소속 여부가임원의 개인별 보수 공시에 미치는 영향", 경영학연구, 44(4), pp.1071~1103 (2015), 한국경영학회
- 전용호, "주식수익률의 가격대별 동조화 현상과 개인투자자의 거래행태: 한국 주식시장의 주식분할 사건을 중심으로", 한국증권학회지, 42(2), pp.373~420 (2013), 한국증권학회
- 정광화, "공시유형에 따른 연간이익공시의 차별적 정보효과", 회계학연구, 39(5), pp.287~326 (2014), 한국회계학회
- Ajinkya, B., "The behavior of daily stock market trading volume", Journal of Accounting and Economics, 11(4), pp.331~359 (1989)
- Atiase, R. K., "Predisclosure information, firm capitalization and security price behavior around earnings announcements", Journal of Accounting Research, 23(1), pp.21~36 (1985)
- Ayers, B., "Investor trading and the post earnings announcement drift", The Accounting Review, 86(2), pp.385~416 (2011)
- Barber, B. M., "All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors", Review of Financial Studies, 21(2), pp.785~818 (2008)
- Barry, C. B., "Differential information and the small firm effect", Journal of Financial Economics, 13(2), pp.283~294 (1984)
- Beaver, W., "The information content of annual earnings announcements", Journal of Accounting Research, 6(Supplement), pp.67~92 (1968)
- Bhattacharya, N., "Investors′ trade size and trading responses around earnings announcements: An empirical investigation", The Accounting Review, 76(2), pp.221~244 (2001)
- Bhushan, R., "Firm characteristics and analyst following", Journal of Accounting and Economics, 11(2), pp.255~274 (1989)
- DeBondt, W. F. M., "A portrait of the individual investor", European Economic Review, 42(3-5), pp.831~844 (1998)
- DeLong, J. B., "Noise trader risk in financial markets", Journal of Political Economy, 98(4), pp.703~738 (1990)
- DeHaan, E., "Market (in) attention and the strategic scheduling and timing of earnings announcements", Journal of Accounting and Economics, 60(1), pp.36~55 (2015)
- Who is informed? An analysis of stock ownership and informed trading?, "Dennis, P.", University of Virginia, ~ (2002)
- Freeman, R. N., "The association between accounting earnings and security returns for large and small firms", Journal of Accounting and Economics, 9(2), pp.195~228 (1987)
- Grinblatt, M., "Distance, language, and culture bias: The role of investor sophistication", Journal of Finance, 56(3), pp.1053~1073 (2001)
- Grossman, S., "On the impossibility of informationally efficient markets", The American Economic Review, 70(3), pp.393~408 (1980)
- Grullon, G., "Advertising, breadth of ownership, and liquidity", The Review of Financial Studies, 17(2), pp.439~461 (2004)
- Heckman, J., "The sample selection bias as a specification error", Econometrica, 47(1), pp.153~162 (1979)
- Hirshleifer, D., "Limited attention, information disclosure, and financial reporting", Journal of Accounting and Econo, 36(1), pp.337~386 (2003)
- Hirshleifer, D., "Driven to dispersion: Extraneous events and underreaction to earnings news", Journal of Financ, 64(5), pp.2289~2325 (2009)
- Jegadeesh, N., "Returns to buying winners and selling losers: Implications for stock market efficiency", Journal of Finance, 48(1), pp.65~91 (1993)
- Kahneman, D., "Thinking, fast and slow" (2011), Farrar, Straus and Giroux
- Kaniel, R., "Individual investor trading and stock returns", Journal of Finance, 63(1), pp.273~310 (2008)
- Kim, O., "Trading volume and price reactions to public announcements", Journal of Accounting Research, 29(2), pp.302~321 (1991)
- Kim, O., "Market liquidity and volume around earnings announcements", Journal of Accounting and Economics, 17(1), pp.41~68 (1994)
- Kim, Y., "Are all management earnings forecasts created equal? Expectations management versus communication", Review of Accounting Studies, 17(4), pp.807~847 (2012)
- Levy, O., "Stock purchase and the weather: Individual differences", Journal of Economic Behavior & Organization, 67(3), pp.755~767 (2008)
- Merton, R. C., "A simple model of capital market equilibrium with incomplete information", The Journal of Finance, 42(3), pp.483~510 (1987)
- Moyer, C., "Security analyst monitoring activity: agency costs and information demands", Journal of Financial and Quantitative Analysis, 24(4), pp.503~512 (1989)
- Patell, J. M., "Good news, bad news, and the intraday timing of corporate disclosures", The Accounting Review, 57(3), pp.509~527 (1982)
- Petersen, M. A., "Estimating standard errors in finance panel data sets: Comparing approaches", Review of Financial Studies, 22(1), pp.435~480 (2009)
- Pevzner, M., "When firms talk, Do Investors listen? The role of trust in stock market reactions to corporate earnings announcements", Journal of Financial Economics, 117(1), pp.190~223 (2015)
- Ritter, J. R., "The buying and selling behavior of individual investors at the turn of the year", The Journal of Finance, 43(3), pp.701~717 (1988)
- Szewczyk, S., "Institutional ownership and the liquidity of common stock offerings", The Financial Review, 27(2), pp.211~225 (1992)
- Shiller, R. J., "Survey evidence on diffusion of interest and information among investors", Journal of Economic Behaviour and Organization, 12(1), pp.44~66 (1989)
- Tetlock, P., "All the news that's fit to reprint: Do investors react to stale information", Review of Financial Studies, 24(5), pp.1481~1512 (2011)