시장분위기와 이익공시에 따른 비대칭적 시장반응에 대한 연구
The Study of Asymmetric Market Responses of Market Sentiment on the Earnings Announcements
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초록
본 논문은 기업의 이익공시정보에 대한 사건연구를 통해 새로운 정보의 유형(좋은 혹은 나쁜)을 전반적인 시장 환경(market sentiment)에 따라 검증하여 합리적 관점과 행태재무론의 대립되는 예측을 비교하고 분석한다. 즉, 주식시장의 분위기에 따라 기업의 공시정보에 대해 시장이 어떻게 반응하는가를 실증적으로 분석하였다. 또한 기업의 특성(가치주 혹은 성장주)과 정보 성격에 따라 시장의 반응이 다른 모습을 보이는지 검증하고자 한다. 본 논문의 결과를 요약하면 다음과 같다. 첫째, 이익실적 공시를 통해 살펴본 시장의 반응의 결과는 행태 재무론의 예측에 일치하는 것으로 판단된다. 일반적으로 알려진 이익실적 공시에 대한 과소반응은 호재공시는 시장의 분위기가 낮을 때, 악재공시는 시장의 분위기가 높은 때에만 나타나는 현상이라고 할 수 있다. 둘째, 이익실적 공시에 나타나는 주가지연반응(PEAD)은 호재공시에는 가치주에서 악재공시에는 성장주에서만 관찰할 수 있었다. 반면에 호재공시에 대하여 성장주는 초기 양(+)의 반응을 보이지만 시간이 지나면서 수익률이 하락하는 과잉반응 현상을 보여준다. 또한 악재공시에 대한 가치주의 반응은 초기 음(-)의 반응 이후에 누적초과수익률이 상승하는 과잉반응을 보여준다. 이러한 시장의 상이한 반응은 시장의 분위기와 함께 기업 특성이 큰 영향을 미치고 있음을 시사한다.
Abstract
This study examines whether market sentiment affects the market responses on corporate earnings. Using an attribution of earnings disclosure that has both good and bad news according to the sign of earnings, we analyze the market responses and contrast the behavioral perspective about Korean stock market with the rational perspective view. And we examine whether the market reaction is affected by the characteristics of firms, especially growth opportunities and the type of information. The main findings of this study are summarized as follows: First, the results of the market reaction, which were analyzed through earnings disclosure, are consistent with the predictions of behavioral perspective. In general, an underreaction to good news is a phenomenon that occurs when market sentiment is low. On the contrary, we find the underreaction to bad news occurs only when market sentiment is high. Second, the post-earnings announcement drift (PEAD) was only observed in growth stocks in case of bad news, value stocks in case of good news. Growth stocks show an overreaction that has an initial positive (+) response to good news, but these abnormal returns disappeared over time. Value stocks also show an initial negative response to the bad news, but thereafter the cumulative abnormal returns rise, which is a typical overreaction. We suggest that the different responses of the market have a significant effect on the characteristics of the company as well as market sentiment.
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