회계이익과 이익공시 투명성이 주식분할 이후 변동성 이상 현상에 미치는 효과에 대한 연구
A Study on the Effects of Accounting Earnings and Earnings Disclosure Transparency on the Volatility Anomaly after a Stock Split
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초록
[연구목적]본 연구는 주식분할 이후 변동성이 증가하는 이상 현상이 회계이익과 이익공시 투명성에 따라 차별적으로 결정되는지를 실증적으로 분석하는 것에 초점을 맞추고 있다. 더불어 회계이익과 이익공시의 투명성이 주식분할 이후 변동성 이상 현상에 미치는 효과의 강도가 시장 유형(KOSPI와 KOSDAQ) 간에 차이가 있는지를 조사한다. [연구방법]상장기업 중에서 2005년부터 2019년까지 주식분할을 실시한 357개 표본을 대상으로 사건연구방법을 사용하여 분석한다. 주식분할 이후 노이즈 변동성의 변화는 주식분할 전과 후의 변동성 비율의 차이로 계산한다. 회계이익은 주식분할 전 총자산이익률을 사용하고, 이익공시 투명성은 회계이익과 주가수익률 간의 동시적 연관관계를 이용하여 측정한다. [연구결과]주식분할 이후 노이즈 변동성은 회계이익이 낮은 기업과 이익공시 투명성이 불량한 기업에서 더 증가함을 발견하였다. 특히 이러한 관계는 KOSDAQ 시장에서 강하게 나타났다. [연구의 시사점]회계이익이 낮고 공시품질이 불량한 기업에서 실시하는 주식분할은 그 동기에 대한 모호성이 증가하여 투자자의 이질적 기대가 확대되며, 그 결과 주식분할 이후 변동성 이상 현상도 증가하는 경향이 있음을 시사한다.
Abstract
[Purpose]This study focuses on empirically analyzing whether the anomaly in which volatility increases after a stock split is differentially determined by accounting earnings and earnings disclosure transparency. In addition, we investigate whether the intensity of the impact of accounting profit and earnings disclosure transparency on post－split volatility anomalies varies according to market types (KOSPI and KOSDAQ). [Methodology]Among listed companies, 357 samples of stock splits from 2005 to 2019 are analyzed using the event study methodology. The change in noise volatility after a stock split is calculated as the difference between the volatility ratio before and after the stock split. Accounting earnings is measured using the return on assets before the stock split, and transparency in earnings disclosure is measured using the simultaneous relationship between accounting earnings and stock price return. [Findings]We find that noise volatility after a stock split increases more in companies with low accounting earnings and poor transparency in earnings disclosure. In particular, such a relationship is strongly manifested in the KOSDAQ market. [Implications]Our results suggest that stock splits conducted by companies with low accounting earnings and poor disclosure quality increase heterogeneous expectations of noise traders due to high uncertainty about their motives, and consequently, further expand the volatility anomaly.
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