52주 최고가, 앵커링 편의, 그리고 주가급락위험
52－week High Price, Anchoring Bias, and Stock Price Crash Risk
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[연구목적] 본 연구는 투자의사결정에 있어서 52주 최고가 정보에 대한 투자자들의 의존성(anchoring)과 주가급락위험의 관련성을 분석하고자 하였다. 특히, 52주 최고가의 형성 시점과 신고가(updated 52－high price) 형성의 빈도가 투자자들의 가치평가 행위에 영향을 미치는 것으로보고, 이들이 주가급락위험에 어떠한 영향을 미치는지 분석하였다. [연구방법] 2005년부터 2017년까지 유가증권시장에 상장된 기업을 대상으로 52주 최고가의 형성 시점 및 경신 빈도가 주가급락위험에 미치는 영향을 살펴보기 위해 회귀분석하였다. [연구결과] 52주 최고가의 형성시점이 최근일 수록 주가급락위험은 증가하는 반면, 52주 최고가의 경신 빈도가 높을 수록 주가급락위험은 감소하는 것으로 나타났다. 이는 기업의 정보불투명성에도 불구하고 최근에 형성된 52주 최고가 정보에 의존한, 미래 주가에 대한 긍정적인 기대가 궁극적으로 주가급락으로 이어진다는 것을 의미한다. 그러나 신고가의 경신이 빈번한 경우에는 기업가치에 대한 재평가가 이루어짐으로써 주가급락의 위험이 감소하는 것으로 해석된다. [연구의 시사점] 본 연구는 주가가 투자자들의 심리적 편의에 의한 의사결정오류를 내포한다는실무적 측면을 고려하여, 52주 최고가에 대한 투자자들의 심리적 편의를 투자자의 극단적인 경제적 손실을 가져오는 주가급락과 연결시킴으로써 기업의 주가 관리 및 투자자들의 투자 전략에있어서 실무적 시사점을 제공할 것으로 기대된다.
Abstract
[Purpose] This study analyzes the association of share price crash risk and the investor’s dependence on 52－week high price in investment decisions. In particular, we examine how the recency and the frequency of updated 52－week high price information affect the risk of falling stock prices. [Methodology] We conduct a regression analysis based on s sample of companies listed on the Korean s ec urities market f rom 2005 to 2 017 to e xamine t he impact of 5 2－week peak price formation and renewal frequency on the stock price crash risk. [Findings] We find that the risk of stock price crash increases when the 52－week high price is formed more recently, while it decreases when the 52－week high price is updated more frequently. Despite the opacity of corporate information environment, investors tend to rely on the 52－week high price that is formed recently, thereby resulting in stock price crash. However, frequent renewal of stock high price may reduce the risk of stock price crash by allowing investors to re－evaluate the firm value. [Implications] This study could provide implications for management and investors in practice by providing empirical evidence on the relation between the investors’ cognitive bias and stock price crash that causes investors’ extreme economic losses.
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