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이익 변화 방향에 대한 재무분석가의 예측 일관성이 주가잔류현상에 미치는 영향

Consistency of Analyst Forecast for Earnings Change and Post－Earnings Announcement Drift

고재민|신희정|최수영|나종길
한국국제회계학회 (Korea International Accounting Association)|2018.06|국제회계연구 (Korea International Accounting Review)|제79호|pp. 23-49|DOI 10.21073/kiar.2018..79.002

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참고문헌

키워드

정보불확실성Information uncertainty이익발표 후 주가잔류현상재무분석가 예측일관성Post－earnings announcement driftAnalysts forecast consistency

초록

본 연구는 재무분석가들의 예측 일관성이 기업의 정보환경으로 작용할 때 주가잔류현상에 어떤 영향을 미치는지 살펴보았다. 구체적으로 재무분석가들이 실제 이익의 증감 방향과 일치되는 정보를 일관되게 제공할 때, 투자자들이 예측 정보를 신뢰하여 보다 효율적으로 반응하는지, 반대로 정보선택 편의로 인하여 실제 이익이 갖는 정보성에 대해서 오히려 과소반응하게 되는지 분석하였다. 분석 결과, 재무분석가들이 발표한 이익 증감에 대한 정보가 일관성을 가지면서 실제 이익 변화의 방향과 동일한 경우 주가잔류현상은 감소하는 것으로 나타났다. 이는 재무분석가들이 보다 일관된 예측 정보를 제공할수록 정보불확실성이 감소하여 실제 이익정보에 보다 효율적으로 반응한다는 것을 의미한다. 나아가 재무분석가의 예측 일관성이 주가잔류현상을 감소시키는 효과는 재무분석가의 예측정확성이 높을수록 커졌지만, 재무분석가의 예측 수정 정도가 크거나 재무분석가 사이에 의견 편차가 큰 경우에는 반대로 주가잔류현상을 증가시키는 것으로 나타났다. 본 연구는 재무분석가의 일관된 예측 정보가 정보환경으로 작용하여, 투자자들의 정보효율성에 영향을 미치는 요소가 될 수 있다는 것을 보여준다는 데에 의의가 있다. 이는 시장 효율성 향상에 있어서 시장의 정보중개인인 재무분석가의 역할이 중요하다는 시사점을 제공한다.

Abstract

This study examines the relation between the analysts forecast consistency and post－earnings announcement drift(hereafter, PEAD). We posit that when analysts provide consistent information regarding earnings increase/decrease before the earnings announcement and also forecast correctly the same as the actual earnings change, their forecasting behavior acts as the factor affecting the information uncertainty. In this paper, given that the investors informational inefficiency represented by PEAD phenomenon is affected by information uncertainty, we investigate whether the analysts forecast consistency reduce PEAD due to information verification effect or amplify PEAD due to investor limited attention. The findings reveal that analyst forecast consistency is negatively related to the magnitude of PEAD, indicating that analysts consistency in providing earnings forecast reduces the information uncertainty and consequently makes investors react more efficiently to earnings news. Furthermore, this result is pronounced for firms with more accurate forecast, but weakens in the firms with larger forecast revisions or greater dispersions in earnings forecast. Our findings imply that analysts as intermediaries in the capital market play significant roles in improving market informational efficiency. Overall, this study contributes to the literature on the investor efficiency for earnings information by showing that analysts’ consistent provision of information on future earnings acts as the determinants affecting the information uncertainty and thus influences the magnitude of PEAD.

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