수시공시와 자율공시간 정보의 사전유출 비교: 단일판매 공급계약을 대상으로
The Comparison of Information Leakage between Mandatory and Voluntary Announcements: Using the Solitary Sales or Supply Contracts
0
조회
0
다운로드
3
인용
0
참고문헌
키워드
초록
정보의 비대칭성을 감소시킴으로써 금융시장의 투명성과 신뢰성을 높이고자 하는 노력이 전 세계적으로 진행되고 있는 추세이다. 우리나라도 미공개 정보를 선점한 부당매매 행위를 규제하기 위해서 2015년 7월 1일부터 ‘시장질서 교란행위를 규제하는 자본시장과 금융투자업에 관한 법률’을 시행하고 있다. 본 연구는 한국 주식시장에서 정보의 사전유출(information leakage) 여부를 분석하고, 개정된 규제의 효과를 시장별･공시별로 살펴보았다. 이를 위해 한국거래소에 상장된 기업들의 2012년부터 2016년 동안의 단일판매 공급계약에 대한 시장별 수시공시 및 자율공시를 대상으로 분석을 진행하여 다음과 같은 주요 결과를 얻었다. 첫째, 유가증권 시장보다 코스닥 시장에서 정보의 사전유출 현상이 더 높게 나타났다. 둘째, 코스닥 시장의 수시공시와 자율공시에 대한 주가 반응의 경우, 주가 반전 및 주가 지연 반응으로 각각 다르게 나타남을 발견하였다. 셋째, 유가증권 시장보다 코스닥 시장에서 공시 전후에 투자전략을 취하여 더 높은 초과수익률을 발생시킬 수 있었다. 넷째, 사전정보유출량 지표를 통해 살펴본 결과, 규제 강화 이후에 코스닥 시장의 자율공시에서 정보의 사전유출량이 감소하였다. 본 연구의 의의는 다음과 같다. 첫째, 한국 주식시장에서 사전 정보유출을 시장별 및 공시 종류별로 살펴보았다. 특히 코스닥 시장에서 사전 정보유출이 나타난다는 결과는 수시공시 기준에 대한 논의의 필요성을 제시하여 준다. 둘째, 정보취약자인 개인투자자들이 공시를 이용한 매매를 할 때, 시장별 및 공시 종류별로 차별화된 주의를 기울여야함을 알려준다. 셋째, 개정 법률의 시행 이후, 코스닥 시장의 자율공시에서 사전유출량이 감소함을 보여줌으로써 기업의 중요정보 공개와 관련한 규제 방향을 제시하여 준다.
Abstract
This paper compares the information leakage between unscheduled mandatory and voluntary announcements and investigates the effectiveness of the newly changed rule aiming for prohibiting unfair trading with unpublished information. Using the announcements of solitary sales or supply contract, which is known for price-sensitive information, from 2012 to 2016, we test whether there exist different features of information leakage around mandatory and voluntary announcements in the KSE- and KOSDAQ-listed companies. Some of the major findings are as follows. First, information leakage is more likely to occur in the KOSDAQ market rather than the KSE market. Second, we find different stock price reaction on mandatory and voluntary announcements in the KOSDAQ market- return reversal for the former and delayed reaction for the latter. Third, with the trading strategy of Brunnermeier(2005) - buying before announcement and sell after announcement, the highest performance can be achieved in the KOSDAQ market. Lastly, we observe the reduction of the size of information leakage after the regulatory change to prohibit unfair trading with the use of unpublished information.
참고문헌 (40)
- 우민철, "미공개정보 이용규제 강화가 공시의 시장반응에 미친 영향", 한국증권학회 2017년 제1차 학술발표회 (2017)
- Admati, A. R., "A Theory of Intraday Patterns: Volume and Price Variability", Reveiw of Financial Studies, 1(1), pp.3~40 (1988)
- Aitken, M., "Information Leakage Prior to Takeover Announcements: The Effect of Media Reports", Accounting and Business Research, 23(89), pp.3~20 (1992)
- Informed Options Trading Prior to M&A Announcements: Insider Trading?, "Augustin, P.", McGill University and New York University, ~ (2015)
- Are Corporate Spin-Offs Prone to Insider Trading?, "Augustin, P.", McGill University, New York University, and Singapore Management University, ~ (2015)
- Bernile, G., "Can information be locked up? Informed trading ahead of macro-news announcements", Journal of Financial Economics, 121(3), pp.496~520 (2016)
- Berwart, E., "An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings", Journal of Corporate Finance (2017)
- Boehmer, E., "Which Shorts Are Informed?", Journal of Finance, 63(2), pp.491~527 (2008)
- Brunnermeier, M. K., "Information Leakage and Market Efficiency", Review of Financial Studies, 18(2), pp.417~457 (2005)
- Cao, C., "Informational Content of Option Volume Prior to Takeovers", Journal of Business, 78(3), pp.1073~1109 (2005)
- Chan, K., "Informational Content of Option Trading on Acquirer Announcement Return", Journal of Financial and Quantitative Analysis, 50(5), pp.1057~1082 (2015)
- Christophe, S. E., "Short-Selling Prior to Earnings Announcements", Journal of Finance, 59(4), pp.1845~1876 (2004)
- Christophe, S. E., "Informed trading before analyst downgrades: evidence form short sellers", Journal of Financial Economics, 95(1), pp.85~106 (2010)
- Collett, N., "Reactions of the London Stock Exchange to Company Trading Statement Announcements", Journal of Business Finance and Accounting, 31(1-2), pp.3~35 (2004)
- Is Aggregate Short Selling a Useful Proxy for Sophisticated Information Based Trading? New Evidence from NYSE Daily Data, "Daske, H.", University of Pennsylvania, ~ (2006)
- Diamond, D. W., "Constraints on Short-selling and Asset Price Adjustment to Private Information", Journal of Financial Economics, 18(2), pp.277~311 (1987)
- Eyssell, T. H., "Insiders, Outsiders, or Trend Chasers?: An Investigation of Pre-takeover Transactions in the Shares of Target Firms", Journal of Financial Research, 16(1), pp.49~59 (1993)
- Haggard, K. S., "Are Hedge Funds Guilty of Manipulative Short-selling?", Managerial Finance, 38(11), pp.1048~1066 (2012)
- Hao, Q., "Is There Information Leakage Prior to Share Repurchase Announcements? Evidence from Daily Options Trading", Journal of Financial Markets, 27(C), pp.79~101 (2016)
- Hayunga, D. K., "Trading in the Options Market around Financial Analysts’ Consensus Revisions", Journal of Financial and Quantitative Analysis, 49(3), pp.725~747 (2014)
- Heggen, C., "Information Leakage and Informed Trading around Unscheduled Earnings Announcements", Corporate Ownership and Control, 6(2), pp.143~163 (2008)
- On the Willingness of UK Companies to Issue Profit Warnings: Regulatory, Earnings Surprise Permanence, and Agency Cost Effects, "Helbok, G.", SSRN, ~ (2003)
- Henry, T. R., "Short Selling around Seasoned Equity Offerings", Review of Financial Studies, 23(12), pp.4389~4418 (2010)
- Hirshleifer, D., "Security Analysis and Trading Patterns When Some Investors Receive Information Before Others", Journal of Finance, 49(5), pp.1665~1698 (1994)
- Early Peek Advantage? Efficient Price Discovery with Tiered Information Disclosure, "Hu, G. X.", Second Annual Volatility Institute at NYU Shanghai, ~ (2016)
- Jabbour, A. R., "Pre-bid Price Run-ups and Insider Trading Activity: Evidence from Canadian Acquisitions", International Review of Financial Analysis, 9(1), pp.21~43 (2000)
- Jackson, D., "Profit Warnings and Timing", Financial Review, 38(4), pp.497~513 (2003)
- Jarrell, G. A., "Stock Trading before the Announcement of Tender Offers: Insider Trading or Market Anticipation", Journal of Law, Economics, and Organization, 5(2), pp.225~248 (1989)
- Jayaraman, N., "Informed Trading around Merger Announcements: An Empirical Test Using Transaction Volume and Open Interest in Options Market", Financial Review, 36(2), pp.45~74 (2001)
- Kasznik, R., "To Warn or Not to Warn: Management Disclosures in the Face of an Earnings Surprise", Accounting Review, 70(1), pp.113~134 (1995)
- Keown, A. J., "Merger Announcements and Insider Trading Activity: An Empirical Investigation", Journal of Finance, 36(4), pp.855~869 (1981)
- Kim, O., "Market reaction to anticipated announcements", Journal of Financial Economics, 30(2), pp.273~309 (1991)
- Kyle, A. S., "Continuous Auctions and Insider Trading", Journal of the Econometric Society, 53(6), pp.1315~1335 (1985)
- Lee, C. M. C, "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis", Review of Financial Studies, 6(2), pp.345~374 (1993)
- Why Do Options Prices Predict Stock Returns?, "Lin, T. C.", University of Hong Kong and Tilburg University, ~ (2013)
- The Effects of Regulation Fair Disclosure on Information Leakage, "Mac, C.", SSRN, ~ (2002)
- McNichols, K., "Public Disclosure, Private Information Collection, and Short-term Trading", Journal of Accounting and Economics, 17(1-2), pp.69~94 (1994)
- Meulbroek, L. K., "An Empirical Analysis of Illegal Insider Trading", Journal of Finance, 47(5), pp.1661~1699 (1992)
- Michaelides, A., "The Adverse Effects of Systematic Leakage Ahead of Official Sovereign Debt Rating Announcements", Journal of Financial Economics, 116(3), pp.526~547 (2015)
- Milidonis, A., "Compensation Incentives of Credit Rating Agencies and Predictability of Changes in Bond Ratings and Financial Strength Ratings", Journal of Banking and Finance, 37(9), pp.3716~3732 (2013)