외국인 소유지분 비중에 따른 이익발표 후 잔류현상의 차이

나종길 ( Chong Kil Na ),신희정 ( Hee Jeong Shin ) 한국회계학회 2012 회계학연구 Vol.37 No.3

이익발표 후 잔류현상은 회계이익의 정보성에 대하여 투자자들이 과소반응하는 것과 관련되며, 이러한 과소반응의 정도는 투자자들의 비숙련성 또는 기업정보환경의 불투명성과 관련되는 것으로 보고되어 왔다. 투자자 속성과 관련하여 외국인투자자는 일반투자자와 비교하여 숙련성이 높으며, 외국인 소유지분의 비중이 높은 기업일수록 기업정보환경이 투명하다고 선행연구들은 보고하였다. 이러한 연구들에 기초하여 본 연구는 외국인 소유지분의 비중이 높은 기업일수록 보다 숙련된 투자자의 비중이 높아지며 기업정보환경이 투명하여 이익발표 후 잔류현상의 크기가 작을 것으로 예측하였다. 외국인 소유지분이 가능한 전체 표본에 대한 분석결과, 비기대이익의 크기에 따라 일정한 방향으로 이익발표 후 잔류현상이 나타났으며, 이러한 잔류현상은 외국인 소유지분의 크기와 음의 관계를 가지는 것으로 나타났다. 또한 이익발표 후 잔류현상의 크기에 영향을 미치는 것으로 보고된 기업규모, 거래비용, 성장성, 재무분석가의 수와 같은 기업특성변수들을 통제한 후에도 동일한 결과를 얻을 수 있었다. 회계이익의 지속성 차이 등을 고려한 추가분석에서도 외국인 소유지분 비중은 이익발표 후 잔류현상의 크기와 음의 관계를 가지는 것으로 나타났다. 이러한 연구결과는 외국인투자자들이 우리나라 자본시장의 효율성 향상에 기여한다는 것을 시사한다고 할 수 있다. Previous studies have reported that the sign and magnitude of security returns in the post earnings announcement period are positively correlated with the sign and magnitude of the unexpected component of the earnings release. This predictability of stock returns after earnings announcement(i.e., the post-earnings- announcement drift) was first documented by Ball and Brown(1968). Ball and Brown(1968) reported that abnormal returns are predictable up to two months after annual earnings announcements and Foster et al.(1984) documented the same phenomenon up to 60 trading days after quarterly earnings announcements. This phenomenon implies that stock prices do not respond completely and immediately to information in the publicly announced earnings. Thus, this phenomenon is a stock market anomaly which is a deviation from the Efficient Market Hypothesis. While earlier studies attributed this phenomenon to the inadequacy of the CAPM as a model of asset pricing, or to research design problem that assumed information was available to the market before its public release, but none of those explanations could fully account for the observed drift. Rendleman et al.(1987) and Freeman and Tse(1989) provided some preliminary evidence that the drift in stock returns may represent misperceptions of time-series properties of earnings. In line with these conjecture, Bernard and Thomas(1990) provided evidence that the drift is related to the investors` misperception of quarterly earnings to be a seasonal random walk, although the actual process is a seasonally differenced first-order autoregressive process with a seasonal moving-average term. In other words, the drift represents biases in investors` assessment of the serial correlation of quarterly earnings changes. Based on Bernard and Thomas(1990), Bartov et al.(2000) conjectured that post-earnings-announcement drift will be most pronounced for stocks held primarily by unsophisticated investors who perceive the earnings process to be a seasonal random walk and will be least pronounced for stocks largely held by sophisticated investors who perceive correctly the time- series of earnings. They reported that the drift is negatively related to the institution holding variable which they used as a proxy for investor sophistication. This result indicates that the post-earnings-announcement drift is negatively related to the investor sophistication. In the above context of market underreaction to earnings information, information uncertainty was raised as a driving force of the post-earnings-announcement drift. Jiang et al.(2005) argued that with greater information uncertainty, investors trade more aggressively on their private signal, ignoring the public information such as earnings. Thus, the level of information uncertainty is positively correlated with the investors` underreaction to earnings information and the magnitude of the drift. The above discussions indicate that the level of investors` unsophistication and the information uncertainty are positively related to the magnitude of the drift. Also, prior studies reported that the foreign investors are sophisticated investors and that the firms with higher level of foreign investors show more transparent information environment. In this context, this study investigates whether the level of foreign investors affects the magnitude of the post-earnings-announcement drift. We conjecture that firms with higher level of foreign investors will exhibit lower magnitude of post-earnings- announcement drift. Empirical results are as follows. Firstly, the cumulative abnormal returns after the earnings announcement are monotonically increasing in the magnitude of the unexpected earnings, indicating the existence of the post-earnings- announcement drift in Korean stock market. Secondly, We regress the cumulative abnormal returns on the standardized unexpected earnings and the interaction variable of standardized unexpected earnings with the foreign investors` ownership. It turned out that the coefficient of the interaction variables is negative, implying that the foreign investors` ownership is negatively related to the magnitude of the post-earnings-announcement drift. Thirdly, we included other firm-specific variables that are reported to affect the magnitude of the post-earnings-announcement drift, such as firm size, growth, trading cost, and the number of analysts. With all these control variables, the main results appears to be same. Finally, we also controlled persistence-related variables. Prior studies reported that earnings persistence is lower in the cases of losses and earnings decreases than in the cases of profits and earnings increases. Also, earnings of fourth quarter were reported to have low persistence in comparison to earnings of other quarters. With all these additional controls, the main result that foreign ownership is negatively related to the drift does not change. There has been many concerns about the sharply-increasing foreign investors in Korean stock market. However, the results of our study imply that the increasing foreign investors have an effect of increasing the market efficiency in terms of reducing the underreaction to earnings information.

이익발표 후 잔류현상과 분기이익의 시계열속성과의 관계

나종길 ( Chong Kil Nah ) 한국회계학회 2008 회계학연구 Vol.33 No.4

이익발표 후 잔류현상은 자본시장이 비기대이익에 대하여 즉각적이고 완전하게 반응하지 않고 비기대이익의 방향에 따라 일정기간 꾸준히 주가가 잔류하는 현상이다. 이는 곧 비기대이익이라는 이익정보에 근거하여 미래의 주가수익률을 예측할 수 있다는 점에서 효율적 자본시장가설에 어긋나는 자본시장이례현상이다. 이러한 잔류현상에 대한 가장 대표적인 설명은 자본시장이 회계이익의 시계열속성에 나타나는 과거 회계이익의 정보성을 충분히 이해하지 못한다는 것이다. 본 연구는 우리나라 자본시장에서도 이러한 이익발표 후 잔류현상이 존재하는가를 먼저 분석한 후 이러한 현상이 자본시장이 회계이익의 시계열속성을 충분히 이해하지 못하는 것과 관련되는가를 분석하였다. 분석결과 분기이익의 발표 후 일정기간동안 이익발표 후 잔류현상이 나타남을 알 수 있었다. 분기이익의 시계열속성을 분석한 결과 분기이익의 계절별이익차이는 과거 3개 분기의 계절별이익차이와는 양의 상관관계를, 4 번째 분기의 계절별이익차이와는 음의 상관관계를 가지는 것으로 나타났다. 또한 이러한 상관관계는 이익발표 후 60일 동안의 초과수익률로 측정한 잔상과 과거 4개 분기의 비기대이익과도 비슷한 패턴으로 나타났다. 이는 곧 자본시장이 분기이익의 시계열속성을 충분히 이해하지 못한다는 점을 시사한다고 할 수 있다. 자본시장이 반영하는 분기이익의 시계열속성을 분석한 결과 우리나라의 자본시장은 분기이익의 시계열속성을 거의 이해하지 못하는 것으로 나타났다. 본 연구는 우리나라의 자본시장에서 나타나는 이익발표 후 잔류현상의 존재와 그 패턴을 보고하였으며, 2000년도부터 보고되기 시작한 분기이익이 외국 선행연구에서 보고된 바와 같이 일정한 형태의 자기상관관계를 가지고 있음을 보고하였다는 의미를 가진다. 또한 자본시장의 참가자들이 분기이익의 이러한 시계열속성을 충분히 이해하지 못한다는 결과는 우리나라에서 분기이익이 공시된 기간이 짧은 것과 관련될 수 있다. Previous studies reported that the sign and magnitude of security returns are predictable, based on previously announced earnings. This ability of current earnings information to predict future abnormal returns are called ``postearnings- announcement drift.`` Ball and Brown(1968) first documented post-earnings announcement drift. That is, even after earnings are announced, abnormal returns continue to drift up for good news firms and down for bad news firms. Foster, Olsen, and Shevlin(1984) also reported the same phenomenon using quarterly earnings data. They reported that the drift exists even 120 trading days after earnings announcement and hedge returns of 6.31% over the 60 trading days could be obtained simply based on the announced earnings information. The predictability of stock returns based on current earnings information is a serious challenge to the efficient capital market hypothesis. The academic literature offers three possible explanation for this anomaly. 1) shifts in risks of firms with extreme unexpected earnings, 2) methodological problems in measuring the returns, 3) investors` under-reaction to earnings information. While many studies suggested the first and second explanation for the drift, the third explanation as suggested by Bernard and Thomas(1990) has been accepted as the most plausible reason for the drift. Bernard and Thomas(1990) argued that one plausible reason of this phenomenon is the market inefficiency with regard to the serial correlation of the seasonally differenced quarterly earnings. However, Ball and Bartov(1996) argued that while market investors do know the serial correlation, they tend to underestimate the serial correlation. While continuing studies on this phenomenon are being executed in other countries, few studies reported the existence and the reason of this phenomenon in Korean stock market. Nah and Lee(2006) examined the post earnings announcement drift and related this phenomenon with the audit quality. Lee and Lee(2008) related the drift with firms` information environment. However, no studies fully examined the pattern and the length of the drift and investigated the possibility of investors` naivite with regard to time-series information of quarterly earnings. In this context, this study examines the existence of post-earnings-announcement drift. Also, by examining the serial correlation of quarterly earnings, this study investigates the market`s efficiency with regard to the time-series nature of quarterly earnings. Empirical results show that there exists a post-earnings-announcement drift in the Korean stock market and the magnitude of the drift is quite similar to the one in the American stock market. That is, there is a pronounced post-earningsannouncement drift, increasing monotonically in unexpected earnings. Most of the drift occurs during the first 60 trading days, and a long position in the highest unexpected earnings decile and a short position in the lowest unexpected earnings decile would have yielded an estimated abnormal return of 7.59% over the 60 days subsequent to the earnings announcement. Also, the results show that the autocorrelations in seasonally differenced quarterly earnings are positive with declining magnitudes at the first three lags, and strongly negative at the fourth. This autocorrelation structure of earnings suggests that quarterly earnings process is a seasonally differenced first-order autoregresssive process with a seasonal moving-average term, as suggested by Brow and Rozeff(1979,) Foster(1977), and Bernard and Thomas(1990). Further analysis indicated that the abnormal returns after the earnings announcement are correlated in a way which suggests that market investors do not understand the serial correlation of seasonally differenced quarterly earnings. While Ball and Bartov(1996) argued that the market investors in America are aware of the existence of the serial correlation, the results of this study implies that the market investors in Korean stock market do not understand the serial correlation. The difference in the market efficiency between America and Korea appears to stem from the short history of quarterly earnings in Korea which began to announce quarterly earnings in 2000. Future studies might examine the effect of firms` information environment difference on the longevity of the post earnings announcement drift

주가표류현상에 영향을 미치는 요인에 관한 연구

이경태 ( Kyung Tae Lee ),이연진 ( Yeon Jin Lee ) 한국회계학회 2008 회계학연구 Vol.33 No.3

주가표류현상은 준강형 시장효율성 가설과 배치되는 자본시장의 이상현상으로 이익공시 후 기간에서도 공시된 이익정보가 주가움직임과 체계적인 관련성을 갖는 것을 말한다. 본 연구는 비기대이익과 이익 공시 후 기간의 누적초과수익률 간 관계를 통해 국외 자본시장에서 검증되어 온 주가표류현상이 국내 자본시장에서도 발견되는지를 실증적으로 분석한다. 더 나아가 개별 기업의 정보불확실성과 이익의 질이 주가표류현상 수준에 미치는 영향을 살펴본다. 2003∼2005년 제조업에 속한 상장기업들을 대상으로 실증분석한 결과는 다음과 같이 요약된다. 첫째, 비기대이익이 커질수록 이익정보 공시 후 기간의 누적초과수익률이 증가한다는 것을 확인할 수 있었다. 둘째, 정보불확실성 대용치로 초과수익률변동성, 평균주식거래회전율, 기업상장연수, 재무분석가수를 사용하여 분석한 결과, 개별 기업의 정보불확실성과 이익정보에 대한 주가표류현상은 양의 관계를 갖는 것으로 나타났다. 단 기업상장연수를 대용치로 사용한 결과에서는 그 값이 유의하지 않았다. 마지막으로 이익의 질을 이익지속성, 초과이익지속성, 재량적 발생액의 정도, 유동발생의 예측오차로 측정하여 분석한 결과에서는 재량적 발생액의 정도를 제외한 분석에서 이익의 질과 주가표류현상 수준 간에 유의한 음의 관계를 발견할 수 있었다. Post-earnings-announcement drift (PEAD) is a phenomenon which the price continues to drift up if the earnings surprise is positive and down if negative. Ball and Brown (1968) first reported that stock returns continue to drift in the direction of earnings surprises for several months after the earningsannouncements. Since then, a number of studies attempted to find the underlying reason for this phenomenon suggesting explanations such as mis-measurement of risk and investor irrationality. Nonetheless, these conjectures were not sufficient enough to provide an explanation for the existence of the PEAD. Thus, this phenomenon remains as one of the market anomaly that is in a conflict with semi- strong efficient market hypothesis. Although this phenomenon is an established anomaly in the US, there have been few researches attempting to explore the drift for other stock markets. This study aims to test for the presence of PEAD based on Korea Stock Exchange. Specifically, this study examines the relationship between earnings surprise and stock`s cumulative abnormal returns for several days following an quarterly earnings announcement. Considering there are only a few studies examining whether firm-specific characteristics affect the drift level, this paper also tests the relationship between them. We first examine if the drift is more evident when the firm`s information uncertainty is high. We measure the information uncertainty using several proxies including excess stock returns, average daily turnover, firm age and analyst coverage. If the firm`s information uncertainty is high, it is likely that investors put less weight on the company`s earnings release, and the price reaction to earnings announcements should be less than the rational level. Consequently, there should be a subsequent price adjustment following an earnings announcement as the initial price reaction does not fully reflect the information contained in the earnings announcement. Secondly, we test whether the firm with poor earnings quality shows higher drift level using four proxies for earnings quality. They are accounting earnings persistence, abnormal earnings persistence, absolute magnitude of discretionary accruals, and magnitude of estimation error in accruals. In this case, the reaction of investors might differ depending on the earnings quality. We predict that the investors underreact less to the firms with better earnings quality. For the empirical analyses, this paper uses 1,095 Korean listed firms (nonbanking firms with December fiscal years) for the years from 2003 to 2005, and the financial data were figured out from Kis-Value and Fn-DataGuide Databases. The empirical findings are as follows. First, the cumulative abnormal returns over the 60 trading days subsequent to quarterly earnings announcements are significantly increasing in earnings surprise. As we partitioned the sample firms into two groups according to the standardized unexpected earnings, cumulative abnormal returns for stocks announcing positive standardized unexpected earnings showed strong drift compared to the stocks of negative standardized unexpected earnings. Second, consistent with our predictions, the results suggest that the level of PEAD and firm-specific information uncertainty has positive relation when volatility of excess stock returns, average daily turnover, and analyst coverage are used as measures of information uncertainty. However, significant association is not found when the firm age is used as the proxy. As the empirical results are mainly consistent with our prediction, we conclude that firms with higher information uncertainty experience higher drift to their earnings surprises. Lastly, this paper conjectures that PEAD is negatively related with earnings quality. The test results appear to be supported by statistical significance when accounting earnings persistence, abnormal earnings persistence, and magnitude of estimation error in accruals are used as measures of earnings quality. However, the result was not significant when absolute magnitude of discretionary accruals are used as the proxy. The main contribution of this paper is that we demonstrate the existence of PEAD phenomenon in Korea market consistent with the US market. Empirical results represent that stock return do not fully impound the surprise in announced quarterly earnings immediately upon the earnings disclosure; stock returns continue to drift in the same direction as the earnings surprise announcement. Our results indirectly indicate that the inefficiency of the market exists in Korea market. Our paper also contributes to research on understanding the firm-specific characteristics affecting the drift level. We suggested information uncertainty and earnings quality as major two factors explaining the differences in drift level among the firms, and the results supported the prediction that firms with higher information uncertainty or poor earnings quality will show higher drift level. In this study, we empirically evaluated the prediction by including the interaction variable. In this way, we not only examine the mean effect but focus on the relation between information uncertainty (or earnings quality) and the magnitude of the drift level.

이익의 품질과 자본시장의 이례현상 : 수익-비용 대응의 원칙과 주가표류현상

최국현 ( Kuk-hyun Choe ),전종록 ( Jong-rok Jeon ) 한국생산성학회 2016 生産性論集 Vol.30 No.3

The matching principle in conventional accrual basis accounting, rather than cash basis accounting, recognizes accounting income by recording related expenses at the period when revenues are recognized. Accounting methods with high level of matching principle can be defined as neutrality in accounting in the sense that an impartial point of view is maintained in revenue and expense recognition. According to previous studies, it has been reported that the higher the level of matching principle is, the higher the quality of accounting income becomes. Thus, by analyzing the effects of the level of matching principle on the firm specific stock returns, post-earnings-announcement drift, this study examines earnings quality of matching principle is attributable to post-earnings-announcement drift. Previous studies find that earnings quality of earnings persistence is positively correlated with post-earnings-announcement drift. Thus, another estimate of earnings quality, the degree of matching revenues to expenses, is hypothesized to have the positive effect on post-earnings-announcement drift. Our results are generally consistent with the hypothesis. Findings show that firms with higher degree of revenue-expense matching have abnormal stock returns 10 days post-earnings announcement. Whereas over 10 days post-earnings announcement fail to show excessive stock returns. Some caveats can be attributable to these findings. The way we measure the degree of matching principle by the adjusted R² from revenue to expenses may not be adequate, and random walk model to estimate expected earnings may capture the properties with considerable errors. Nonetheless, over 2,000 observations in the period of 8 years can alleviate such errors in our results.

감사품질차이가 이익발표후 잔류현상의 크기에 미치는 영향

나종길,이은철 한국회계정보학회 2009 재무와회계정보저널 Vol.9 No.2

This study examines whether the clients of higher quality auditors exhibit lower magnitude of post earnings announcement drift than those of lower quality auditors. It has been argued that higher audit quality leads to a better information environment, resulting into higher earnings response coefficient and higher credibility of earnings information. Since post earnings announcement drift is a kind of under-reaction of investors to earnings information, the more credible earnings information would cause less under-reaction to earnings information. This link suggests that post earnings announcement drift should be lower for clients of higher quality auditors. In this study, higher audit qualities are proxied by Big 4 auditors and industry specialist auditors. Empirical results show that clients of Big4 auditors exhibit lower magnitude of post earnings announcement drift. However, we could not find significant differences for the industry specialist. These results suggest that audit quality differences result into the drift differences. Also, it appears that market investors perceive the difference in audit quality between Big4 versus non-Big4 auditors, but they do not perceive the audit quality difference between industry-specialist and non industry-specialist. 감사품질의 차이와 관련한 선행연구들은 감사인규모 또는 재량적발생 등 대부분 연구자들이 측정한 감사품질 대용치를 사용한 관계로 자본시장 투자자들이 실제로 감사품질의 차이를 인식하는가의 여부는 분명하지 않다. 이러한 맥락에서 실제 투자자들이 인식하는 감사품질의 차이가 존재하는가를 검증하기 위하여 본 연구는 이익발표 후 잔류현상이 감사인유형에 따라 차이를 보이는가를 분석하고자 한다. 선행연구들은 이익발표 후 잔류현상이 정보위험과 관련하여 자본시장이 비기대이익에 대하여 충분히 반응하지 않는 현상으로 해석될 수 있다고 보고하였다. 따라서 투자자들이 감사품질의 차이에 따라 비기대이익에 대한 정보위험 차이를 인지한다면 감사품질의 차이에 따라 이익발표 후 잔류현상의 규모가 다를 것으로 예측할 수 있다. 이에 본 연구는 이익발표후 잔류현상의 크기에 영향을 미치는 것으로 선행연구에서 보고된 변수들을 통제하면서 Big4 회계법인 여부 또는 산업전문감사인 여부가 잔류현상의 크기에 영향을 미치는가를 분석하였다. 실증분석을 위한 표본은 2004년부터 2007년까지 유가증권시장에 상장되어 있는 기업 중에서 금융업을 제외한 1,497개의 기업-연도 표본이다. 잔류현상은 감사보고서일 익일부터 다양한 기간 동안의 일별초과수익률을 누적시킨 누적초과수익률을 이용하였다. 일별초과수익률은 기업규모별 평균수익률을 이용한 시장조정모형을 이용하였다. 실증분석 결과 양의 비기대이익에 대해서는 지속적인 잔류현상이 발견되었으나 음의 비기대이익에 대해서는 짧은 기간에 대해서만 잔류현상이 발견되었다. 이는 비기대이익의 방향에 따라 정보위험에 차이가 있으며 이에 따라 잔류현상이 상이할 것이라는 선행연구의 결과와 일치하는 것이다. 감사품질에 따른 잔류현상의 차이를 분석한 결과 Big4 회계법인 여부에 따른 잔류현상은 차이가 있는 것으로 나타났으며, 이러한 결과는 우리나라 자본시장의 투자자들이 Big4 회계법인의 감사품질을 Non-Big4 회계법인에 비해 더 높게 인지하다는 것을 시사한다. 그러나 산업전문감사인 여부에 따른 잔류현상은 뚜렷한 증거를 발견하지 못하였다. 최근 우리나라의 감사시장을 대상으로 한 연구들은 대부분 Big4 감사인과 산업전문감사인들이 보다 높은 감사품질을 나타낸다고 보고하였다. 이러한 맥락에서 볼 때 본 연구결과는 자본시장의 투자자들이 Big4 회계법인들이 보이는 높은 감사품질은 인식하지만 산업전문감사인들이 보이는 높은 감사품질은 충분히 인식하지 못하는 것으로 해석될 수 있다.

신용등급 차이와 주가표류현상1)

전경민,이재형,김현표 한국회계학회 2024 회계저널 Vol.33 No.4

본 연구는 2002년부터 2020년까지 국내 상장기업에 대한 신용등급의 자료를 이용하여 기업의 신용등급 차이와 주가표류현상 간의 관계를실증 분석하였다. 주요 결과는 다음과 같다. 첫째, 하나의 기업에 대해 복수의 신용평가기관이 각각 다른 신용등급으로 평가하는 경우 이익공시일이후 주가표류현상이 나타난다는 것을 발견하였다. 이는 신용등급이 일치하는 기업에 비해 불일치하는 기업은 신용평가기관들 사이에 정보비대칭이 존재하거나 평가기업 정보의 불확실성이 높다는 것을 나타내며, 이러한 기업들의 이익정보에 대한 투자자들의 반응 시기가 다르게 나타난 것으로 해석할 수 있다. 둘째, 기대신용등급과 실제신용등급이 불일치한 기업은 주가표류현상이 더 증가하는 것으로 나타났다. 이러한 결과는 기대신용등급과 실제신용등급의 불일치가 발생한 기업은 이러한 등급 차이를 일치시키기 위해, 재량적인 이익조정의 유인이 작용하여, 기업과 투자자 사이에 정보비대칭이 더욱 증가하여 주가표류현상이 증가한 것으로 추론된다. 신용등급 차이가 주가표류현상에 미치는 영향을 살펴본 본 연구는 다음과 같은 공헌점을 갖는다. 첫째, 신용등급 자체의 정보효과를 살펴본 기존의선행연구와는 달리 복수의 신용평가기간 간 평가등급의 차이가 미치는 영향을 분석한 연구라는 점에서 그 의의가 있으며, 둘째, 자본시장 참여자들이 의사결정을 함에 있어 기업의 신용등급에 대한 정보를 이용할 때 복수의 신용평가기관들이 제공하는 신용등급이 불일치하는 경우 투자자들에게추가적으로 유용한 정보로서 가치가 있을 것으로 기대된다. The purpose of this study is to examine the relationship between split credit ratings and post earnings announcement drift. Specifically, we examine whether firms with split credit ratings have higher post earnings announcement drift. The sample of this study is 2,175 Korea listed firm-year observations from 2002 to 2020. Empirical findings are summarized as follows. First, we find that firms with split credit ratings have significantly higher post earnings announcement drift. Second, firms have higher post earnings announcement drift when they are below(above) their expected ratings. Specifically, we find higher post earnings announcement drift when the credit rating lower than expected ratings. The impact on credit ratings evaluation vary depending on firm’s information environment. When firms have higher information asymmetry, they are more likely to have split credit ratings. The difference in credit ratings is due to information asymmetry, and firms with split credit ratings have greater information asymmetry, which can be interpreted as a higher probability of post earnings announcement drift. Nowadays, despite of a growing number of study on the effect of split credit ratings in various fields, it is largely unexplored in accounting literature. This study extends to the literature by relating credit rating to capital market reaction such as post earnings announcement drift..

Research Articles : Does PEAD Increase with Event-Specific Information Uncertainty?

( Joon Ho Lee ),( Michael Clement ),( Robert Freeman ) 한국회계학회 2015 회계학연구 Vol.40 No.2

We examine the empirical relation between event-specific information uncertainty and post-earnings-announcement-drift (PEAD). Since PEAD is largely attributed to delayed price reactions to the implications of announced earnings for future earnings, our primary thesis is that PEAD is associated with the uncertainty facing investors when they interpret earnings announcements. Accordingly, we examine the relation between PEAD and three proxies for event-specific uncertainty: pre-announcement to post-announcement change in dispersion of future earnings forecasts, the interval between earnings announcement and post-announcement forecast revisions, and the number of post-announcement forecast revisions. We argue that these three characteristics of analysts`` forecasts capture the uncertainty analysts face as they consider the implications of announced earnings for future earnings. For each proxy, we find that PEAD increases with signal uncertainty. In sum, our results indicate that drift in post-signal prices is less prevalent when analysts quickly agree on the implications of the signal for future earnings.

Investor Sentiment and the Market Pricing of Corporate Earnings

박소라 ( Sorah Park ) 한국회계학회 2016 회계저널 Vol.25 No.1

This study examines whether the market pricing of corporate earnings is affected by investor sentiment. The primary proxy of investor sentiment in this paper is the composite index developed by Kim and Byun (2010), based on common variation in six underlying proxies of sentiment (the share turnover in Korea Stock Exchange, equity share in new issues, retail investors’ trading, stock fund flows, Customer Expectation Index, and customer’s deposit for stock investment). In order to capture stock price reaction to earnings news, I measure the earnings response coefficient (ERC) and post-earnings announcement drift (PEAD) based on cumulative and buy-and-hold abnormal returns over windows [-1,+1] and [+2,+60], respectively, where day 0 is quarterly earnings announcement date. Using a sample consisting of 12,012 quarterly earnings announcements of listed companies on Korean Securities Market over the years 2001 to 2010, I find that the effects of investor sentiment on stock price reaction to good and bad earnings news are differential. I show that ERC and PEAD for positive earnings surprise do not vary with investor sentiment. By contrast, bad news response coefficient is lower when investor sentiment is pessimistic than when it is optimistic. This indicates that market participants react less negatively to negative earnings surprise when they are pessimistic. I also show that post-bad-news-announcement drift over window [+2,+60] is less negative when sentiment is pessimistic, suggesting that the impact of investor sentiment on the pricing of bad earnings news does not reverse quickly. Additional analysis shows that the results are robust to an alternative measure of investor sentiment based on the aggregate market price-to-earnings ratio.

이익 공시시점과 주가지연반응

김형순 강원대학교 경영경제연구소 2018 Asia-Pacific Journal of Business Vol.9 No.4

It has been reported that there is a significant positive relationship between the unexpectedearnings on the earnings announcement date and the cumulative abnormal returns followingthe earnings announcement date. This study investigates whether the results of prior studiesare because the public announcement of shareholders’ meeting date was selected as the eventdate instead of either the preliminary earnings disclosure date or the profit/loss changeannouncement date. The results of this study are as follows. First, post-earnings-announcementdrift(PEAD) occurs when unexpected earnings were computed based on the prior periodearnings and the public announcement of the shareholders’ meeting date as the profitdisclosure date. Second, when analyzing the PEAD with the unexpected earnings calculatedusing the financial analysts’ forecasts, no PEAD has been found both on the date of theshareholders’ meeting and the earlier date of the preliminary earnings disclosure, profit/losschange announcement, or the public announcement of the shareholders’ meeting. Foster et al. (1984) analyze the PEAD using time series model and earnings forecasting model and suggestthat the PEAD appears only in the time series model. In this study, too, in the case of usinganalysts’ profit forecasts, the lack of the PEAD shows that the PEAD can be changedaccording to the method of measuring the unexpected earnings.

계절별랜덤워크모형에 의한 비기대이익의 지속성 차이 분석

나종길(Chlong Kil Nah) 한국국제회계학회 2010 국제회계연구 Vol.0 No.30

외국의 선행연구들은 분기이익의 시계열속성을 자본시장참가자들이 충분히 이해하지 못하고 단순히 계절별랜덤워크(seasonal random walk)모형에 근거하여 이익을 예측한다고 보고하였다. 또한 이에 따른 비기대이익은 일정한 지속성을 가지고 있어 미래 주식수익률과 관련성을 가진다고 보고되었다. 따라서 이러한 비기대이익의 속성을 이해하는 것이 분기이익에 대한 자본시장의 반응에 대한 설명을 가능하게 할 것이다. 본 연구는 이러한 측면에서 계절별랜덤워크모형에 근거한 비기대이익의 지속성이 분기별로 어떠한 차이가 있으며 그러한 비기대이익이 극심한 경우 지속성에 어떠한 특성을 가지는가를 분석하였다. 분석결과 평균적으로 비기대이익은 인접 분기사이에 양의 지속성을 가지고 있으며, 분기별로 차이가 있는 것으로 나타났다. 특히 다른 분기에 비하여 4분기의 비기 대이익은 그 지속성이 매우 낮게 나타나는데 이는 선행연구들에서 제시한 4분기의 이익조정특성, 일시성 등의 설명과 일치한다. 또한 극심한 양의 비기대이익 및 음의 비기대이익 모두 그 지속성이 낮게 나타났으며, 음의 비기대이익은 양의 비기대이익보다 그 지속성이 낮음을 알 수 있었다. 이는 보수주의 관련 연구들에서 제시하는 것과 일치하고 있다. 분기이익은 적시성의 관점에서 연간이익보다 더욱 중요성을 가지게 되었지만, 분기이익이 공시된 역사가 길지 않은 우리나라 자본시장에서는 분기이익의 속성에 대한 연구가 미진한 실정이다. 이익발표 후 잔류현상에 관한 연구들은 잔류현상의 차이가 비기대이익의 지속성에 의해 영향받는다고 주장하였다. 따라서 이익지속성의 분기별 차이가 이러한 잔류현상에 어떠한 영향을 미치는가와 관련하여 본 연구결과는 중요한 의미를 가진다고 할 수 있다. The purpose of this study is to examine whether there are differences in the persistence of quarterly unexpected earnings across quarters. Quarterly earnings have been reported to have a first-order autoregressive properties and 4th order moving-average properties. However, it appears that market investors' expectations of quarterly earnings are characterized by a seasonal random walk with a trend. The ignorance of time-series properties by market investors result in the positive relation between unexpected earnings for quarter t and unexpected earnings for the subsequent quarters. That is, the unexpected earnings based on seasonal random walk persist in the subsequent quarters, implying the persistence of unexpected earnings as perceived by the market investors. Prior studies reported that fourth-quarter earnings are more likely to be transitory and extreme earnings are also transitory. Therefore, the persistence of unexpected earnings could be different depending upon the whether it belong to the fourth quarter or whether the earnings are extreme. Empirical results show that the persistence of unexpected earnings based on seasonal random walk is lower in the fourth quarter than in other quarters. Also, extreme earnings appear to have lower persistence. This lower persistence of quarterly unexpected earnings implies a possibility that post-earnings-announcement drift could be different in the case of fourth quarter and of extreme earnings. Future research might investigate the difference of the magnitude of post-earnings-announcement drift between fourth quarter and other quarters.