Online Consumers’ Reactions to Price Decreases : Amazon’s Kindle 2 Case

Kyung Young Lee,Ying Jin,Cheul Rhee,Sung-Byung Yang 한국경영정보학회 2015 한국경영정보학회 학술대회논문집 Vol.2015 No.8

The purpose of this study is to investigate how consumers respond to price changes by analyzing online product reviews (OPRs) posted on a product (Amazon’s Kindle 2), and to suggest several future research topics on online consumers’ reactions embedded in OPRs. An exploratory case study is conducted using OPRs added to the Kindle 2. By analyzing 6,714 OPRs, we examine how online consumers respond to two continual price decreases embedded in the observable (star-rating and review-depth) and implicit (positive and negative emotions) features of OPRs as well as how the number of OPRs per day has changed after two price drops. We found that all four features of OPRs (star-rating, review-depth, positive emotion, and negative emotion) and the number of OPRs per day had significantly changed after two price decreases for both long-term and short-term periods. In addition, online consumers’ reactions to price decreases in terms of these four features and the change in the number of OPRs per day were different between the first and the second price drops. This study investigates online consumers’ reactions to price decreases only. Future research should investigate other cases where price changes under the dynamic pricing strategy in order to find the relationship between price increases/decreases and consumers’ reactions. This study implies that online merchants should consider consumer groups’ innovation adoption stages and make strategic decisions for price decreases to improve the sales of their products. While prior research involving the effects of price changes on consumers’ reactions has focused on offline consumers, this is among the first attempts to address the long- and short-term reactions to price changes in terms of both the observable and implicit features of OPRs, and suggests that consumers’ reactions to price changes in OPRs are more complex.

Research Articles : Stock Price Reactions to News of Tax Aggressiveness in Korea

( Jeong Mi Lee ),( Ki Ho Choi ) 한국회계학회 2015 會計學硏究 Vol.40 No.2

This study examines how stock prices react to news of tax avoidance in Korea by applying the view of Hanlon and Slemrod (2009) on how news of tax shelter involvement affects the stock prices. We extend Hanlon and Slemrod (2009) by examining the differences among market reactions to acts of corporate misconduct such as unfair trade practice and accounting fraud. We use an event-study research methodology to evaluate the market reaction to acts of corporate misconduct including tax avoidance, unfair trade practices, and accounting fraud. We test the following hypotheses through t-tests: (1) the market reacts negatively to news that a firm is involved in tax avoidance; (2) firms with a higher cash effective tax rate (ETR) experience a less negative (i.e. more positive) reaction to news of tax avoidance; (3) retail industry firms, which deal closely with customers, experience a more negative reaction than other firms; (4) poorly-governed firms experience a more negative market reaction than well-governed firms; and (5) firms alleged to tax avoidance experience a less negative reaction than firms alleged to unfair trade practices and accounting fraud. Cumulative average abnormal return is employed to investigate the relationship between market reaction and news of corporate misconduct such as tax avoidance, unfair trade practices, and accounting fraud. The cash effective tax rate(ETR), our measure of tax avoidance, is defined as cash taxes paid divided by pre-tax accounting income. The retail industry is used to reflect consumer reaction, and the ownership percentage of controlling shareholders, foreign shareholders, and institutional shareholders are employed as governance variables. The tax avoidance sample was drawn from newswire searches in the Mediagaon database using "탈세" and "기업" as search terms for the period between January 1, 1990 and December 31, 2012. The samples were then restricted to cases where tax avoidance was revealed through prosecution since these combine illegal activity with tax avoidance. Similarly, the sample for unfair trade practices was drawn from a newswire search in the Mediagaon database using "불공정거래" and "기업" for the period between January 1, 2003 and December 31, 2012. Finally, the accounting fraud sample was obtained from the Financial Supervisory Service website and covers the period between January 1, 2003 and ending date of December 31, 2012. This study finds that news of tax avoidance in Korea, on average, affects a firm``s stock price negatively and that the reaction is worse for firms with low cash ETRs. The reputation effect also affects market reaction through consumer backlash. Market reactions concerning corporate governance are insignificant, but those concerning institution shareholders are significant, with an opposite sign. Finally, firms alleged to have engaged in unfair trade practice experience the strongest negative market reactions to corporate misconduct. This study contributes to several streams of literature. First, it contributes to the literature on market reaction to news of tax avoidance which encompasses the characteristic of legal and illegal. Studies have examined only those cases in which the firms actually committed tax evasion, only encompassing the characteristic of illegal (Lee and Jung 2008; Jung and Jun 2010; and Jung 2011), ignoring the possibility of positive market reactions to tax avoidance. Second, this study offers evidence concerning firms`` equity value losses when there are allegations of misconduct by addressing the reputation effect of a perceived lack of reliability, the "non-tax cost". No study has yet examined reputation effect of allegations of misconduct such as tax avoidance, unfair trade practice, or accounting fraud. This paper shows that the magnitude of the loss of equity is associated with the number of parties damaged through corporate misconduct rather than the magnitude of the legal sanctions. Two main implications for the investors and policymakers in this study are suggested. First, corporate misconduct that affects firm value should be disclosed on notes to financial statements to ensure symmetrical information, since it is relevant to a firm``s value. Second, a corporate social responsibility index should be developed to prevent corporate misbehavior flowing from a lack of corporate social responsibility since legal sanctions are not effective in penalizing irresponsible corporate behavior.

가격제한폭 확대와 일중 가격발견 효율성 : 코스피 200 지수 종목의 경우

선정훈 ( Junghoon Seon ) 한국파생상품학회(구 한국선물학회) 2016 선물연구 Vol.24 No.2

본 논문은 2015년 6월 15일 한국거래소(Korea Exchange)의 가격제한폭 확대가 코스피 200 지수 구성종목의 일중 가격발견 과정에서 어떤 영향을 미치는지를 사건 연구 접근법을 이용하여 고찰한다. 이를 위해 가격제한폭을 전일 종가 대비 ±15%에서 ±30%로 확대한 제도 변화 전후 각각 50 거래일을 대상으로 일중 가격발견 과정에서의 가격효율성을 비교하고, 다음과 같은 주요 변화를 발견하였다. 먼저 전체 표본에 대한 분석에서는, 장 초반 일부 구간에서 일시적인 주가 과잉반응 증가와 가격효율성 저하가 나타지만, 일중 가격발견 과정 전반적으로는 가격효율성이 유지되는 것으로 나타난다. 그리고 시가총액, 상장주식수, 주가 등 종목 특성에 따른 부분표본에 대한 분석에서는, 상장 주식수 하위 및 주가 상위 분위에 해당되는 종목이 장 중반 일부 구간에서 일시적으로 주가 과잉반응 증가와 가격효율성 저하를 나타내지만, 일중 가격발견 과정 전반적으로는 가격효율성을 유지하는 것으로 나타난다. 이러한 결과는 코스피 200 지수 구성 종목의 경우, 가격제한폭 확대로 인해 일중 가격변동 범위가 넓어짐에 따라 일부 시간대 또는 일부 종목에서 일시적 또는 부분적으로 과잉반응가설(over-reaction hypothesis)을 지지하는 증거가 나타나나, 일중 가격발견 과정 전반적으로는 정보가설(information hypothesis)을 지지하는 가격발견이 이루어짐을 시사한다. 또한 이러한 결과는 가격 제한폭 확대라는 제도 변경이 주식시장의 질적 수준에 부정적인 영향을 미치지 않는다는 정책적 시사점도 제공한다. Korea Exchange has widen daily price limits from ±15% to ±30% of previous trading day`s closing price since June 15, 2015. In this paper, we examine how the event of widening price limits affect price discovery process over the course of trading day. In order to conduct this investigation, we compare price efficiency during such price discovery before and after the event. The changes that has occurred after the event can be summarized as follows: First, an analysis on full-sample indicates that price efficiency is maintained over the course of a trading, while it is aggravated temporary in two early intervals. Second, an analysis on sub-samples sorted by market capitalization, shares outstanding, or share price indicates that temporary aggravation of price efficiency in some mid-intervals is observed for shares outstanding lower group and share price top group. Overall, our results suggest that evidence supporting information hypothesis is found for the whole process of price discovery over the course of a trading day, though evidence supporting over-reaction hypothesis is found in some intervals or some types of stocks.

애널리스트 목표주가 예측능력의 지속성 및 주가반응에 관한 연구

김문철,전영순,이명복 한국세무학회 2011 세무와 회계저널 Vol.12 No.2

Most studies related to financial analysts focus on analysts' earnings forecasts and stock recommendations. Little is known about analysts' abilities to forecast target prices. This study fills the void by examining whether analysts have differential abilities to forecast target prices and the differential abilities are persistent. Furthermore, we examine whether the market reflects analysts'differential abilities to predict target prices in stock prices. We find that the accuracy of target price forecasts in the prior period is positively related to that in the current period. This indicates that analysts do exhibit differential abilities to predict target prices and the superior abilities are persistent. Also, the results reveal that the market reactions to target price revisions are positively associated with analysts' lagged target price forecasting performance, suggesting that the market pays more attention to target price revisions of analysts who exhibited superior target price forecasting abilities in the past. 애널리스트와 관련된 대부분의 선행연구는 애널리스트의 이익예측치 및 주식 추천의견에 초점을 맞추어 왔다. 목표주가를 대상으로 한 소수의 연구들도 아직은 초기 단계로서 애널리스트 보고서 상 나타나는 목표주가의 빈도, 애널리스트가 목표주가를 제공할 유인 등을 연구하는데 그치고 있다. 따라서 본 연구는 국내 애널리스트의 목표주가를 대상으로 애널리스트의 차별화된 목표주가 예측능력이 지속적인지, 주식시장에서 애널리스트의 차별화된 목표주가 예측능력을 반영하는지를 실증 분석한다. 표본기간 동안 실제 주가가 목표주가에 도달한 비율은 평균 37%로 목표주가가 낙관적으로 예측되는 경향이 있지만 최근에 접어들수록 목표주가의 정확성은 향상되고 있다. 실증분석 견과, 과거에 목표주가를 정확하게 예측한 애널리스트는 지속적으로 정확한 목표주가를 예측하고 있어 국내 애널리스트는 차별화된 목표주가 예측능력을 보유하고 있는 것으로 나타난다. 또한, 과거에 보다 정확한 이익예측치를 예측한 애널리스트는 지속적으로 정확하게 이익을 예측하는 것으로 나타난다. 아울러 애널리스트의 목표주가 변경시 과거에 보다 정확한 목표주가를 예측한 애념리스트는 덜 정확한 목표주가를 예측한 애널리스트에 비해 더 큰 주가영향력을 갖는다. 하지만 애널리스트의 목표주가 변경에 대한 주가반응은 해당 애널리스트의 근무경력과는 유의한 관계가 없는 것으로 나타난다.

Stock Price Reactions to News of Tax Aggressiveness in Korea

이정미,최기호 한국회계학회 2015 會計學硏究 Vol.40 No.2

This study examines how stock prices react to news of tax avoidance in Korea by applying the view of Hanlon and Slemrod (2009) on how news of tax shelter involvement affects the stock prices. We extend Hanlon and Slemrod (2009) by examining the differences among market reactions to acts of corporate misconduct such as unfair trade practice and accounting fraud. We use an event-study research methodology to evaluate the market reaction to acts of corporate misconduct including tax avoidance, unfair trade practices, and accounting fraud. We test the following hypotheses through t-tests: (1) the market reacts negatively to news that a firm is involved in tax avoidance; (2) firms with a higher cash effective tax rate (ETR) experience a less negative (i.e. more positive) reaction to news of tax avoidance; (3) retail industry firms, which deal closely with customers, experience a more negative reaction than other firms; (4) poorly-governed firms experience a more negative market reaction than well-governed firms; and (5) firms alleged to tax avoidance experience a less negative reaction than firms alleged to unfair trade practices and accounting fraud. Cumulative average abnormal return is employed to investigate the relationship between market reaction and news of corporate misconduct such as tax avoidance, unfair trade practices, and accounting fraud. The cash effective tax rate(ETR), our measure of tax avoidance, is defined as cash taxes paid divided by pre-tax accounting income. The retail industry is used to reflect consumer reaction, and the ownership percentage of controlling shareholders, foreign shareholders, and institutional shareholders are employed as governance variables.

단일판매공급계약 공시의 주가 반응

손성진(Sungjin Son),김순호(Soonho Kim) 한국자료분석학회 2021 Journal of the Korean Data Analysis Society Vol.23 No.2

본 연구는 단일판매공급계약 공시 전후 주가 반응을 사건연구 방법론을 통해 분석하고, 내부자거래의 행태를 확인해 내부자정보를 이용한 불공정거래 행위가 발생하는지 확인하였다. 시장모형으로 조정한 누적비정상수익률평균은 공시일 혹은 공시 다음 날 최고를 기록한 후 가격이 하락하는 것으로 나타나 과잉반응이 나타나는 것으로 확인되었다. 반면 공시일 이전에 주가가 비정상적으로 상승한 통계적 증거는 발견하지 못하였다. 이는 적어도 공시일 이전에 주가를 비정상적으로 올릴 정도의 정보 누출과 비정상적 거래가 있었던 것은 아닌 것으로 보인다. 내부자들의 거래 행태 변화를 확인한 결과 공시일 이전과 이후에 통계적으로 유의한 순매수 증가는 확인되지 않았다. 끝으로 단일판매공급계약 공시에서 확인된 주가 과잉반응은 기업의 ESG활동이 강할수록 약하게 나타나는 것으로 확인되었고 이는 정보비대칭성 문제의 완화에 따른 결과로 보인다. 본 연구는 주가에 큰 영향을 미칠 것으로 보이는 기업의 단일판매공급계약 공시를 이용해 공시일 전후의 주가 흐름과 내부자의 거래행태를 확인해 주식시장에서 공정성이 유지되고 있는가를 확인하였다는 점에서 의의가 있다. This study analyses the stock price reaction before and after the disclosure of a contract for sales or supply through the event study methodology, and confirmed the trading behaviors of insiders or informed traders to determine whether unfair trading behaviors by using insider information occurred. It was confirmed that the average cumulative abnormal return adjusted by the market model reached the highest on the disclosure date or the day after the disclosure, and after that time the price declined, which means a price overreaction. On the other hand, no statistically significant evidence was found that the stock price rose abnormally before the date of disclosure. This implies that no information leakage and abnormal transactions that caused the stock price to rise abnormally had occurred at least before the disclosure date. Next there was no statistically significant increase in net buying by insiders before the disclosure date. This study is significant in that it confirmed whether fairness is maintained in the stock market by checking the stock price fluctuations before and after the disclosure date and the trading behavior of insiders by using the disclosure of a contract for sales or supply that is likely to have a great influence on the stock price.

불성실공시법인 지정 및 벌점부과에 대한 주가반응

이용석(Yong Seok Lee),박희진(Hee Jin Park),이세철(Se Chul Lee) 한국경영학회 2014 經營學硏究 Vol.43 No.2

The purpose of this study is to observe the capital market reaction concerning designation as an unfaithful disclosure company and imposition of penalty points. For this purpose, two methodologies are used in the study. The first methodology is the event study method which analyzes the stock market return before and after unfaithful disclosure designation due to reasons such as disclosure failure, disclosure overturn and disclosure change. The second methodology is the regression analysis method where the dependent variable is set as the daily stock return of the unfaithful disclosure company and the explanatory variable is set as the unfaithful disclosure penalty point. Information disclosure to the capital market performs the function of enabling efficient allocation of resources by alleviating the information asymmetry problem that exists between the internal and external users of companies. If the reliability and accuracy of the information disclosure which performs these functions are not secured, the market participants will have doubts on the reliability of the information provided by the companies, and there will be difficulty in assessing the objective value of the companies. Being designated as an unfaithful disclosure company means there is an error in the speed, accuracy and reliability of the information disclosure of the company, and it can be said that the gravity of the violation is heavier when the penalty is higher. If market participants interpret unfaithful disclosure designation and imposition of a penalty as increased uncertainty of information disclosure and a decline in reliability, the resulting negative perception will be reflected in the stock prices. Therefore, if the designation of unfaithful disclosure has an additional information effect in the capital market, the corresponding company is expected to have a negative stock price reaction on the day of unfaithful disclosure designation. This expectation has been validated by Sohn(2001) and Choi et al.(2013). However, since there is a chance that the results of previous studies such as these are due to many other factors of unfaithful disclosure of a corporation, it cannot be concluded with certainty that the cause of the negative stock price reaction is only due to unfaithful disclosure. Therefore, in addition to the case studies of previous studies, this study conducts regression analysis on the profit rate of the date of unfaithful disclosure company designation and penalty points for unfaithful disclosure, to verify aspects previous studies failed to verify due to inadequate material on penalty points. The analysis result shows a drop in the stock market return from the day of the designation of unfaithful disclosure, and a statistically significant negative cumulative return. This result signifies that stock market participants perceive designation of unfaithful disclosure as a negative event that impacts stock prices. Meanwhile, though the negative response was expected to increase proportionally with the imposed penalty points during the quarter of penalty imposition, the penalty points and negative reaction of the capital market were found to be unrelated. On the other hand, the negative response of the capital market was found to increase according to the level of penalty accumulation through past designation of unfaithful disclosure. This study is differentiated from previous studies as it directly observes the effect of penalties through a short-term stock price reaction based on the date of unfaithful disclosure designation. In addition, the study presents an intuitive result that the expense of a firm may increase due to the designation of unfaithful disclosure. Furthermore, the result of this study that unfaithful disclosure penalties accumulated from the past is related to the capital market reaction on the day of unfaithful disclosure designation is expected to provide significant implications to information users such as executives,

환경투자가 기업의 장기 주가수익률에 미치는 영향

정대현,김종대,김연복 한국회계정보학회 2014 회계정보연구 Vol.32 No.3

최근 지구온난화 등에 따른 환경문제를 해결하기 위하여 기업의 환경투자는 점증하고 있다. 정부의 규제에 의한 강제적인 환경투자뿐 아니라 기업의 전략적 환경투자도 증가하고 있는 추세이다. 기업들은 환경투자에 따른 수익성 악화와 기업가치 상승효과 사이의 상충관계(trade-off) 때문에 적절한 수준의 환경투자를 파악하려는 노력이 이루어지고 있다. 이러한 노력의 일환으로 환경투자가 기업의 수익성에 미치는 영향을 분석할 필요성이 제기되었다. 본 연구는 기업의 환경투자가 기업의 주가수익률에 어떠한 영향을 미치는지를 분석하였으며, 선행연구와 다르게 환경투자에 대한 평균적인 주가반응과 아울러 투자기간에 따라 주가반응이 변화하는지를 함께 분석하였다. 2000년부터 2011년까지 한국증권거래소에 상장되어 있는 기업을 대상으로 분석하였으며, 환경투자 금액 자료는 지속가능경영보고서에서 추출하였다. 실증분석결과, 환경투자는 평균적으로 주식시장의 투자자들에게 부정적인 측면으로 인식되어 환경투자가 기업의 주가수익률에 유의적인 음(-)의 영향을 미치고 있음을 확인하였다. 그러나 환경투자에 대한 장‧단기적인 시장반응은 단기에는 유의적인 음(-)의 반응을 보이다가 장기에는 유의적인 양(+)의 반응을 보였다. 이러한 결과는 환경투자에 대한 시장반응이 단기에는 비용으로 인식되어 부정적으로 나타나지만, 장기적으로 투자에 따른 환경위험 감소와 간접적인 가치상승 효과로 인해 시장반응이 긍정적으로 전환될 것이라는 본 연구의 가설을 지지하고 있다. 이러한 연구결과는 장기적으로 기업가치에 긍정적인 영향을 미칠 수 있는 지속적인 환경투자가 필요하다는 중요한 시사점을 기업의 경영자, 주식시장의 투자자, 환경정책 입안자 등 각종 이해관계자들에게 제공한다. Recently corporate environmental investment has been increasing to solve environmental issues such as global warming, both by governmental regulation and by corporate strategy. Corporations try to estimate optimal level of investment balancing the trade-off between the environmental investment cost and the increase in corporate value from the investment. As part of the efforts, the impact of environmental investment on corporate profitability has been analyzed. This research analyzed how environmental investment of corporations impact stock price. Differently from previous researches, this study analyzed general stock price reaction as well as the reaction per investment period. The samples include listed companies at Korea Stock Exchange between 2000 and 2011, and the environmental investment amount was extracted from sustainability report of each corporation. The empirical analysis confirmed that environmental investment was negatively viewed by stock market investors, and it had significantly negative impact on stock performance. However, the stock price reaction was only negative in the short term and became significantly positive in the long term. Such results supports the hypothesis of this study that environmental investment is viewed as an expense and leads to negative stock price reaction but the market reaction would become positive due to environmental risk decrease and indirect value increase in the long term. This research indicates an important implication to managers, investors, environmental policy makers and other stakeholders that continuous environmental investment is necessary for the enhancement of corporate value in the long term.

Analysts’ Forecast Consistency and Investor Responsiveness to Earnings Information

나종길,신희정,김영겸 이화여자대학교 경영연구소 2019 신산업경영저널 Vol.37 No.2

This study investigates how analysts’ forecast consistency is associated with investor responsiveness to earnings information. Hilary and Hsu (2013) reported that forecasts issued by analysts with more consistency of earnings forecast are more informative. Thus, we expect that analyst forecast with consistent error (i.e. error with low standard deviation) contributes to mitigating the investors’ under-reaction to earnings information. Consistent forecast errors, meanwhile, may lead to investors’ under-reaction to unexpected earnings. If investors fail to unravel the information in earnings persistence regarding future earnings change, forecast consistency may intensify investors’ under-reaction to earnings information, resulting into a more delayed stock price reaction. Thus, the effect of forecast consistency on the investors’ response to earnings information is an empirical question. Using 2005-2015 firms listed on Korean Stock Exchange, empirical result shows that analysts’ forecast consistency has positive relation to abnormal returns subsequent to earnings announcement date. Given that abnormal returns following earnings announcement date are due to investors’ under-reaction to earnings information, it appears analysts’ forecast consistency makes such a under-reaction to information stronger. Moreover, this result holds even after controlling for analysts forecast accuracy and addressing cross-sectional correlation between analysts. This means that investors do not fully understand the implication of consistent biases in analysts’ forecasts and consequently under-react to the information for future earnings. By showing the significant impact of analysts’ forecast consistency on a delayed stock price reaction, this study suggests analysts’ forecast consistency as a critical determinant of investor response to earnings information in stock market.

세무조사와 주가반응

정운오,전병욱 한국세무학회 2010 세무학 연구 Vol.27 No.3

본 연구에서는 이용가능한 과세자료의 제약으로 인해 국내 및 외국의 선행연구에서 다루지 않은세무조사 관련 사건들에 대한 주가반응을 조사하였다. 세무조사와 관련된 사건들은 세무조사사전통지, 세무조사의 착수, 세무조사의 종결, 결과통지, 불복청구, 세무소송 등과 같은 일련의 사건으로구성되어 있다. 이 가운데 본 연구는 세무조사사전통지일과 착수일을 하나의 사건일로 간주하고,세무조사종결일과 결과통지일을 또 하나의 사건일로 간주하여 각각의 사건일을 포함하는 일정기간동안의 AAR(평균비정상수익률)과 CAR(누적비정상수익률)을 조사하였다. 본 연구는 먼저 세무대리인들을 통해 158개의 세무조사 표본을 사적(私的)으로 수집하였는데, 이 표본에 대한 실증분석결과에 따르면, 전반적으로 세무조사의 착수는 주가에 부정적 영향을 미치는 반면, 세무조사의 종결은 주가에 긍정적인 영향을 미치는 것으로 나타남으로써, 세무조사 관련 사건에 대한 주가반응이일률적이지 않음을 발견하였다. 그러나 세무조사의 주가관련성 가설은 엄밀한 의미에서 볼 때 ‘세무조사가 주가에 영향을 미칠것’이라는 가설과 ‘세무조사관련 사건이 공개된 정보(public knowledge)’라는 가설이 결합된 것이다. 따라서 세무조사 대상기업의 주가가 영향을 받는다 하더라도 이러한 결과가 전적으로 세무조사에 기인한다고 단언하기 어려운 측면이 있다. 이러한 문제점을 회피하기 위해 본 연구는 공시자료로부터 별도표본을 수집하여 추가분석을 실시하였다. 「유가증권시장공시규정」과 「코스닥시장공시규정」에 따르면, 자기자본의 일정비율 이상에 해당하는 “벌금 등”을 부과된 사실이 확인된 법인은그 사실을 사유발생일 당일에 거래소에 신고해야 한다. 이에 근거하여 본 연구는 금융감독원 전자공시시스템(dart.fss.or.kr)을 통해 2000년부터 2008년까지 추징세액을 공시한 157개의 상장기업을추출한 후 공시일을 전후한 주가반응을 분석하였다. 이 추가분석에서는 추징세액을 공시한 기업의주가가 공시일 직후 거래일(+1 거래일)에서 유의적으로 하락한 사실을 관찰할 수 있었다. This study investigates market responses to tax audits, an empirical issue rarely studied in the previous literature due to the unavailability of related taxation data. A series of events related to a tax audit comprises a prior notice of audit, commencement of audit, termination of audit, notice of audit result, petition of appeal, and litigation. This study combines prior notice and audit commencement as a single event because these two events are only 7 calendar days apart. Similarly, audit termination and the notice of audit result are combined as another single event for the same reason. Then, the average abnormal returns(AAR) and the cumulative abnormal returns(CAR) are examined for the period encompassing each of the two event dates separately. First, we privately collect relevant taxation data from professional tax accountants who file tax returns regularly on behalf of their clients. The empirical results from analyzing this private sample generally indicate that the commencement of a tax audit adversely affects stock prices of the firms experiencing the audit, but that the termination of the audit has a positive impact on the stock prices. That is, the market responses to the audit-related events are not uniform. Strictly speaking, however, the hypothesis that tax audits would affect stock prices is a joint hypothesis:In essence, we jointly test whether the market reacts to tax audits, and whether the audit event is public knowledge known to the market. It is uncertain that the market is normally aware of the tax audit in progress in a specific firm because tax audits are typically conducted in private, and further because the firms subject to audit are not required to, and have no incentives to announce it publicly. Accordingly, it is difficult to state definitely that the observed market reactions are due to tax audits:Because tax audits are not public knowledge, the market may be unaware of the events, and we thus cannot totally exclude the possibility that the reactions may be triggered by other factors and events. To avoid dealing with this issue, we collect another sample from public data and conduct a similar analysis on this sample:In accordance with 「Disclosure Regulations in Securities Markets」, a corporation who comes to know the fact that it becomes subject to a penalty or fine the magnitude of which exceeds a certain percentage of its total equity should report it immediately to the Securities Exchange. We collect from the Financial Supervisory Service’s electronic disclosure system 157 firms who make announcement of tax penalties for the period of 2000 through 2008. The empirical result from this sample reveals that the stock prices of the sample firms decline significantly on day +1, one day after the penalty announcement.