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      KCI우수등재 SCOPUS

      누가 주가붕괴위험을 부담하는가?: 회계이익의 불투명성을 중심으로 = Who Takes a Stock Price Crash Risk?: Focusing on Earnings Opacity

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      https://www.riss.kr/link?id=A101869617

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      다국어 초록 (Multilingual Abstract)

      Managers withhold bad news up to a certain threshold and sometimes distort accounting information to hide bad news (Dechow et al. 1996, Hutton et al. 2009). The release of accumulated bad news could cause a stock price crash (Jin and Myers 2006, Francis et al. 2011, Kim and Zhang 2015). This paper investigates investors`` different trading behavior regarding on the stocks with concealed bad news. The firms that report opaque earnings are less likely to disclose bad news in time. However, the bad news is eventually released and delivered to investors in a different time-line depending on the investors`` accessibility to private information. Individual and professional investors have different ability to process information. The professional investors have higher expertise to analyze the information than the individual investors. The individual investors are likely to overlook the implications of the earnings opacity. Thus, the professional investors can sell stocks with opaque earnings, but the individual investors are less likely to timely sell out the stocks having potential bad news. Based on the above discussion, we expect that individual and institutional investors do not have same trading behavior on the stocks with opaque earnings because of the differences in their accessibility to private information and in their skills to interpret signal of bad news. We also conjecture that the professional investors with the information advantage could preempt the bad news and they can sell the stocks stealthily with concealed bad news before the stock price crash happens, while the individual investors are relatively late informed and are likely to lose the opportunity to timely sell the stocks. This paper also examines whether each investors`` trading behaviors has been changed since the Fair Disclosure is enacted in 2002. The Fair Disclosure regulation is expected to mitigate the information asymmetry among investor types. This paper measures earnings opacity as the prior three years moving sum of absolute value of discretionary accruals, where discretionary accruals are estimated by the modified Jones model. We proxy for the stock price crash as the event that firm-specific weekly returns fall under 3.2 standard deviations below the mean firm-specific weekly returns for the fiscal year. Empirical analysis is performed for the sample consisting of 5,830 firm-year observations including firms with December fiscal year and firms listed in Korea Exchange for the period 2000~2014 excluding financial crisis period (2008~2009). The results of this study are follows. First, the individual investors are more likely to be net-buyers of the stocks with opaque earnings. It means that although earnings opacity implies the concealed bad news, the individual investors overlook this signal because they do not carefully consider it in their investment strategy. Second, the individual investors are placed in a position to buy the stocks having bad news before the stock price crash but the professional investors actively sell stocks before the crash. This result shows that the professional investors with information advantage preempt bad news before it is fully opened to the market. Third, the individual investors are less likely to buy stocks with opaque earnings concealed bad news after the Fair Disclosure regulation. The gap of the net buying volume before the stock price crash between individual and professional investors has been decreased. It means that the adoption of Fair Disclosure contributes to reducing the information asymmetry among investors. This paper contributes to the literature as follows. First, this study provides an evidence that the individual investors are net-buyers of the stocks with opaque earnings since they have limited accessibility to private information and lack the skills to interpret accounting bad news. Second, this study shows that bad news is delivered to the professional investors preceeding to the individual investors. Therefore, the professional investors who preempt bad news stealthily sell the stocks before the stock price crash, but the individual investors buy them before the crash. Finally, this study revalidates that the adoption of Fair Disclosure has mitigated information asymmetry among investors. All the findings of this study are expected to provide useful information to policy makers as well as individual investors who participate in the market.
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      Managers withhold bad news up to a certain threshold and sometimes distort accounting information to hide bad news (Dechow et al. 1996, Hutton et al. 2009). The release of accumulated bad news could cause a stock price crash (Jin and Myers 2006, Franc...

      Managers withhold bad news up to a certain threshold and sometimes distort accounting information to hide bad news (Dechow et al. 1996, Hutton et al. 2009). The release of accumulated bad news could cause a stock price crash (Jin and Myers 2006, Francis et al. 2011, Kim and Zhang 2015). This paper investigates investors`` different trading behavior regarding on the stocks with concealed bad news. The firms that report opaque earnings are less likely to disclose bad news in time. However, the bad news is eventually released and delivered to investors in a different time-line depending on the investors`` accessibility to private information. Individual and professional investors have different ability to process information. The professional investors have higher expertise to analyze the information than the individual investors. The individual investors are likely to overlook the implications of the earnings opacity. Thus, the professional investors can sell stocks with opaque earnings, but the individual investors are less likely to timely sell out the stocks having potential bad news. Based on the above discussion, we expect that individual and institutional investors do not have same trading behavior on the stocks with opaque earnings because of the differences in their accessibility to private information and in their skills to interpret signal of bad news. We also conjecture that the professional investors with the information advantage could preempt the bad news and they can sell the stocks stealthily with concealed bad news before the stock price crash happens, while the individual investors are relatively late informed and are likely to lose the opportunity to timely sell the stocks. This paper also examines whether each investors`` trading behaviors has been changed since the Fair Disclosure is enacted in 2002. The Fair Disclosure regulation is expected to mitigate the information asymmetry among investor types. This paper measures earnings opacity as the prior three years moving sum of absolute value of discretionary accruals, where discretionary accruals are estimated by the modified Jones model. We proxy for the stock price crash as the event that firm-specific weekly returns fall under 3.2 standard deviations below the mean firm-specific weekly returns for the fiscal year. Empirical analysis is performed for the sample consisting of 5,830 firm-year observations including firms with December fiscal year and firms listed in Korea Exchange for the period 2000~2014 excluding financial crisis period (2008~2009). The results of this study are follows. First, the individual investors are more likely to be net-buyers of the stocks with opaque earnings. It means that although earnings opacity implies the concealed bad news, the individual investors overlook this signal because they do not carefully consider it in their investment strategy. Second, the individual investors are placed in a position to buy the stocks having bad news before the stock price crash but the professional investors actively sell stocks before the crash. This result shows that the professional investors with information advantage preempt bad news before it is fully opened to the market. Third, the individual investors are less likely to buy stocks with opaque earnings concealed bad news after the Fair Disclosure regulation. The gap of the net buying volume before the stock price crash between individual and professional investors has been decreased. It means that the adoption of Fair Disclosure contributes to reducing the information asymmetry among investors. This paper contributes to the literature as follows. First, this study provides an evidence that the individual investors are net-buyers of the stocks with opaque earnings since they have limited accessibility to private information and lack the skills to interpret accounting bad news. Second, this study shows that bad news is delivered to the professional investors preceeding to the individual investors. Therefore, the professional investors who preempt bad news stealthily sell the stocks before the stock price crash, but the individual investors buy them before the crash. Finally, this study revalidates that the adoption of Fair Disclosure has mitigated information asymmetry among investors. All the findings of this study are expected to provide useful information to policy makers as well as individual investors who participate in the market.

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      참고문헌 (Reference)

      1 박경인, "한국 증권시장의 투자자 유형에 따른 성과분석" 한국증권학회 35 (35): 41-76, 2006

      2 고광수, "투자 주체별 포트폴리오 특성과 성과 분석 :개인, 기관, 외국인" 한국증권학회 33 (33): 35-62, 2004

      3 이세용, "정공시제도 도입으로 인한 회계이익의 가치관련성 변화에 대한 연구" 한국회계학회 36 (36): 37-70, 2011

      4 안윤영, "외국인투자자와 정보비대칭 간의 관계" 한국회계학회 30 (30): 109-131, 2005

      5 이원흠, "공정공시제도 시행이후 기업의 공시행태와 애널리스트의 투자등급 정보효과 변화에 관한 연구" 한국증권학회 33 (33): 1-31, 2004

      6 김성민, "공정공시제도 도입이후 기업의 공시행태 및 비기대실적치의 정보효과" 한국증권학회 34 (34): 71-100, 2005

      7 나영, "공정공시와 자기자본비용의 관련성" 한국회계학회 39 (39): 1-42, 2014

      8 김지홍, "공정공시 전후의 이익공시에 대한 시장반응비교" 한국경영학회 34 (34): 1895-1915, 2005

      9 Kang, J. K., "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan" 46 (46): 3-28, 1997

      10 Bhattacharya, N., "Who trades on pro forma earnings information?" 82 (82): 581-619, 2007

      1 박경인, "한국 증권시장의 투자자 유형에 따른 성과분석" 한국증권학회 35 (35): 41-76, 2006

      2 고광수, "투자 주체별 포트폴리오 특성과 성과 분석 :개인, 기관, 외국인" 한국증권학회 33 (33): 35-62, 2004

      3 이세용, "정공시제도 도입으로 인한 회계이익의 가치관련성 변화에 대한 연구" 한국회계학회 36 (36): 37-70, 2011

      4 안윤영, "외국인투자자와 정보비대칭 간의 관계" 한국회계학회 30 (30): 109-131, 2005

      5 이원흠, "공정공시제도 시행이후 기업의 공시행태와 애널리스트의 투자등급 정보효과 변화에 관한 연구" 한국증권학회 33 (33): 1-31, 2004

      6 김성민, "공정공시제도 도입이후 기업의 공시행태 및 비기대실적치의 정보효과" 한국증권학회 34 (34): 71-100, 2005

      7 나영, "공정공시와 자기자본비용의 관련성" 한국회계학회 39 (39): 1-42, 2014

      8 김지홍, "공정공시 전후의 이익공시에 대한 시장반응비교" 한국경영학회 34 (34): 1895-1915, 2005

      9 Kang, J. K., "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan" 46 (46): 3-28, 1997

      10 Bhattacharya, N., "Who trades on pro forma earnings information?" 82 (82): 581-619, 2007

      11 Dennis, P., "Who is informed? An analysis of stock ownership and informed trading?" University of Virginia 2002

      12 Kumar, A, "Who gambles in the stock market?" 64 (64): 1889-1933, 2009

      13 Barber, B. M., "Trading is hazardous to your wealth : The common stock investment performance of individual investors" 55 (55): 773-806, 2000

      14 Morck, R., "The information content of stock markets: who do emerging markets have synchronous stock price movements?" 58 (58): 215-260, 2000

      15 Lakonishok, J., "The impact of institutional trading on stock prices" 32 (32): 23-43, 1992

      16 Sinha, P., "The efficacy of regulation Fair Disclosure" 45 (45): 331-354, 2010

      17 Ke, B., "The effect of regulation FD on transient institutional investors’ trading behavior" 46 (46): 853-883, 2008

      18 Ajinkya, B., "The behavior of daily stock market trading volume" 11 (11): 331-359, 1989

      19 Healy, P. M., "Stock performance and intermediation changes surrounding sustained increases in disclosure" 16 (16): 1-31, 1999

      20 Chakravarty, S, "Stealth-trading: Which traders' trades move stock prices?" 61 (61): 289-307, 2001

      21 Cohen, L., "Sell side school ties" 65 (65): 1409-1437, 2010

      22 Kumar, A., "Retail investor sentiment and return comovements" 61 (61): 2451-2486, 2006

      23 Irani, A. J., "Regulation fair disclosure, analyst following, and analyst forecast dispersion" 17 (17): 15-29, 2003

      24 Sidhu, B., "Regulation fair disclosure and the cost of adverse selection" 46 (46): 697-727, 2008

      25 Jin, L., "R2 around the world : New theory and new tests" 79 (79): 257-292, 2006

      26 Falkenstein, E, "Preferences for stock characteristics as revealed by mutual fund portfolio holdings" 51 (51): 111-135, 1996

      27 Hutton, A. P., "Opaque financial reports, R2, and crash risk" 94 (94): 67-86, 2009

      28 DeLong, J. B., "Noise trader risk in financial markets" 98 (98): 703-738, 1990

      29 Black, F, "Noise" 41 (41): 529-543, 1986

      30 Hasbrouck, J, "Measuring the information content of stock trades" 46 (46): 179-207, 1991

      31 Brennan, M. J., "Market microstructure and asset pricing : on the compensation for illiquidity in stock returns" 41 (41): 441-464, 1996

      32 Fama, E. F., "Luck versus skill in the cross‐section of mutual fund returns" 65 (65): 1915-1947, 2010

      33 Barber, B. M., "Just how much do investors lose from trade?" 22 (22): 609-632, 2009

      34 Bhattacharya, N, "Investors’ trade size and trading responses around earnings announcements : An empirical investigation" 76 (76): 221-244, 2001

      35 Ayers, B., "Investor trading and the post earnings announcement drift" 86 (86): 385-416, 2011

      36 Lee, C., "Investor sentiment and the closed-end fund puzzle" 46 (46): 75-109, 1991

      37 Brennan, M. J., "International portfolio investment flows" 52 (52): 1851-1880, 1997

      38 Szewczyk, S., "Institutional ownership and the liquidity of common stock offerings" 27 (27): 211-225, 1992

      39 Chung, R., "Institutional monitoring and opportunistic earnings management" 8 (8): 29-48, 2002

      40 최성규, "Institutional Ownership and Accounting Transparency" 한국증권학회 37 (37): 627-673, 2008

      41 Chan, K., "Information asymmetry and asset prices : Evidence from China foreign share discount" 63 (63): 159-196, 2008

      42 Kaniel, R., "Individual investor trading and stock returns" 63 (63): 273-310, 2008

      43 Nofsinger, J. R., "Herding and feedback trading by institutional and individual investors" 54 (54): 2263-2295, 1999

      44 Francis, B., "Firms' real earnings management and subsequent stock price crash risk" 2011

      45 Maffett, M, "Financial reporting opacity and informed trading by international institutional investors" 54 (54): 201-220, 2012

      46 Glosten, L., "Estimating the components of the bid–ask spread" 21 (21): 123-142, 1988

      47 Lee, C, "Earnings news and small traders" 15 : 265-302, 1992

      48 Leuz, C., "Earnings management and investor protection : An international comparison" 69 (69): 505-527, 2002

      49 DeFond, M., "Does mandatory IFRS adoption affect crash risk?" 90 (90): 265-299, 2015

      50 Kothari, S. P., "Do managers withhold bad news?" 47 (47): 241-276, 2009

      51 Hirshleifer, D., "Do individual investors cause post-earnings announcement drift? Direct evidence from personal trades" 83 (83): 1521-1550, 2008

      52 Leuz, C., "Do foreigners invest less in poorly governed firms?" 22 (22): 3245-3285, 2009

      53 Dvorak, T, "Do domestic investors have an information advantage : Evidence from Indonesia" 60 (60): 817-839, 2005

      54 Choe, H., "Do domestic investors have an edge? The trading experience of foreign investors in Korea" 18 (18): 795-829, 2005

      55 Grinblatt, M., "Distance, language, and culture bias : The role of investor sophistication" 56 (56): 1053-1073, 2001

      56 Dechow, P. M., "Detecting earnings management : A new approach" 50 (50): 275-334, 2012

      57 Dechow, P. M., "Detecting earnings management" 70 (70): 193-225, 1995

      58 Chung, K., "Corporate governance and institutional ownership" 46 (46): 247-273, 2011

      59 Bushee, B., "Corporate disclosure practices, institutional investors, and stock return volatility" 28 (28): 171-202, 2000

      60 Lang, M., "Corporate disclosure policy and analyst behavior" 71 (71): 467-492, 1996

      61 Kyle, A, "Continuous auctions and insider trading" 53 (53): 1315-1335, 1985

      62 Dechow, P. M., "Causes and consequences of earnings manipulation : An analysis of firms subject to enforcement actions by the SEC" 13 (13): 1-36, 1996

      63 Barber, B. M., "Boys will be boys : Gender, overconfidence, and common stock investment" 116 (116): 261-292, 2001

      64 Gehrig, T, "An information based explanation of the domestic bias in international equity investment" 95 : 97-109, 1993

      65 Kim, J. B., "Accounting conservatism and stock price crash risk: Firm-level evidence" 1-31, 2015

      66 Kwak, S. K, "A study on measurement of accounting transparency - Focusing on grand prize for transparent accounting of Korean Accounting Association" 38 (38): 37-71, 2004

      67 DeBondt, W. F. M., "A portrait of the individual investor" 42 (42): 831-844, 1998

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2020 평가예정 계속평가 신청대상 (등재유지)
      2015-01-01 평가 우수등재학술지 선정 (계속평가)
      2011-01-01 평가 등재학술지 유지 (등재유지) KCI등재
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      2005-01-01 평가 등재학술지 유지 (등재유지) KCI등재
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      1999-07-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 1.96 1.96 2.48
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      2.65 2.74 5.829 0.22
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