이익 공시시점과 주가지연반응 = Timing of Earnings Announcement and Post-Earnings-Announcement-Drift(PEAD)

다국어 초록 (Multilingual Abstract)

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.

참고문헌 (Reference)

1 이경태, "주가표류현상에 영향을 미치는 요인에 관한 연구" 한국회계학회 33 (33): 61-101, 2008

2 최종원, "재무제표의 비교가능성이 주가표류현상에 미치는 영향" 한국회계학회 42 (42): 161-207, 2017

3 나종길, "외국인 소유지분 비중에 따른 이익발표 후 잔류현상의 차이" 한국회계학회 37 (37): 203-238, 2012

4 백복현, "연간이익공시 시점에 대한 연구" 한국회계학회 37 (37): 253-293, 2012

5 김지홍, "연간이익 공시 시점별 시장반응" 한국회계학회 31 (31): 35-56, 2006

6 손성규, "손익구조변경 수시공시의 정보효과에 대한 실증분석" 한국회계학회 14 (14): 29-56, 2005

7 이경태, "경영자 예측정보공시와 주가표류현상" 한국회계학회 36 (36): 211-248, 2011

8 이효정, "개인투자자의 거래행태가 실적공시에 대한 주가지연반응(PEAD)에 미치는 영향" 한국증권학회 41 (41): 393-436, 2012

9 Kimbrough, M., "The Effect of Conference Calls on Analyst and Market Underreaction to Earnings Announcement" 80 (80): 189-219, 2005

10 Beaver, W., "The Association Between Unsystematic Security Returns and the Magnitude of Earnings Forecast Errors" 17 (17): 316-340, 1979

11 Abarbanell, J, "Tests of Analysts’ Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior" 47 (47): 1181-1207, 1992

12 Soffer, L., "Post-Earnings Announcement Drift and the Dissemination of Predictable Information" 16 (16): 305-331, 1999

13 Korea Exchange Stock Market Division, "KRX Corporate Disclosure Guide"

14 박석진, "K-IFRS 도입에 따른 이익공시후 주가표류현상의 특성에 대한 분석: 연결재무제표이익과 별도재무제표이익의 차이를 중심으로" 한국회계학회 24 (24): 313-344, 2015

15 Bartov, E., "Investor Sophistication and Patterns in Stock Returns After Earnings Announcements" 75 (75): 43-63, 2000

16 Zhang, X., "Information Uncertainty and Stock Returns" 61 (61): 105-136, 2006

17 Ball, R, "How Naive is the Stock Market’s Use of Earnings Information?" 21 (21): 319-337, 1996

18 Bernard, V., "Evidence that Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings" 13 (13): 305-341, 1990

19 Fama, E., "Efficient Capital Market: II" 46 (46): 383-417, 1991

20 Foster, G., "Earnings Releases, Anomalies, and the Behavior of Security Returns" 59 (59): 574-603, 1984

21 Hirshleifer, D., "Driven to Distraction: Extraneous Events and Underreaction to Earnings News" 64 (64): 2289-2325, 2009

22 Brown, L., "Do Stock Prices Fully Reflect the Implications of Current Earnings for Future Earnings for AR1 Firms?" 38 (38): 149-164, 2000

23 Hirshleifer, D., "Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades" 83 (83): 1521-1550, 2008

24 Livnat, J., "Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts" 44 (44): 177-205, 2006

25 Kothari, S., "Capital Markets Research in Accounting" 31 (31): 105-231, 2001

26 Bhushan, R., "An Information Efficiency Perspective on the Post-Earnings Announcement Drift" 18 (18): 45-65, 1994

27 Ball, R, "An Empirical Evaluation of Accounting Income Numbers" 6 (6): 159-178, 1968