한국 주식시장에서 기대이익의 바람직한 대용치는 무엇인가?- 랜덤워크 모형과 애널리스트 예측 모형의 비교를 중심으로 -

The purpose of this paper provides evidence of financial analysts' forecast of earnings as a proxy for market expectations in Korean stock market. How to precisely measure unexpected earnings is very important issue on the accounting information content studies. Many empirical studies have used financial analysts' forecast as a proxy for market expectations. But Korean researchers have used prior earnings as a proxy for market expectations. We employ two measurements to compare the superiority of alternative proxies for the market expectations. The results of this study are summarized as follows. First, we find that financial analysts' forecasts are more accurate than random walk model (prior earnings) in predicting firms' earnings. This results are stable even after controlling the timing advantages of financial analysts' forecasts. Second, using the subsample covered by financial analysts, we find no evidence that there are relations between unexpected earnings calculated using random-walk model and cumulative abnormal returns around the annual shareholder's meeting date. However, unexpected earnings computed using financial analysts' forecasts is significantly positive correlated with cumulative abnormal returns around the annual shareholder's meeting date.