공시의 빈도와 질이 주가동조화에 미치는 영향 - 유가증권거래소의 공시자료를 이용한 분석 -

Disclosure is a way of transferring firms’ information to market, and recent improvement of disclosure system has been carried out to decrease information asymmetry of investors and it may influence their investment behavior. So firms can enhance the reliability of the information as well as the transparency by activating disclosure. Therefore the market evaluates and reflects firms’ information according to their disclosure activity. In Korea, the environment of disclosure has changed since DART system through which listed firms should disclose their information was introduced on April, 1999. Therefore, the accessibility to information at investors’ position and the promptness of information spread at companies’ position are progressed, If the improvement of disclosure system affects to decrease information asymmetry and to access intrinsic valuation, it may cause the change of market’ reaction. But if it affects not the reliability of information but the quantity of information, it may reduce the usefulness of information. If the usefulness of information increases in proportion to the quantity of information, the disclosure frequency may be related with which information are impounded into stock prices. This paper examines that disclosure frequency and quality among firms’ disclosure activities influence the relative amount of firm specific information impounded into stock prices in Korea. We define stock price synchronicity as the extent to which market and industry returns explain variation in firm-level stock returns. Measured as a logarithmic transformation of the R2 from a modified market model including market and industry returns, stock price synchronicity is an estimate of the relative amount of firm-specific versus macro-economic information influencing price. This paper verifies how the quantity and quality of information provided by firms influence the stock price synchronicity. As a result, after controlling the quality of disclosure, stock price synchronicity is negatively associated with the frequency of disclosure. This result shows that investors more use the firm-specific information than macro-economic information like the market index or industry index as the quantity if information provided by firms increases. For the robustness test, we use different measures as the stock price synchronicity, which are the ratios of weeks that firm stock return moved to same sign as market index or industry index, It also shows same results and support our hypothesis, Using voluntary disclosure, we find that the relation of stock price synchronicity and the frequency of voluntary disclosure is negative, but is not statistically significant. With recent change of disclosure environment, the quantity of firm-specific information provided by firms may increase, so stock price may impound the firms’ intrinsic value consistent with disclosure activity improving. This is consistent with prior research that finds positive relations between stock price synchronicity and stock price informativeness. Durnev et al. (2003) show firms and industries with lower stock price synchronicity exhibit higher association between current returns and future earnings, concluding that the importance of firm-specific variation in stock returns most likely reflects the capitalization of firm-specific information about fundamentals into stock prices and thus reflects an efficient market. This paper supports that the improvement of disclosure system make sufficient information provided, furthermore, make progress toward efficient market.