공정공시 전후의 이익공시에 대한 시장반응비교

With the adoption of Regulation Fair Disclosure(Reg FD) on November 2002, Reg FD prohibits selective disclosure of material information and requires broad, non-exclusionary disclosure of such information. This study examines the effect of Reg FD by comparing earnings disclosure data from pre-FD period to post-FD. That is, the purpose of this study is to analyze whether there is different market response to earnings disclosure, and whether there is change of information asymmetry between company and investors since Reg FD has been adopted. Reg FD induces substantial changes in the information environment. But the effect of this action is debated. Thus in one side, Reg FD seems to increase the quantity of information available to the public, and corporate managers can no longer treat material information as a commodity to gain favor with analysts, who feel pressure to issue favorable reports to maintain access to those corporations. Analysts must conduct more independent research rather than depending on data by corporate management. In the other side, Reg FD will chill corporate disclosure. If the materiality standard is vague, companies will restrict discussions with analysts and investors to avoid potential legal action. Given what is in this debate, understanding the effect of Reg FD on earnings disclosure is an important empirical question with practical implications. If so, how has Reg FD affected the investors in Korean financial market? This study examines the effect of Reg FD by comparing earnings disclosure data from pre-FD period to post-FD. Particularly, this paper tests market responses to earnings disclosure, and analyze whether there is different market response and whether Reg FD solves information asymmetry problem. Using a sample of 1,500 Korean firm-year observations that disclose earnings information for the years 2000-2003, this paper empirically examines the effect of Reg FD on earnings disclosure, so compares pre-FD period(2000, 2001) with post-FD period(2002, 2003). For this analysis we estimate information asymmetry by using substitute measure, ARV3 and ATV3. ARV3 is abnormal return volatility, calculated by summation of absolute abnormal return for event period(-1, 0, 1). ATV3 is abnormal trading volume, calculated by summation of abnormal trading volume for event period(-1, 0, 1). These measures are used for the analysis to examine Reg FD’s effect on information asymmetry among investors. The results of this study are summarized as follows. First, the timing of earnings disclosure of post-FD is earlier than pre-FD, and the number of earnings releases is increased. Second, Abnormal return volatility around earnings disclosure date is decreased at post-FD period. That means, in post-FD, other related information about earnings has been released before earnings are disclosed, and market response on time of earnings disclosure is diminished. Third, Abnormal trading volume around earnings disclosure date is decreased at post –FD period. Thus, this results support that Reg FD seems to increase the quantity of information available to the public, and solve the information asymmetry problem in some degree.