회계감리조치가 주가에 미치는 영향

This paper investigates both the penalty on the company and the securities returns under surveillance designation for 2003 to 2006 in Korea. The SFC(Securities & Future Commission) shall impose the following penalties when a company violated the Act. The types of these penalty on the company are the restriction of issuance of securities, recommendation of dismissal of officers, auditor designation, correction order, warning, notifying the public prosecutor's office of their violations, and charges of violations. And securities returns use both daily returns and excess returns by market adjusted model before and after public announcement of false accounting. This paper uses ±10 daily returns observation for the period around public announcement of false accounting by FSS. The following 20 days from -10 days through +10 days are defined as the event period. The results of this paper can be summarized as follows: First, the results indicate that securities returns has greatly been affected after surveillance designation in consistent with prior studies. As predicted, these securities returns are negatively associated with the public announcement of false accounting. Second, the results of empirical test report significantly lower securities returns(daily returns, and cumulative excess returns) for event period after surveillance designation. Resulting from regression coefficients, most penalty on the company has negatively associated with securities returns. Third, both window dressing amounts and the number of window dressing fiscal year may no influence with securities returns. Finally, this paper documents, based on difference tests of returns and regression analyses, that securities returns of the KOSDAQ firms is significantly decreased than those of the KSE firms even though both groups tend to negative decrease.