기업의 정보환경과 자율공시의 정보효과

This study examines the information content of voluntary disclosure by investigating the market's reaction to voluntary disclosure which is divided into good news and bad news. It also examines the relation between information environment and voluntary disclosure by using a sample of voluntary disclosure items reported on the KIND (Korea Investor's Network for Disclosure system). This study uses two methods when dividing voluntary disclosure items. The first one divides voluntary disclosure by an arbitrary decision, and the other divides voluntary disclosure by market's reaction. The proxy for the information environment used firm size and voluntary disclosure frequency. The results of the study are as follows. First, during disclosure period the voluntary disclosure reflects the characteristics of good news and bad news, and has significant market's reaction. Second, when using the method that divides the voluntary disclosures by an arbitrary decision, it showed that there are firm size effects in excess returns and trading volume for good news and only in excess returns for bad news. Also, the effects were the same for the voluntary disclosure frequency. This study has the limitations by assuming that voluntary disclosure has the same size of information content for each information user and it was not able to control other causes that affect the market's reaction.