경영자 이익예측정보의 시장반응과 그 결정요인

This study investigates 1) whether management earnings forecasts under Regulation Fair Disclosure convey new information to the market regarding the change in the intrinsic value of the company, 2) how forecast characteristics and earnings qualities affect the magnitude of market reaction to management earnings forecasts, 3) whether the ex post accuracy of management forecasts influences the information content of the management earnings forecasts. Management earnings forecasts are voluntary managerial disclosures that predict earnings prior to the expected reporting day (King et al. 1990). Managers often disclose earnings forecasts to correct information asymmetry problems, which influence their firm's stock price (Leuz and Verrecchia 2000). Many studies from 1970s and early 1980s demonstrated that management earnings forecasts indeed have the information content as they influence stock prices in U.S (Patell 1976; Jaggi 1978; Penman 1980; Ajinkya and Gift 1984; Waymire 1984). But, little research has examined the relation between management earnings forecasts and the market reaction in Korea except studies by Sohn (1997) and Han et al. (2000). However, the results from these studies produced conflicting results. One of the main motives for this study is that the information environment of Korean stock market has substantially changed after adopting the Regulation Fair Disclosure (FD),which we expect to influence the information content of management forecasts. Regulation FD prohibits companies from disclosing market-sensitive information to selected investors before making it public. This enables investors to access material financial information at the same time, so the market reaction is anticipated to be more reflective around the disclosure day than before. Thus, the first hypothesis of this paper is to revisit the basic question that a good news forecast of manager is associated with an upward price revision and a bad news forecast with a downward revision (H1). Having established that management forecasts have information content, we investigate whether forecast characteristics and earnings qualities affect the magnitude of stock price reactions to management forecasts. Hutton et al. (2003) argue that bad news forecasts are regarded as inherently informative, whereas good news forecasts are considered informative only when accompanied by verifiable forward-looking information. So, we hypothesize that the market reaction to bad news forecasts will be larger than that to good news (H2-1). As for the accuracy of forecast time horizon, the previous studies reported that the management forecasts with shorter time horizon are more accurate than those with longer time horizon (Pownall et al. 1993; Rogers and Stocken 2005) We expect that the forecasts with shorter horizon will have larger market responses to management forecasts than those with longer horizon (H2-2). Bamber and Cheon (1998) suggest that forecasts disclosed to analysts and reporters are more accurate than those through other venue. Based on this, we hypothesize that forecasts through IR or conference call will have higher information content than those through other venue (H2-3). Kasznik (1999) finds the firms with good news have significantly positive discretionary accruals. Gong et al. (2009) show the positive association between accruals and subsequent management earings forecast errors. Based on these studies, we expect that management forecast with higher accruals will have smaller stock price responses (H2-4). Lastly, we hypothesize that management forecasts with higher earnings volatility will have smaller market reactions (H2-5). These three (H2-3, 4, and 5) hypotheses are not specifically tested in the existing research. McNichols (1989) documents that stock prices reflect information beyond management earnings forecasts because investors access some information that managers do not report. Based on this, we additionally investigate whether ex post management forecast errors are negatively related to the magnitude of market reactions to management forecasts as a supplementary test. We collect management earnings forecasts for the firms listed on Korean Stock Exchange for the period of November 2002 to 2007 from the DART database. The sample selection criteria yield a final sample of 470 firm-year observations. We test our hypotheses by analyzing abnormal returns and U-ratio around the dates of forecasts. And then, we regress cumulative abnormal returns on test variables including control variables. Overall, empirical results support most of hypotheses specified. We find that 1) management earnings forecasts have information content after adopting Fair Regulation Rule, 2) forecasts with short horizon/IR or conference call venue are more informative than forecasts with long horizon/newspaper etc, 3) The stock price responses underreact to the management forecasts when the managers’ discretion over earnings and/or earnings volatility are larger, and 4) ex post management forecasts errors are negatively related to the magnitude of market reactions to management forecasts. This study makes several contributions to the voluntary disclosure literature in Korea. First and foremost, this paper provides strong evidence that management earnings forecasts under Regulation FD have information content in Korea. Second, this paper extends prior studies by investigating the relation between management forecast characteristics as well as earnings qualities and market responses. Third, we introduce new factors (forecast venue,accruals, and earings volatility) that can affect market responses to management forecasts. These results indicate that stock prices respond to not only forecast earnings but also forecast characteristics and earings qualities. We expect this study provides implications to market participants with respect to how investors assess and react to management forecasts.