애널리스트 투자의견 하향에 대한 공매도거래 분석

This paper analyzes short-selling prior to the release of analyst downgrades to investigate the investment value of analyst downgrades and it relationship with short-seller’s trading behavior. Using a sample of 612 downgrades of the Korea Exchange stocks (KSE, KOSDAQ) from June 1, 2009 to May 31, 2011, we find the following things. First, the abnormal announcement return (days 0 to 1) has a statistically significant negative value, which means that analyst downgrades have the investment value in the Korea stock market. Second, the three-day abnormal return preceding the downgrade announcements (days -3 to -1) is negative only in the KOSDAQ market. Abnormal levels of short-selling also increase before downgrades are publicly announced in the KOSDAQ market. This result suggests the possibility of information leakage about analyst downgrades. Finally, we show that this pre-announcement abnormal short-selling is significantly related to the subsequent share price reaction to the downgrades in the KOSDAQ market. This result implies that short sellers are informed traders. They successfully predict downgrades and exploit profitable opportunities provided by downgrade announcements. Even though all market participants deserve fair and equitable treatment, some short-sellers benefit from private information about upcoming downgrades. If this is the case, both analysts and short-sellers violate the principle.