애널리스트 활동수준에 따른 애널리스트보고서의 정보력과 투자주체별 정보비대칭

This paper investigated the relationship between analyst coverage and informativeness of analyst report, and tested the possibility of information asymmetry among investor types classified as institutional, individual, and foreign investors. Using 1,907 firm-year samples selected from the Korea Exchange (KRX) for the period from January 2005 to December 2010, we measure the absolute abnormal stock price reaction and the abnormal trading responses by investor types before and after the release date of analyst report. The results are summarized as follows. First, the stock price informativeness of analyst report is strong for the samples of high analyst coverage (i.e., highly followed firms) and weak for the samples of low analyst coverage (i.e., neglected firms). Second, institutional investors exhibit the abnormal trading response on the neglected firms prior to the release of analyst report, and display heterogeneous trading behavior as compared to other types of investors. Third, the abnormal trading response of institutional investors prior to the release of analyst report is relatively strong for the neglected firms. Among those, the stronger response is observed for (i) the firms that show positive average abnormal returns at the release date, or (ii) the firms whose consensus target prices have increased from the prior ones, or (iii) the firms whose consensus earnings forecasts have significantly increased from the actual earnings of previous year. These results indicate that the level of information asymmetry among investor types is particularly high for the neglected firms. In conclusion, the analysts tend to act as an information intermediary rather than information provider in the Korean capital market, which possesses unique characteristics of high proportion of individual investors and weak monitoring effect.