R2와 기업가치의 관계에 관한 실증연구

Existing literature shows that stocks with larger amount of private information have lower , meaning lower price synchronicity with stock market. This well-known result implies a possible relationship among private information, , and firm value. One possible hypothesis could be that the more the stock price contains private information (or the lower is), the higher the firm value would be derived from more efficient investment decision based on the more private information on the investment opportunities for the firm. The other hypothesis could be that the more the stock price contains private information (or the lower is), the lower the firm value would result from an asymmetric information problem that would decrease liquidity for the stock and increase expected returns for investors. We empirically analyze the two competing hypotheses, using all Korean nonfinancial manufacturing firms for the period from 1981 to 2010. We find that has significantly negative relationship with the firm value. Additional analysis supports the first hypothesis that the more the stock price involves the private information, the higher the firm value is derived from more efficient investment decision. Moreover, stocks with low significantly outperform those with high over the next three- or five years, and the return predictability of is superior to that of other variables such as leverage, asset size, and so on. In sum, this study helps better understanding of that is valuable as a comprehensive indicator for firms’ private information, firm value, and future stock returns.