조회공시 정보의 차별적 시장반응

This study examines the information contents of inquired disclosure by the timing of disclosure and the firm's response pattern, and also investigates whether the market reaction is different between good news and bad news disclosure. To this purpose, this study tests the hypothesis that inquired disclosure is information contents and the cumulative abnormal return(CAR) at the event day has positive return or negative return. The empirical results of the study are summarized as follows:First, for the sample of KSE firms, inquired disclosure generates significant stock reaction supporting the hypothesis that the inquired disclosure gives useful information to investors of the KSE. Also inquired disclosure of KOSDAQ firms are shown to have information content. In case of good news disclosure, a firm of KSE and KOSDAQ have significantly positive CAR. In case of bad news disclosure, a firm of KSE and KOSDAQ have significantly negative CAR. Second, the KSE and KOSDAQ have a differential market response of inquired disclosure in Korea stock market. The mean variation of stock return of KOSDAQ firms' inquired disclosure is significantly higher than that of KSE firms' inquired disclosure.