국내외 증권사 애널리스트의 투자의견 하향이 투자자별 공매도거래에 미치는 영향

The paper examines the relationship between different type of short-selling and both domestic and foreign analyst downgrade report. Using both domestic and foreign analyst downgrades report in the KSE and KOSDAQ from June 1, 2006 to July 31, 2011, we analyze the effect on return and different type of investors’ short selling activities when analyst downgrades are released. Our finding is as shown below. First, there is significant negative return upon the report release date for both domestic and foreign analyst. But, we cannot find the evidence that foreign analyst has more influence on stock market than domestic analyst. Second, domestic individual investors increase their short selling position before domestic analyst report release, while foreign investors increase their short selling position before foreign analyst report release. Third, there is no evidence to support domestic individual investors taking the analyst downgrades information ahead. Lastly, in the KSE stock market, foreign investors acquire the upcoming foreign analyst downgrade report and take advantage of this information to make profit. Additionally, in the KOSDAQ stock market, we find domestic analyst tipping foreign investors and foreign analyst tipping domestic institution investors. As a whole, the results suggest that analyst downgrade reports, regardless of domestic and foreign, are disseminated to some investors before the actual release.