공시유형에 따른 연간이익공시의 차별적 정보효과

This study examines the relation between the type of the preliminary earnings announcements and market responses. Specifically, we investigate whether the first annual earnings announcements have differential information contents across the type of disclosure or not. Managers are required to disclose information on operating performance on a regular basis because earnings disclosure is one of the most important information to investors. However, the disclosure of annual and 4th quarter’s earnings can be delayed relatively due to external audit. Preliminary earnings announcements can enhance the timeliness of annual earnings disclosure and improve the weakness of regular disclosure. Preliminary earnings are announced via mandatory timely disclosure or voluntary fair disclosure. Even though these two disclosures convey the same information on operating performance, they have different disclosure channels. Lee et al. (2011) provide the empirical evidence that preliminary earnings through voluntary fair disclosure are more accurate than those through mandatory timely disclosure. many prior studies suggest that more credible information has bigger market reaction. Therefore, preliminary earnings through fair disclosure channel, which are deemed credible due to their accuracy, are supposed to cause more sensitive market response. The sample of this study covers firms from 2002 to 2010 listed on the Korea Stock Exchange market. As a main test, we compare the market responses using cumulative abnormal return (CAR) around preliminary earnings announcements to ascertain whether there are different information contents across the type of disclosure or not. As a supplemental test, we analyze the abnormal trading volume, following Beaver(1968) who argues that stock price generally reflects the change of the market’s expectation as a whole. In this respect, no change in stock price does not necessarily mean that the information has no value because individual investors have different expectations on the same amount of earnings information. When one investor’s positive expectation can be exactly offset by the other’s negative expectation, it is possible that stock price does not change when earnings are released. In addition, we investigate how the dispersion of analysts earnings forecasts, used as a proxy for information asymmetry and disagreement among analysts, is related to the type of earnings disclosure to find out the relative usefulness of earnings announced via timely disclosure and fair disclosure. Our results are as follows. First, stock price response to preliminary earnings announcements through voluntary fair disclosure is bigger than that through mandatory timely disclosure. This result suggests that investors are more responsive to voluntary earnings announcements than mandatory earnings announcements. In other words, investors recognize the differential accuracy between the types of disclosure and reflect it on stock price. Second, fair disclosure has more abnormal trading volume around the release of preliminary earnings than timely disclosure. This result means that earnings announced by fair disclosure induce more changes in individual investors’ expectations as well as the market’s expectations. In short, these results suggest that investors reflect discriminative accuracy of fair disclosure on stock price and trading volume. Last, the dispersion of analysts forecasts under fair disclosure is smaller than that of timely disclosure. This result implies that in case of the firms with fair disclose, there is less information asymmetry and disagreement between individual analysts. Taken together, preliminary earnings announcements through fair disclosure have more information contents than timely disclosure. As an additional test, we separate the samples into large and small firms and examine whether the relation between the type of disclosure and the market response is different across the firm size. There are much information available to predict the operating performance of a firm in the stock market. It is expected that earnings disclosure for large firms has smaller market response because firm size can be a proxy for the amount of information available for a firm. As expected, the stock response is marked in the small-sized companies with higher information asymmetry. This result means that investors under the environment that there is not much available information tend to be more sensitive to preliminary earnings through fair disclosure. Several robust tests are performed to check the sensitivity of our main results. First, we control for the effect of external audit. Even though preliminary earnings are usually provided before external audit is completed, audited earnings could be disclosed as preliminary earnings. To address this limitation, we exclude firm-year data whose preliminary earnings are exactly same with reported earnings, and replicate the tests. Second, we control for the effect of the revision of mandatory timely disclosure in the tests. The regulation on corporate disclosure stipulates that there will be no penalty on the erroneous preliminary earnings announcements by government regulatory agency as long as managers disclose the revised earnings afterward. Lastly, we perform the test of abnormal volatility. Beaver (1968) suggest that information contents can be tested by abnormal volatility as well as abnormal trading volume. Our results are robust with all of these sensitivity tests. The contribution of this study is as follows. First, we investigate empirically the differential relation between the accuracy of preliminary earnings by respective disclosures and market responses from the various perspectives. Previous studies focus on the separate usefulness of preliminary earnings announcements through fair disclosure or timely disclosure. Second, the results of this study are expected to be useful to investors who make investment decisions using preliminary earnings announcements.