애널리스트 투자의견 하향의 투자가치와 티핑 : 공매도 금지기간 전후의 비교

This paper examines whether analyst downgrades affect the decline of stock prices. We investigate abnormal returns around the announcement of analyst downgrades during the 2008 shorting ban period. Using a sample of 2,052 downgrades of the Korea Exchange stocks (KOSPI, KOSDAQ) from January 1, 2006 to December 31, 2010 (Pre-ban period from January 1, 2006 to September 30, 2008; Ban-period from October 1, 2008 to May 31, 2009; Post-ban period from June 1, 2009 to December 31, 2010), we find the following things. First, the abnormal return around the release of analyst downgrades has a statistically significant negative value, which means that analyst downgrades have the investment value. The investment value of analyst downgrades in the KOSDAQ market is higher than that in the KSE market. Second, the abnormal return after the release of analyst downgrades shows a statistically significant negative value during the pre-ban or post-ban period. However, the absolute value of the abnormal return becomes smaller during the short-sale ban period. This result implies that analyst downgrades do not affect share prices or the effect of analyst downgrades on share prices is getting weaker during the short-sale ban period. Finally, the effect of analyst downgrades on share prices shows a statistically significant difference across the pre-ban, ban, and post-ban period in the KOSDAQ market. Stock prices do not react to the release of analyst downgrades during the short-sale ban period. This result suggests the possibility of tipping between analysts and short-sellers in the KOSDAQ market. Even though we cannot observe tipping directly, our results are consistent with the existence of tipping. We cannot exclude the possibility of selective dissemination of analyst downgrades to short-sellers in the KOSDAQ market.