이익공시에 대한 시장 반응에 관한 연구

This paper investigates the impact on the stock price based on the event study methodology and examines trading behavior by investor types classified as foreigners, individuals, and institutions around quarterly earnings announcements. Empirical results are as follows. First, informational effects of quarterly earnings announcements are found positive abnormal return. Second, informational effects of 1, 2, and 3 quarters earnings announcements are found positive abnormal return whereas the effects of 4 quarters are found negative. Third, earnings announcements of Construction, Machinery, Non-metallic Mineral, Transport Equipment, Paper & Wood, Iron & Metal and Chemicals have significantly positive effects on their industry group. Fourth, foreign investors buy before earnings announcements with positive net income and sell after earnings announcements. Also, foreign investors are net sellers of earnings announcements with negative net income. In conclusion, this study suggests that the market reaction on quarterly earnings announcement differs from the time of announcement, net profit, and industry classification in KOSPI. The findings suggest that foreign investors have an advantage on trading behaviors prior to earnings announcements in comparison with other investor types.