주가급락위험과 재무분석가의 장기 예측치 발표

Stock price crash refers to the dramatical decrease of stock price as accumulated bad news are reflected to stock price at once. Given that the stock price crash comes from the opacity in bad news (Hutton et al. 2009), this study focuses on the role of analysts as information intermediaries. If analysts recognize firm’s stock price crash risk, their long-term forecasts would change. This study examines whether the likelihood of analysts’long-term forecasts increases with the crash risk and also those forecasts are more pessimistic for firms with high crash risk. Our findings are as follows. The likelihood of analysts’ long-term forecasts is greater for firms with higher crash risk. Moreover, analysts’ long-term forecasts are more pessimistic for those firms. However, the results show that analysts’pessimistic forecasts do not fully incorporate the information of the cash risk until stock price crash realizes, and they get to be more pessimistic after the crash. It indicates that analysts provide pessimistic forecasts in response to future stock price crash risk but their forecasts are not efficient signal on future stock price crash risk. This study suggests that analysts need to identify hidden bad news in forecasting firms’future earnings, and, thus, to play a leading role in preventing stock price crash risk.