증권사 구분에 따른 증권분석가의 투자등급변경에 대한 주가반응 연구

In this paper, we analyze the impact of stock rating changes (upgrade / downgrade) on share prices among stock analysts. We used the corporate analysis report (4,663 cases), which changed investment grade, from the domestic and overseas corporate analysis reports (199,019 cases) published between 2008 and 2013, and their forecast change date and D-2 to D+2. First, securities analysts’ investment grade changes showed statistically significant average abnormal return (AAR) and cumulative abnormal return (CAAR) in most domestic securities firms, small and medium securities firms, and foreign securities firms. Second, on the day of forecast change, the stock market reacts more strongly than before, and the quasi–rigid hypothesis of information appears in Korean stock market. Third, the downward revision was more statistically significant than the upward revision. Fourth, the quasi-rigid hypothesis of information is accepted, supported by the general belief that large stocks, small and medium-sized criminals, and foreign brokers have high stock price response from before the forecast change date and information is leaked in advance. Fifth, the share response was in line with the affiliation of securities analysts and the results of geographical environment study in order of large companies, small and medium sized securities firms, and foreign securities firms. Foreign securities firms, however, were not impressed by the downward revision in investment grade. This study suggests that investors can overcome some information asymmetries in the Korean stock market through the stock price response, which is different for each brokerage house and brokerage firm.