주가표류현상이 내부자거래에 미치는 영향

The purpose of this paper is to investigate the relationship between post-earnings-announcement drift (PEAD hereafter) and insider trading profitability. Specifically, we examine whether insiders in the firms with high PEAD are more likely to make profits through trading their own stocks. The sample of this study encompasses the firms that conducted insider trading and are listed in the Korea Stock Exchange market for the period, 2007-2012. The results of this study show that PEAD is positively associated with profitability of insider trading. Especially, this positive association obviously appears when the insiders sell their own stocks. In the firms that PEAD is high, it is difficult for the investors to immediately understand and interpret the information that the firm discloses. Based on this fact, the insiders in the firms having high PEAD may be able to seek private profit using the private source of information within the company. And we find that the positive association between PEAD and insider trading profitability is stronger when foreign ownership is low, and this incremental profitability is also driven by insider selling. It may be because the effect of PEAD on insider trading profitability differs according to the difference in monitoring effect of foreign shareholders. In addition, this study confirms that the higher the earnings volatility(or higher the daily stock return volatility), the stronger the positive relationship between PEAD and profitability of insider selling. This result is interpreted as the effect of PEAD on insider trading profitability is different according to information asymmetry. Lastly, the positive relation between PEAD and insider profitability(and selling profitability) appears in firms with not disclosing manager’s forecast. It is considered that amount of disclosure conducted by the firms contributes to the strength of the association between PEAD and insider trading profitability. Previous studies have only discussed the factors affecting PEAD. However, we expanded this discussion to examine the effect of PEAD. In that, we have found that the difference in PEAD influences insider’s private profit seeking through testing whether insiders, who are in the firms observing relatively high PEAD phenomenon, can make profit after they trade their own stocks. In addition, this study shows that the insiders can make profit-taking by selling their own securities rather than purchasing it. Hence we infer that insiders engage in opportunistic trading through sales transactions whereas insiders’ purchases are related to the purpose of securing management rights and optimistic signal about the future performance. Lastly, this study is also meaningful in terms of suggesting “the size of PEAD” as a new measure of information asymmetry (or information uncertainty). The study in regards to the effects of information asymmetry (or information uncertainty) on accounting information users is very important in accounting. Therefore, we expect that this study will be useful to the future research related to the effects of PEAD.