주가표류현상에 따른 정보효과 차이분석 : 정보불확실성 차이에 따른 자본시장의 과소반응 검증

The purpose of this paper is to examine whether the market response to disclosure of accounting information varies with the difference in post-earnings-announcement drift (PEAD, hereafter). Using a sample of the firms listed in the Korea Stock Exchange market from 2007 through 2016, this paper empirically examines the effect of PEAD on market response which are measured by earnings response coefficient (ERC), abnormal return volatility, and abnormal trading volume. The results of this paper are as follows. First, it is significant that PEAD is negatively associated with ERC. Second, it is found that both the abnormal return volatility and abnormal trading volume around the earnings announcement date are low, when the PEAD is high. These results may imply that the market participants may not perceive information provided by the firm as reliable and useful when PEAD is high. Thus, the investors may not be able to make their investment decision in a timely manner because they do not fully understand the nature of accounting information. In addition, a robust test is conducted to confirm the reliability of the results by measuring winsorizing extreme value of PEAD, extension of the daily period of cumulative abnormal return and yearly period of PEAD, and we confirm that our hypotheses are robustly supported. This study suggests that the size of PEAD can be used as a proxy of information uncertainty, and mitigation of the phenomenon of PEAD made by the market may contribute to increase the information reliability and usefulness.