기업 분기실적 발표의 정보효과

This study analyzes the information effect of quarterly earnings announcements on the stock prices of KOSPI (Korean Stock Price Index)-listed companies from 1Q 2004 to 4Q 2016. Analyst earnings estimates were used as a proxy for market expectations before each earnings release, and analyses were performed at various time intervals. Our results are similar to those of previous studies, with stock prices responding in the same direction as the differences between announced earnings and market expectations. We also found that stock price responses differ depending on the state of the stock market (i.e., KOSPI was rising, maintaining, or declining) at the time of the earnings announcements. In particular, the information effect of the earnings announcement was found to be relatively weak when KOSPI was declining, as uncertainties in the financial market were severe. As a proxy for market expectations, year-to-year earnings gave similar results to those based on analyst earnings estimates, but the statistical significance of the stock price responses was relatively low. This suggests that analyst earnings estimates are better proxies for market expectations than year-to-year earnings, and provide more useful information to investors.