한국 유가증권시장의 자산재평가 공시의 실시간 주가반응에 대한 연구

In the paper, we investigate how event arbitrageurs trade at the time of asset revaluation disclosure, in terms of intra-daily real-time one-minute data. Asset revaluation is known to be not involved with cash flows, and yet, in the literature, is known to affect the firm value as well as the stock price of the firm. Nevertheless, all the previous studies have focused on the event study using daily data, while event arbitrageurs, such as algorithmic traders, and high frequency traders utilize intra-daily real-time one-minute data. This study focuses on the event study where the event is the disclosure of asset revaluation and we utilize intra-daily real-time one-minute data. In so doing, we calculate the Volume Weighted Average Price on the one minute basis. Our analysis shows that (1) there are statistically significant average abnormal returns at the time of disclosure as well as one minute after, and (2) the disclosure of asset revaluation seems to affect the cumulative abnormal returns up to 2 minutes after disclosure. By running the multiple regression, we also find that the difference in the asset revaluation is positively related to the cumulative abnormal returns up to 2 minutes, and is also statistically significant, while the book value of asset is negatively related but is not statistically significant. As a result, it seems that event arbitrageurs not only exploit the fact of disclosure, but also does the content of disclosure, since the difference in disclosure of the asset revaluation positively affects the related stock price in terms of the cumulative abnormal returns.