투자자 관심 수준이 주가표류현상에 미치는 영향

Using the Google searching volume index(SIV) of Korea listed firms from 2004 to 2017, this study investigates the effect of investor attention on post－earnings announcement drift. The main findings are as follows. First, we find that the higher the level of investor attention, the more significantly less the post－earning announcement drift after the earnings disclosure date. It implies that firms are more likely to provide timely the information for earnings to investors because firms with higher investor attention are faced with a high demand for information. When investors have higher attention, individual investors are also more actively collecting and interpreting information about the company’s earnings and timely making investment decisions. Therefore post－earnings announcement drift is reduced. Second, the relationship between investor attention and post－earnings announcement drift is more pronounced when firms have a small size or none of analyst followings. It can be interpreted that the less information about the company is disclosed to investors, the greater the impact of individual investors’ active information searching activities on post－earnings announcement drift. Recently, despite of a growing number of research on the impact of investor attention on the economic and finance literature, it is largely unexplored by the accounting literature. This paper extends to the literature by relating investor attention to post－earnings announcement drift.