주가급락위험에 따른 자본시장반응

This study investigates the market response to firm－specific stock price crash. Several recent studies on stock price crash are mainly focused on the characteristics of firm－specific stock price crash and on factors that can mitigate stock price crash. However, there is no study of how information that has a negative effect on the reliability of accounting information affects the assessment of market participants. Therefore, this study was carried out to accomplish the following below research questions. First, accounting information may not be adequately reflected in stock prices if investors who have experienced a stock price crash question the reliability of a firm’s accounting information. We empirically examines the stock price crash risk on value relevance of accounting information by Ohlson model(Ohlson 1995). In addition, We used the earnings reponse coefficient to verify how investors assess the reliability of accounting information for firms that have experienced a stock price crash. This paper examines the market response to firm－specific stock crash risk using Korean firms listed in Korean Stock Exchange (KSE) from 2007 to 2018. First, the value relevance of net income and net asset decreases significantly for firms with higher stock crash risk. This result means that investors estimate the accounting information for firms with higher stock crash risk negatively. And accounting information of firms with higher stock crash risk reduces earnings response coefficients. This result indicates that reliability and usefulness of profit information were undervalued in the capital market for firms with a high stock crash risk. These results provide an implication that firms with higher stock crash risk should make efforts to enhance accounting transparency to reserve reliability of accounting information.