주가붕괴에 대한 투자자들의 반응

Under information asymmetry, firm managers have incentives to delay the disclosure of bad news while expediting the release of good news to inflate stock prices. A stock price crash refers to the huge negative drop in stock prices that are observed when accumulated bad news is released to the market at once. Extending prior studies that mostly focus on firm-level determinants and consequences of stock price crashes, this study investigates how investors respond to stock price crashes. When a firm’s stock price crashes, investors become aware of the firm’s tendency to delay bad news. This would cause investors to perceive the firm’s disclosure policy as less credible and rely less on the firm’s disclosed information. Accordingly, we expect that the sensitivity of stock prices to earnings announcements, i.e., the earnings response coefficient, would decrease for firms that experience stock price crashes. Using Korean data collected over the period from 2006 to 2018, we find that the earnings response coefficient of stock returns drops for firms that experience stock price crashes in the previous period, consistent with our predictions. This study contributes to the literature by emphasizing the negative impact of stock price crashes. Specifically, in addition to causing large economic losses for firms and investors as reported in prior literature, stock price crashes harms the credibility of a firm’s disclosure. Thus, the study emphasizes the importance of disclosure policies and regulations promoting transparent disclosure to prevent crashes.