불성실공시에 대한 투자자 반응: 불확실성이 미치는 영향을 중심으로

This paper investigates the investor reaction to the designation of a company as an “unfaithful disclosure corporation” with the consideration of macro-uncertainty. To be designated as an unfaithful disclosure corporation means that a company has either failed in providing important information to the capital market or has reversed or changed the previously disclosed information. Prior studies provide evidence on negative price reaction to the designation as an unfaithful disclosure corporation. This study expects that the market will put more penalty if the designation is announced during uncertain times. Uncertainty-averse investors tend to adopt a worst-case scenario to a bad news released under uncertain times, and with prior evidence suggesting that investors perceive the designation as an unfaithful disclosure corporation to be a bad news, we expect the market penalty to be greater during uncertain times. For regression analysis, we use firms that have been designated as unfaithful disclosure corporations from year 2009 to 2019 and use cumulative adjusted abnormal returns to proxy for investor reaction. For the measurement of uncertainty, we use VKOSPI, which is a market volatility index announced by Korea Exchange(KRX). The regression results show that, compared to the designation during normal times, investors place more penalty to the designation during uncertain times. This result can be interpreted as investor doubt and fear over the company’s credibility or managerial intention being elevated during uncertain times and investors placing more negative reaction to the unfaithful disclosure. By showing that the extent of market penalty to unfaithful disclosure differs with macro-conditions, this study contributes to the line of research that examines the effect of macro-uncertainty on investor behavior.