블록체인 관련 정보 공시 기업의 투자자 관심과 주가표류현상 : 미국 포춘 500대 기업을 대상으로

[Purpose] This study investigates how investor attention affects post－announcement drift of the companies with the adoption of highly anticipated Blockchain technology along with the popularity of cryptocurrency. [Methodology] This study analyzed 103 firms that voluntarily disclosed blockchain－related information among the top 500 firms selected by Fortune magazine in 2018 and 2019 in order to limit the sample size to the firms with genuine interest in adoption of blockchain. The interest index was measured in the manner of Da et al. (2011) to verify that investor interest affects the drift of stock prices in the firms that disclose information related to blockchain. Furthermore, we utilize standard unexpected earnings(SUE) to confirm the existence of PEAD for the sample. Finally, we investigate the relationship between cumulative average abnormal returns(CAR) and the SUE surrounding post－ announcement period. More specifically, we conducted correlation analysis and regression analysis. [Findings] We find the significant positive(＋) correlation between variable of SUE and CAR while significant negative(－) correlation between interacting variable of SUE and ASVI and CAR. In other words, we could observe diminishing PEAD when level of investor attention increases on the firms with Blockchain adoption related announcement. This implies the significance of investor attention on the firms with market reaction caused by voluntary disclosure activities. [Implications] While the public interest of Blockchain technology has increased due to its technical features of transparency and security, recent volatility in the prices of cryptocurrency may bring the investors’ passive reaction to the related disclosures. However, the result of this study showed that we should consider the level of investor interest which has an effect of diminishing PEAD when analyzing the firm's voluntary disclosure activities.