회계이익과 이익공시 투명성이 주식분할 이후 변동성 이상 현상에 미치는 효과에 대한 연구

[Purpose]This study focuses on empirically analyzing whether the anomaly in which volatility increases after a stock split is differentially determined by accounting earnings and earnings disclosure transparency. In addition, we investigate whether the intensity of the impact of accounting profit and earnings disclosure transparency on post－split volatility anomalies varies according to market types (KOSPI and KOSDAQ). [Methodology]Among listed companies, 357 samples of stock splits from 2005 to 2019 are analyzed using the event study methodology. The change in noise volatility after a stock split is calculated as the difference between the volatility ratio before and after the stock split. Accounting earnings is measured using the return on assets before the stock split, and transparency in earnings disclosure is measured using the simultaneous relationship between accounting earnings and stock price return. [Findings]We find that noise volatility after a stock split increases more in companies with low accounting earnings and poor transparency in earnings disclosure. In particular, such a relationship is strongly manifested in the KOSDAQ market. [Implications]Our results suggest that stock splits conducted by companies with low accounting earnings and poor disclosure quality increase heterogeneous expectations of noise traders due to high uncertainty about their motives, and consequently, further expand the volatility anomaly.