주가급락 이후 발생액 이상현상은 감소되는가?

This paper investigates whether the mispricing of accruals would improve after the stock price crash. We analyze the difference in overpricing of accruals using the Mishkin test according to the stock price crash. The stock price crash can help managers to lower the accounting opacity of firms and investors to pay more attention to the pricing of accruals. The results are as follows. First, we still find an overvaluation of accruals in the firms without a stock price crash, which is consistent with prior research regarding accruals anomaly. Second, investors’ overvaluation of accruals disappears in the firms that have experienced the stock price crash. Third, the stock market overvalues accounting accruals again in the firms without the stock price crashes in the future period, even if the firm experience a stock price crash in the current term. This paper highlights the notion that the stock price crash can potentially mitigate the information asymmetry between investors and managers. It means that stock price crashes enable investors to price accounting information efficiently and fix the market inefficiency in accounting accruals. However, we reconfirm the functional fixation of investors in that rational pricing of accruals does not last for a long time. This study, therefore, suggests managers and information intermediaries provide investors with the implications of accounting accruals.