한국에서 이익 공시에 대한 시장반응은 증가하였는가?

Whether accounting information is informative in the capital market is of significant interest in accounting research. Contrary to prior findings from the United States that the market response to earnings announcements has significantly increased during the 21st century (Beaver et al., 2020), this study finds that market response to earnings announcements has not increased in the Korean capital market over a period from 2004 to 2022. Specifically, abnormal stock return volatility (USTAT) and abnormal trading volume (AVOL) changed from 1.69 and 0.51 in 2004 to 1.76 and 0.17, respectively, in 2022. Also, the results of multiple regression do not find statistically nor economically significant increase in time-trends. These findings suggest that there are country-specific differences in the information environment that explains inter-temporal changes in market response to earnings announcements. Specifically, this paper does not find any increase management forecast nor analyst following, both of which prior studies consider as factors contributing to increase in market responses to earnings announcements in the United States. This paper is the first to empirically document market response to earnings announcements in a large cross-section of all listed companies in Korean capital market over a long period of time. Also, this paper contributes to various stockholders and regulators in the Korean capital market by showing that the information environment in the Korean capital market may not have improved over the past 20 years.