재무분석가 활동성과 주가잔류현상: 정보 혹은 피로효과

This study examined the role of financial analysts in the capital market by analyzing the relationship between the level of activity of financial analysts and market information efficiency. Financial analysts’ active forecasting improves investor decision-making with high-quality earnings forecasts but may also hinder forecast quality and market efficiency, causing decision fatigue. Therefore, this study analyzed the relationship between the frequency of annual earnings forecasts by financial analysts and the post-earnings announcement drift (hereafter, PEAD), which indicates the inefficiency of the market for accounting information. A portfolio - and regression analysis of KSE-listed and KOSDAQ-registered companies from 2002 to 2020 showed that the higher the frequency of earnings forecasts by financial analysts, the greater the magnitude of the PEAD due to each unexpected earnings (loss). However, these results were more pronounced in the PEAD caused by unexpected earnings than unexpected losses. This is generally interpreted as financial analysts acting as information intermediary in the Korean capital market, and their high level of forecasting activity negatively affects the information efficiency of the market by lowering the quality of earnings forecasts. In addition, the relationship between the level of forecasting activity of financial analysts and the PEAD differed according to the individual’s ability and changes in the accounting system. This study is of academic significance in that it examines the role of financial analysts in the capital market through a practical phenomenon called PEAD. Moreover, this study shows that the analysts’ earnings forecasts become less valuable as information in a situation where financial analysts’ decision fatigue is aggravated, providing practical implications for human resource management of brokerage firms.