기술분석보고서 발간이 유동성과 가격 효율성에 미치는 영향

We examine the effects of technology credit bureau (TCB) analysts’ reports on liquidity and stock price efficiency. The KOSDAQ TCB analyst report issuance project is conducted by the KOSDAQ for small and median sized firms without analyst coverage. Using daily and intra-day data for KRX KOSDAQ listed firms with TCB analyst coverage from May 2018 to May 2020, we show the following results. First, Amihud’s illiquid measure and effective spreads decreased significantly after the issuances of TCB analyst reports. This suggests that liquidity increased as the investors’ risk of adverse selection for the covered firms decreased through the information in the TCB analyst reports. Second, the stock price noise of covered firms significantly decreased after deducting the changes in stock price noise of matching firms. This implies that the information in the TCB analyst reports can improve the price informativeness. Third, the adverse selection costs of covered firms decreased significantly after the issuances of TCB analyst reports but the statistical significance was marginal. Overall, the results imply even the information provided exogenously due to policy purposes can be beneficial to the stock market. The results also indicate that information asymmetry in KOSDAQ is still at a serious level.