이익 변화 방향에 대한 재무분석가의 예측 일관성이 주가잔류현상에 미치는 영향 = Consistency of Analyst Forecast for Earnings Change and Post－Earnings Announcement Drift

국문 초록 (Abstract)

본 연구는 재무분석가들의 예측 일관성이 기업의 정보환경으로 작용할 때 주가잔류현상에 어떤 영향을 미치는지 살펴보았다. 구체적으로 재무분석가들이 실제 이익의 증감 방향과 일치되는 정보를 일관되게 제공할 때, 투자자들이 예측 정보를 신뢰하여 보다 효율적으로 반응하는지, 반대로 정보선택 편의로 인하여 실제 이익이 갖는 정보성에 대해서 오히려 과소반응하게 되는지 분석하였다.
분석 결과, 재무분석가들이 발표한 이익 증감에 대한 정보가 일관성을 가지면서 실제 이익 변화의 방향과 동일한 경우 주가잔류현상은 감소하는 것으로 나타났다. 이는 재무분석가들이 보다 일관된 예측 정보를 제공할수록 정보불확실성이 감소하여 실제 이익정보에 보다 효율적으로 반응한다는 것을 의미한다. 나아가 재무분석가의 예측 일관성이 주가잔류현상을 감소시키는 효과는 재무분석가의 예측정확성이 높을수록 커졌지만, 재무분석가의 예측 수정 정도가 크거나 재무분석가 사이에 의견 편차가 큰 경우에는 반대로 주가잔류현상을 증가시키는 것으로 나타났다. 본 연구는 재무분석가의 일관된 예측 정보가 정보환경으로 작용하여, 투자자들의 정보효율성에 영향을 미치는 요소가 될 수 있다는 것을 보여준다는 데에 의의가 있다. 이는 시장 효율성 향상에 있어서 시장의 정보중개인인 재무분석가의 역할이 중요하다는 시사점을 제공한다.

다국어 초록 (Multilingual Abstract)

This study examines the relation between the analysts forecast consistency and post－earnings announcement drift(hereafter, PEAD). We posit that when analysts provide consistent information regarding earnings increase/decrease before the earnings announcement and also forecast correctly the same as the actual earnings change, their forecasting behavior acts as the factor affecting the information uncertainty. In this paper, given that the investors informational inefficiency represented by PEAD phenomenon is affected by information uncertainty, we investigate whether the analysts forecast consistency reduce PEAD due to information verification effect or amplify PEAD due to investor limited attention.
The findings reveal that analyst forecast consistency is negatively related to the magnitude of PEAD, indicating that analysts consistency in providing earnings forecast reduces the information uncertainty and consequently makes investors react more efficiently to earnings news. Furthermore, this result is pronounced for firms with more accurate forecast, but weakens in the firms with larger forecast revisions or greater dispersions in earnings forecast. Our findings imply that analysts as intermediaries in the capital market play significant roles in improving market informational efficiency. Overall, this study contributes to the literature on the investor efficiency for earnings information by showing that analysts’ consistent provision of information on future earnings acts as the determinants affecting the information uncertainty and thus influences the magnitude of PEAD.

목차 (Table of Contents)

• 국문초록
• Abstract
• Ⅰ. 서론
• Ⅱ. 선행연구 검토 및 가설 설정
• Ⅲ. 연구설계 및 표본의 선정
• Ⅳ. 실증분석
• Ⅴ. 결론
• 참고문헌

참고문헌 (Reference)

1 이남주, "재무분석가의 예측치를 이용하여 측정한 회계이익정보와 매출정보의유용성에 대한 실증적 연구" 14 (14): 523-553, 1992

2 장지인, "재무분석가에 의한 기업이익 예측의 정보내용" 14 (14): 361-399, 1992

3 나종길, "재무분석가들의 특성이 이익발표 후 잔류현상에 미치는 영향에 대한 미래 연구방향" (14) : 1-18, 2009

4 나종길, "외국인 소유지분 비중에 따른 이익발표 후 잔류현상의 차이" 한국회계학회 37 (37): 203-238, 2012

5 이경태, "경영자 예측정보공시와 주가표류현상" 한국회계학회 36 (36): 211-248, 2011

6 Barron, O., "Using analysts’ forecasts to measure properties of analysts’ information environment" 73 (73): 421-433, 1998

7 Griffin, P. A., "The time－series behavior of quarterly earnings: Preliminary evidence" 15 (15): 71-83, 1977

8 Beaver, W. H., "The information content of security prices" 2 (2): 3-28, 1980

9 Miller, J., "The influence of observed stock price changes on analysts’earnings forecast revisions: Experimental evidence" University of Notre Dame 2006

10 Imhoff, E. A., "The effect of ex ante earnings uncertainty on earnings response coefficients" 67 (67): 427-439, 1992

11 Kimbrough, M. D., "The effect of conference calls on analyst and market underreaction to earnings announcements" 80 (80): 189-219, 2005

12 Graham, J. R., "The economic implications of corporate financial reporting" 40 (40): 3-73, 2005

13 Healy, P., "The challenges of investor communication The case of CUC international, Inc" 38 (38): 111-140, 1995

14 Lys, T., "The association between revisions of financial analysts’ earnings forecasts and security－price changes" 13 (13): 341-363, 1990

15 노밝은, "The Effects of Investor Relations on Post-Earnings Announcement Drift" 한국회계학회 23 (23): 267-298, 2014

16 George, T., "The 52－week high, Q Theory and the asset growth and equity financing anomalies" University of Houston 2015

17 George, T., "The 52－week high and momentum investing" 59 (59): 2145-2176, 2004

18 Abarbanell, J. S., "Tests of analysts’ overreaction/underreaction to earnings information as an explanation for anomalous stock price behavior" 47 (47): 1181-1207, 1992

19 Mikhail, M., "Security analyst experience and post－earnings －announcement drift" 18 (18): 529-550, 2003

20 Ma, Q., "Recency bias and post－earnings announcement drift" California State University 2014

21 Jones, C., "Quarterly earnings reports and intermediate stock price trends" 25 (25): 143-148, 1970

22 Kim, O., "Pre－announcement and event－period private information" 24 (24): 395-419, 1997

23 Goh, J., "Post－earnings－announcement－drift and 52－week high:Evidence from Korea" 44 (44): 150-159, 2017

24 Soffer, L., "Post－earnings－announcement drift and the dissemination of predictable information" 16 (16): 305-331, 1999

25 Amir, E., "Overreaction and underreaction in analysts’ forecasts" 37 (37): 333-347, 1998

26 Hishleifer, D., "Limited attention, information disclosure, and financial reporting" 36 (36): 337-386, 2003

27 Tversky, A., "Judgement under uncertainty: Heuristics and biases" 185 (185): 1124-1131, 1974

28 Lawrence, A., "Investors’ demand for sell－side research" University of California 2014

29 Bartov, E., "Investor sophistication and patterns in stock returns after earnings announcements" 75 (75): 43-63, 2000

30 Hirst, D., "Investor reactions to financial analysts’ research reports" 33 (33): 335-351, 1995

31 Zhang, X. F., "Information uncertainty and stock returns" 61 (61): 105-136, 2006

32 Jiang, G., "Information uncertainty and expected returns" 10 (10): 185-221, 2005

33 Asquith, P., "Information content of equity analyst reports" 75 (75): 245-282, 2005

34 Ball, R., "How naive is the stock market’s use of earnings information?" 21 (21): 319-337, 1996

35 Bernard, V., "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings" 13 (13): 305-340, 1990

36 Wright, W., "Effects of situation familiarity and financial incentives on use of the anchoring and adjustment heuristic for probability assessment" 44 (44): 68-82, 1989

37 Foster, G., "Earnings releases, anomalies, and the behavior of securities returns" 59 (59): 574-603, 1984

38 Das, S., "Earnings predictability and bias in analysts’ earnings forecasts" 73 (73): 277-294, 1998

39 Lee, C., "Earnings news and small trades: An intraday analysis" 15 (15): 265-302, 1992

40 Hirshleifer, D., "Driven to distraction: Extraneous events and underre－action to earnings news" 64 (64): 2289-2325, 2009

41 Brown, L., "Do stock price fully reflect the implications of current earnings for future earnings for AR1 firms?" 38 (38): 149-164, 2000

42 Shin, H., "Do foreign investors mitigate anchoring bias in stock market? Evidence based on post－earnings announcement drift" Ewha Womans University 2017

43 Barron, O., "Dispersion in analysts’ earnings forecasts as a measure of uncertainty" 13 (13): 245-270, 1998

44 Narayanamoorthy, G., "Conservatism and cross－sectional variation in the postearnings－announcement drift" 44 (44): 763-789, 2006

45 Clement, M. B., "Confirming management earnings forecasts, earnings uncertainty, and stock returns" 41 (41): 653-679, 2003

46 Ferguson, A., "Audit quality and post earnings announcement drift" 11 (11): 121-137, 2004

47 Fung, S., "Analysts’ activities after earnings announcement and post－earnings －announcement drift" The Hong Kong Polytechnic University 2006

48 Ball, R., "An empirical evaluation of accounting income numbers" 6 (6): 159-178, 1968