회계이익변경에 대한 단순투자자의 반응 = Unsophisticated Investor`s Response on Accounting Changes

다국어 초록 (Multilingual Abstract)

This study empirically examines whether there is price reaction of the accounting changing companies which have high rate of unsophisticated investors` holdings. That is, this study will analyze whether there is different response to reported earnings changes by accounting change between unsophisticated and sophisticated investors. Most significantly, this study observes the cumulative abnormal returns on the time of disclosing to the accounting change. The final sample consists of 96 listed on the Korean Stock Exchange and disclosed by an Electronic Disclosure System over the period of 1998 to June, 2003. The results of this study are summarized as follows. First, there is positive relation between price reaction of individual investors proxied by naive investors and the reported earnings by accounting changes. This means that unsophisticated investors react naively on the increase of earnings by accounting changes. Second, there is no positive relation between the price reaction of institutional or foreign investors proxied by sophisticated investors and the increasing earnings by accounting changes. This means that sophisticated investors don`t react naively in the increase of earnings by accounting changes. These results supports the extended functional fixation hypothesis that price reactions of the accounting information can be varied according to the marginal investor`s expertise.

참고문헌 (Reference)

1 "and the Behavior of Security Prices" 320-332, 1972

2 "and K Income Smoothing Effect and Price Reaction of Accounting changes" 1992 (1992): 173-200, m

3 "[printed in Korean]" 1993

4 "Usefulness of Accounting Information in the Capital Market" Shinyoungsa 2003

5 "Theory of Accounting and Control" South Western Publishing 1997

6 "The Effect of the Firm’s Capital Structure on the Choice of Accounting Methods" 78-84, 1980

7 "The Economic Consequences of Accounting Choice:Implications of Costly Contracting and Monitoring" (august) : 77-117, 1983

8 "The Capitalization, Amortization, and Value- relevance of R&D" 21 : 107-138, 1996

9 "Stock Price and Risk Related to Announcing Changes in Inventory Valuation" 305-315, 1975

10 "Stock Market Reaction to the Depreciation Switch-Back" (january) : 22-30, 1972

11 "Short-Range Market Reaction to Changes to LIFO Accounting Using Earnings Announcement Dates" (spring) : 38-63, 1980

12 "Relationship between Accounting Changes And Stock Prices:Problems of Measurement and Some Empirical Evidence" 1-45, 1973

13 "Predisclosure information and institutional ownership:A cross-sectional examination of market revaluations during earnings announcements periods" 73 : 119-129, 1998

14 "Market liquidity and volume around earnings announcements" 41-67, 1994

15 "Market Reaction to the Special Amortization" 22 (22): 1-21, 1997

16 "Investor sophistication and market earnings expectations" 35 : 157-192, 1997

17 "Investor Sophistication and Patterns in StockReturns after Earnings Announcements" 75 : 43-63, 2000

18 "Institutional ownership, differential predisclosure precision and trading volume at announcements dates" 24 : 129-150, 1997

19 "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings Journal of Accounting and Economics 13" 305-340, 1990

20 "Emerging Market Business Groups, Foreign Investors, and Corporate Governance" 6955 : 1999

21 "Do Stock Price Fully Reflect Information in Accruals and Cash Flows About Future Earnings?" 289-315, 1996

22 "Changes in Accounting Techniques and Stock Prices" 1-38, 1972

23 "Analysts Forecasts Errors and Stock Price Behavior Near the Earnings Announcement Dates of LIFO Adopters" (autumn) : 169-194, 1988

24 "An informational efficiency perspective on the post- earnings-announcement drift" 45-65, 1994

25 "A test of the extended functional fixation hypothesis" 740-763, 1990

26 "A Study in Managers’ Strategic Accounting Choice: Accounting changes versus Discretionary Accruals" 26 (26): 105-125, 2001