개별기업의 공시정책과 주가동조성 간 관련성에 관한 연구 = A Study of the Relationship Between Disclosure Practices and Stock Price Synchronicity

다국어 초록 (Multilingual Abstract)

This paper investigates the factors of firm-level disclosure practices that could have greater effects on the relative amount of firm-specific information incorporated into stock prices around the World. We define the stock price synchronicity as the extent to which the market returns explain the variation in the firm-level stock returns. It is measured as the logarithmic transformation of the R2 value obtained from a modified market model including the local market returns and the U.S. market returns. This yields an estimate of the relative amount of firm specific versus macroeconomic information influencing stock prices. Along with this estimated variable of R2, we try to use the fraction of the frequency as another kind of measure for the stock price synchronicity which explains how much times firm-level stock returns move in the same direction with the market returns in a year. As the measure of the firm-level disclosure practices, our analysis uses the Standard and Poor`s (S&P) Transparency and Disclosure (T&D) scores. We find that the more active disclosure practices of firms lead to the lower level of the stock price synchronicity, which means the firm-specific information of those firms is incorporated more fully into their stock prices. This result is stronger when we use the frequency measure of the co-movements with the market returns than the logarithmically transformed R2 estimated from a modified market model. We take one step further to see which factor among the sub-categories of S&P T&D overall score is more likely to make firm-specific information incorporated into firms` stock prices. The frequency of the co-movements with the market returns has the negative and significant relationships with all three sub-categories (financial transparency and information disclosure, ownership structure and investor relations, board and management structure and process) whereas the logarithmic transformation of R2 only show the same pattern in case of the ownership-related score. These results suggest that the more disclosure practices of firms can help firm-specific information to be incorporated into their stock price more fully so that the level of dependence on the market-wide information can be lowered. These results also show that the stock price synchronicity can be used as a proxy for efficient markets: the more efficient the market is, the lower the stock price synchronicity would be.