애널리스트보고서에 대한 시장반응과 정보력 결정요인 = The Market Reaction on Analyst Research and Determinants of the Informativeness

다국어 초록 (Multilingual Abstract)

It has been known that analysts in stock market play a positive role in decreasing information asymmetry and enhancing the efficiency of the market, by analysing both public and even disclosed information and providing investors with the information for the profits and estimated stock prices of the target companies. In spite of the positive roles of analysts, there are also doubts from market players that they may provide research reports for the benefit of securities company they belong, show a disposition towards overestimation due to the their conflict of interest, and make analyst reports with less information by simply packing and delivering the public information provided by the company without adding value to investors. In particular, the level of information asymmetry in Korean stock market, with high ratio of individual investors and ownership to the limited investors, could be higher than that in advanced capital market. Thus, in terms of increasing the market efficiency, analysts perform a important role in reducing the information asymmetry of the market. Nevertheless, it has been less studied in domestic stock market to examine whether analysts perform a inborn role of enhancing a market efficiency by providing informative reports to the market. Due to the aforementioned reasons, this study measures informativeness of analyst reports by examining unusual average abnormal returns and unusual average trading volume on revision dates, and analyzes determinants of analyst reports to the market reaction. Also, it inferred the analyst`s role as information provider or information intermediary by analysing the relationship between the informativeness measurement and the determinants. Moreover, it additionally calculated unusual average abnormal returns for two days before the revision date and examined its determinants in order to analyse whether the information leakage on analyst reports occurs For an empirical analysis, this study targets 1,225 firms that are listed in Korean Exchange Market between year 2005 and 2009 and has released at least one analyst report, and examines relation between information determinants and information measurement by controling endogeneity and heteroscedasticity among variables. Main study results indicate below; (i) It is identified that unusual abnormal returns and unusual trading volume occur at revision date. It shows that investors recognize the analyst reports as information and use them in their stock trading. (ii) As a result of informativeness determinants, in general, it is found that a negative relationship between informativeness measurement and its determinants take place. This imply that the informativeness of analyst report in Korean stock market responds to the information production cost sensitively, rather than market demand, (iii) It is also found that analyst reports` informativeness has increased in the company with high trading volume. It suggests that analysts have a high motive to provide information with the purpose of earning creation of his security company. (iv) On the other hand, there is a statistically significant negative relation between analyst following and information measurement. It means that analysts rarely act as private information provider in the market. (v) It is also examined that the more analysts issue optimistic recommendation, the higher unusual trading volume occurs. However, no such significant unusual abnormal returns take place. It implies that investors have different expectations about analysts` forecast. (vi) it is found that information leakage before revision dates is more likely to occur in the neglected firms with less analyst following and in the firms with a high portion of small shareholders. Overall, analyst reports are highly dependant on information production cost which is contrast to the result of Frankel et al.(2006) study targeting to the US market. Such difference seems to come from the fact that analysts tend to act as information intermediary rather than private information provider. Therefore, it`s required to the improvement of information environment and implementation of various systems for the enhancement of analyst`s role in the market This study could provide the following significances and implications. First, it measures the degree of informativeness of analyst reports based on the direct market reaction such as unusual abnormal returns and unusual trading volume, and therefore the measurements of informativeness could be applied to will be various future studies. Second, the determinants, which affect the informativeness of analyst reports, are identified and could help market participants make informed investment decisions. Third, it enhances the understanding of the information environment in Korean market and provides empirical evidences for the doubts that market participants have about analyst reports` informativeness. Lastly, it finds investors` different expectations about analyst reports and the possibility of information leakage due to the existing information asymmetry between different types of investors in Korean stock market.

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