애널리스트의 정보공급활동에 대한 결정요인과 자본시장에서의 역할 = Determinants of the Analyst Coverage and the Role of Analysts in the Korea Stock Market

다국어 초록 (Multilingual Abstract)

Analysts can determine whether to produce information on the firm according to the relative degree of economic benefits and cost stemming from infor-mation provided in a given information environment. Thus, the interrelationship between the factors of information environment and information production could be a useful measure to infer the information providing motive of analysts. The purposes of this study are to analyse the determinants of analyst coverage and examine the roles and information providing motive of analysts in the capital market. In Korean Stock Market with a concentrated ownership structure and high trading ratio of individual investors, the surveillance effect of the market to analysts could be lower than advanced capital market. This could make a difference on the roles of analysts in the market by influencing on their information providing motive. In general, the roles of analysts in the market could be divided into an information provider and an information intermediary. Analyst could play a role of information provider by reducing information asymmetry through providing non-public information and increasing the efficiency of the stock price. In contrast, instead of the management, could perform a role of information intermediary to spread firm`s public information into the market. In particular, the analyst`s motive of providing information may make a difference on their` roles, and the difference can play a important role of analysts in the Korean market in order to analyse analyst`s motive of providing information, in terms of information suppliers. For an empirical analysis, the study analyses the determinant of analyst coverage with the sample of 1.907 companies having at least one analyst report published per year among the listed companies in Korean Exchange Market for 6 years, from 2005 to 2010. In this study, the number of reports and revision date. As a proxy of analyst coverage, are measured and established to dependent variables. And firm factors, the quality of accounting information, the degree of information asymmetry, investors trading form are chosen as explanatory variables. In the study, Fama-MacBeth regression analysis method is used to analyse how diverse information environment has an effect on the analyst coverage. To sum up the results, they are as follows. Firstly, it is shown that analyst coverage has a positive relationship with the firm factors, such as firm size, trading volume, expense relating to intangible assets, an return on asset(ROA). In other words, the economic benefits from information providing is larger, the information providing activities increase. In addition, the analyst coverage has a positive relationship with book to market value, debt ration, the number of firms in the industry, and has a negative relationship with the volatility of return. This imply that analyst coverage is determined to the cost of information providing more sensitively, rather than market demand. Generally, it is implied that the supply of analyst reports is increased in the firm, which analysts have a less cost of collecting in fprmation and have more benefits of information providing. Secondly, it is found that there are a positive relationship between value relevance and financial transparency and a negative relationship between discretionary accruals and profit variability. This imply that the more firm has high-quality public information, the more analysts` information providing activities increases. Thirdly, information providing activities in analysts increase in the firm, with a low insider stake and dispersion of analysts` earning forecast, and high trading ratio of institutional shareholders. That is, analysts would focus on providing information to the firm with less asymmetric information because they has a high motive to reduce the cost of information acquisition and adverse-selection by information providing. Finally, it is shown that information providing activities increase in the firm with low variance ratio and high turnover rate. This has an implication that analysts would provide more information to the firm with a great deal of irrational investors with the purpose of contributing to the profit-making of securities firm. Generally, It is shown that analyst reports are increased in the firm, which has a great economic benefits from information providing, less cost for information gathering, the high quality of public information, less cost for adverse selection, and high volume of irrational investors. This results imply that analyst could act as a information intermediary, rather than information provider in Korean Stock Market. The study has a great significance in inferring the analyst` role by examining the determinants to information coverage in recent information environment changed. Along with, the study could help in understanding the usefulness of accounting information, the tendency of overestimation in analyst, analyst` informativeness, information environment, and the market efficiency.

참고문헌 (Reference)

1 김경순, "회계정보의 가치관련성에 대한 결정요인" 한국회계학회 36 (36): 169-209, 2011

2 박진우, "주식분할 후 변동성 증가와 거래행태의 변화" 한국증권학회 39 (39): 545-571, 2010

3 안윤영, "재무분석가의 활동과 이익의 질 간의 관계 및 기업가치에 미치는 영향" 대한경영학회 19 (19): 933-959, 2006

4 안윤영, "재무분석가의 특성이 이익예측정확성에 미치는 영향" 한국회계학회 31 (31): 1-23, 2006

5 김지홍, "재무분석가수의 결정요인: IBES를 이용한 분석" 한국회계학회 28 (28): 31-54, 2003

6 박경진, "재무분석가 및 외국인투자자활동과 주가동조성 현상" 대한경영학회 20 (20): 2753-2775, 2007

7 안윤영, "외국인투자자와 정보비대칭 간의 관계" 한국회계학회 30 (30): 109-131, 2005

8 김경순, "애널리스트보고서에 대한 시장반응과 정보력 결정요인" 한국회계학회 37 (37): 111-156, 2012

9 Agrawal, A, "Who is Afraid of Reg FD? The Behavior and Performance of Sell-side Analysts Following the SEC's Fair Disclosure Rules" 79 : 2811-2834, 2006

10 Cowen, A, "What Types of Analyst Firms Make more Optimistic Forecasts?" 39 : 295-327, 2005

11 Lin, H., "Underwriting Relationships, Analysts’ Earnings Forecasts and Investment Recommendations" 25 : 101-127, 1998

12 Kim, O., "Trading Volume and Price Reaction to Public Announcement" 29 : 302-321, 1991

13 Beaver, W, "The information content of annual earnings announcements" 6 : 67-92, 1968

14 Verrecchia, R. E, "The Use of Mathematical Model in Financial Accounting" 20 : 1-46, 1982

15 Subramanyam, K, "The Pricing of Discretionary Accruals" 22 : 249-281, 1996

16 Piotroski, J, "The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm- Specific Information into Stock Prices" 79 : 1119-1151, 2004

17 Ramnath, S, "The Financial Analyst Forecasting Literature: A Taxonomy with Suggestion for Further Research" 24 : 34-75, 2008

18 Basu, S, "The Conservatism Principle and the Asymmetric Timeliness of Earnings" 24 : 3-37, 1997

19 Brennan, M, "Stock price and the supply of information" 46 : 1665-1691, 1991

20 Kadapakkam, R, "Stock Splits, Broker Promotion and decimalization" 40 : 873-895, 2005

21 French, K, "Stock Return Variances: The Arrival of Information and the Reaction of Traders" 17 : 5-26, 1986

22 Marhfor, A., "Stock Price Informativeness and Analyst Coverage" University of Quebec at Montreal 2010

23 McNichols, M, "Self-selection and Analysts Coverage" 35 : 167-199, 1997

24 Boot, A, "Security Design" 48 : 1349-1378, 1993

25 Moyer. C, "Security Analyst Monitoring Activity: Agency Cost and Information Demands" 24 : 503-512, 1989

26 Fama, E. F, "Risk, Return, and Equilibrium: Empirical Test" 81 : 607-636, 1973

27 Dechow, P., "Returns to Contrarian Investment: Test of the Naive Expectations Hypotheses" 43 : 3-27, 1997

28 Barth, M, "Relative Valuation Roles of Equity Book Value and Net Income as a Function of Financial Health" 25 : 1-34, 1998

29 Irani, A., "Regulation Fair Disclosure, Analyst Following, and Analyst Forecast Dispersion" 17 : 15-29, 2003

30 Kim, O., "Pre-Announcement and Event-Period Private Informations" 24 : 395-419, 1997

31 Kothari, S, "Performance Matched Discretionary Accrual Measures" 39 : 163-167, 2005

32 Diamond, D. W, "Optimal Release of Information by Firms" 40 : 828-862, 1985

33 Chen, X., "On the Relationship between Aanlyst and Corporate Disclosures: Exploring the Roles of Information Discovery and Interpretation" 49 : 206-226, 2009

34 Core, J., "Market Valuation in the New Economy: An Investigation of What Has Changed" 34 : 43-67, 2003

35 Kim, O., "Market Reaction to Anticipated Announcement" 30 : 273-309, 1991

36 Brennan, M, "Investment Analysis and Price Formation in Securities Markets" 38 : 361-381, 1995

37 Foster, G, "Intra-Industry Information Transfers Associated with Earnings Releases" 3 : 201-232, 1981

38 Livnat, J., "Information Interpretation or Information Dis- covery: Which Role of Analysts Do Investors Value More?" 17 : 612-641, 2012

39 Brown, S., "How Disclosure Quality Affects the Level of Information Asymmetry" 12 : 443-477, 2007

40 Francis, J, "Have Financial Statements Lost Their Relevance?" 37 : 319-352, 1999

41 Bhushan, R., "Firm Characteristics and Analyst Following" 11 : 255-274, 1989

42 Waymire, G, "Earnings Volatility and Voluntary Management Forecast Dis- closure" 23 : 268-295, 1985

43 Ohlson, J, "Earning, Book Value, and Dividend in Security Valuations" 11 : 661-687, 1995

44 Durnev, A, "Does Greater Firm-Specific Return Variation Mean more or less Informed Stock Pricing?" 41 : 797-836, 2003

45 Irvine, P, "Do analysts generate trades for their firms? Evidence from the Toronto Stock Exchange" 30 : 209-226, 2000

46 Kandel, E., "Differential Interpretation of Public Signals and Trade in Speculative Markets" 103 : 831-853, 1995

47 Harris, M., "Difference of Opinion Make a Horse Race" 6 : 473-506, 1993

48 Frankel, R., "Determinants of Informativeness of Analyst Research" 41 : 29-54, 2006

49 Elgers, P, "Delayed Security Price Adjustments to Financial Analysts’ Forecasts of Annual Earnings" 76 : 613-632, 2001

50 DeFond, M, "Debt Covenant Violation and Manipulation of Accruals" 17 : 145-176, 1994

51 Ajinkya, B, "Corporate manager' earnings forecast and symmetrical adjustment of market expectations" 22 : 425-444, 1984

52 Lang, M, "Corporate Disclosure Policy and Analyst Behavior" 71 : 467-492, 1996

53 Frankel, R., "Characteristics of a Firm’s Information Environment and the Information Asymmetry Between Insiders and Outsiders" 37 : 229-259, 2004

54 Collins, D, "Changes in the Value-Relevance of Earning and Book Values over the Past Forty Years" 24 : 39-67, 1997

55 Desai, A. S, "Changes in Trading Activity Following Stock Splits and their Effect on Volatility and the Adverse- Information Component of the Bid-Ask Spread" 21 : 159-183, 1998

56 Barth, M, "Brand Value and Capital Market Valuation" 3 : 41-68, 1998

57 Hong, H., "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies" 55 : 265-295, 2000

58 Dugar, A., "Analyst' Research Reports: Caveat Emptor" (겨울) : 13-22, 1996

59 O’Brien, P, "Analyst Following and Institutional Ownership" 28 : 55-76, 1990

60 Cheng, M., "Analyst Following and Credit Ratings" 25 : 1007-1043, 2008

61 Barth, M, "Analyst Coverage and Intangible Assets" 39 : 1-34, 2001

62 Alford, A., "A Simultaneous Equations Analysis of Forecast Accuracy, Analyst Following, and Trading Volume" 14 : 219-240, 1999

63 Newey, W, "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix" 55 : 703-708, 1987

64 Guay, W., "A Market-Based Evaluation of Discretionary Accurals Models" 34 : 83-105, 1996

65 Francis, J, ". Earnings Announcements and Competing Information" 33 : 313-342, 2002

66 Burgstahler, D, ". Earning, Adaptation and Equity Value" 72 : 187-215, 1997