- 권한신청
- E-ISSN2233-5382
- KCI
공시품질이 주가급락에 미치는 영향: 불성실공시 지정기업을 대상으로
The Impact of Disclosure Quality on Crash Risk: Focusing on Unfaithful Disclosure Firms
- 다운로드 수
- 조회수
Abstract
Purpose - Prior studies reported that the opacity of information caused stock price crash. If managers fail to disclose unfavorable information about the firm over a long period of time, the stock price is overvalued compared to its original value. If the accumulated information reaches a critical point and spreads quickly to the market, the stock price plunges. Information management by management's disclosure policy can cause information uncertainty, which will lead to a plunge in stock prices in the future. Thus, this study aims at examining the impact of disclosure quality on crash risk by focusing on the unfaithful disclosure firms. Research design, data, and methodology - This study covers firms listed on KOSPI and KOSDAQ from 2004 to 2013. Firms excluded from the sample are non-December firms, capital-eroding firms, and financial firms. The financial data used in the research was extracted from the KIS-Value and TS2000 database. Unfaithful disclosure firm designation data was collected from the Korea Exchange's electronic disclosure system (kind.krx.co.kr). Stock crash is measured as a dummy variable that equals one if a firm experiences at least one crash week over the fiscal year, and zero otherwise. Results - Empirical results as to the relation between unfaithful disclosure corporation designation and stock price crashes are as follows: There was a significant positive association between unfaithful disclosure corporation designation and stock price crash. This result supports the hypothesis that firms that have previously exhibited unfaithful disclosure behavior are more likely to suffer stock price plunges due to information asymmetry. Second, stock price crashes due to unfaithful disclosures are more likely to occur in Chaebol firms. Conclusions - While previous studies used estimates as a proxy for information opacity, this study used an objective measure such as unfaithful disclosure corporation designation. The designation by Korea Exchange is an objective evidence that the firm attempted to conceal and distort information in the previous year. The results of this study suggest that capital market investors need to investigate firms' disclosure behaviors.
- keywords
- Unfaithful Disclosure, Stock Crash Risk
참고문헌
Bleck, A., & Liu, X. (2007). Market transparency and the accounting regime. Journal of Accounting Research, 45(2), 229-256.
Chae, S. J., & Hwang, H. J. (2017). The effect of audit quality on crash risk: Focusing on distribution & service companies. Journal of Distribution Science, 15(8), 47-54.
Chae, S. J., & Ryu, H. Y. (2018). The effect of control-ownership wedge on stock price crash risk. International Journal of Industrial Distribution &Business, 9(7), 53-59.
Chen, J., Hong, H., & Stein, J. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61, 345-381.
DeFond, M., Hung, M., Li, S., & Li. Y. (2015). Does mandatory IFRS adoption affect crash risk? The Accounting Review, 90(1), 265-299.
Diamond, D., & Verrecchia, R. (1991). Disclosure, liquidity, and the cost of capital. Journal of Finance, 46, 1325-1359.
Francis, B., Hasan, I., & Li, L. (2016). Abnormal real operations, real earnings management, and subsequent crashes in stock prices. Review of Quantitative Finance and Accounting, 46(2), 217-260.
Habib, A., Hasan M. M., & Jiang. H. (2017), Stock price crash risk: Review of the empirical literature. Accounting and Finance, 57(2), 1-41.
Haribar, P., & Yang, H. (2016). CEO overconfidence and management forecasting. Contemporary accounting research, 33(1), 204-227.
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2 and crash risk. Journal of Financial Economics, 94, 67-86.
Jin, L., & Myers, C. S. (2006). R2 around the world: New theory and new tests. Journal of Financial Economics, 79, 257-292.
Kim, J. B., Li, Y., & Zhang, L. (2011). Corporate tax avoidance and stock price crash risk: Firm-level analysis. Journal of Financial Economics, 100, 639-662.
Kim, J. B., & Zhang, L. (2016). Accounting conservatism and stock price crash risk: Firm‐level evidence. Contemporary accounting research, 33(1), 412-441.
Lee, A. Y., & Chae, S. J. (2018). The effect of management disclosure and analysis on the stock crash risk: Evidence from Korea. The Journal of Asian Finance, Economics and Business, 5(4), 67-72.
Lee, A. Y., Chun, S. B., & Park, S. S. (2008). The effect of unfaithful disclosure on the cost of debt. Korean Accounting Review, 33(1), 127-158.
Lee, D. H., & Choi, J. U. (2013). The effect of unfaithful disclosure on audit fees and audit hours. Study on Accounting, Taxation & Auditing, 55(1), 61-81.
Santa-Clara, P., & Yan, S. (2010). Crashes, volatility, and the equity premium: Lessons from S&P 500 options. Review of Economics and Statistics, 92(2), 435-451.
Sohn, S. S., Oh, Y. S., & Chae, S. J. (2012). The effect of unfaithful disclosure designation and unfaithful disclosure penalty points on internal accounting control review and audit opinion. Korean Accounting Review, 37(1), 1-40.
- 다운로드 수
- 조회수
- 0KCI 피인용수
- 0WOS 피인용수