초록 열기/닫기 버튼
상장기업의 내부자거래 정보는 매년 1만 여건을 상회할 정도로 빈번하게 공시되는 사항이다. 본 연구는 금융감독원 전자공시시스템을 통해 보고되는 내부자거래 공시의 정보효과를 검토하고, 투자자들의 시장반응을 결정하는 공시정보의 속성을 분석하였다. 2001년부터 2012년까지 공시된 30,120건의 내부자거래를 대상으로 분석한 주요결과는 다음과 같다. 첫째, 내부자거래 공시일 전․후에 걸쳐 유의한 시장반응이 관찰되었다. 이는 투자자들이 내부자거래 공시를 해당 기업의가치평가와 관련하여 유용한 정보로 인식하고 있음을 의미한다. 둘째, 투자자들의 시장반응은 공시정보의 보고시차가 짧을수록 증가하는 것으로 나타났다. 이는 적시성이 높을수록 정보효과가 높아짐을 보여주는 결과이자, 2009년 2월의 자본시장법 시행에 따른 내부자거래 공시기한 단축이 증권시장의 효율성 제고에 기여하고 있음을 시사하는 결과이다. 셋째, 내부자의 매수거래는 차별적인 주가반응을 유도하는 한편 내부자의 매도거래는 차별적인 거래량반응을 유도하는 것으로 나타났다. 이는 투자자들이 내부자의 매수거래와 매도거래에 각각 달리 반응하고 있음을 의미한다. 마지막으로, 코스닥기업의 내부자거래 공시에 대한 거래량반응은 코스피기업보다 유의하게 높은 것으로 나타났다. 이는 정보비대칭이 높은 기업의 공시일수록 투자자들에게 전달하는 정보효과가 크게 나타남을 시사하는 결과이다. 내부자거래와 주가움직임의 관계를 분석한 국내 선행연구는 대부분 내부자거래의 초과이익 실현 여부를 검증하고 있으며, 이를 통해 내부자의 미공개정보 이용가능성을 제기하고 있다. 이에 비해, 본 연구는 내부자거래 공시의 정보효과를 밝히고 있다는 점에서 차별적 의미가 있다. 본 연구결과는 규제당국이나 시장참여자들이 내부자거래 공시에 대한 이해의 폭을 넓히는 데 기여할 수 있을 것으로 기대된다.
This study examines the market’s reaction to disclosures of insider transactions announced by DART system and analyzes the determinants of the stock market reactions to insider trades disclosures. Specifically, we focus on three factors likely to affect informativeness, reporting lag, trade type (purchase versus sales), and informational environment difference between two exchanges (KSE versus KOSDAQ). First, reporting lag is included to capture the potential effect of leakage on the information content of insider trading disclosures as a function of the delay between the transaction and its disclosure dates. If leakage increases with the reporting lag, then the association will be weaker. Second, we include the type of insider trades(sale or purchase) because the market reactions that stem from insider purchases and sales may be asymmetric. By purchasing shares in their firm, insiders communicate a positive signal about the future value of the firm to the market. The signal is costly as the insiders incur a substantial cost to acquire their shares and bear the cost of holding less than optimally diversified investment portfolios. Therefore, insiders’ purchases must stem from confidence of future performance, sending a credible positive signal about a firm’s future financial health. Conversely, insiders signal negative news when selling shares. However, the negative signal may be less informative as liquidity needs, rather than changes in the firm’s future prospects, may force the insiders to sell shares. Finally, we consider stock exchange membership(KSE or KOSDAQ). The market response to insider trading disclosure will depend on the degree of informational asymmetry between insiders and market. In general, informational asymmetry between insiders and market may be stronger in KOSDAQ than KSE. Therefore, investors’ reaction to the public disclosure is expected to be stronger for KOSDAQ firms than KSE firms. We analyze market reactions to a sample of 30,120 insider trades disclosures from 2001 to 2012. Our major findings are as follows. First, we find a significant price reactions to public disclosures of insider trades, which implies that disclosure on insider trading communicates useful information to stock market investors. Second, there is a significantly negative association between market reaction and reporting lag around announcement dates. This result shows that the information content of insider trading disclosures increases with their timeliness. Also, this result suggests that more timely disclosure mandated by the new rule under Financial Investment Services and Capital Markets Act contributes to more efficient stock market. Third, we found that insider purchases mainly induces price reaction whereas insider sales induces trading volume reaction, implying that investors react to insider purchases and insider sales in a different way, respectively. Finally, it is found that the market reaction to public disclosure of insider trades is stronger in KOSDAQ than KSE, which is consistent with the notion that information content of insider trades turns out to be stronger for firms with higher degree of information asymmetry. Most of previous studies investigate the relation between insider trades and stock prices with a focus on the realized abnormal returns obtained through insider trading. In contrast, our study examines the informational effects of public disclosure of insider trades and also their determinants of cross-sectional variation across firms. We are unaware of any research, using Korean stock market data, that investigates public disclosure effects of insiders’ trades. Therefore, our study contributes to literature by showing the benefits of providing investors with more timely information about insiders’ trades.
키워드열기/닫기 버튼
insider trading, informational effect, reporting lag, trading pattern, information asymmetry
