초록 열기/닫기 버튼
주가급락은 기업의 주가가 예측 가능성 없이 단기간에 급격히 하락하는 현상으로, 기업 정보, 특히 부정적인 정보의 불투명성 때문에 발생하는 것으로 알려져 있다. 한편 특정 기업에 대한 정보가 다른 기업의 의사결정에 영향을 미치는 현상을 정보이전효과라 하는데, 그 중에서도 특히 가치평가에 미치는 영향이 주로 연구되고 있다. 본 연구는 주가급락과 정보이전효과에 관한 선행연구를 바탕으로 동종 산업의 타 기업에서 주가급락이 발생했을 때, 관심기업의 회계 불투명성이 높을수록 관심기업의 주가가 하락하는지를 분석하였다. 타 기업의 주가급락을 목격한 시장참여자가 주가급락의 원인인 회계 불투명성에 보다 민감하게 반응할 것으로 예상할 수 있기 때문이다. 실증분석 결과는 다음과 같다. 타 기업에서 주가급락이 발생한 사건일에, 관심기업의 재량적발생액이 높을수록 관심기업의 가중평균 누적초과수익률은 유의하게 하락하였다. 또한 이와 같은 관심기업에 나타난 주가 하락은 산업의 경쟁강도가 클수록 강하게 나타났다. 이는 산업의 경쟁강도가 클수록 타 기업과 관심기업의 관련성이 더 높기 때문이라고 해석할 수 있다. 본 연구의 결과는 시장이 기업의 회계 불투명성을 위험요인으로 인지하고 있으며, 이를 주가에 반영하고 있다는 사실을 보여준다. 그러나 주가급락이나 발생액 이상현상과 같은 선행연구는 시장이 기업의 회계 불투명성에 대하여 충분히 효율적이지 않다는 사실을 보여준다 는 점을 감안할 때, 이는 사후적이라는 점에서 한계를 가진다고도 할 수 있다. 따라서 본 연구는 투자자나 재무분석가, 금융당국 등이 회계 불투명성을 가치평가에 사전적으로 반영하여 시장 효율성을 개선할 필요가 있다는 사실을 시사한다.
A stock price crash means firm’s stock price falls dramatically in a short period. It is known to be caused by the opacity of corporate information. Meanwhile, the event of a specific firm affects other firms’ decision-making, which is called the information transfer effect. Based on the prior studies regarding the stock price crash and the information transfer effect, this study examines how the focal firm’s stock price reacts according to its accounting opacity when the stock price crash occurs in other firms in the same industry. We hypothesize the more opaque the focal firm’s accounting, the larger the stock price of the focal firm declines when the stock price crash occurs in other firms, that is, the information transfer effect. It is because market participants who witness the stock price crash of other firms react to the focal firm’s accounting opacity more sensitively. We also hypothesize the more correlated the relationship between each firm in the industry, the greater the information transfer effect. The stock price crashes occurred in correlated firms would attract the attention of the focal firms’ investors. We measure the likelihood of stock price crashes based on the firm-specific weekly returns exceeding 3.09 standard deviations below its mean value in the normal distribution. The observations in this area correspond to less than 0.1% of the total ones and we categorize them as the stock price crashes. We define the event date of the information transfer effect by applying the following two principles. First, when the stock price crashes are observed in other firms several times, we use the first one for the event date. Second, We set the last day of the week of the stock price crash as the event date. The dependent variable is the weighted average cumulative abnormal return (CAR) of the focal firm. The accounting opacity, the first explanatory variable, is calculated using the absolute value of discretionary accruals with the modified Jones model (Dechow et al. 1995). We use the intensity of product market competition to measure the relationship between each firm, the second explanatory variable. Specifically, we apply the Herfindahl-Hirschman index (Grullon and Michaely 2007; Giroud and Mueller 2011) to the measure. The results of the study are as follows. First, the higher the discretionary accruals of the focal firm, the lower the cumulative abnormal return of the focal firm during the stock price crash in other firms. Second, the higher the market competition intensity in the industry, the greater the information transfer effect, in other words, stock price declines more. Furthermore, we perform two additional analyses. First, we retest the hypotheses by dividing the discretionary accruals into positive and negative values and find the same results as above in the positive value. This asymmetric result shows that investors recognize positive discretionary accruals as bad news. Second, we reanalyze the hypotheses using the group with the largest, the smallest, and the most similar market capitalization according to the firm where the stock price crash occur, and find the same results in the first and third groups. This result means that large firms in the stock market and closed firms to the focal firm have greater influences on the focal firm. Overall, the results of our study show the capital market recognizes corporate accounting opacity as a risk factor and reflects it in stock prices. The results, on the other hand, show that the capital market is not efficient enough for the accounting opacity, and has limitations in that their valuation are posterior. Therefore, this study suggests that market participants need to be more efficient by valuing accounting opacity proactively.
키워드열기/닫기 버튼
Stock price crash, Accounting opacity, Information transfer effect, Discretionary accruals, Market competition
