전략적인 공시시간의 선택과 시장반응

Abstract

The aim of this study is to analyze the timing of earnings announcement as one of the important factors influencing investors’ decision-making in the stock market. Specifically, it focuses on the question whether the management makes strategic use of the timing of earnings disclosure depending on the type of the earnings information (Good/Bad) and whether the market reaction varies according to the different timing of the announcement. The sample data covers timely disclosure of annual earnings announcement from 2002-2006. This paper employs a sample of 1,912 firm-years. When compared to the previous period, earnings increase is categorized as ‘Good News’ the opposite situation is categorized as ‘Bad News.’ In brief, the results of the research are as follows: In the category of ‘Bad News’, a clear tendency for the earnings to be announced after the market closed at 3:00 PM is revealed. This tendency appears even stronger, if the result of the present period is a loss. Also, different response for each case (Good/Bad) and its subcategory (announcement made before/after the market close) is analyzed using abnormal stock returns. In the case of ‘Bad News’ with earnings announcement after the market close, abnormal returns exhibits a diminishing tendency which begins to show from one day after the earnings announcement. In this situation, the negative market reaction is more pronounced than in the case of ‘Bad News’ with the announcement made before the market close. Furthermore, for ‘Bad News’ released after trading hours, the market reaction is even more negative when cumulative abnormal returns of nine-day window (day -3 to day + 5) surrounding earnings announcement are used. In summary, the findings show that managers make strategic use of the timing of earnings announcement to reduce the negative market reaction to bad news. Nevertheless, despite their effort, the market starts to negatively react to bad news from the day following the earnings announcement. Overall, we believe this study sheds light on the research of disclosure timing by providing important implications to the market participants including the managers or policy makers. Moreover, we expect that various more detailed researches will be carried out in the future to investigate related issues.2