산경연구논집 (IJIDB) Vol. 10 No. 6 (p.51-58)

The Impact of Disclosure Quality on Crash Risk: Focusing on Unfaithful Disclosure Firms

공시품질이 주가급락에 미치는 영향: 불성실공시 지정기업을 대상으로
키워드 :
Unfaithful Disclosure,Stock Crash Risk

목차

Abstract
1. 서론
2. 선행연구 고찰 및 가설수립
  2.1. 주가급락 관련 선행연구
  2.2. 가설수립
3. 실증분석방법
  3.1. 변수의 설명
  3.2. 검증모형
  3.3. 표본선정
4. 실증결과
  4.1. 기초통계
  4.2. 상관관계
  4.3. 로지스틱 분석
  4.4. 대규모기업집단 소속 여부가 공시품질에 따른주가급락위험에 미치는 영향
5. 결론
  5.1. 결과의 요약 및 시사점
  5.2. 연구의 한계점 및 향후 연구방향
References

초록

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.