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Korean Journal of Financial Studies 2014;43(1):183-211.
Published online February 28, 2014.
Investment Alert Issues and Investor Protection
Hak Kyum Kim, Jin Woo Park, Jin Hwon Lee
투자주의 환기종목 지정 제도와 투자자 보호
김학겸, 박진우, 이진훤
Abstract
This paper examines the information effect of investment alert issues by the Korea Exchange (KRX) and the trading patterns of investors classified by individual, institutional, and foreign investors. The results are summarized as follows. First, the cumulative abnormal return (CAR) is -13.66% over two days after investment alert issues, indicating that it is a highly negative event in the market. Second, prior to investment alert issue both institutional and foreign investors are net sellers whereas individual investors bear the brunt of loss as a net buyer of the stock. Third, the net purchases of individual investors continue even after investment alert issue. This phenomenon is more evident for the to-be-delisted firms, engendering substantial loss to individual investors. Fourth, the firms with higher debt ratio, more discretionary accruals and lower profitability are more likely to face delisting after investment alert issue. In addition, the net purchase ratio of individual investors is a predictor of delisting after investment alert issue. In conclusion, investment alert issue by the KRX does not seem to contribute to resolve the information asymmetry between investors and protect the retail individual investors.
Key Words: 개인투자자,정보비대칭,투자자 보호,투자자유형별 매매패턴,투자주의 환기종목,Individual Investor,Information Asymmetry,Investment Alert Issues,Investor Protection,Trading Patterns by Investor Type
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