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Korean Journal of Financial Studies 2015;44(3):485-515.
Published online June 30, 2015.
Can a "Limitedly-Induced" Analyst Report Make a Contribution to Reduction in the Market`s Asymmetric Information Evidence from the KRX Research Project
Kyung Yoon Kwon, Yujin Yang, Kyong Shik Eom
비자발적 애널리스트 보고서가 지닌 정보로서의 가치
권경윤, 양유진, 엄경식
Abstract
In 2007, KOSDAQ introduced the ‘KRX Research Project (KRP)’ to subsidize analyst reports on firms with low informational transparency; it abruptly terminated the project in 2011. In this paper, we examine whether the KRP improved the price informativeness for the covered firms by analyzing changes in three variables: stock price noise, asymmetric information, and price efficiency. Using intraday and daily data, we perform an exploratory difference test and a difference-in-difference (DID) test utilizing KRP-covered firms and their matched firms from 2008 to 2011. Our results show that the price noise of the sample firms was statistically significantly reduced following the implementation of the project. It provides evidence that KRP contributed to improving the price informativeness for those firms with low informational transparency. We also find that KRP reports somewhat improved information asymmetry and price efficiency. However, this result shows mixed statistical significance. Overall, our results suggest that informational asymmetries have been severe for some KOSDAQ firms, since analyst reports containing fairly limited information nonetheless managed to have a significant impact. Furthermore, our results indicate that the decision to terminate the KRP was a mistake, and it would be desirable to reinstate KRP, with certain modifications to address concerns that arose in the original implementation.
Key Words: Stock Price Noise,Price Informativeness,Matching Model,KRP Report,KRP 보고서,KOSDAQ,DID Technique,코스닥,주가 노이즈,이중차분 기법,매칭모형,또는 정보성
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