조회공시의 정보효과에 관한 연구

Abstract

This study classified inquiry disclosure of exchanges and KOSDAQ enterprises according to cases and types to positively analyse how inquiry disclosure influences on AR and CAR. For exchange enterprises, in respect to supply contract, merger, change of market condition, and capital increase, CAR showed persistently positive earning for more than a minimum of 3 days before disclosure to a maximum of 10 days after disclosure. So it is suggested that inquiry disclosure works as a good material. For KOSDAQ enterprises, disclosure involved in supply contract and change in market conditions showed the results identical with those of exchange enterprises, but disclosure involved in business in head office did not show clear reaction in markets. However, disclosure of KOSDAQ enterprises in respect to business in head office showed a clearly negative CAR, which may be interpreted as a worse material. According to types, the CAR of confirmed disclosure was 17.2%, that of disclosure under examination was 0.01%, and that of negative disclosure was -4.77%. Previous studies suggested that though reaction of stock price increases before disclosure, stock price is persistently maintained after disclosure. However, this study found that confirmed and investigation disclosures showed significantly positive CARs on the day of disclosure, and the stock price persisted while negative disclosure showed lower CAR after disclosure as predicted. Therefore, based on the results above, it is suggested that inquiry disclosure in our markets reacts to markets with exact information. Confirmed, investigation and negative disclosures showed reactions to markets before disclosure based on the day of disclosure, had the most influence on the day of disclosure and after disclosure, the information is persistently reflected. It indicates that for inquiry disclosure in our country, as investors show excessively strong reactions to rumors, they sensitively react to any type of disclosure. So it is concluded that our market supports an assumption of semi-strong type efficient market. This study intended to analyse inquiry disclosure according to types and cases, but extensive research on disclosure was not achieved because of insufficient information. In particular, it is another limit that the study on the KOSDAQ markets depended on only confirmed disclosure data.