Earticle

초록

영어

While previous studies suggest that the higher level of disclosure leads to a more efficient stock market, it is unclear whether a simple increase in quantity of disclosure, regardless of its quality, guarantees a better price discovery. This paper examines the separated effect of disclosure quality on how well newly disclosed information is incorporated into stock prices by analyzing stock returns around the derivative related loss announcements in Korean stock market. To properly price the losses from financial derivatives, investors need to differentiate ‘over-hedged’ firms from ‘non-over-hedged’ firms. This is because only the derivative related losses of ‘over-hedged’ firms actually lead to net losses even after being offset by gains from underlying foreign currency denominated assets. By analyzing stock returns around 131 derivative related loss announcements during March 2008 and June 2009 in Korean stock market, we find that investors misprice derivative related losses of ‘non-over-hedged’ firms when additional information to identify ‘non-over-hedged’ firms is not available. This result indicates that newly disclosed information about derivative related losses without supporting information induces investors to misprice those losses. By documenting that an increase of disclosure quantity as in derivative related loss announcements does not necessarily facilitate more rational equity valuation, our study enhances our understanding about the effect of disclosure on capital market. One of the policy implications is that disclosure policy makers should consider quality of information whenever they intend to increase quantity of disclosure to improve function of capital market.

목차

ABSTRACT
 I. INTRODUCTION
 II. BACKGROUND AND HYPOTHESIS DEVELPOMENT
  2.1 Review of Related Literature
  2.2 Background on KIKO Option Contracts and Disclosure of Derivative Related Loss in Korea
  2.3 Hypothesis Development
 III. METHODOLOGY
  3.1 Research Design
  3.2 Data and Sample Construction
 IV. EMPIRICAL RESULTS
  4.1 Descriptive Statistics
  4.2 Correlation between Variables
  4.3 Analysis of Market Reactions: Univariate and Multivariate Analysis
 V. CONCLUSION
 REFERENCES
 Table

키워드

저자

• Jaiho Chung [ Assistant Professor Korea University ]
• Hyungseok Kim [ Ph.D. Candidate Korea University ] Corresponding author
• Woojin Kim [ Assistant Professor Korea University ]
• Yong Keun Yoo [ Associate Professor Korea University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330