DOI QR코드

DOI QR Code

5% Rule Disclosure and Stock Trading Volume : Evidence from Korea

  • KIM, Eung-Gil (Dept. of Accounting, Soongsil University) ;
  • KIM, Sook-Min (Solbridge International School of Business, Woosong University)
  • 투고 : 2019.09.06
  • 심사 : 2019.09.25
  • 발행 : 2019.11.30

초록

Despite the fact that the implementation of 5% rule is widely recognized to enhance the transparency of capital market and fairness of corporate governance market, a few evidences present information effect of 5% rule. Using 7,088 non-financial firm-year observations listed on the Korea Stock Exchange from 2006 to 2012, we analyze the relation between trading volume and 5% rule disclosure. The results show that the daily and abnormal trading volume is increased when 5% rule disclosure is released. Moreover, the trading volume is significantly increased during cooling period. Specifically, trading volume is significantly greater when one day before cooling period or the expiration day of cooling period. We also find the information effect of firms with stable ownership structure before 5% rule disclosure is relatively smaller than the firms with unstable ownership structure with unstable ownership structure. These results imply that capital market participants use the information from 5% rule disclosure and reflect in their real economic decision.

키워드

참고문헌

  1. Ajinkya, B. B., & Gift, M J. (1984). Corporate managers' earnings forecasts and symmetrical adjustments of market expectations. Journal of Accounting Research, 22(2), 428-444.
  2. Ajinkya, B. B., Atiase, R. K., & Gift, M. J. (1991). Volume of trading and the dispersion in financial analysts' earnings forecasts. The Accounting Review, 66(2), 389-401.
  3. Bamber, L. S. (1987). Unexpected earnings, firm size, and trading volume around quarterly earnings announcements. The Accounting Review, 62(3), 510-532.
  4. Bamber, L. S., & Cheon, Y. S. (1995). Differential price and volume reactions to accounting earnings announcements. The Accounting Review, 70(3), 417-441.
  5. Bamber, L. S., Barron. O. E., & Stober, T. L. (1997). Trading volume and different aspects of disagreement coincident with earnings announcements. The Accounting Review, 72(4), 575-597.
  6. Beaver, W. H. (1968). The information content of annual earnings announcements. Journal of Accounting Research, 6(1), 67-92. https://doi.org/10.2307/2490070
  7. Bricklet, J. A., Lease, R. C., & Smith, C. W. (1988). Ownership structure and voting on antitakeover amendments. Journal of Financial Economics, 20(1), 267-291. https://doi.org/10.1016/0304-405X(88)90047-5
  8. Chae, S. J., & Ryu, H. Y. (2018). The Relationship between corporate social responsibilities and financial reporting quality: Focusing on distribution & service companies. Journal of Distribution Science, 16(10), 77-82. https://doi.org/10.15722/JDS.16.10.201810.77
  9. Cho, K. S. (2013). Block ownership and firm value: KOSPI200 firms. Korean Journal of Business Administration, 26(12), 3051-3073.
  10. Cho, M. J., & Kwon, S. Y. (2013). Trading volume and investor disagreement around management forecast disclosures. Journal of Accounting, Auditing & Finance, 29(1), 3-30. https://doi.org/10.1177/0148558X13516977
  11. Ji, S. H., Oh, H. M., Yoon, K. C., & An, S. B. (2019). A study on earnings management in companies achieving sustainability: Accruals-based and real earnings management. Journal of Distribution Science, 17(9), 103-115. https://doi.org/10.15722/JDS.17.9.201909.103
  12. Kim, B. T. (2015). The current states and implications of 5% Rule (pp.1-52). Seoul, Korea: Korea Economic Research Institute.
  13. Kim, H. R. (2018). The effect of the type of largest shareholder change on firm risk. Korean Business Education, 32(1), 71-98. https://doi.org/10.34274/krabe.2018.32.1.004
  14. Kim, H. S., & Cho, K. S. (2014). The effects of blockholder concentration on stock market liquidity by panel regression analysis. Korean Finance & Knowledge, 12(2), 117-139.
  15. Kim, S. H. (2018). Two faces of foreign capital: Gather profits and threaten management rights. Jungangsisa Magazine, Retrieved June 11, 2018, from http://jmagazine.joins.com/economist/view/321561.
  16. Kim, S. J., & Byun, H. J. (2001). Changes in large shareholders and performance of restructuring firms. Korean Journal of Financial Studies, 28(1), 115-148.
  17. Kim, S. S., & Lee, J. H. (2017). Testing the liquidity hypothesis in the Korean retail firms. Journal of Distribution Science, 15(5), 29-38. https://doi.org/10.15722/jds.15.5.201705.29
  18. Korean National Law Information Center (2019). Korean Financial Investment Services and Capital Markets Act (The article 147) Retrieved August 31, 2019, from http://www.law.go.kr/lsInfoP.do?lsiSeq=181870&efYd=20190916#0000.
  19. Morck, R., Shleifer, A., & Vishny, R. W. (1988). Management ownership and market valuation: An empirical analysis. Journal of Financial Economics, 20(1), 1998, 293-315. https://doi.org/10.1016/0304-405X(88)90048-7
  20. Seon, J. H. (2015). Friction effects of block ownership. Korean Journal of Financial Studies, 44(4), 807-827.
  21. Shleifer, A., & Vishny, R. W. (1986). Large shareholders and corporate control. Journal of Political Economy, 94(3), 461-488. https://doi.org/10.1086/261385
  22. Stulz, R. (1988). Managerial control of voting rights. Journal of Financial Economics, 20(1), 25-59. https://doi.org/10.1016/0304-405X(88)90039-6
  23. Sohn, S. K., & Cheon, Y. S. (Year). A study on trading volume around management earnings forecast disclosure. Korean Accounting Review, 25(4), 27-54.
  24. Park, Y. K. (2019). Corporate governance, largest shareholder change and stock performance. Korean Finance & Knowledge, 17(1), 87-107. https://doi.org/10.38200/JFKS.17.1.4
  25. Pound, J. (1988). Proxy contests and the efficiency of shareholder oversight. Journal of Financial Economics, 20(1), 237-265. https://doi.org/10.1016/0304-405X(88)90046-3
  26. Um, Y. S. (2012). The role of large investors in corporate control: The analysis of 5% rule. Korean Journal of Business Administration, 25(9), 3533-3551.
  27. Waymire, G. (1984). Additional evidence on the information content of management earnings forecasts. Journal of Accounting Research, 22(2), 703-718. https://doi.org/10.2307/2490672

피인용 문헌

  1. Exploring Stock Market Variables and Weighted Market Price Index: The Case of Jordan vol.8, pp.3, 2019, https://doi.org/10.13106/jafeb.2021.vol8.no3.0977