DOI QR코드

DOI QR Code

Information asymmetry and opportunistic behavior of insider : Focusing on fraud event firm

자본시장의 정보불균형과 기업내부관계자의 기회주의적 행태에 대한 실증연구 : 부정사건기업을 중심으로

  • Lee, Posang (Dept. of Finance & Tax Management, Songwon University)
  • 이포상 (송원대학교 금융세무경영학과)
  • Received : 2019.08.13
  • Accepted : 2019.11.20
  • Published : 2019.11.28

Abstract

This paper examines the opportunistic behavior of corporate insiders and analyzes the relationship between equity change and the possibility of delisting. The findings are summarized as follows. First, the larger the stake reduction of insider, the greater the negative excess return after announcement. In the delisting firm group, there is a significant decrease in equity and statistically significant results in the difference test between the comparative groups. The logistic regression analysis showed that the regression coefficient of equity change was negatively statistically significant, indicating a significant correlation between insider share change and the possibility of delisting. These findings are expected not only to provide useful information for investors, but also to be evidence of capital market information asymmetry.

본 연구는 부정사건이 발생한 기업을 대상으로 기업내부 관계자의 기회주의적 행태에 대하여 살펴보고 정보우위에 의한 지분변화가 자본시장에서의 시장퇴출 가능성과 지니는 관련성에 대한 실증분석을 실시하였다. 연구결과는 다음과 같이 요약된다. 먼저 사건 전후에 나타난 기업내부자의 지분감소가 큰 기업의 경우 공시이후에 보다 큰 음(-)의 초과 수익률이 나타나고 있다. 사건 기업 중 향후 시장퇴출로 이어진 기업집단에서는 뚜렷한 지분감소현상이 나타나고 있으며 비교집단 간 차이검정에서 통계적으로 유의한 결과를 보여주고 있다. 로짓회귀분석 결과 지분변화의 회귀계수가 음(-)의 통계적으로 유의한 결과 값을 나타내어 내부관계자의 지분감소가 클수록 향후 시장퇴출가능성이 증가하고 있음을 확인하였다. 이러한 연구결과는 정보우위에 따른 정보거래 가능성을 보여주는 결과로써, 자본시장 내외부자간 정보비대칭 현상에 대한 학술적 근거가 될 뿐만 아니라 이해관계자들의 의사결정에 유용한 정보를 제공해줄 수 있을 것으로 기대된다.

Keywords

References

  1. J. S. Cho & M. H. Jo. (2006). The relation between quarterly reports and information asymmetry, Korean Accounting Journal, 15(2), 59-72.
  2. L. R. Glosten & P. R. Milgrom. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14(1), 71-100. https://doi.org/10.1016/0304-405X(85)90044-3
  3. M. O'hara. (2003). Presidential address: liquidity and price discovery, Journal of Finance, 58(4), 1335-1354. https://doi.org/10.1111/1540-6261.00569
  4. D. Easley, S. Hvidkjaer & M. O'Hara. (2002). Is information risk a determinant of asset returns?, Journal of Finance, 57(5), 2185-2221. https://doi.org/10.1111/1540-6261.00493
  5. P. S. Lee. (2016). Understanding information asymmetry among investors in online trading environment, Journal of the Korea Society of computer and information, 21(1), 139-146. https://doi.org/10.9708/jksci.2016.21.1.139
  6. P. S. Lee. (2014). Information Effect of Embezzlement Disclosure and Trading Behavior by Investors Types, Financial Stability Studies, 15(2), 95-127.
  7. R. La Porta, F. Lopez-de-Silanes & A. Shleifer. (1999). Corporate ownership around the world, Journal of Finance, 54(2), 471-517. https://doi.org/10.1111/0022-1082.00115
  8. P. S. Lee & J. W. Park. (2015). Comprehensive Review of Listing Eligibility and Information Asymmetry, Korean Journal of Financial Studies, 44(1), 157-187.
  9. M. J. Kang, D. C. Moon & Y. S. Oh. (2012). A case Study on Misappropriation of SCD, NTPIA, Acti2O, Edu-PASS, Korean Accounting Journal, 21(3), 343-380.
  10. B. Y. Park, J. C. Park & B. M. Lee. (2012). Employee Embezzlement, Internal Control, and External Auditor's Responsibility: A Case of H Capital, Korean Accounting Journal, 21(1), 289-308.
  11. S. W. Yi & Y. C. Kim. (2011). An Empirical Relation Between Asset Misappropriation and Discretionary Accruals, Korean Journal of Business Administration, 24(2), 985-1007.
  12. M. G. Lee, S. C. Lee & S. J. Chang. (2008). The Effects of Internal Accounting Control System on Audit Hours and Audit Fees, Journal of Taxation and Accounting, 9(2), 73-104.
  13. S. H. Choi & W. J. Choi. (2010). The Effect of Internal Control Material Weakness on Audit Hours, Audit Fees, and Earnings Management: For four years after Internal Accounting Management Regulations, Korean Accounting Journal, 19(3), 31-53.
  14. E. F. Fama. (1970), Efficient Capital Markets: A Review of Theoty and Empirical Work. Journal of Finance, 25(2), 383-417. https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
  15. J. T. Kim, J. I. Bae & E. S. Choi. (2012), A Study on the Effects to Real Earnings Management Caused by Information Asymmetry between CEO and Interested Parties, Korean Journal of Management Accounting Research, 12(1), 63-88.
  16. S. Johnson, R. La Porta, F. Lopez-de-Silanes, & A. Shleifer. (2000). Tunneling, American Economic Review, 90(2), 22-27. https://doi.org/10.1257/aer.90.2.22
  17. R. Stulz. (1988). Managerial control of voting rights : financing policies and the market for corporate control, Journal of Financial Economics, 20, 25-54. https://doi.org/10.1016/0304-405X(88)90039-6
  18. J. Lakonishok & I. Lee. (2001). Are insider trades informative?. The Review of Financial Studies, 14(1), 79-111. https://doi.org/10.1093/rfs/14.1.79
  19. T. H. Eyssell & N. Arshadi. (1993). Insiders, outsiders, or trend chasers?: An investigation of pre‐takeover transactions in the shares of target firms. Journal of Financial Research, 16(1), 49-59. https://doi.org/10.1111/j.1475-6803.1993.tb00126.x
  20. M. J. Gombola, H. W. Lee & F. Y. Liu. (1999). Further evidence on insider selling prior to seasoned equity offering announcements: The role of growth opportunities. Journal of Business Finance & Accounting, 26(5-6), 621-649. https://doi.org/10.1111/1468-5957.00269
  21. G. Niehaus & G. Roth. (1999). Insider trading, equity issues, and CEO turnover in firms subject to securities class action. Financial Management, 28(4), 52-72. https://doi.org/10.2307/3666303
  22. J. Elliott, D. Morse & G. Richardson. (1984). The association between insider trading and information announcements. The RAND Journal of Economics, 15(4), 521-536. https://doi.org/10.2307/2555523
  23. K. John & L. H. Lang. (1991). Insider trading around dividend announcements: Theory and evidence. The Journal of Finance, 46(4), 1361-1389. https://doi.org/10.1111/j.1540-6261.1991.tb04621.x
  24. H. N. Seyhun. (1990). Overreaction or fundamentals: Some lessons from insiders' response to the market crash of 1987. The Journal of Finance, 45(5), 1363-1388. https://doi.org/10.1111/j.1540-6261.1990.tb03719.x
  25. K. A. Froot, P. G. O'connell & M. S. Seasholes. (2001). The portfolio flows of international investors. Journal of financial Economics, 59(2), 151-193. https://doi.org/10.1016/S0304-405X(00)00084-2
  26. A. Ali, S. Klasa & O. Z. Li. (2008). Institutional stakeholdings and better-informed traders at earnings announcements. Journal of Accounting and Economics, 46(1), 47-61. https://doi.org/10.1016/j.jacceco.2008.06.001
  27. C. H. Lin & C. Y. Shiu. (2003). Foreign ownership in the Taiwan stock market? an empirical analysis. Journal of Multinational Financial Management, 13(1), 19-41. https://doi.org/10.1016/S1042-444X(02)00021-X
  28. M. Dahlquist & G. Robertsson. (2001). Direct foreign ownership, institutional investors, and firm characteristics. Journal of financial economics, 59(3), 413-440. https://doi.org/10.1016/S0304-405X(00)00092-1
  29. Y. Y. Ahn, H. H. Shin & J. H. Chang. (2005). The Relationship between the foreign investor and information asymmetry, Korean Accounting Review, 30(4), 109-131.
  30. T. Odean. (1998). Are Investors Reluctant to Realize Their Losses?, Journal of Finance, 53(5), 1775-1798. https://doi.org/10.1111/0022-1082.00072
  31. B. M. Barber & T. Odean. (2000). Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors, Journal of Finance, 55(2), 773-806. https://doi.org/10.1111/0022-1082.00226
  32. J. M. Griffin, J. H. Harris & S. Topaloglu. (2003). The Dynamics of Institutional and Individual Trading, Journal of Finance, 58(6), 2285-2320. https://doi.org/10.1046/j.1540-6261.2003.00606.x
  33. S. Hvidkjaer. (2008). Small Trades and the Cross-Section of Stock Returns, Review of Financial Studies, 21, 1123-1151. https://doi.org/10.1093/rfs/hhn049
  34. B. M. Barber, Y. T. Lee, Y. J. Liu & T. Odean. (2009). Just How Much Do Individual Investors Lose by Trading?, Review of Financial Studies, 22(2), 609-632. https://doi.org/10.1093/rfs/hhn046
  35. M. Grinblatt & M. Keloharju. (2000). The Investment Behavior and Performance of Various Investor Types: A Study of Finland's Unique Data Set, Journal of Financial Economics, 55(1), 43-67. https://doi.org/10.1016/S0304-405X(99)00044-6
  36. K. Kim & J. Nofsinger. (2007). The Behavior of Japanese Individual Investors During Bull and Bear markets, Journal of Behavioral Finance, 8(3), 138-153. https://doi.org/10.1080/15427560701545598
  37. S. C. Bae, J. H. Min & S. Jung. (2011). Trading Behavior, Performance, and Stock Preference of Foreigners, Local Institutions, and Individual Investors: Evidence from the Korean Stock Market, Asia-Pacific Journal of Financial Studies, 40(2), 199-239. https://doi.org/10.1111/j.2041-6156.2011.01037.x
  38. J. E. Khil, N.Y. Kim & Y.S. Sohn. (2006). The Impact of the Investors' Trading Behavior on the Return and the Volatility in the Recent Korean Stock Market, Asia-Pacific Journal of Financial Studies, 35(3), 77-105.
  39. W. Beaver. (1966). Financial ratios as predictors of failure, Journal of Accounting Research, 4, 71-111. https://doi.org/10.2307/2490171