기업 이익발표에 대한 주가반응: 투자자관심과 시장 센티먼트를 중심으로

초록

This study analyzes the impact of investors’ attention, market sentiment, and company characteristics on stock price responses to earnings announcements, using Korean stock market data from 2003 to 2019. First, we find that stock prices respond in the same direction as unexpected earnings, and the significance of stock price response decreases as time passes in the post-event period. Specifically, value stocks respond quickly and appropriately during an event period. The prices of growth stocks tend to overreact to good news during the event period, then show a reversal effect in the post-event period, underreact to bad news during the event period and then adjust through post-earnings announcement drift(PEAD). Second, we find that the stock prices of large and small/medium-sized companies with higher investor attention respond quickly during the event period, and those of small/medium-sized companies with lower investor attention take time to respond. Third, we found that market sentiment does not significantly impact the stock price responses during the event period but positively impacts small/medium-sized companies and growth stock in the post-event and long-term(event period and post-event period combined) periods.

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