4분기 부채규모 변동이시장반응에 미치는 영향

초록

In 2010, the U.S. Securities and Exchange Commission (SEC), expecting to enhance accounting transparency, proposed to regulate the temporarily reduction of the debt in the fourth quarter. In wake of this, we study the temporarily fourth quarter debt reduction practice in Korea and its effect on the market. To study the effect of changes of debt size in the fourth quarter on the market, we analyze the non-financial Korean firms listed on the Korea Stock Exchange for the years 2003-2016, resulting in 7,708 firm-years. We use size-adjusted stock returns as the stock market response measure. Following the SEC regulation definition, we measure the fourth quarter debt size change compared to the first trough third quarter debt levels. The results from our study are summarized as follows. First, we find that there exists the reduction in the debt size in the fourth quarter. We find that there exists the negative relation between the fourth quarter debt size changes and the market response. We also find that the market reacts more negatively to both larger debt reducing and mild debt increasing firms. As a whole, we document that the market responds negatively to the changes in the debt size and reacts differently to the direction in the fourth quarter. These results suggest that the market suspects the firms’ intention of the fourth quarter debt size adjustments and as a result, reacts negatively to the debt level changes. To further investigate whether the market reacts differently to the debt liquidity, we study the market reaction to the current and non-current debt reductions. We find that the market reacts more negatively to the reduction of current debts. These results show that the market incorporates the debt liquidity and riskiness and therefore, evaluates differently the fourth quater debt reduction. We study the practice of the fourth quarter temporally debt size reduction in Korea and the market’ reaction to this suspicious practice. Our study reports the existence of the debt size reduction in Korea and shows that the market reacts differently to the fourth quarter debt size changes, depending on the change size, direction, and liquidity. This study sheds light on the importance of the quarterly accounting information, expecially debt size, and its role in providing the relevant information to the market.

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