주가급락위험과 재무분석가의 장기 예측치 발표 = Stock Price Crash Risk and Analysts’ Long-term Forecasts

국문 초록 (Abstract)

본 연구의 목적은 정보 불투명성으로 인한 주가급락위험을 재무분석가가 사전에 효율적으로 경고하는지 살펴보는 데 있다. 주가급락이란 기업 내부에 나쁜 소식이 누적되다가 일시에 시장에 전달되어 발생하는 급격한 주가 하락이며, 그 원인은 나쁜 소식에 대한 불투명성이다. 따라서 가까운 미래에 주가급락이 발생하는 기업은 나쁜 소식이 기업 내부에 누적되고 있으며, 이 나쁜 소식을 시장에 전달하는 것은 재무분석가들의 중요한 역할이다. 따라서 본 연구는 구체적으로 미래에 주가급락이 발생한 기업에 대해 재무분석가의 장기예측치 발표 가능성이 높아지는지, 그리고 해당 장기예측치의 속성이 부정적인지 분석하였다.
실증분석 결과는 다음과 같다. 주가급락위험이 높은 기업에 대해 재무분석가들의 장기예측치 제공 가능성은 높았으며, 재무분석가의 장기예측치는 보수적이라는 사실을 발견하였다. 그러나 주가급락이 발생하기 직전까지도 재무분석가들은 그들의 예측치에 주가급락위험을 충분히 반영하지 못하였으며, 주가급락이 발생한 직후예측치의 비관적인 성향은 증가하였다. 이를 종합하면 재무분석가들이 주가급락위험에 대해 보수적인 예측치를 발표하고는 있으나, 그 수준은 충분치 않다는 것으로 해석할 수 있다. 따라서 본 연구는 재무분석가들이 보다 적극적인 정보 수집과 분석 활동으로 기업 내부의 나쁜 소식을 기업가치 평가에 보다 적극적으로 반영해야 하며, 주가급락을 예방할 수 있는 주도적인 역할을 수행해야 한다고 제안한다.

다국어 초록 (Multilingual Abstract)

Stock price crash refers to the dramatical decrease of stock price as accumulated bad news are reflected to stock price at once. Given that the stock price crash comes from the opacity in bad news (Hutton et al. 2009), this study focuses on the role of analysts as information intermediaries. If analysts recognize firm’s stock price crash risk, their long-term forecasts would change. This study examines whether the likelihood of analysts’long-term forecasts increases with the crash risk and also those forecasts are more pessimistic for firms with high crash risk.
Our findings are as follows. The likelihood of analysts’ long-term forecasts is greater for firms with higher crash risk. Moreover, analysts’ long-term forecasts are more pessimistic for those firms. However, the results show that analysts’pessimistic forecasts do not fully incorporate the information of the cash risk until stock price crash realizes, and they get to be more pessimistic after the crash. It indicates that analysts provide pessimistic forecasts in response to future stock price crash risk but their forecasts are not efficient signal on future stock price crash risk. This study suggests that analysts need to identify hidden bad news in forecasting firms’future earnings, and, thus, to play a leading role in preventing stock price crash risk.

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