서강대학교

초록/요약

The purpose of this study is looking for further opportunities to improve the efficiency of the Korean Stock Market comparing to other stock markets in the world. Moreover, the consensus shows the influence on the Korean Stock Market. There is some hypothesis supporting this study. According to the Strong form of Efficient Market Hypothesis (EMH), the excess return of an individual stock is zero on average and has a stable distribution if the announced earning is reflected in the stock, after announced earning time. Furthermore, the gap between consensus and the announced earning when the time is earning surprise or earning shock will not be affected by the average and distribution of the stock. For 13 quarters from the first quarter of 2007 KOSPI50 to the first quarter of 2010 KOSPI50, the excess return of before the announced earning and after is divided by five stages such as strong earning surprise, weak earning surprise, same as, weak earning shock, and strong earning shock. Finally, the five stages are sample for this study which is used the t-test at the 5 percent significance level. As a result of the study, the average of strong earning surprise, weak earning surprise and weak earning shock supports the fundamental hypothesis. Therefore, earning surprise and earning shock clearly influence on the direction of the stock prices after earning releases. Also, the gap between consensus and the announced earning when the time is earning surprise or earning shock affect the size of return. Even though the strong form of EMH does not support this study, this study found that Korean Stock Market has grown nearly at semi-strong form of EMH like advanced countries. In addition, consensus has a major effect on stock price. Consensus minimizes a disjunction of a real earning price and expected price. Consequently, the volatility of the stock market and a gap between institutional investors and individual investors are reduced. There are several limitations on this study. The problem in which the consensus should be reflected all the expectations of the market profit or not has been superseded by the oriented market and a piece of precedent study. Generally, stock prices and consensus are correlated on the stock market, but stock price may not precede profit analysis by analysts. Second, Transaction costs are either not fully accounted. Whether an internal investor can attain the excess return will be the next research issue.