투자자의 정보공유활동에 따른 애널리스트 이익예측과 주가수익률 간의 관련성

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[Purpose] In this study, we examine whether stock price reactions on analyst report announcement days are differentiated by the level of activation of NAVER stock discussion boards, and by the sharing of accounting information in the discussion boards.
 [Methodology] For the analysis, we collected posts from NAVER stock threads and categorized posts containing accounting terms as accounting information posts. The stock price reaction on the announcement day of an analyst report was measured by the excess return on the announcement day.
 [Findings] The results show that the number of posts in NAVER stock threads is positively related to stock returns on analyst report announcement days. This provides evidence that information in analyst reports is quickly reflected in stock prices in the case of stocks where information sharing and diffusion among individual investors is active on the Internet. We also find that the number of posts containing accounting information in stock discussion boards is positively related to stock returns on the day of the analyst report. This provides evidence that value－ relevant accounting information triggers investment decisions by confirming or changing individual investors’ stock valuations.
 [Implications] This study provides evidence of the complementary role of information sharing and confidence among retail investors in analysts’ information by examining stock reactions on analyst report release dates. In particular, we provide evidence that the transmission and sharing of accounting information among retail investors on the Internet facilitates the incorporation of information into stock prices.