내부자거래와 정보비대칭의 관계에 관한 연구

Abstract

This study analyzes the pre-transaction period accounting earnings-stock price relation among companies with and without insider trade(insider sell and buy) to find out whether information asymmetry increase potential insider’s profit, thereby, motivate insider to trade their own stocks.
 In order to figure out correct relationship between insider trading and information asymmetry, this study recognize succesive insider trading, and use only first trade observation of succetive insider sell and buy, respectively. Therefore the total number of stocks and the first trade of each successive insider tradings are respectively presumed as an insider trading volume and as an observation of the the succesive insider trading.
 Also, all ownership information of directors and major shareholder is cellected from DART using Python, and quarterly financial information is used for our analysis to alleviate the possible problem coming from assumption of period of insider trading.
 The analysis period is from 2012 to 2018, and non-financial companies among listed companies on the Korea Stock Exchange and KOSDAQ are targeted.
 Empirical analysis shows as follow.
 First, it was found that the greater the over-estimate of earnings-return relation incurs greater probability of occurrence of insider stock sales and greater insider sales stock volume. These relationships are larger and more significant than those between insider trading and future earnings level, future earnings growth, and future stock return, which represent insiders' information advantage on future prospects of the firm. Second, the effect of estimation bias of earnings-return relation on the probability of insider sales was stronger and more immediate than those of insider purchases. The positive relationship between future prospects and insider trading, reported in previous studies, was stronger in insiders purchases than in insider sales.
 This study directly analyzed whether information asymmetry between insiders and external stakeholders plays a major role of insider trading, comparing pre-period earning-return relation estimates of insider trading firms with those of control firms. It is also meaningful in that it shows that the information asymmetry difference between insiders and external stakeholders can have different effects on insider trading for different properties of insider sales and purchase.