학회소식         학술발표회         논문검색

[2023년 1차] Does ESG Information Mitigate Accounting-based Market Anomaly? Based on Post Earnings Announcement Drift

작성자 : 관리자
조회수 : 1895
Abstract: This study investigates whether ESG information mitigates the magnitude of post earnings announcement drift (hereafter, PEAD) as an accounting-based anomaly of capital market. It examines the effect of ESG ratings as a proxy for ESG disclosure quality on PEAD in a perspective of information environment. If firms with high ESG ratings provide more information, markets would understand more efficiently the implication of unexpected earnings at the announcement date, which lowers the magnitude of PEAD. The analysis through a univariate test and multiple regressions using KSE-listed firms for 2011-2019 presents the PEAD decrease attributable to ESG information. The results show that the higher ESG performance is, the lower the magnitude of PEAD is. Under being controversial regarding the reliability of ESG information, this study is valuable to provide the evidence of usefulness of ESG information in reduction of accounting-based market anomaly. 

Keyword: ESG information, Mispricing, PEAD, Non-financial report, Market efficiency
 첨부파일
(신희정)증권학회발표_제출논문.pdf
목록