A Converging Approach on the Effect of KOSPI200 Index Rebalancing on Information Quality

요 약 본 논문은 KOSPI200 지수구성 종목의 변경이 해당 기업의 정보의 질에 미치는 영향에 대해 실증적으로 분석하였다. 정보의 질은발생액의 질을이용하여 대용하였고, 변수의 추정에는 Francis et al.(2005)의 모형이사용 되었다. 실증분석의결과는다음과같다. 첫째, 지수종목에진입한기업과퇴출된기업들사이에는정보의질에유의 미한차이가 존재하며, 진입한기업들의 정보의 질이 보다좋은 것으로 확인되었다. 둘째, 지수종목으로의 진입변수 와발생액의 질사이에는통계적으로 유의미한 음(-)의 상관관계가 존재하는 것으로 나타났다. 이 결과들은 기업이 지수에 편입될 경우에는 정보위험이 완화되어 정보비대칭이 개선되는 반면에 지수에서 퇴출되면 해당 기업의 정보 의 질은 낮아져서 정보비대칭이 악화된다는 것을 의미한다. 결론적으로 기업이 지수종목에 편입되거나 퇴출되는 일은 해당 기업의 정보비대칭에 상당한 영향을 미치는 중요한 사건이라고 판단된다.

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