An Empirical Analysis of the Possibility of Information Leakage Prior to Corporate Information Disclosure

• Project/Area Number: 18K12910
• Research Category: Grant-in-Aid for Early-Career Scientists
• Allocation Type: Multi-year Fund
• Review Section: Basic Section 07100:Accounting-related
• Research Institution: The University of Kitakyushu
• Principal Investigator: Moriwaki Toshio 北九州市立大学, 経済学部, 准教授 (60780830)
• Project Period (FY): 2018-04-01 – 2022-03-31
• Project Status: Completed (Fiscal Year 2021)
• Budget Amount: ¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000); Fiscal Year 2021: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2020: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2019: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000); Fiscal Year 2018: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
• Keywords: 会計学 / 適時開示 / 情報漏洩 / フェア・ディスクロージャー・ルール / 投資家間の情報の非対称性 / 沈黙期間

Outline of Final Research Achievements

The purpose of this study is to empirically clarify the possibility that corporate information is leaked prior to disclosure. With this goal in mind, we analyze the determinants of investor behavior prior to earnings announcements. The main findings are as follows (1) In the period prior to earnings announcements, investors are more willing to offer and cancel orders when public information is disclosed, especially when management's forecasts are revised. (2) On the trading day immediately before the earnings announcement, investors actively offer and cancel their orders. These results suggest that investors frequently revise their prior expectations when public information is disclosed and when the earnings announcement date is approaching.

Academic Significance and Societal Importance of the Research Achievements

本研究の研究成果は，企業情報が開示前に漏洩している可能性を検討する際の基礎的な証拠を提示しているという点において，学術的および社会的意義を有する．利益発表前において，投資家は私的に入手した情報（漏洩した情報など）を利用する可能性がある．本研究の分析結果は，（1）公的に入手した情報が投資家の事前の期待形成に影響を与えていること，（2）利益発表直前の取引日において，投資家の事前の期待形成が活発になっていることを示している．企業情報が開示前に漏洩している可能性を指摘する際には，こうした平均的な傾向から乖離する投資家の行動に注目する必要がある．

Research Products

• [Journal Article] 決算発表に対する投資家の注文行動：予備的分析 (2022)
  • Author(s): 森脇敏雄・音川和久
  • Journal Title: 証券アナリストジャーナル Volume: 60
• [Presentation] Investors’ Behavior in the Pre-Earnings Announcement Period：Evidence from the Bid-Ask Spreads and Limit Order Cancellations (2022)
  • Author(s): 森脇敏雄
  • Organizer: 京都大学会計学セミナー
  • Invited
• [Presentation] Intraday Price Discovery Process to Earnings Announcements: Evidence from Japan (2021)
  • Author(s): 森脇敏雄
  • Organizer: 2021 European Accounting Association Virtual Annual Congress
  • Int'l Joint Research
• [Presentation] Investors’ Behavior in the Pre-Earnings Announcement Period：Evidence from the Bid-Ask Spreads and Limit Order Cancellations (2021)
  • Author(s): 森脇敏雄
  • Organizer: 日本会計研究学会第80回全国大会（於：九州大学（オンライン開催））
• [Presentation] 企業の情報環境と利益発表前の投資家行動の関連性 (2020)
  • Author(s): 森脇敏雄
  • Organizer: 2020年度日本経済会計学会秋季大会
• [Presentation] Intraday Price Discovery Process to Earnings Announcements: Evidence from Japan (2020)
  • Author(s): Toshio Moriwaki
  • Organizer: 2020 American Accounting Association Virtual Annual Meeting
  • Int'l Joint Research
• [Presentation] 沈黙期間の設定と情報の非対称性 (2019)
  • Author(s): 森脇敏雄
  • Organizer: 日本経営財務研究学会・第43回全国大会（於：神戸大学）