2551

29-30 2551

.............................................................................................................................................ii
1. .........................................................................................................................................................1
2. ...........................2
2.1
..........................................................................................................................................2
2.2. ..........................................................................4
3. ..............................................................................................5
3.1. .................................................5
3.2. : Turnover List SETSMART ...7
3.2.1. ................................................................................................7
3.2.2. .................................................................................................................8
3.2.3. ...........................................................................................9
4. ...........................................................................................................................................................18
.................................................................................................................................................21

29-30 2551

.. 2008

SETSMART (.)
27 Turnover List 12 .. 2548-2550

1. .

2. SETSMART

.
3. (T-3 T+1) 54
SETSMART 31
.
4.
.

2551

1.

.. 2008

(financial leverage) (shadow financial system)

(disclosure-based)

(rule-based)

4

(.)

2.
2.1

(information asymmetry) (agency problems)
( )

1. (excessive earnings management)

(smooth) .


(...)

29-30 2551

2. (insider trading)
3. ()

(story)

.. 2000

OHara (2003)
(cost of capital)
(cost of equity) (

)

(bid-ask spread) (proxy)

(price discovery process)

2551

(ex-ante risk premium)

(undiversifiable)



1.

2. ()


3.

4.
2.2.
IOSCO Objectives and Principles of Securities Regulation
(International Organization of Securities Commissions
IOSCO) ... 172
14
14:

Principles for Ongoing Disclosure and Material Development Reporting by Listed
Entities IOSCO 14

1.
2.





29-30 2551

Rule 10b-5 Market Abuse Directive


(insider)

( Rule 10b-5 Market Abuse
Directive Market Abuse Directive

)2

3.

3.1.
... .
. (ongoing

... .. 1202/
2550 4 2550 .
(ADVANC) ...
ADVANC
. 2549 ...
1)
2)

2551

disclosure)
(periodic disclosure )
3(23) .
(/ 11-00)
.

.
.
6 .
(/ 23-00)
(1)

(2)

(3)

(4)







(5)

29-30 2551

()
()
()
()

(6)

6 .
.. 2538

Turnover List
3.2. : Turnover List SETSMART
.


.
3.2.1.

.
Turnover List
... 12 ()
.. 2548-2550 (ongoing concern)
... ...
Turnover List

2551

... 100
%1W-Turnover 30%
27 APURE, ASL, ASP, BLISS, BLS,
EMC, EVER, EWC, GBX, GEN, GSTEEL, IEC, ITV, KEST, LANNA, LIVE, LOXLEY, MME, NWR,
PHATRA, PICNI, PLE, SAM, SC, TPIPL, TRUE TT&T
3.2.2.

1. (daily trading volume) 2548-2550

27

(three-year average) (standard deviation)
( 2 standard deviation 95%
5% )
> [ Mean + (StDev * 2) ]


(intraday price movement)

(

)
2. 27
SETSMART (www.setsmart.com) .
. (www.kaohoon.com)

Mean + 1 standard deviation ( 2 standard deviation
)
(ongoing disclosure)

29-30 2551

- (periodic disclosure)

- .
(
)
- . (
) H, SP
(net settlement)

> [ Mean + (StDev * 2) ]

(T)
3
(T-3)

(T+1)

3.2.3.

(
SETSMART ):

2551

10

1: Turnover List

1. 21 27 SETSMART
50



. (4)
.
( 3.1 )

29-30 2551

11

2.
PHATRA, KEST ASP 85, 75,
88 .

. ASP
(. ) 5 SETSMART
12 37 1
1: ASP vs. SETSMART
:
200
9/19/49: ()
ASP

8/29/48: ()
ASP

180

160

5/13/50: () ASP
6%
51 3-4
.
5/22/50: (SETSMART)

2/14/49: ()
ASP

30%

140

120

7/10/50: ()
BLS-ASP
-

8/29/48:
(SETSMART)

PICNI

100

80

7/23/50: (SETSMART)

60

40

20

12/4/2550

11/4/2550

9/4/2550

10/4/2550

8/4/2550

7/4/2550

6/4/2550

5/4/2550

4/4/2550

3/4/2550

2/4/2550

1/4/2550

12/4/2549

11/4/2549

9/4/2549

10/4/2549

8/4/2549

7/4/2549

6/4/2549

5/4/2549

4/4/2549

3/4/2549

2/4/2549

1/4/2549

12/4/2548

11/4/2548

9/4/2548

10/4/2548

8/4/2548

7/4/2548

6/4/2548

5/4/2548

4/4/2548

3/4/2548

2/4/2548

1/4/2548

: ,
(T-3) (T+1) (T-3) (T+1)

GBX (.
) 53

T-3 T+1
2551

12

GBX 17 2548-2550
9 53
SETSMART 6 5
83 ( GBX SETSMART
) 2
.

2: GBX vs. SETSMART
:
1,000
2/4/48: (SETSMART)

900

800

8/1/49: ()
GBX

1/13/49: () GBX
PERM

8/3/49: () .
GBX

1/18/49: () GBX

7/31/49: (SETSMART)

700
2/18/48: () GBX

XW

600

1/18/49: () GBX
. W

4/1/48: () GBX

500

8/16/49: ()

GBX
SET100
9/11/49: ()
GBX

7/7/49: ()
GBX
6

200

8/20/50: ()

GBX 0.11%

11/15/49: ()
GBX

5/11/49: (SETSMART)

300

7/10/50: ()
GBX

11/8/49: () GBX

5/3/49: ()
GBX

400

11/14/49: (SETSMART)

100

12/19/50:
(SETSMART)

12/4/2550

11/4/2550

9/4/2550

10/4/2550

8/4/2550

7/4/2550

6/4/2550

5/4/2550

4/4/2550

3/4/2550

2/4/2550

1/4/2550

12/4/2549

11/4/2549

9/4/2549

10/4/2549

8/4/2549

7/4/2549

6/4/2549

5/4/2549

4/4/2549

3/4/2549

2/4/2549

1/4/2549

12/4/2548

11/4/2548

9/4/2548

10/4/2548

8/4/2548

7/4/2548

6/4/2548

5/4/2548

4/4/2548

3/4/2548

2/4/2548

1/4/2548

: ,
(T-3) (T+1) (T-3) (T+1)

ASL
83
.

3.

29-30 2551

13

3. SETSMART
(T-3 T+1) 54
SETSMART 31
( 69 )
SETSMART
11 20 LIVE, ITV, GSTEEL, EWC, APURE, SAM,
EMC, PICNI, ASL, TRUE SC
Turnover List
.
.
APURE, LIVE, EWC, SAM, EMC PICNI

.
GSTEEL NSM, TRUE, SC
, ASL,
ITV
EMC, PICNI, ASL, TRUE SC
SETSMART
()
2

2551

14

2: Turnover List .
SETSMART

SETSMART ()

.


30 KEST, LOXLEY, BLS, GEN, NWR, ASP PLE ( KEST
SETSMART)
SETSMART
3 8 ( ASP 1
)

29-30 2551

15

3: KEST vs. SETSMART

:
60
2/10/49: () KEST

50

11/2/50: () KEST

5/18/50: () PHATRA-KEST

3/24/49: () KEST

40

6/5/50: ()
PHATRA-KEST-CNS

8/2/49: () KEST
32 .
30

10/24/50: ()
KEST

5/15/50: () PHATRA-KEST

6/18/50: () 5
KEST

11/29/49: () KEST

7/9/50: ()
2550 KEST
20

8/6/50: () KEST
10%

10

11/9/50: () KEST
8%

12/4/2550

11/4/2550

9/4/2550

10/4/2550

8/4/2550

7/4/2550

6/4/2550

5/4/2550

4/4/2550

3/4/2550

2/4/2550

1/4/2550

12/4/2549

11/4/2549

9/4/2549

10/4/2549

8/4/2549

7/4/2549

6/4/2549

5/4/2549

4/4/2549

3/4/2549

2/4/2549

1/4/2549

12/4/2548

11/4/2548

9/4/2548

10/4/2548

8/4/2548

7/4/2548

6/4/2548

5/4/2548

4/4/2548

3/4/2548

2/4/2548

1/4/2548

: ,
(T-3) (T+1) (T-3) (T+1)

4: LOXLEY vs. SETSMART

:
350
7/28/48: () LOXLEY

10/11/49: ()
LOXLEY

7/29/48: (SETSMART)

10/15/50: ()
LOXLEY

300

250

4/11/49: () LOXLEY

1/13/49: () LOXLEY
8

200

2/6/49: () LOXLEY
4

100

11/23/50: (SETSMART)

4/12/49: (SETSMART)

1/17/49: () LOXLEY
4

150

10/25/50: ()
.

12/21/50: ()
LOXLEY
.

50

12/4/2550

11/4/2550

10/4/2550

9/4/2550

8/4/2550

7/4/2550

6/4/2550

5/4/2550

4/4/2550

3/4/2550

2/4/2550

1/4/2550

12/4/2549

11/4/2549

10/4/2549

9/4/2549

8/4/2549

7/4/2549

6/4/2549

5/4/2549

4/4/2549

3/4/2549

2/4/2549

1/4/2549

12/4/2548

11/4/2548

9/4/2548

10/4/2548

8/4/2548

7/4/2548

6/4/2548

5/4/2548

4/4/2548

3/4/2548

2/4/2548

1/4/2548

: ,
(T-3) (T+1) (T-3) (T+1)

2551

16

5: BLS vs. SETSMART

:
70
3/1/48: ()
BLS

60

6/11/50: (SETSMART)

Morgan Stanley Asia Limited

8/19/48: (SETSMART)
6 2548
20%

50

6/12/50: () BLS 200

. Q2
ACL

9/30/48: () BLS Q3

40

6/14/50: () BLS
PHATRA

1/26/49: (SETSMART)

30

7/10/50: ()
BLS-ASP
-

6/29/50: (SETSMART)

()

4/7/49: () BLS Q1
BH
25%

20

7/3/50: () BLS 5 %

10

12/28/2550

11/28/2550

9/28/2550

10/28/2550

8/28/2550

7/28/2550

6/28/2550

5/28/2550

4/28/2550

3/28/2550

2/28/2550

1/28/2550

12/28/2549

11/28/2549

9/28/2549

10/28/2549

8/28/2549

7/28/2549

6/28/2549

5/28/2549

4/28/2549

3/28/2549

2/28/2549

1/28/2549

12/28/2548

11/28/2548

9/28/2548

10/28/2548

8/28/2548

7/28/2548

6/28/2548

5/28/2548

4/28/2548

3/28/2548

2/28/2548

: ,
(T-3) (T+1) (T-3) (T+1)

6: GEN vs. SETSMART

:
300

1/27/48: (SETSMART)
2547

250

200

8/24/49: () .
GEN 3.9%

9/11/49: ()
GEN

3/3/48: (SETSMART)
.

8/31/49: ()
GEN 78

9/15/49: () GEN

4/29/48: (SETSMART)

8/31/49: (SETSMART)

16%

9/22/49: () GEN

9/27/49: ()
GEN

9/4/49: (SETSMART)

150

6/18/50: (
) GEN

10/2/49: ()
GEN

9/5/49: ()
GEN
100

10/5/49: () .
GEN

9/8/49: () GEN

11/9/49: () GEN

50

12/8/49: () GEN

12/4/2550

11/4/2550

10/4/2550

9/4/2550

8/4/2550

7/4/2550

6/4/2550

5/4/2550

4/4/2550

3/4/2550

2/4/2550

1/4/2550

12/4/2549

11/4/2549

10/4/2549

9/4/2549

8/4/2549

7/4/2549

6/4/2549

5/4/2549

4/4/2549

3/4/2549

2/4/2549

1/4/2549

12/4/2548

11/4/2548

10/4/2548

9/4/2548

8/4/2548

7/4/2548

6/4/2548

5/4/2548

4/4/2548

3/4/2548

2/4/2548

1/4/2548

: ,
(T-3) (T+1) (T-3) (T+1)

29-30 2551

17

7: NWR vs. SETSMART

:
600

1/19/49: () NWR

7/6/48: (SETSMART)

500

11/24/49: () NWR
- 20%
9/19/50: (SETSMART)

11/13/49: (SETSMART)

7/12/48: ()
NWR
11%
400

11/21/49: () NWR

Q4

300

7/19/48: ()
NWR
2.19

200

7/27/48:
(SETSMART)

10/11/50: () NWR
0.75

10/16/50: ()
NWR

11/24/49: ()

NWR

8/29/48: ()
NWR-CNT

11/23/50: (SETSMART)

100
12/11/50: ()
ASCON-NWR

12/4/2550

11/4/2550

9/4/2550

10/4/2550

8/4/2550

7/4/2550

6/4/2550

5/4/2550

4/4/2550

3/4/2550

2/4/2550

1/4/2550

12/4/2549

11/4/2549

9/4/2549

10/4/2549

8/4/2549

7/4/2549

6/4/2549

5/4/2549

4/4/2549

3/4/2549

2/4/2549

1/4/2549

12/4/2548

11/4/2548

9/4/2548

10/4/2548

8/4/2548

7/4/2548

6/4/2548

5/4/2548

4/4/2548

3/4/2548

2/4/2548

1/4/2548

: ,
(T-3) (T+1) (T-3) (T+1)

8: PLE vs. SETSMART

()
:
80

1/14/48: (SETSMART)

70

2/24/48: (SETSMART)

11/15/48: (SETSMART)
,
1/48,

50

6/8/48: (SETSMART)
,
,

30

1/26/49: () PLE
2

20

5/4/50: () PLE
120%

11/6/49: (SETSMART)

7/12/49: () PLE

10

2/19/50: () PLE

10/17/49: () PLE

12/29/48: () PLE

9/27/48: ()
PLE

12/6/49: () PLE

9/7/49: () PLE
1000%

12/28/48: () PLE

6/8/48: () PLE
5.4

12/4/49: () PLE

1/6/49: () PLE
3 .

12/27/48: () PLE

1.68

3/9/48: () PLE
1230%

40

1/4/49: () PLE

12/20/48: () PLE
6

60

11/15/49: () PLE

5/22/50: (SETSMART)

6/22/50: ()
PLE
EMC

11/7/49: () PLE

.
11/13/49: ()

PLE

7/25/49: ()
PLE Q2

12/4/2550

11/4/2550

10/4/2550

9/4/2550

8/4/2550

7/4/2550

6/4/2550

5/4/2550

4/4/2550

3/4/2550

2/4/2550

1/4/2550

12/4/2549

11/4/2549

10/4/2549

9/4/2549

8/4/2549

7/4/2549

6/4/2549

5/4/2549

4/4/2549

3/4/2549

2/4/2549

1/4/2549

12/4/2548

11/4/2548

10/4/2548

9/4/2548

8/4/2548

7/4/2548

6/4/2548

5/4/2548

4/4/2548

3/4/2548

2/4/2548

1/4/2548

: ,
(T-3) (T+1) (T-3) (T+1)
2551

18

4.
.
.


- BLS ASP (
10 2550)
- BLISS ( 6 2550)
- EMC ( 26
, 4 , 12 , 16 , 27 .. 2549)
- PLE ( 17
, 7 , 13 , 15 , 4 6 ..
2549)
- PLE EMC ( 6 , 12
9 2550)

4.

(stylized facts)

1.

( (intraday
data) intraday
. . )
2. SETSMART

(
29-30 2551

19

59-2) (periodic disclosure)

. (H SP)
3.

()
.

.

.

.
.

H SP

2551

20

29-30 2551

21

Brown, Stephen and Hillegeist, Stephen A., How Disclosure Quality Affects the Level of Information
Asymmetry. Review of Accounting Studies, Forthcoming. Available at SSRN:
http://ssrn.com/abstract=956256
Healy, Paul M. and Palepu, Krishna G., Information Asymmetry, Corporate Disclosure in the Capital
Markets: A Review of the Empirical Disclosure Literature (December 2000). Journal of
Accounting & Economics 31:405-440. Available at SSRN: http://ssrn.com/abstract=258514 or
DOI: 10.2139/ssrn.258514
Jo, Hoje and Kim, Yongtae,Disclosure Frequency and Earnings Management. Journal of Financial
Economics, Forthcoming. Available at SSRN: http://ssrn.com/abstract=927798
Lakhal, Faten, Stock Market Liquidity and Information Asymmetry around Voluntary Earnings
Announcements: New Evidence from France (December 2004). Available at SSRN:
http://ssrn.com/abstract=665086
Lee, Hunmook, Rationales and Requirements of the Legal Framework of Insider Dealing in the European
Union (July 31, 2008). Available at SSRN: http://ssrn.com/abstract=1192102
Ronen, Joshua and Yaari, Varda Lewinstein, Incentives for Voluntary Disclosure (2001). AFA 2001 New
Orleans Meetings; NYU Ctr for Law and Business Research Paper No. 01-005. Available at
SSRN: http://ssrn.com/abstract=155328 or DOI: 10.2139/ssrn.155328
Technical Committee of the International Organization of Securities Commissions (IOSCO), Principles
for Ongoing Disclosure and Material Development Reporting by Listed Entities. October 2002.
Available at US SEC: http://www.sec.gov/about/offices/oia/oia_corpfin/princdisclos.pdf
Zhou, Jian and Lobo, Gerald J., Disclosure Quality and Earnings Management. Asia-Pacific Journal of
Accounting and Economics V8 (1): 1-20. Available at SSRN: http://ssrn.com/abstract=265550 or
DOI: 10.2139/ssrn.265550

2551