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Date of submission: April 19, 2022; date of acceptance: November 21, 2022.
* Contact information: hafida.nur.1704226@students.um.ac.id, Accounting Depart-
ment, Universitas Negeri Malang, Jl. Semarang No 5 Malang East Java Indonesia, phone:
+62341551312; ORCID ID: https://orcid.org/0000-0001-7821-5042.
** Contact information (corresponding author): ani.suryani@um.ac.id, Accounting
Department, Universitas Negeri Malang, Jl. Semarang No 5 Malang East Java Indonesia,
phone: +628123361620; ORCID ID: https://orcid.org/0000-0001-5701-2975.
Copernican Journal of Finance & Accounting
e-ISSN 2300-3065
p-ISSN 2300-1240
2022, volume 11, issue 4
Chofi fah, H.N. , & Suryani, A.W. (2022). Kore an Music Awards and Abnor mal Stock Ret urns. Cop er-
nican Journal of Finance & Accounting, 11(4), 27–43. http://dx.doi.org/10.12775/CJFA.2022.017
hafida nur chofifah*
Universitas Negeri Malang
ani WilujenG suryani**
Universitas Negeri Malang
korean music aWards and abnormal stock returns
Keywords: behavioral finance, abnormal returns, event study, Korean Stock Market.
J E L Classification: G11, G15, G41.
Abstract: The global success of the K-pop music industry impacts the investment cli-
mate of the entertainment industry in the South Korean stock market. One of the driv-
ing factors attracting investors is the awards obtained by the K-pop idols. Hence, this
event study investigates whether idols’ receiving awards creates stock abnormal re-
turns (ARs) and cumulative abnormal returns (CAR s). We collected five-day stock price
data surrounding the events from 2018 to 2019 for the four entertainment companies.
Using mean difference tests, we analyzed the movements of the stock returns. Our re-
sults show the appearance of positive and negative ARs dan CARs, indicating that in-
vestors react differently to the information contained in award announcements. This
implies a deviance from the efficient market hypothesis and that investors behave ir-
rationally whom investment decision affects the market. For this reason, companies
should select awards when involving their idols.
Hafida Nur Chofifah, Ani Wilujeng Suryani
2828
Since its inception, Korean-pop (K-pop) has been one of the driving forces be-
hind the Korean-Wave which is widely regarded as the revival of Korean cul-
ture (Shim, 2006). This global success is attributed to the efforts since the
1970s to gain international popularity (Parc & Kim, 2020). Other countries
have made similar efforts to penetrate the US market, but with a different im-
pact than K-pop (Parc & Kim, 2020). Community interest on K-pop is growing
(Googletrends, 2020) and reflected in 6.1B K-pop tweets worldwide (Mahnke
& Tárnok, 2020). This popularity benefits South Korean music industry, as evi-
denced by the achievement of a US$564.24M export value (Waldeck, 2020). The
rapid growth of K-pop and its global influence has attracted both domestic and
foreign investors, who have begun investing in South Korean music agencies
(Muamar, 2019).
Before investing, investors often market efficiency (Nikita & Soekarno,
2012). According to Fama (1970), an efficient market is indicated by stock pric-
es that fully reflect the available information, and that information cannot be
used to generate ARs (Fama, 1970) because the price of securities will be con-
stantly re-evaluated in response to t he emergence of new information (Sihomb-
ing & Sukmadilaga, 2018). The efficient market hypothesis (EMH) applies only
if investors make decisions based on rational considerations (Semuel, Bassana
& Budihargono, 2017). Rational investors will analyze information in order to
reduce the uncertainty and risk associated with investment decisions (Ackert
& Deaves, 2010). However, investors often behave irrationally (Semuel et al.,
2017; Soni & Desai, 2021). This behavior occurs because of the influence of psy-
chology, economy, and socio-cultural environmental factors in making a deci-
sion (Helanda & Suryani, 2020). Thus, the presence of irrational investors caus-
es an inefficient market, thus allowing for ARs (Semuel et al., 2017).
In an inefficient market, investors use available information to predict stock
prices to obtain ARs (Utami, 2009). In the entertainment industry, this infor-
mation is related to idol activities (Permatasari, Supriyatna & Purnamasari,
2017). Issues and news about idols can impact the stock price of music com-
panies, potentially resulting in ARs (Kadim, Suratman & Muis, 2019). One ex-
ample of positive news about idols is related to the awards they get. Investors
may consider the award information obtained by idols because these achieve-
ments can increase the popularity of idols and build a good image for the com-
KorEan m usiC awards and aBno rmal stoCK rE turns
2929
pany (Linuwih & Nugrahanti, 2014; Pattipeilohy, 2015), which can be consid-
ered positive news that can result in ARs (Pattipeilohy, 2015). Therefore, the
impact of award information on the occurrence of ARs in entertainment com-
panies is important to study.
Research related to award information on ARs has been conducted. The
results showed the emergence of positive ARs after the announcement of the
award (Wardhani & Hamidah, 2019). This occurs as a result of the market’s in-
terest in distributing information, resulting in a reaction that causes a positive
AR (Ekawati, 2011). However, other studies indicate that there is no AR prior
to or following the award announcement (Fala, Santoso & Amanda, 2018) be-
cause investors believe that the award does not contain beneficial information
as it has nothing to do with the company’s profits (Fala et al., 2018). Award an-
nouncements can also result in negative ARs because of investors’ confidence
made them sell their stocks to make profit, but simultaneous sales will push
the price downwards, resulting in negative ARs (Nareswari, Balqista & Ne-
goro, 2021). Differences in behavior and actions taken by investors in response
to this information are one of the factors underlying the deviation of efficient
market theory (Nurdina, Sidharta & Mochkla, 2021). Prior studies have investi-
gated the impact of awards, but none is on awards in the entertainment indus-
try. Therefore, further studies are needed to find out how investors react when
they hear about award announcements in entertainment companies.
Awards can be used as a benchmark for investors to select companies that
are regarded as having superior performance or possessing potential resourc-
es (idols), allowing investors to earn profits (Gemser & Wijnberg, 2002; Sung,
Nam & Chung, 2010). The rapid development of K-pop and the growth of inves-
tors necessitate this research, as they must be aware of information closely re-
lated to entertainment companies, such as awards, when making investment
decisions (Kong, 2016; Nareswari et al., 2021). This study uses information on
award announcements in South Korean music industry to fill the existing lit-
erature gap regarding the impact of award announcements. Thus, this study
aims to determine the presence of ARs in entertainment companies’ stocks as
a result of award announcements to assist investors in making sound invest-
ment decisions.
Hafida Nur Chofifah, Ani Wilujeng Suryani
3030
The EMH states that a market is efficient if the stock price reflects the availa-
ble information fully and quickly (Fama, 1970). Fama (1970) classified market
efficiency into three categories. In a weak form market, prices reflect histori-
cal data information, preventing investors from obtaining ARs based on avail-
able information. In reality, investors cannot rely on historical data to obtain
ARs, as stock prices follow the random walk theory; are random and difficult
to predict (Fama, 1970). In the semi-strong form of market efficiency, all public
information, including historical data, is reflected in stock prices (Fama, 1970;
Grendstad & Braa, 2020). In the strong form of market efficiency, no investor
can earn ARs, because stock prices fully reflect all information, public or pri-
vate (Fama, 1970). Thus, based on EMH, investors cannot obtain ARs by using
historical, public, or private information (Fama, 1970).
Actual stock market conditions are not perfectly efficient, and hence, inves-
tors may earn more profits or incur unexpected losses (Nareswari et al., 2021).
Behavioral finance makes reference to this deviation. Deviations can be attrib-
uted to market uncertainty, which results in an overreaction to new informa-
-
rities, which will then be gradually corrected and returned to their intrinsic
value (Hayes, 2021). This overreaction can also be caused by overconfident in-
vestors who receive information, leading them to expect a higher stock price
(Daniel, Hirshleifer & Subrahmanyam, 2005). Award announcements are one
example that can cause investors to overreact (Xia, Singhal & Zhang, 2015) and
increase the value of the awardee’s stock (Syafrudin & Panjaitan, 2020). This
instils confidence in investors when evaluating the award-winning company
because they believe that this information can help increase the return of the
security, resulting in a positive AR (Syafrudin & Panjaitan, 2020). In forming
expectations of positive ARs, investors place too much emphasis on past per-
formance, and far too little on the fact that performance tends to return to nor-
mal (Bouteska & Regaieg, 2020). These conditions ultimately have a negative
impact on the value of the service industry stocks, resulting in negative ARs
(Bouteska & Regaieg, 2020).
In the entertainment industry, awards are important indicators that show
product quality (Gemser & Wijnberg, 2002; Sung et al., 2010). Previous research
has established that the type of award has an effect on ARs both prior to and
KorEan m usiC awards and aBno rmal stoCK rE turns
3131
following the announcement of the award (Jao & Jimmiawan, 2018). The stock
price of the award-winning company increased following the announcement,
indicating that investor confidence in the company may have increased as a re-
sult of the award (Sedianingsih, 2014). This trust develops because investors
perceive that the award-winning company has good quality, which in this study
is measured by its idol (Arthur & Cook, 2009). This positive effect was also
shown in other studies, although with different awards (Goetzel, Fabius, Fabi-
us, Roemer, Thornton, Kelly & Pelletier, 2016). No research has been conduct-
ed to date on the effect of awards on the occurrence of ARs in the entertain-
ment or music industries. Additionally, there are inconsistencies in research
results, implying that further studies are needed regarding the appreciation of
ARs in music industry stocks. The following hypotheses were generated from
the aforementioned explanation:
H1: The awards earned by idols can cause ARs in the entertainment industry.
The award (see table 1) was determined by the amount of media coverage it got
and the number of musicians from each participating music company. Using
purposive sampling, we chose companies from media-entertainment industry
(n = 111). We focused on music or audio publishing (n = 5). We selected compa-
nies that had been registered before 2018 (n = 4). These four companies were
SM Entertainment Co. (SM), YG Entertainment Inc. (YG), JYP Entertainment
Corp. (JYP), and Cube Entertainment (Cube). All of the companies participated
in awards listed in table 1.
The data for this study were the daily stock price and the Korea compos-
ite stock price index from January 2018 to November 2019, collected from
investing.com. Using a 100-day observation period (t = -11 to t1 = -110) and
a five-day window period (Al-Shattarat, Atmeh & Al-Shattarat, 2013), this
event study method was used to determine the market reaction (Otieno &
Ochieng, 2015). The window period was chosen to minimize the possibility
of ARs being influenced by factors unrelated to the event being studied (Lin
& Su, 2013). Corporate actions obtained from the Osiris database were exam-
ined, and no action was taken by the sample companies during the estimation
and window periods.
Hafida Nur Chofifah, Ani Wilujeng Suryani
3232
The expected return of each company E(Ri,t ) is calculated using a market
model (Henderson, 1990), which was chosen because it is more capable of de-
tecting ARs for clustered event dates (Shin, 2021). The steps taken to identify
the presence of ARs and CARs are provided in figure 1.
Figure 1. Research Method
Figure 1. Research Method
Source: Nicolau, 2001; Suryani & Pertiwi, 2021.
Results and discussion
Cube's stock returns had different movements compared to three other music companies during
the 2018 GDA (see figure 1). For example, at t-2, Cube's return decreased, while other
companies experienced an increase. This could be explained by the disparity in the number and
popularity of the artists nominated for the award. At the 2018 GDA, JYP was represented by
three artists, SM and YG by ten, and Cube by just two (Safitri, 2018). JYP and Cube both have
a similar number of artists, but the JYP artists are more popular, as evidenced by their ability to
place JYP as the second-largest K-Pop agency (Herman, 2018b). Cube's stock return anomaly
was also evident at the GCMA, where Cube's return increased on t-3 and t+2, but decreased on
other dates. This increase in returns could be a result of changes in GCMA policy in 2018, which
recognized artists as well as the entire crew involved in the album’s production (Addini, 2017).
This adaptation of the Grammy Award is a breakthrough in South Korean music awards,
garnering positive responses from the public, including investors. Fluctuating movements in all
stock returns of entertainment companies are seen in the AAA (see figure 1) that can be caused
by uncertainty about the award’s winner because all of the artists in AAA are already popular
with their own agencies, including Cube’s new girl group (Herman, 2018a).
S o u r ce : Nicolau, 2001; Suryani & Pertiwi, 2021.
Cube’s stock returns had different movements compared to three other music
companies during the 2018 GDA (see figure 1). For example, at t-2, Cube’s return
decreased, while other companies experienced an increase. This could be ex-
plained by the disparity in the number and popularity of the artists nominated
for the award. At the 2018 GDA, JYP was represented by three artists, SM and
YG by ten, and Cube by just two (Safitri, 2018). JYP and Cube both have a sim-
ilar number of artists, but the JYP artists are more popular, as evidenced by
their ability to place JYP as the second-largest K-pop agency (Herman, 2018b).
Cube’s stock return anomaly was also evident at the GCMA, where Cube’s re-
turn increased on t-3 and t+2, but decreased on other dates. This increase in
returns could be a result of changes in GCMA policy in 2018, which recognized
artists as well as the entire crew involved in the album’s production (Addini,
2017). This adaptation of the Grammy Award is a breakthrough in South Ko-
rean music awards, garnering positive responses from the public, including in-
vestors. Fluctuating movements in all stock returns of entertainment compa-
nies are seen in the AAA (see figure 1) that can be caused by uncertainty about
the award’s winner because all of the artists in AAA are already popular with
their own agencies, including Cube’s new girl group (Herman, 2018a).
KorEan m usiC awards and aBno rmal stoCK rE turns
3333
Figure 2. Stock returns movements 2018
Figure 2. Stock returns movements 2018
Source: own study.
At SMA 2019, the stock returns of all companies increased on the event day, but declining for
two days following the event (see figure 2) as a result of investors' confidence in award-winning
S o u r ce : own study.
Hafida Nur Chofifah, Ani Wilujeng Suryani
3434
At SMA 2019, the stock returns of all companies increased on the event day, but
declined for two days following the event (see figure 2) as a result of investors’
confidence in award-winning idols. Investors believe that the company’s stock
price that houses the idol will increase, resulting in a simultaneous and mas-
sive sale of stocks, causing the price to decline. In contrast, GCMA 2019 shows
a decrease in return on the award date, but increases at t+1. This may be caused
by GCMA event coinciding w ith SMA window period; hence, GCMA 2019 had the
lowest average AR and CAR. At Soribada Awards, the stock return chart went
down at t+1, then started to increase at t+2.
Figure 3. Stock returns movements 2019
idols. Investors believe
that the company’s stock price that houses the idol will increase,
resulting in a simultaneous and massive sale of stocks, causing the price to decline. In contrast,
GCMA 2019 shows a decrease in return on the award date, but increases at t+1. This may be
caused by GCMA event coinciding with SMA window period; hence, GCMA 2019 had the
lowest average AR and CAR. At Soribada Awards, the stock return chart went down at t+1,
then started to increase at t+2.
Figure 3. Stock returns movements 2019
Source: own study.
Table 1. AR and CAR Results
Award One-Sample t-test
idols. Investors believe
that the company’s stock price that houses the idol will increase,
resulting in a simultaneous and massive sale of stocks, causing the price to decline. In contrast,
GCMA 2019 shows a decrease in return on the award date, but increases at t+1. This may be
caused by GCMA event coinciding with SMA window period; hence, GCMA 2019 had the
lowest average AR and CAR. At Soribada Awards, the stock return chart went down at t+1,
then started to increase at t+2.
Figure 3. Stock returns movements 2019
Source: own study.
Table 1. AR and CAR Results
Award One-Sample t-test
idols. Investors believe
that the company’s stock price that houses the idol will increase,
resulting in a simultaneous and massive sale of stocks, causing the price to decline. In contrast,
GCMA 2019 shows a decrease in return on the award date, but increases at t+1. This may be
caused by GCMA event coinciding with SMA window period; hence, GCMA 2019 had the
lowest average AR and CAR. At Soribada Awards, the stock return chart went down at t+1,
then started to increase at t+2.
Figure 3. Stock returns movements 2019
Source: own study.
Table 1. AR and CAR Results
Award One-Sample t-test
S o u r ce : own study.
KorEan m usiC awards and aBno rmal stoCK rE turns
3535
Table 1. AR and CAR Results
Award
One-Sample t-test
t0
AR
Mean/Med
test
statistic
CAR
Mean/Med
test
statistic
GDA-Golden Disc Awards 10-11/1/18 0.007 1,74 5 0.009 4,26 6*
SMAs (Seoul Music Awards) 25/1/18 0.00 4 1,288 0.002 1,246
GCMA-GAON Chart Music Awards 14/2/18 0.007 1,638 0.003 3,2 88*
Soribada Awards 14/2/18 0.014 3,588* 0. 011 7,2 60 *
AAA-A sia Artist Award 30/08/18 0. 019 608 0.003 181
MBC Plus X Gen ie Music Awards 28/10/18 0.015 3,262* 0.011 3,106*
MMA-Melon Music Awards 6/11/18 0.002 0.428 - 0.001 - 0.705
MAMA-Mnet Asian Music Awards 1/12/18 -0.004 - 0.752 0.002 1,201
GDA-Golden Disc Award 5-6/1 /19 -0.004 5 01 0.000 252
SMAs (Seoul Music Awards) 15/1/19 -0.0 05 -0.796 -0.0 05 -1, 219
GCMA-GAON Chart Music Awards 23/1/19 -0.015 -2,16 4* -0.015 - 4,019*
MBC Plus X Gen ie Music Awards 1/8/19 0.005 484 - 0.008 32*
Soribada Awards 22-23/8 /19 -0.0 02 524 -0.005 10 9*
N o t e: *significant at p < 0.05, the italics showed Wilcoxon-Signed R anked Test.
S o u rc e : authors’ computat ions.
Table 1 shows that the highest AR and CAR values are at the 2018 MGMA. There
are two potential causes of this condition. First, 2018 marked the first time
the MGMA was held and featured a collaborative performance between a rising
K-pop group (BTS) and a world artist (Charlie Puth), demonstrating the grow-
ing popularity among the public (Cha, 2018). Second, Genie, a digital music
chart run by KT Music Corp., is one of the music benchmarks for each work re-
leased by idols (Kumparan, 2018). Apart from attracting the attention of the
public, some of these factors can also generate investor conf idence in the award
event being held.
Table 1 also lists the 2018 and 2019 awards with positive and significant
ARs and CARs. Positive CARs were found at the 2018 GDA and GCMA, the 2019
MGMA and Soribada Awards. Positive ARs and CARs happened at the Soribada
Hafida Nur Chofifah, Ani Wilujeng Suryani
3636
Awards and MGMA 2018. This indicates that investors regard award informa-
tion as a positive signal, prompting them to purchase stocks of the award-win-
ning company (Fombrun, 1996). Due to the high demand in the market, pric-
es rise, resulting in a positive AR and CAR. This is consistent with prior study
finding that rewards can result in positive AR and CAR because investors per-
ceive them as a means of evaluating award performance (Defond, Konchitchki,
McMullin & O’Leary, 2013). Hence, investors believe that certain awards con-
tain interesting information, resulting in a positive change in stock returns.
Several music awards did not generate significant ARs or CARs (see table 1),
indicating that the awards had no effect on the entertainment industry’s stock
price. This could be because South Korea hosts an excessive number of mu-
sic awards, diminishing the credibility and prestige of each award (Sun-hwa,
2020). In addition, the lack of transparency regarding the evaluation criteria
for several awards, such as the jury’s unknown identity, the assessment cri-
teria, and the qualifications of the participating artists, maybe a factor con-
tributes to a loss of enthusiasm and even public respect for associated award
events (Sun-hwa, 2020), leading investors to conclude that the award is no long-
er relevant for use as a reference when analyzing stock movements. AR and
CAR may also be insignificant because few investors are capable of making pre-
dictions after the nomination for the music awards are announced (Maltsbarg-
er, 2011). Rather than waiting for the announcement of the award winner, the
nominations served as an indicator of which company would be chosen as their
investment destination (Maltsbarger, 2011).
The lack of investor reaction to the announcement of the award is due to
the company being over-awarded or having received too many awards (Ar-
thur & Cook, 2009). This raises the notion that receiving awards is a common
occurrence, and thus, investors regard the information as less valuable and
send no signal to them, causing no reaction in the market. The findings of this
study indicate that the award is not fully considered good news, and thus be-
comes less relevant to consider when making investment decisions (Jao & Jim-
miawan, 2018).
Table 1 also shows that the 2019 GCMA has negative and significant ARs
and CARs. This negative values can be explained by the Korean market’s over-
reaction, in which a positive shock is followed by a significant negative AR and
CAR (reversed stock return) (Stefanescu, Dumitriu & Nistor, 2012). This reduc-
es (increases) market demand for stocks with high (low) returns (Ardi, Kiry-
anto & Amalia, 2008), resulting in a decrease (increase) in returns. This situ-
KorEan m usiC awards and aBno rmal stoCK rE turns
3737
ation results in the occurrence of negative AR (Ardi et al., 2008). Negative AR
and CAR values indicate that the actual return is less than expected (Aziroff,
2020; CFI, 2020). This could be a result of award-winning information being
leaked, boosting investor confidence (Handayani, 2020). This information leak
informed investors about the award-winning idol company, creating an atmos-
phere of overconfidence that resulted in the company’s stocks being sold simul-
taneously (Dhankar, 2019). This selling strategy is based on the assumption
that the winning company’s price will rise, but concurrent sales will result in
a decrease in price (Dhankar, 2019).
This study corroborates previous studies indicating that companies’ good
news may result in a negative AR. The positive news sent the stock price sky-
rocketing well above its fundamental value, but investors realized their mis-
takes and corrected their act ions, causing the price to reverse course (Dhankar,
2019). Past studies suggest that winning companies experience negative AR
because of the euphoria surrounding them, which causes investors to overpay
(Brammer, Brooks & Pavelin, 2009; Chen & De Bondt, 2004; Clare & Thomas,
1995). In addition, negative AR and CAR can occur because investors liquidate
their securities as a result of stock surges, resulting in falling prices (Dhankar,
2019). This finding contradicts Fama’s (Fama, 1970) statement that investors
cannot rely on historical data to generate ARs. The findings of this study indi-
cate that investors are irrational in their optimism in response to good news,
causing overreaction. Thus, the findings of this study do not support the idea
that investors are rational beings (Fama, 1970).
The differences in the results in this study indicate that investors place dif-
ferent values on the music awards. However, certain music awards continue
to provide signals that prompt investors to make decisions and influence the
stock market (Fala et al., 2018). Music awards that fail to elicit a response can
be attributed to the awards’ timing being too close and the assessment criteria
being too restrictive, preventing the public, especially investors, from making
an investment decision.
This study aims to determine whether there is an AR on awards obtained by
music industry idols and provides several conclusions. This study found differ-
ent investor responses for each award, causing some awards to generate signif-
Hafida Nur Chofifah, Ani Wilujeng Suryani
3838
icant AR and CAR, while others do not. Positive AR and CAR indicate investors’
belief and confidence that some awards can increase the value of the compa-
ny. However, insignificant AR and CAR are a result of idols receiving too many
awards.
This study also found an overreaction that made negative AR and CAR. This
overreaction is a result of investors’ excessive optimism about the winning
company’s stock price. Hence, it confirms that investors behave irrationally
as a result of their overconfidence in judging good news, resulting in a nega-
tive AR. These findings contradict the EMH, implying that future returns and
losses can be predicted. For this reason, investors should consider the types of
award events and timing when making investment decisions to avoid poten-
tial losses and maximize profits. It is expected that entertainment companies
will be more selective in involving their idols to participate in awards, ensur-
ing their participation does not become a boomerang for the company or the
artist’s success.
This study contributes to the literature on the EMH and behavioral finance
by examining the effect of award announcements on the occurrence of ARs in
the South Korean K-pop industry, as award announcements are of an impor-
tant concern and achievement in industries engaged in the arts, culture, and
industry media. However, this study is incapable of predicting the timing of ab-
normal returns. Also, the diminishing of overreaction cannot be determined.
Future research should therefore employ different methods and extend the
sample period in order to predict both the presence of abnormal returns and
diminishing overreaction.
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