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본 연구에서는 청약일에서 상장일까지 신규공모주 거래가 지연됨에 따라 투자자가 입게 되는 기대손실의 상한 을 옵션가치로 측정하고, 그것이 신규공모주 저평가현상에 유의한 효과를 미치는가를 검증하였다. 2000년 2월부터 2007년 7월까지 한국증권선물거래소에 상장된 602개 신규공모주의 저평가정도를 분석한 결과, 상장일 수익률은 평균 57.60%이고, 상장일 이후 20거래일까지의 수익률도 상장일 수익률을 상회하여서 국내 신 규공모주의 저평가현상은 매우 높을 뿐만 아니라 일정기간 지속되는 것으로 나타났다. 청약일에서 상장일까지의 거래지연효과에 대한 옵션가치는 공모가의 평균 11.98%에 달하는 것으로 나타나서 상장일 평균 수익률 중 최대 21%가 거래지연효과로 인해 발생하는 것으로 나타났다. 이는 거래지연효과가 신규 공모주 저평가현상을 발생시키는 또 다른 중요 원인임을 의미하며, 이러한 결과는 시장조성제도 변화, 상장시 장, 공모 및 발행기업 관련 특성변수들 그리고 상장시점의 시장상황 등을 통제한 회귀분석에서도 동일하게 나 타났다. 본 연구의 결과는 증권발행과정 상에서 투자자들이 가지는 손실가능성도 저평가현상의 중요한 원인이 된다는 실증결과를 제시함으로써 신규공모주 저평가현상에 대한 새로운 원인을 제시하고 있다.
In the Korean stock market, investors must wait, on average, for about 3 weeks after subscription day to trade initial public offering (IPO) stocks. At subscription day, the underwriting firms receive orders for the IPO stocks from various investor groups such as employees of the issuing firm, institutional and individual investors. This results in creating time lapse, or non-trading period between subscription and listing day in Korea. This is quite different from the IPO process in the U.S. Such non-trading period may be a risk factor on the IPO investments. Because investors cannot trade the IPO stocks during the non-trading period, they cannot gain the trading profits when positive information for an IPO stock is obtained and vice versa. This paper examines how the existence of non-trading period affects the IPO underpricing as a new risk factor that can increase the expected losses of the IPO investments in the Korean stock market. To answer this research question, we first define non-trading period effect as the upper bound of dis- count rate for the offering price or the expected losses that can occur during the non-trading period. We then measure an option value of the non-trading period effect with option pricing model and analyze the effect of the option values on the IPO underpricing. Longstaff (1995) provided an option pricing model to estimate losses by implementing restrictions on stock trade. Assuming a perfect timer who knows the optimal selling point of the IPO stocks, a variant of Longstaff model is applied to estimate the maximum expected losses resulting from the restriction on trading IPO stocks as option values. To estimate the option value, we should measure the volatility of each IPO stocks. But that is impossible because IPO stocks have no past return data. As a proxy for the volatility of an IPO stock, we used the average of volatilities of the matching firms. Matching firms, which had to be listed at least 3 years prior to the listing day of the concerned IPO stock, were selected within the same industry of the IPO stock. Using the data of 602 IPO stocks listed in Korea exchange (KRX) with KOSPI and KOSDAQ boards from February, 2000 to July, 2007, we first analyzed the degrees of IPO underpricing using various initial return measures. We found that the IPO underpricing in the Korean stock market was very high and sustainable. The average initial return at listing day (= closing price of listing day/offering price -1) was 57.60%. And the averages of the other 3 initial returns, the average of holding period returns (HPR) and cumulating abnormal returns (CAR) calculated for 20 trading days and HPR from listing day to first negative stock return day after the listing day, were higher than the average returns at the listing day. The amount of initial returns at listing day is more than double the amount of that in the U.S market, which was reported by Ritter and Welch (2002). We found the evidence that non-trading period effect is one of the important factors which determine the IPO underpricing. The option values for non-trading period effect were 11.98% of the offering price on average, which is about 21% of the initial returns at the listing day. And the IPO underpicing increases as the option value of the IPO stock increases. When the 602 IPO stocks were divided into five groups by their option values, the average initial returns of the highest group fell in the range of 25~49%, significantly higher than those of the lowest group, and the highest group always showed higher initial returns among subsamples before and after the abolition of the market making rule and among those of listed markets, KOSPI or KOSDAQ. These results are consistent with the results of the regression analysis. Various factors were controlled to evaluate the effect on the initial returns of IPO stocks. The factors considered were the change of the market making rule, market returns before and at the listing day, and other IPO-related characteristic variables -IPO amount, competitive rate of subscription, firm age, ROA, leverage ratio, etc. The option value for non-trading period effect was significantly and positively related with initial returns of IPO stocks in all models. However, the effects of the non-trading period on the IPO underpricing decreased after the abolition of the market making rule. Previous papers suggested that the expected losses of underwriting firms resulting from the IPO regulations such as compulsory market making rule or put-back option rule are the main cause for the IPO underpricing. Above and beyond this cause, this paper suggests that the expected losses of investors during non-trading period are another important cause for the IPO underpricing in the Korean stock market.
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본 논문은 소유지배구조가 기업의 자사주매입결정과 현금배당에 미치는 영향을 실증적으로 분석하고자 한다. 1998년부터 2005년까지 상장기업을 대상으로 자사주매입에 대한 공시자료와 현금배당 자료를 이용하여, 지배주주의 소유지분율과 지배권이 기업의 지급정책에 미치는 영향을 분석한다. 지배권은 지배주주의 소유지분에 계열사의 지분율 등을 합한 지분율로 지배주주가 영향력을 행사할 수 있는 지분율을 의미한다. 분석 결과, 지배주주의 소유지분율이 높을수록 기업이 현금배당을 실시할 가능성이 높고, 지배주주의 지배권이 약할수록 자사주매입을 실시할 가능성이 높은 것으로 나타났다. 자사주매입의 크기를 전체 발행주식수와 시장가치에 대비하여 측정하였을 때, 지배주주의 소유지분율이 적을수록 자사주매입 규모가 큰 것으로 나타났다. 또한 자사주매입 결정에 대한 시장반응을 측정한 결과, 지배주주의 소유지분율이 낮은 기업이 자사주매입결정을 공시하는 경우 주가수익률은 감소하는 것으로 나타났다. 이러한 결과는 자사주매입이 기업의 경영권을 위협하는 외부투자자로부터 현 경영진 또는 지배주주를 보호하는 역할을 한다는 가설과 일관된다.
In this paper, we investigate how the ownership structure of a firm is related to its corporate policy on payouts. Previous literature has identified several goals that may guide firms’ payout policies such as signaling firm value or lowering agency costs. Some of these studies argue that firms may distribute their cash or engage in share repurchase programs in order to send a signal to the market that either they are undervalued or their future value will be higher. Other researches claim that firms might lower their agency costs by adopting a payout policy to lower free cash flows. The focus of our study is to investigate whether the ownership and the control rights of controlling shareholders are linked to corporate payout decisions. It has been widely recognized that there can be a discrepancy between the ownership rights (also known as cash flow rights) and the control rights of controlling shareholders. In the case of Korea, ownership by affiliated firms can contribute to such differences. Many Korean firms have subsidiaries that are interconnected through interlocking ownership and internal capital markets. Considering the corporate ownership structure, we measure control rights through all the cash flow rights of controlling shareholders and the voting rights of all subsidiaries. Thus, the control rights include all the shares under the influence of the controlling shareholders. First, we examine payout policies for all publicly traded firms in the Korean Stock Exchange between 1998 and 2005. For share repurchases, we collected information on corporate decisions to engage in open market share repurchases as well as to allocate resources to trust funds that specialize in treasury stocks. Since all publicly traded firms are required to disclose their decisions on share repurchases, we collect information on the announcement dates, the amounts, and the methods of share repurchases. In addition, for corporate decisions to distribute cash to shareholders, we use the annual information of cash dividends reported in their financial statements. We empirically test the determinants and effects of payout policy using the announcement information and the financial data of publicly traded firms. Based on empirical results from previous studies, we have controlled for other explanatory factors such as firm size, capital structure, volatility, market to book ratio, cash holding, free cash flow, and chaebol dummy. In addition to these explanatory factors, we also examine how ownership and control rights affect payout decisions. Overall empirical results in this paper can be summarized in three parts. First, we find that firms of which controlling shareholders have greater ownership and control rights are more likely to choose to pay cash dividends to their shareholders controlling for other factors. In contrast, firms with lower ownership and control rights are more likely to adopt share repurchase programs. These results are strong and statistically significant. Thus, our findings support the hypothesis that ownership structure affects corporate decisions to adopt payout policy. Second, we test whether firms with weak ownership rights are engaged in larger scale share repurchase programs. Specifically, we examine factors affecting the number of shares that a firm buys back or the proportion of firm resources allocated buying back shares. After controlling for the aforementioned explanatory factors, we find that firms with weaker ownership and control rights are more likely to both buy more shares and spend proportionately more resources, compared to firms with stronger ownership and control rights. Third, we examine the effects of payout policy on firm value. In particular, we investigate how announcements by firms to buy shares affect their stock returns. Under the efficient market hypothesis, investor decisions in the market are believed to reflect all information available in stock prices. Thus, the changes in stock prices reflect how the market evaluates the payout decisions of firms. We find that stock prices decline after the announcement of share repurchases by firms whose controlling shareholders have weaker ownership. This result is different from the positive stock returns shown in many earlier studies of share repurchases that did not examine ownership structure. Our result suggests that investors in the market perceive a negative consequence of share repurchases by firms with weak ownership structure and consequently, firm value declines. Taking into account all the results in this study, we conclude that a firm’s payout policy depends on ownership structure. Moreover, firms with weak ownership structures tend to adopt share repurchase programs at the cost of other shareholders.
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본 연구는 외환위기 이후의 기업 인수합병 공시가 인수기업의 주주에 미치는 영향과 그 결정요인에 대하여 실증 분석하였다. 기존연구의 미비점을 보완하기 위해 우회상장을 표본에서 제거하는 한편 합병 외에 주식취득과 영업양수 방식에 의한 인수합병을 분석대상에 포함시킴으로써 표본의 동질성과 규모를 충분히 확보하고자 하였다. 2000년부터 2008년 상반기까지 이루어진 396개의 인수합병 표본을 대상으로 분석한 결과 인수기업 주주는 공시시점에 5.9%(CAR(-5, 1))의 초과수익률을 얻은 것으로 측정되었다. 또한 인수합병 수단, 다각화 인수합병 여부, 계열기업 간 인수합병 여부 등 인수합병의 유형별 분류와 인수기업의 규모 등은 공시 초과수익률 결정에 일관되게 중요한 영향을 미쳤다. 즉, 합병과 주식취득보다는 영업양수가, 관련 인수합병보다는 비관련 인수합병이, 계열보다는 비계열 인수합병에서, 그리고 인수기업이 소규모일수록 누적초과수익률이 유의적으로 더 높았다. 그러나 대금결제 방식에 따른 시장반응의 차이는 실증적으로 확인할 수 없었다.
This study examines a large sample of M&As conducted in Korea since the financial crisis in late 1990s in order to investigate how announcement returns to acquiring firms differ among various types of acquisitions. We adopt the term ‘acquisition types’ inclusively: the legal procedures, intended goals, payment methods, and acquirer’s financial characteristics such as firm size. We try to get the sufficient sample size by including ‘acquisition of business’ and ‘acquisition of stock’, as well as ‘merger’ in our sample M&A firms. However, we exclude from our sample the backdoor listings that are fundamentally different from ordinary M&As in order to enhance the sample homogeneity. Most of existing empirical studies fail to distinguish backdoor listings from ordinary M&As in sample selection. In our preliminary analysis, the announcement returns of backdoor listings are estimated to be larger by more than twice the size of ordinary M&As. Based on the final sample of 396 acquisitions announced and completed by non-financial companies listed in the Korea Exchange (KRX) from January 2000 to June 2008, acquiring firms’ short-run stock performance (CARs) during the announcement period is examined to see if the market’s initial reaction is affected by such facts as: whether the transaction is a merger or acquisition; whether the acquisition is a diversifying or affiliated one or not; and whether the acquiring firm is large or small. Abnormal returns are measured using both the market adjusted and the market-model adjusted approaches, whose outcomes are basically similar. We perform our analysis both in a univariate setting and in a multivariate framework in which we control for other factors that may affect acquirer announcement returns. Our major findings are as follows. First, acquiring shareholders consistently earn positive abnormal returns for as long as 10 days prior to the announcement date, i.e., the date of decision by a board of directors. However, stock prices behave efficiently, showing seldom abnormal returns after the announcement date. Consequently, their CARs(-5, 1), on average, amount to 5.9%, statistically significant at the 1% level. The positive announcement effects on acquiring firms are more evident in domestic studies than those in foreign studies while the results are consistent with the empirical evidences of existing domestic studies. Furthermore, shareholders of firms in acquisitions of businesses earn positive abnormal returns (CARs(-5, 1)) of 11.1%, while those in abnormal returns to mergers and stock acquisitions are only 5.3%. The difference between these two is statistically significant. Second, acquirers of diversifying acquisitions significantly outperform in shareholders’ abnormal returns relative to acquirers of non-diversifying acquisitions. Although it has been commonly argued that non- diversifying acquisitions increasing the concentration of core business are more likely to create firm value, our empirical evidence supports the opposite. Our result seems to indicate that the stock market of the current decade values highly developing a new business area for the future growth through diversifying acquisitions. Third, acquirers of non-affiliated mergers significantly outperform in shareholders’ abnormal returns relative to those of affiliated mergers, both the acquirer and the target owned by the same major shareholder. The result is consistent with existing empirical findings, suggesting that affiliated mergers are usually initiated by corporate headquarters which have intention to remedy their ailing subsidiaries through mergers with better performing subsidiaries. Accordingly, shareholders of acquiring firms, namely well-performing subsidiaries, react negatively to the announcement of affiliated mergers. Fourth, we find the size effect on M&A transactions, which implies that announcement returns are inversely related with the acquirers’ firm size when measured in total assets and the market value of equity. The size effect is significant and robust in all the variations of regression models. However, the acquiring firm’s financial ratios measured prior to the year of merger completion such as free cash flow, debt ratio, book to market ratio, and profit margin do not have any significant effects on announcement returns. The targets’ financial data such as firm size and operating performance are not meaningfully related with the acquiring shareholders’ returns either. Lastly, it is commonly expected that announcement returns of acquisitions with stocks are less than those of cash acquisitions since acquiring firms would pay for their acquisitions with stocks when those stocks are overvalued and cash when they are undervalued. Although the extant foreign literature documents significant relations between the form of acquisition payment and announcement returns, we find no evidence that the method of payment conveys information about the acquirer’s firm value. Typically in Korea, all stock-financed acquisitions correspond to mergers as the legal forms of acquisitions, whereas all cash-financed acquisitions are of acquisitions of either stocks or businesses. Thus, it is possibly conjectured that the effect of payment methods is veiled by the legal forms of acquisitions.
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