기업가정신과 벤처연구 (The Journal of Small Business Innovation)

한국중소기업학회 (The Korean Association of Small Business studies)
권호 표지

매각제한제도와 KOSDAQ 공모주 상장초기 수익률의 관계

The Association between Underwriter Lockup and KOSDAQ IPO Initial Returns

  • 이종용 (강원대학교 경영학부 경영학과)
  • Lee, Jong-Ryong (Department of Business Administration, College of Business Administration)
  • 투고 : 2016.07.06
  • 심사 : 2016.11.16
  • 발행 : 2016.12.31
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

본 연구에서는 중소기업의 상장시장인 KOSDAQ에서 신규공모(initial public offering) 인수회사에게 부과하는 공모주 매각제한제도(underwriter lockup)와 공모주 상장초기 수익률의 관계를 분석하였다. 2008년부터 KOSDAQ에 상장된 공모주의 상장초기 수익률 평균은 감소하였으며, 일부 공모주 상장초기 수익률은 음이었다. 이런 환경에서 KOSDAQ는 매각제한제도를 실행하였는데, 매각제한제도란 신규공모 인수회사가 공모주를 발행가격으로 매입하고 상장부터 3개월간 보유하는 의무를 의미한다. 따라서 매각제한제도에서 인수회사는 공모주를 저가(underpricing)로 매입하고 고가(stabilization)로 매각하려는 의도를 가지게 될 것이므로, 매각제한제도에서 상장초기 수익률이 증가할 수가 있다. 본 연구에서는 2009년부터 KOSDAQ에 상장된 공모주에 관한 자료들을 수집하고, 매각제한제도에 의해서 상장초기 수익률을 증가시키는지를 혼합분포(mixture of distributions) 관점에서 검증하였다. 분석결과 매각제한제도가 적용되지 않는 신규공모보다는 매각제한제도가 적용되는 신규공모에서 공모주 상장초기수익률은 유의적으로 증가하였다. 그리고 이런 결과는 상장초기 수익률에 영향을 주는 요인들을 통제하더라도 유의적으로 존재하였다. 이것은 매각제한제도가 상장초기 수익률의 상승에 매우 유효한 제도라는 것을 의미한다.

This paper examines the effect of unique underwriter lockup on the initial returns of an initial public offering (IPO) in the Korean Securities Dealers Automated Quotation (KOSDAQ). Underwriter lockup induces underwriters to underprice IPOs and stabilize aftermarket prices. The inducement is explored with respects to the mixtures of distributions of the initial returns consistent with underpricing and stabilization. Whether the inducement is meaningful when other factors are controlled is also explored. These explorations provide evidence that underwriter lockup leads to more positive average initial returns in the three aftermarket months.

키워드

참고문헌

  1. Aggarwal, R. (2000). "Stabilization activities by underwriters after initial public offerings," Journal of Finance 55(3), 1075-1103. https://doi.org/10.1111/0022-1082.00241
  2. Asquith, D. J., D. Jones, and R. Kieschnick (1998). "Evidence on price stabilization and underpricing in early IPO returns," Journal of Finance 53(5), 1759-1773. https://doi.org/10.1111/0022-1082.00071
  3. Beatty, R. P. and J. R. Ritter (1986). "Investment banking, reputation, and the underpricing of initial public offerings," Journal of Financial Economics 15(1), 213-232. https://doi.org/10.1016/0304-405X(86)90055-3
  4. Benveniste, L. M. and P. A. Spindt (1989). "How investment bankers determine the offer price and allocation of new issues," Journal of Financial Economics 24(2), 343-361. https://doi.org/10.1016/0304-405X(89)90051-2
  5. Booth, J. R. and R. L. Smith (1986). "Capital raising, underwriting and the certification hypothesis," Journal of Financial Economics 15(1), 261-281. https://doi.org/10.1016/0304-405X(86)90057-7
  6. Brav, A. and P. A. Gompers (2003). "The role of lockups in initial public offerings," Review of Financial Studies 16(1), 1-29. https://doi.org/10.1093/rfs/16.1.0001
  7. Byun, J. and S. S. Cho (2011). "IPO lock-ups and underpricing," Korean Journal of Financial Studies 40(3), 405-429.
  8. Carter, R. B., F. H. Dark, and A. K. Singh (1998). "Underwriter reputation, initial returns, and the long-run performance of IPO stocks," Journal of Finance 53(1), 285-311. https://doi.org/10.1111/0022-1082.104624
  9. Cho, J. M., J. H. Lee, and B. G. Jang (2015). "Initial public offerings, earnings management and venture capital: Evidence of bull and bear market conditions in Korea," Journal of Small Business Innovation 18(1), 15-41.
  10. Choi, M. S. (2011). "Review of empirical studies on IPO activity and pricing behavior in Korea," Asian Review of Financial Research 24(2), 621-663.
  11. Chowdhry, B. and V. Nanda (1996). "Stabilization, syndication, and pricing of IPOs," Journal of Financial and Quantitative Analysis 31(1), 25-42. https://doi.org/10.2307/2331385
  12. Cook, D. O., R. Kieschnick, and R. A. Van Ness (2006). "On the marketing of IPOs," Journal of Financial Economics 82(1), 35-61. https://doi.org/10.1016/j.jfineco.2005.08.005
  13. Cornelli, F., D. Goldreich, and A. Ljungqvist (2006). "Investor sentiment and pre-IPO markets," Journal of Finance 61(3), 1187-1216. https://doi.org/10.1111/j.1540-6261.2006.00870.x
  14. Corwin, S. A., J. H. Harris, and M. L. Lipson (2004). "The development of secondary market liquidity for NYSE-listed IPOs," Journal of Finance 59(5), 2339-2374. https://doi.org/10.1111/j.1540-6261.2004.00701.x
  15. Field, L. C. and G. Hanka (2001). "The Expiration of IPO share lockups," Journal of Finance 56(2), 471-500. https://doi.org/10.1111/0022-1082.00334
  16. Goergen, M., L. Renneboog, and A. Khurshed (2006). "Explaining the diversity in shareholder lockup agreements," Journal of Financial Intermediation 15(2), 254-280. https://doi.org/10.1016/j.jfi.2005.10.001
  17. Greene, W. H. (2012). Econometric analysis 7th International ed. Pearson Education.
  18. Griffin, J. M., J. H. Harris, T. Shu, and S. Topaloglu (2011). "Who drove and burst the tech bubble?," Journal of Finance 66(4), 1251-1290. https://doi.org/10.1111/j.1540-6261.2011.01663.x
  19. Hanley, K. W. (1993). "The underpricing of initial public offerings and the partial adjustment phenomenon," Journal of Financial Economics 34(2), 231-250. https://doi.org/10.1016/0304-405X(93)90019-8
  20. Hanley, K. W. and G. Hoberg (2016). "The information content of IPO prospectuses," Review of Financial Studies 23(7), 2821-2864. https://doi.org/10.1093/rfs/hhq024
  21. Hanley, K. W., A. A. Kumar, and P. J. Seguin (1993). "Price stabilization in the market for new issues," Journal of Financial Economics 34(2), 177-197. https://doi.org/10.1016/0304-405X(93)90017-6
  22. Kaustia, M. and S. Knupfer (2008). "Do investors overweight personal experience? Evidence from IPO subscriptions," Journal of Finance 63(6), 2679-2702. https://doi.org/10.1111/j.1540-6261.2008.01411.x
  23. Lee, J. R. (2012). "Downside risk and underpricing of IPOs: Evidence from put back options revisited," Korean Journal of Financial Studies 41(5), 705-721.
  24. Lee, J. R. and H. J. Song (2013). "The effect of ownership structure of newly listed firms on IPO process: Evidence from Korea market," Asia-Pacific Journal of Small Business 35(1), 47-65.
  25. Lee, J. R. and M. A. Kim (2014),"Controlling ownership, employee ownership, and returns of IPO stocks," Journal of Small Business Innovation 17(1), 55-72.
  26. Lowry, M. M., S. Officer, and G. W. Schwert (2010). "The variability of IPO initial returns," Journal of Finance 65(2), 425-465. https://doi.org/10.1111/j.1540-6261.2009.01540.x
  27. Megginson, W. L. and K. A. Weiss (1991). "Venture capitalist certification in initial public offerings," Journal of Finance 46(3), 879-903. https://doi.org/10.1111/j.1540-6261.1991.tb03770.x
  28. Rock, K. (1986). "Why new issues are underpriced," Journal of Financial Economics 15(1), 187-212. https://doi.org/10.1016/0304-405X(86)90054-1
  29. Ruud, J. S. (1993). "Underwriter price support and the IPO underpricing puzzle," Journal of Financial Economics 34(2), 135-151. https://doi.org/10.1016/0304-405X(93)90015-4
  30. Shin, I. S. (2010). "Regulatory environment, changing incentives, and IPO underpricing in the Korean stock market," Asia-Pacific Journal of Financial Studies 39(2), 109-138. https://doi.org/10.1111/j.2041-6156.2010.00006.x
  31. Sopranzetti, B. J., E. Venezian, and X. Wang (2006). "The market for new issues: impact of offering price on price support and underpricing," Review of Quantitative Finance and Accounting 26(2), 165-176. https://doi.org/10.1007/s11156-006-7214-z
  32. Yon, K. H. and S. H. Park (2002). "An empirical evidence on the uniform lock-up system in KOSDAQ," Korean Journal of Financial Studies 31, 323-364.