• Title/Summary/Keyword: 누적 초과수익률

Search Result 50, Processing Time 0.024 seconds

Overreaction Hypothesis and Aftermarket Performance of the U.K. IPOS (과잉반응가설과 영국 최초공모주의 장기성과 분석)

  • Lee, Ki-Hwan
    • The Korean Journal of Financial Management
    • /
    • v.12 no.1
    • /
    • pp.187-210
    • /
    • 1995
  • 본고(本槁)에서는 영국기업의 최초공모주를 이용하여 최초공모주(最初公募株) 시장(市場)에 나타나는 3가지 이례현상(異例現象) 즉 단기(短期)에 있어 최초공모주의 저가발행현상(低價發行現象), 장기(長期)에 있어 최초공모주의 저성과현상(低成果現象) 그리고 hot issue market 존재를 분석하고 있다. 이러한 분석은 주로 미국(美國) 발행시장(發行市場)을 대상으로 이루어져 왔는바, 시장의 효율성 측면에서 비슷한 수준을 유지하고 있는 영국(英國)의 증권시장(證券市場)에서도 이러한 현상이 나타나는지를 조사해보는 것은 의미가 있을 뿐만아니라 이러한 현상이 다른 시장에서도 통상 나타나는 현상인지를 밝히는데도 의의가 있다고 보여진다. 영국(英國)의 최초공모주(最初公募株) 시장(市場)에서의 3가지 이례현상(異例現象)을 분석하기 위해 우선 거래 첫날의 시장조정수익률(市場調整收益率)을 계산하여 신규공모주가 시장가격에 비해 할인(割引)되어 발행되는지를 조사한 결과 시장가격에 비해 12.88% 정도 할인발행되고 있음이 밝혀졌다. 단기의 저가발행현상(低價發行現象)과는 달리 신규공모주가 시장에 상장된지 3년이 경과한 후 추정된 장기투자수익률(長期投資收益率)은 12.05%의 부(負)의 누적초과수익률(累積超過收益率)을 시현하고 있는데 이는 과잉반응가설(過剩反應假說)에 의해 설명되고 있다. 끝으로 1987년의 최초공모주가 다른 연도에 비해 다섯배 정도로 저가발행되고 있음을 밝힘으로써 영국발행시장(英國發行市場)에도 hot issue market 현상이 나타남을 분석하고 있다.

  • PDF

Dividend tax rate, dividend policy, ownership structure, and stock valuation (배당소득세율, 배당정책, 소유구조와 주식가치평가)

  • Ryu, Sung-Yong;Sung-Yeol Ann
    • The Journal of Information Technology
    • /
    • v.7 no.1
    • /
    • pp.1-22
    • /
    • 2004
  • This study examine the effects of changes in the dividend income tax rates, the corporate dividend policy, and the ownership structure on the stock valuation. The empirical findings indicate that : (1)firm's ownership structure is positively correlated with stock return ; (2) the interaction of firm's ownership structure and the dividend policy is positively correlated with stock return ; (3) the interaction of the changes in the dividend income tax rates and dividend policy is correlated with stock return ; (4) the interaction of the changes in the dividend income tax rates and firm's ownership structure is correlated with stock return ; (5) the interaction of the increases in the dividend income tax rates, firm's ownership structure, and the dividend policy is positively correlated with stock return. This suggests that non-taxing of capital gains provide tax shelters to individual investors and investors prefer non-taxing income to dividend income.

  • PDF

The Impact of Outside Directors' Characteristics on Performance: Focused on KOSDAQ and NASDAQ IPO Firms (사외이사 특성과 주식성과 : KOSDAQ, NASDAQ IPO기업을 중심으로)

  • Jeon, Ho-Jin
    • Management & Information Systems Review
    • /
    • v.29 no.1
    • /
    • pp.1-23
    • /
    • 2010
  • This study examines the impacts of outside directors' characteristics and compensation on stock performances of KOSDAQ and NASDAQ IPO firms. The results of this study indicated the following interesting results. First, there is no significant relation between outside directors' age and CARs on KOSDAQ firms. while significant positive relation between outside directors' age and CARs on NASDAQ firms. And the elder age group shows a more positive impact on performances compared with the younger age group. Second, there is no relation between outside directors' academic background and CARs for KOSDAQ firms. But We find a significantly positive one for NASDAQ firms. Third, In Relation to outside directors' careers, their professional or CEO careers group have more positive impact on stock performances than gray directors' careers group. Lastly, there is an insignificant negative relation between the outside directors' compensation and CARs for KOSDAQ firms. while there is a positive relative for NASDAQ firms. In particular, there is a significant positive relative between value of stock options and CARs for NASDAQ firms. from the result, I could find out the stock option for outside' directors have a positive influence on firm value.

  • PDF

The effects of becoming holding companies on corporate governance and business concentration (지주회사체제가 기업지배구조의 효과성과 사업집중화에 미치는 영향)

  • Yoon, Ji Eui;Nam, Giseok;Kim, Duk Ho;Kim, Joongwha
    • Journal of Digital Convergence
    • /
    • v.12 no.10
    • /
    • pp.121-134
    • /
    • 2014
  • This study investigated the stock market reaction to the announcement of conversion to holding company and its influence on the market value and corporate governance before and after the event. Generally, it is known that the conversion to holding company strengthens corporate governance because of diversification effects. Accordingly, it is expected that holding companies have a significantly positive influence on the short and long term stock value and improve firm performance. The results are as follows. First, companies have significantly positive short-term abnormal returns for a day. It confirms the stock market reaction hypothesis. Second, it is found that corporate governance is improved in two ways, protection of stock holders' right and distribution of corporate income in the year after converting to holding companies. However, the degree of business concentration appears to be decreased but the result is statistically insignificant after the conversion. Third, there is no significant positive relation between market performance and both protection of stock holders' right and distribution of corporate income. Thus, the results do not adequately support the hypothesis between corporate transparency and market performance.

The Certification Role by the Types of Venture Capitalists in KOSDAQ (벤처캐피탈회사의 유형과 보증역할에 대한 연구)

  • Yoon, Byung-Seop
    • The Korean Journal of Financial Management
    • /
    • v.20 no.1
    • /
    • pp.29-60
    • /
    • 2003
  • This study investigates the certification role by the types of venture capitalists in KOSDAQ IPOs. The sample covers 88 venture companies listed on KOSDAQ from January, 1997 to December, 2001. The major results are as follows. Firstly, IPOs of firms backed by New Technology Business Investment Companies are less underpriced than those of firms backed by Small Business Investment Companies. The underpricing difference between two groups is statistically significant. This sheds light on the evidence of the certification role of venture capitalist in KOSDAQ IPOs market. Secondly, our result also attests the certification role by the types of venture capitalists among Small Business Investment Company. IPOs backed by yen拉re capitalists of financial institutions are less underpriced than those backed by venture capitalists of individual wealthy investors. The underpricing difference between two groups is statistically significant. Finally, underpricing of New Technology Business Investment Company-backed IPOs is less than that of Small Business Investment Company-backed IPOs. In addition, we found that the size of underpricing is affected by business history, sub-scription ratio, and total assets prior to registration.

  • PDF

An Empirical Analysis On The Effects Of M&A Between The Merging Firms And The Merged Firms

  • Kim, Dong-Hwan
    • Journal of the Korea Academia-Industrial cooperation Society
    • /
    • v.4 no.4
    • /
    • pp.428-433
    • /
    • 2003
  • In this study. we empirically compared and investigated the impacts and effects of M&A between the merging firms and the merged firms during the period from 1990 to 1997 which the developed countries' market principles were adopted and more autonomous and competitive M&A market were activated. For this purpose, this paper has set hypothesis and tested by analyzing those AAR, and CARs employing both market model and market adjusted model. The empirical results revealed in this research show that the CAR is more positive for merged firms than merging firms which are contrast with results of previous studies researched in 1980s.

  • PDF

Chaebolgroups Propping: Evidence from the Stock-Price Effects by Changing of Corporate Bond Rating (재벌기업집단의 propping 효과 -기업 신용평가등급 변경-)

  • Oh, Hyun-Tak
    • Journal of the Korea Academia-Industrial cooperation Society
    • /
    • v.12 no.5
    • /
    • pp.2108-2114
    • /
    • 2011
  • I examine propping within chaebolgroups, using changes of bond rating events made by corporate credit evaluation institutions. Much studies related to the internal capital market and tunneling have enhanced our understanding of the important function of chaebolgroups in emerging market, but relatively little is known about propping within affiliated firms. In a common sense, propping implies capital reallocation within affiliated firms to save a financially troubled affiliate. In event study on announcement the changes of corporate bond rating, I found most positive numbers in chaebolgroup's CAR. Particularly when lower change than higher change, decrease ratio of CAR is higher positively in chaebolgroups, which relatively shows that there is more propping effects in chaebolgroups than non-chaebolgroups. In multi-regression analysis, after strengthen restriction of internal mutual investment, propping effects are decreased positively in chaebolgroups than non-chaebolgroups when credit rating adjust lower, which implies there was more propping in chaebolgroups.

KOSDAQ Firm's Cyber IR Activity and Stock Price Behavior (코스닥 기업의 사이버 IR과 주가행태)

  • Song, Myung-Gyu;Cho, Jun-Hee;Kim, Chan-Jung
    • The Journal of the Korea Contents Association
    • /
    • v.12 no.2
    • /
    • pp.388-397
    • /
    • 2012
  • Recently, KOSDAQ company's cyber IR activities has increased. Major advantages offered by the Internet include low cost and high accessibility the Internet is used as a strategic tool of many KOSDAQ companies in IR activity. Thus, this study tried to empirically analyze the overall impact of cyber IR. And this study examine the difference in impact of cyber IR activity on stock prices in the period before and after depending on ownership structure and venture or not. The main result of the study can be summarized as follows. First, IR activities have a positive impact on KOSDAQ firms stock price. This means that the investors are recognizing IR activity of KOSDAQ firm as a good news. Second, The lower stock ownership have great impact on stock prices. The act of reporting and monitoring system are performing effectively to lower stock ownership as compared with higher stock ownership. Third, The return rate of KOSDAQ venture firms with IR enforcement effect appears high than KOSDAQ firms with IR enforcement.

Does a parent-subsidiary merger enhance efficiency in Korea? (한국자본시장에서 모자회사 합병)

  • Cho, Kyung-Shick;Kim, Chang-Ki;Jung, Heon-Yong
    • Management & Information Systems Review
    • /
    • v.29 no.3
    • /
    • pp.51-69
    • /
    • 2010
  • The purpose of this research is to analyze the motivations for mergers and the disclosure effects before and after two parties, which have a parent and subsidiary relationship, submit a merger agreement. The results of analysis show that the main aims of a merger between the two parties are to enhance the efficiency and the competitive power of the companies and to diversify their business lines. Efficiency increment plays an important role in a merger. A merged corporation has realized positive abnormal returns before and after a merger. Business diversification has brought the highest cumulative average abnormal returns due to the disclosure effects.

  • PDF

특허출원의 공시와 주식가치

  • Kim, Min-Jo;Jeong, Hyeong-Chan
    • The Korean Journal of Financial Management
    • /
    • v.12 no.2
    • /
    • pp.121-142
    • /
    • 1995
  • 본 연구는 기업의 기술혁신 활동의 결과로서 특허출원에 대한 공시가 해당 기업의 주가(株價)에 미치는 영향을 실증적으로 분석하였다. 그리고 특허출원의 공시에 빠른 주가변동(株價變動)이 어떠한 요인(要因)에 의해 결정되는가를 고찰하였다. 우리나라 증권시장에서 1989년부터 1994년까지의 기간 동안 특허출원에 대한 공시를 한 47개 상장기업을 연구표본으로 하여 특허공시의 가치효과를 분석한 결과, 특허 공시일을 기준으로 t=-30에서부터 t=+10일까지의 누적초과수익률이 약 6.05%이며 통계적으로 유의한 것으로 나타났다. 한편, 이러한 특허공시의 가치효과는 해당 특허의 대상이 되는 기술개발에 투하된 투자액의 규모가 클수록, 그리고 특허 기술을 독자적으로 개발한 경우보다 타기업이나 연구소와 공동으로 개발하였을 경우가 더욱 크게 나타났다. 뿐만 아니라, 기업이 기술개발을 완료한 후 특허를 국내에서 보다는 국외에 출원하는 경우가 해당기업의 주가(株價)에 더욱 호의적인 반응을 가져다 준다는 것을 실증적으로 보여 주고 있다.

  • PDF