• 기업가정신과 벤처연구
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• 제19권4호
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• pp.41-52
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• 2016

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.

• 아태비즈니스연구
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• 제12권2호
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• pp.97-114
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• 2021

Purpose - The purpose of this study was to examine the effects of privatization of Chinese state-owned enterprises (SOEs) on their initial returns and long-term performance after initial public offering(IPO). Design/methodology/approach - This study used 1,599 Chinese IPO firms, some of which were SOEs. The multivariate regression analyses were implemented to analyze their effects. Findings - First, the privatization of SOEs does not have any statistically significant effect on the initial return of IPO firms. Second, the shareholdings of government prior to IPOs for both privatizing of SOEs and non-privatizing firms and for both exchanges of Shanghai and Shenzhen have a statistically significant positive effect on the initial return of IPO firms. Third, the privatization of SOEs has statistically significant negative effect on the long-term returns of IPO firms. Fourth, the state-shareholdings prior to IPOs have statistically significant negative effects on the long-term return of IPO firms. Fifth, the state-shareholdings of the privatizing SOEs prior to IPOs have statistically significant positive effects on the long-term return of IPO firms. Research implications or Originality - The results imply that the higher shareholdings and ownership of the Chinese government on SOEs reduce the information asymmetry for the investors of IPO shares or maybe due to inefficiency of SOEs prior to IPOs lead to lower offer prices or higher opening prices leading to severe underpricing and relatively lower stock market returns in the long-run both for the privatizing firms and for the higher state-shareholding firms, while both factors interactively improve their long-term stock market returns.

• 한국데이터정보과학회:학술대회논문집
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• 한국데이터정보과학회 2002년도 춘계학술대회
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• pp.75-84
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• 2002

This paper compares long-run returns of privatization initial public offerings to those of domestic stock markets of respective countries using a sample of 196 privatization initial public offerings from 39 countries. The evidence indicates that the privatization initial public offerings (IPOs) significantly outperform their domestic stock markets. There are substantial differences in the long-run performance of privatization IPOs depending on the return estimation techniques, however. Evidence indicates that the inference based either on conventional t or on skewness-adjusted t statistics may yield misspecified test statistics. The quality of estimation tends to be improved by simply eliminating the outliers from the sample, especially for the buy-and-hold abnormal return technique.

• 한국디지털정책학회:학술대회논문집
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• 한국디지털정책학회 2004년도 International Conference on Digital Policy & Management
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• pp.25-37
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• 2004

This paper compares long-run buy-and-hold returns of privatization initial public offerings to those of domestic stock markets of respective countries using a sample of 29 privatized telecom initial public offerings from 27 countries. The evidence indicates that the privatization IPOs significantly outperform their domestic stock markets if the returns are equally-weighted while they do not outperform the markets if value-weighted. In addition, this paper analyzes the cross-sectional determinants of long-run buy-and- hold returns of privatized telecom shares. The results indicate that the long-run performance of privatized telecom IPOs is moderately related to the proxies of policy uncertainty or systematic risk while the size of the firm and some market wide variables such as the accounting standard, origin of commercial law, and the corporate governance scheme significantly affect the stock performance of privatized telecom shares.

• 재무관리연구
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• 제21권1호
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• pp.149-181
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• 2004

본 연구는 주식 수익률의 생성과정에 비선형적 특성이 존재하는지를 검정하기 위해서 1980년 1월부터 2002년 5월까지 종합주가지수 일별 수익률과 주별 수익률을 이용하여 실증분석을 실시하였다. 실증분석의 내용은 크게 비선형 종속성에 대한 검정과 비선형 확률적 특성검정 그리고 비선형 결정론적인 카오스검정으로 구분할 수 있다. 비선형적 특성에 대한 분석의 결과는 주식 수익률은 leptokurtic한 비정규분포를 따르며, 수익률의 생성과정이 IID하지 않고 비선형 종속성이 존재하는 것으로 나타났다. 그리고 ARCH류의 비선형 확률모형으로는 주식 수익률의 비선형적 구조를 완전히 설명하지는 못하는 것으로 판단된다. 이는 주식 수익률의 생성과정을 설명하기 위해서 ARCH류의 모형과는 다른 형태의 비선형모형의 도입에 대해 고려할 필요가 있음을 시사하는 것이다. 종합주가지수 수익률에 대한 카오스검정의 결과를 정리하면, 우선 장기기억을 가지는 지속성이 강한 시계열로 편의된 랜덤워크를 따르며, 프랙탈분포하는 것으로 나타났다. 그리고 프랙탈 차원의 근사값인 상관차원(D)이 3과 4사이에 안정적으로 수렴하며, 최대 리아푸노프지수($L_1$)가 양(+)의 값을 가지므로 카오스적 끌개와 초기조건에 민감한 의존성이 존재하는 것으로 나타났다. 이러한 결과들은 카오스시스템의 특성과 부합하는 것으로 주식 수익률의 생성과정이 비선형 결정론적인 카오스과정을 따르는 것으로 판단할 수 있다.

• 농촌지도와개발
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• 제10권1호
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• pp.57-76
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• 2003

This study examined th socioeconomic returns to agricultural research in Korea, using multivariate time series technique and Akino-Hyami formula. Results showed that the socioeconomic returns were quite competitive with internal rates of 49.18% and 56.04% for agricultural research and horticultural research respectively. The lagged response to the investment in research varied according to the type of production: agricultural production responded to agricultural research shock about three tears after the shock, while horticultural and livestock productions responded only after abort seven, and ten years, respectively. The magnitudes of the impacts of investment, however, showed a similar pattern for the three types of production: after responding to the shock, the impact increased until a peak was reached and then declined and got down to zero after some years. The peak was reached within five, seventeen, and twenty tears after the intial expenditures for agricultural, horticultural, and livestock productions, respectively. Moreover, the impacts disappeared about thirty tears after the initial expenditures for all three types of production. These findings were consistent with the results from previous literature on agricultural research, which indicated that the lag lengths of the response to investments on research were between seven and thirty years.

• 아태비즈니스연구
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• 제12권3호
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• pp.37-50
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• 2021

Purpose - This study aimed to examine the behavior surrounding the Initial Public Offering (IPO) event of firms within the same conglomerate and the impact of under-pricing and Return on Equity(ROE) on a firm's abnormal stock returns. Design/methodology - This study collected data from 166 South Korean Chaebols, consisting of 355 firms distributed as 202 listed on Korea Composite Stock Price Index (KOSPI) and 153 firms listed on Korean Securities Dealers Automated Quotations (KOSDAQ) from 2000 to 2020. The Capital Asset Pricing Model (CAPM) and the multiple regression analysis were hired to analyze the data. Findings - First, we found an adverse price reaction of IPO listing in the same chaebol group, and firms with higher under-pricing affect other firms' stock prices more adversely within the conglomerate. Next, we explored a negatively significant relation between ROE and the chaebol firms' stock returns during IPO events. Research implications - The novelty of this study is there are not many empirical studies on the impact of IPO within a conglomerate. So, the findings of this study contribute to the literature for analyzing stock's abnormal returns within a conglomerate.

• 농촌지도와개발
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• 제2권1호
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• pp.1-21
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• 1995

This study examines the socioeconomic returns to agricultural research and extension services in Korea, using multivariate time series technique and Akino-Hyami formula. Results find that the socioeconomic returns are quite competitive in case of agricultural research with 44.82% internal rate of return and very high in case of extension services with 207.82% internal rate of return. Agricultural production responds to the agricultural research shock about four years after the shock. The magnitudes of the impacts increase until a peak is reached nine years after the initial expenditures and the impacts declines to a zero level after about twenty years. This lag lengths are consistent to the usual literature on research, which finds lags of seven to thirty years. Agricultural production responds to an agricultural extension shock immediately and declines to a zero level after about four years. Thus, the lag lengths are much shorter than those by research shock.

• 한국건설관리학회논문집
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• 제10권2호
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• pp.121-131
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• 2009

본 연구에서는 우리나라에서 시행되었던 BTO 민간투자사업의 자료를 이용해 BTO 민간투자사업에 투자되는 민간자본에 대한 적정수익률을 추정하고자 한다. 과거 우리나라에서 진행되었던 민간투자사업의 경우 민간자본에 제공된 실질수익률은 대략 $6%\sim9%$ 수준이었는데, 본 연구의 결과에 따르면 정부가 최소운영수입을 보장해준 과거 민간투자사업의 경우, 민간자본에게 제공되었던 수익률은 적정 수준을 상당히 초과하는 것으로 나타났다. 특히 대부분의 민간투자사업에 있어 실제 운영 수입이 실시협약 당시 예측된 운영수입에 현저히 못 미친다는 점을 고려할 때, 민간자본에 대한 적정수익률은 더 낮아지게 되며 따라서 과거에 제공된 수익률의 적정수익률 대비 초과분은 더욱 커지게 된다. 본 연구결과는 향후 BTO방식 민간투자 사업을 진행할 때 정부와 민간사업자간의 실시협약조건에 민간 사업자가 부담하는 위험 대비 적정수익률이 반영될 수 있도록 하는데 도움을 줄 것으로 예상된다.

• 농촌지도와개발
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• 제7권2호
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• pp.257-277
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• 2000

The objectives of this study are to investigate the relationship between the growth of the horticultural sector and horticultural research and extension and to examine the socioeconomic returns to investment on research and extension in Korean horticulture. Data for horticultural production values, producer price indices and research and extension budgets for horticultural sector from 1965 to 1998 are collected from various sources. Multi-variate time series analysis technique with vector auto-regression model and Akino-Hayami Formula were employed for the analysis. This study finds (1) horticultural production responds about seven years later to the horticultural research investment shock. the magnitude of the impacts increases to a peak in seventeen years from the initial expenditures and then declines slowly thereafter until twenty years. and this peak gives a tip that horticultural research impact lasts much longer than grain's or agriculture's: (2) the social surplus from research investment benefits more to the consumer rather than to the horticultural producer: (3) B/C ratios in horticultural research are quite high with the range of 9 to 55 from 1965 to 1998. but these have been decreased since the early 1990s: (4) the socioeconomic returns to horticultural research is quite high with 56 percents of internal rate of return. It remains to be analyzed returns to investment on extension in horticulture because of no statistic significance in this study.