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유상증자와 주가의 상관관계 분석

원문정보

Correlation Analysis of Rights Offerings and Stock Prices

이재웅

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초록

영어

This paper empirically investigates stock price reaction to rights offerings made in the Korean stock market from 1975 to 1985. It tests hypotheses related to price pressure, wealth redistribution, and singaling. Special attention is directed to the formulation of empirically testable implications of the investment opportunity hypothesis as part of the signaling hypothesis, and to actual testing of these implications. The present study employs the residual analysis methodology. Abnormal stock returns are measured for periods around the announcement of rights offerings, and are analyzed cross-sectionally or examined with respect to their behavior over different sample periods. The data used in the present study consists of cases of equity rights offerings made in the period from 1975 to 1985. Each of these offerings used the par value of the involved stock as its subscription price. An important characteristic of this study is its use of the research design in which the sample is divided into two subsamples based on the stock market conditions at the time of each equity issue : a rights offering is classified as belonging to the bullish market subsample if the market condition is characterized by rising stock prices at the time of the offering; otherwise, an offering belongs to the bearish market subsample. Separate cross-sectional regression analyses are applied to the two subsamples. Further, the eleven-year sample period was divided into ten subperiods according to the market conditions and the time-series behavior of the average abnormal returns for the subperiods are investigated. Thus, the particular research design in the present study allows us to examine robustness of the regression results, to analyze differences in results over time periods and their realtionahip to market conditions, and/or to infer implications on the validity of the investment opportunity hypothesis. The results of the empirical analyses are summarized as follows : First, rights offerings during periods of rising stock prices have larger positive effect on the stock price than rights offerings during periods of falling stock prices. This result may imply that equity issues in periods of rising stock prices provide more favorable information on the firm's investment opportunities because these periods tend to precede periods of expansionary business activity. On the other hand, this result is also consistent with the view that equity issues depress stock prices more when the general demand for stock investment decreases in periods of falling stock prices, than when the demand is large and increasing in other periods. Thus, the result indicates that the price pressure hypothesis might be acceptable in the Korean stock market. Second, the stock price of the issuing firm on average increases more than the market and its industry averages in the 2 or 3 month period preceding the public announcement of the issue. This result can be interpreted as being consistant with the investment opportunity hypothesis in that firms with larger stock returns are generally those which have better business performance or more favorable prospects. Third, the increase in the stock price index of the issuing firm's industry is larger than that of the market index. This phenomenon is also an indirect evidence that issuing firms belong to industries characterized by more favorable investment opportunities than to an average industry. Fourth, the abnormal rate of return during some periods around the public announcement of the equity issue is larger for those made under bullish market conditions than for those made under bearish market condition. (However, this result is not statistically significant.) The abnormal rate of return during periods surrounding the allocation date (or ex-rights date) is also greater for those issues made when the stock market is bullish. Fifth, a statistically significant abnormal return of 3 to 5% is realized during the 3 day period around the ex-rights date. This phenomenon that such a large abnormal return is realized around the ex-rights date rather than the announcement date gives an indication that the stock market may not be efficient with respect to equity rights issues. Sixth, there is some weak evidence that the abnormal return related to a rights issue is greater, the more the earnings per share (EPS) of the issuing firm increases in the years near the issue. It is also greater the amount raised is used for capital expenditures rather than as working capital. This result is also consistent with the investment opportunity hypothesis that the stock price rise is larger for firms with greater investment opportunities. Seventh, the abnormal return is greater for firms with greater market price to par value ratio for their common stocks. A plausible explanation for this result, is that rights issues signal future increases in dividends which in turn signify increases in future corporate cash flows. However, this should be viewed only as a tentative conclusion because there does not yet exist any direct empirical evidence on the widely-held notion in the Korean stock market that a rights issue is followed by an increase in dividend. Eighth, it is observed that the abnormal return decreases as the size of the issue increases. This is a result which is consistant with the price pressure hypothesis and also with many others which predict negative stock price reaction to stock issues. Finally, the statistical tests do not yield any consistent results on the wealth reallocation hypothesis.

목차


 Ⅰ. 서론
 Ⅱ. 가설설정 및 검정방법
  1. 가설의 설정
  2. 가설검정 모형 및 분석방법
  3. 초과수익율의 산정 및 변수의 정의
  4. 자료
 Ⅲ. 분석결과
  1. 초과수익율의 유의성 검정
 Ⅳ. 요약 및 결론
 참고문헌
 표 및 도표

저자정보

  • 이재웅 J.W.Lee. 명지대학교 경영대

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