earticle

영어

This study focuses on the effects of the market making regulations in Korea on the excess returns from IPO stocks with put-back options, using stock market data of firms listed on the Korea Exchange(KRX) including both KOSPI and KOSDAQ markets during the period starting from September, 2003 from which the put-back option were imposed to the underwriters in Korea till the end of 2010. Under the regulations during the period of market making, the investors into IPO stocks had the right to sell their stocks back to underwriters of IPO stocks within the first month of trading at the 90% of the offering price. Such put-back options attached to the IPO stocks are expected to increase the value of the stocks because they protect investors from potential losses due to asymmetric information between underwriters and/or IPO firms and investors or moral hazards of underwriters when their proper market prices were not in existence in the regular market. While most past studies in this field are on the underpricing of IPO stocks during some days after their listing, this study focuses on the effects of put-back options by comparing the stock market performances of such firms during the period of market making with put back options and with those without such options. We also study such effects by separating them into two parts: the underpricing of IPO itself which is measured by using differences between the initial price of public offerings set by the underwriters and the starting price of IPO stocks on the first day of trading and that after the IPO measured by the excess returns in some days. Main findings of this study are as follows: First, the market making system introduced for some years in the Korea Exchange lead to underpricing of the IPO stocks. Before the new regulations on the underwriting of IPO stocks in Korea in August, 2007 during which the put-back options were imposed to underwriters, the IPO stock price on average had been discounted as much as 20.9%. The result supports the claim by the Financial Supervisory Service of Korea that the new system of IPO introduced on May 15, 2007 lead to underpricing of IPO stocks due to market making policies included in the regulations. Second, the effects of IPO underpricing lasted only up to two weeks at the longest. This might imply that investors into IPO stocks had better sell them early enough to realize their excess returns due to capital gains, possibly the best from selling on the day of the initial listing. It is also recommended from the findings of this study that investors in reality might suffer from losses on average after a week after the initial listing, which is supported by the phenomena that are observed in the stock market where institutional investors which participated in the IPO sell off more often than not IPO stocks on the day of listing or not long before after the IPO. Third, this study in most cases provides the evidence of positive effects of put-back options on market making through higher excess returns during the period when put-back options were imposed by the law. Such positive effects lasted for some days after the listing day. However, the effects were declining more rapidly for the period of market making with put back option clauses in the contracts for investors than for that without such options when the price declined below 90% of the offer price within one month period after the initial offering. This result might imply that stocks more highly underpriced can be performing much worse later after some days after IPOs than less underpriced stocks, and that investors are better off with earlier sell-off of the IPO stocks as early as possible after the IPO when sufficiently high underpricing effects could be realized on the day of IPO.

한국어

본 논문은 풋백옵션제도가 시행된 2003년 9월부터 2010년 12월까지 유가 증권시장과 코스닥시장에 상장된 IPO를 대상으로 풋백옵션제도에 의한 IPO 의 저평가가 IPO의 초과수익률에 미치는 영향을 실증분석 하였다. 선행연구 의 독립변수를 참조하여 모형을 설계하였으나 종속변수로 여러 연구에서 이 용된 바 있는 누적초과수익률에서 IPO의 저평가된 부분과 상장시점 이후의 초과수익률을 분리하여 실증분석하였음을 그 특징으로 한다. 실증분석 결과 풋백옵션제도는 IPO 공모가 평균 17% 정도 더 저평가시키 는 것으로 나타났다. 한편, 풋백옵션제도는 상장 초기보다는 상장 8일차 이 후부터 IPO의 누적초과수익률을 부양시키는 것으로 나타났는데, 이같은 현상 은 IPO의 누적초과수익률을 부양시키는 요인인 IPO의 저평가와 유통시장의 상승세의 영향이 상장 8일차를 전․후하여 그 영향력을 거의 상실하게 되면서 투자자에게 있어 보험의 성격을 지닌 풋백옵션제도에 대한 기대가 그 시점부 터 본격화되었기 때문으로 판단된다. 그러나 풋백옵션제도 하에서의 IPO 저 평가는 상장 이후 초과수익률에 음(-)의 영향을 미치는 것으로 나타났는데, 이같은 결과는 풋백옵션제도 하에서 주관사에 의해 과도하게 저평가된 IPO를 보유한 투자자가 IPO 상장 이후에는 심리적으로 차익실현 압박을 받게 되기 때문으로 판단된다. 이같은 현상은 풋백옵션제도가 투자자를 납득시킬 수 있 는 합리적인 IPO 가격 책정에는 한계가 있음을 보여준다. 따라서, 풋백옵션 제도의 부활 이전에 풋백옵션제도가 가지는 IPO의 적정 가격 책정 저해 현상 을 보완할 수 있는 제도적 장치 마련이 필요할 것으로 판단된다.