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논문검색

기술특례상장기업을 대상으로 투자자의 비합리적인 심리지수와 합리적인 심리지수가 장기성과에 미치는 영향에 관한 연구

원문정보

A Study on the Effects of Investors' Irrational Sentiment Index and Rational Sentiment Index on Long-term Performance for Listed Companies with Special Technology Cases

김성신

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초록

영어

The study analyzed whether abnormalities in stock prices that occur after initial public offering can be explained by investor sentiment indexes for technology-specific listed companies and general listed companies. In this regard, the investor sentiment index was classified into an unexplained irrational part and a rational part based on economic fundamental. The investment sentiment index was orthogonalized with the relative strength index, psychological line index, adjusted turnover rate, and trading volume using Yang and Zhou (2015) methodology, and then new variables were calculated through principal analysis. According to Seok et al. (2019), a new variable was used as a dependent variable, and the macroeconomic environmental factors such as excess return on the stock market, term spread, credit spread, firm size, book to market ratio, and price to earnings per share ratio were analyzed. The estimated residuals and forecasts were used as substitutes for the irrational investment sentiment index and the rational investment sentiment index, respectively. The results of the empirical analysis of this study are as follows. First, according to the test results of the average difference between major variables for technology-specific listed companies, the return on total assets was relatively low, and the debt ratio, public offering amount, one-year turnover rate, and buy-sell imbalance of individual investors for one and two years were high. In terms of long-term performance, the industrial adjusted return for two years was relatively low. Second, according to the results of the generalized least squares regression analysis on long-term performance for one year after IPO, the turnover rate showed a negative (-) relationship except for some models. The public offering price adjustment rate showed a positive (+) relationship with long-term performance in some models, and the stock price fell when individual investors bought excessively. Irrational investor sentiment showed a positive (+) relationship with long-term performance in all models. In the emerging market, it can be seen that the price error phenomenon is not properly corrected due to the lack of smooth arbitrage and short selling. Rational investor sentiment showed a positive (+) relationship with long-term performance because it reflected expectations for the market outlook and information on the company's fundamental. Third, even when it was expanded to long-term performance for two years, irrational investor sentiment maintained a positive (+) relationship with long-term performance and was not confirmed in rational investor sentiment. Return on total assets showed a positive (+) relationship with long-term performance in some models, and investors seem to focus on the company's actual business performance after realizing the wrong belief in listed companies. Looking at the long-term performance of technology-specific listed companies and general listed companies for two years, the decline in the long-term performance of technology-specific listed companies was more serious.

한국어

본 연구는 2005년부터 2019년까지 기술특례상장기업과 일반상장기업들을 대상으로 기업공 개 이후 발생되는 주가의 이상 현상을 투자자의 심리지수로 설명할 수 있는 지 실증분석 하였다. 투자 자 심리지수는 Yang and Zhou(2015)와 Seok et al.(2019)의 방법론에 의해 비합리적 투자심리지수와 합리적 투자심리지수를 사용하였다. 본 연구의 실증결과는 다음과 같다. 첫째, 기술특례상장기업은 일 반상장기업에 비해 총자산영업이익률과 2년간의 장기성과(산업조정수익률)가 낮았다. 반면에 부채비 율, 회전율, 개인투자자의 매수-매도거래 불균형은 높게 나타났다. 둘째, 1년간의 장기성과(시장조정수 익률, 산업조정수익률)에 대해 일반화최소자승법(generalized least squares)을 통한 회귀분석결과에 의하면 회전율은 일부모델을 제외하고 음(-)의 관계가 보였으며 공모가조정률은 일부모델에서 양(+) 의 관계를 보였다. 주간사평판과 청약경쟁률에서는 음(-)의 관계가 확인되었다. 셋째, 비합리적 투자 심리에서는 장기성과와 양(+)의 관계가 확인됨에 따라 차익거래 제약 등의 시장의 불완전함이 존재하 는 이머징마켓에서는 투자심리와 주가수익률은 양(+)의 관계가 보인다는 기존의 이론을 지지하였다. 합리적인 투자심리는 미래 전망에 대한 기대치와 기업의 펀드멘탈에 대한 정보가 반영되어 있기에 장 기성과와는 양(+)의 관계가 보였다. 2년의 보유기간을 확장한 장기성과에도 비합리적 투자심리와의 관계는 지지되었으며 합리적 투자심리와의 관계는 희석되었다.

목차

국문 요약
Ⅰ. 서론
Ⅱ. 연구배경 및 기존문헌
2.1 기술특례상장제도
2.2 코스닥 시장의 기술특례상장기업의 특성과 주가성과
2.3 투자심리와 장기성과
Ⅲ. 연구방법
3.1 표본 및 자료 수집
3.2 변수의 정의 및 측정
3.3 연구모형
Ⅳ. 연구결과
4.1 기초통계
4.2 기술특례상장기업과 일반상장기업의 주요 변수에 대한 평균의 차이 검정
4.3 기술특례상장기업과 일반상장기업의 투자심리지수와 장기성과
Ⅴ. 결론 및 제언
참고문헌 (References)
Abstract

저자정보

  • 김성신 SungSin Kim. 상명대학교 경영학부 부교수

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