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코스닥시장에서의 자기주식 취득에 대한 연구
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코스닥시장에서의 자기주식 취득에 대한 연구.hwp
[Size :
243 Kbyte
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코스닥시장에서의 자기주식 취득에 대한 연구에 대한 글입니다.
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III. 실증적 분석
1. 표본의 추출 및 자료의 수집
본 연구의 실증적 분석을 위한 자료는 코스닥시장에 등록된 기업들의 자사주취득과 자사주신탁 계약 등에 관한 자료이다. 코스닥시장에서 자사주취득이 처음으로 허용된 1999년 5월부터 2001년 12월말까지 증권감독원에 보통주 자기 주식을 직접 취득하는 경우와 신탁계약 등을 통해 자기 주식을 간접 취득하고자 신고한 공시기업을 대상으로 한다. 주식수익률 등 주식가격 관련자료와 재무제표 관련자료는 (주)한국신용평가에서 발행한 KIS-SMAT과 KIS-FAS, 한국경제연구원에서 발행한 주가CD 파일을 사용하였다.
기본자료들 중에서 공시일 기준으로 -240일부터 +90일 사이에 주가자료가 없는 기업, KIS-SMAT에서 기업코드를 발견할 수 없는 기업들, 그리고 변수들의 정의에서 큰 의미를 발견하기 어려웠던 금융업종을 제외하였다. 최종적으로 실증분석에 사용된 관측치의 수는 자사주취득의 경우 79개의 건수를, 그리고 자사주신탁 계약 등의 경우 112개의 건수를 사용하였다. 연도별 자기주식 취득과 신탁계약등을 통한 자기주식 취득 현황, 그리고 분석건수에 대한 기본 현황이 다음 <표 1>에 제시되어 있다.
참고문헌
김철교, “자사주관리가 한국주식시장에 미치는 영향에 관한 연구,” 재무연구 제13호, 1997, pp. 169-195.
신민식, “자사주매입이 주가, 체계적 위험 및 유동성에 미치는 영향,” 경영연구, 제12권, 제1 호, pp. 235-255.
우춘식·신용균, “주식재매입의 효과에 관한 실증적 연구,” 증권금융연구 2, 서울대학교 경영대학 증권금융연구소, pp. 97-114
이용교·정성창, `자사주펀드의 공시제도에 관한 연구`, 회계정보연구, 제10권(1998. 12), pp. 21-47.
이용교·정성창, `자기주식 처분과 정보신호가설,` 회계정보연구 제12권, 한국회계정보학회, 1999년 12월, pp. 235-254.
정성창·이용교 “자사주매입과 자사주펀드의 유효성 분석,” 재무연구, 제11호, 1996.4, pp. 241-271.
정성창·이용교, “자기주식 매입 전략과 기업의 가치,” 재무연구, 제14권 제1호, 2001. 5, 59-88.
정성창·이용교 (b), “상장회사의 주가관리 실태와 불공정 거래,” 한국증권학회 제4차 증권정책심포지엄 자료집, 2000년 11월 3일, 한국증권거래소, 한국증권학회, pp. 297-348.
Bagnoli, Mark, Roger Gordon and Barton L. Lipman, `Stock Repurchase as a Takeover Defense,` Review of Financial Studies 2 (1989), pp. 423-443.
Bagwell, Laurie S., “Share Repurchase and Takeover Deterrence,” Rand Journal of Economics 22 (1991), pp. 72-88.
Bagwell, Laurie S., `Dutch Action Repurchases : An Analysis of Shareholder Heterogeneity”, Journal of Finance, 47, (1992), pp. 71-105.
Barber, Brad M. and John D. Lyon, `Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statixtics`, Journal of Financial Economics 433, (1997), pp. 341-372.
Barclay, Michael J. and Clifford W. Smith, Jr., `Corporate Payout Policy-Cash Dividends versus Open-Market Repurchases,` Journal of Financial Economics 22 (1988), pp. 61-82
Bartov, Eli, `Open-Market Stock Repurchases as Signals for Earnings and Risk changes,` Journal of Accounting and Economics 14 (1991), pp. 275-294.
Bradley, Michael and L. MacDonald Wakeman, `The Wealth Effects of Targeted Share Repurchaes,` Journal of Financial Economics 11 (1983), pp. 301-328.
Brav, Alon, `Inference in Long-horizon Event Studies: A Re-evaluation of the Evidence`, Working Paper, University of Chicago, (1997).
Chan, Konan, Dave Ikenberry, and Inmoo Lee, “Do Firms Knowingly Repurchase Undervalued Shares?,” 1999년 한국재무학회 추계학술발표논문집, 한국재무학회, pp. 241-276.
Comment, Robert and Gregg A. Jarrell, `The Relative Signalling Power of Dutch-Auction and Fixed-Price Self-Tender Offers and Open-Market Share Repurchases,` Journal of Finance 46 (1991), pp. 1243-1271.
Constantinides, George M. and Bruce D. Grundy, `Optimal Investment with Stock Repurchase and Financing as Signals,` Review of Financial Studies 2 (1989), pp. 445-465.
Dann, Larry Y., Harry DeAngelo, `Standstill Agreement, Privately Negotiated Stock Repurchased, and the Market for Corporate Control,` Journal of Financial Economics 11 (1983), pp. 275-300.
Dann, Larry Y., Ronald W. Masulis and David Mayers, `Repurchase Tender Offers and Earnings Information,` Journal of Accounting and Economics 14 (1991), pp. 217-251.
Dann, Larry Y., “Common Stock Repurchase : An Analysis of Returns to Bondholders and Stockholders,” Journal of Financial Economics 9 (1981), pp. 113-138.
Denis, David J. and Gregory B. Kadlec, `Corporate Events, Trading Activity, and the Estimation of Systematic Risk: Evidence From Eqity Offerings and Share Repurchases,` Journal of Finance 49 (1994), pp. 1787-1811.
Denis, David J., `Defensive Changes in Corporate Payout Policy: Share repurchases and Special Dividends,` Journal of Finance 45 (1990), pp. 1433-1456.
Dittmar, Amy K., `Why Do Firms Repurchase Stock?, Journal of Business 73, (2000), pp. 331-355.
Ellis, Charles., “Repurchase Stocks to Revitalize Equity,” Harvard Business Review 43 (1965), pp. 119-228.
Gay, Gerald D., Jayant R. Kale, and Thomas H. Noe, `Share Repurchase Mechanisms: A Comparative Analysis of Efficacy, Shareholder Wealth, and Corporate Control Effects,` Financial Management 20 (1991), pp. 44-59.
Guthart, L. A. “More companies are buying back their stock,” Harvard Business Review 43 (1965), pp. 41-53.
Hertzel, Michael G., `The Effects of Stock Repurchases on Rival Firms,` Journal of Finance 46 (1991), pp. 707-716.
Hertzel, Michael and Prem C. Jain, `Earnings and Risk Changes around Stock Repurchase Tender Offer,` Journal of Accounting and Economics 14 (1991), pp. 253-274.
Hertzel, Michael G., `The Effects of Stock Repurchases on Rival Firms,` Journal of Finance 46 (1991), pp. 707-716.
Ibbotson, Roger G., `Price Performance of Common Stock New Issues,“ Journal of Financial Economics 2, (1975), pp. 235-272.
Ikenberry, David, and Theo Vermaelen, “The Option to Repurchase Stock,” Financial Management 25, (1996), pp. 9-24.
Jarrell, Greg A., and Paul A. Seguin, `A Proposal to Stabilize Stock Prices: Comment,` Journal of Portfolio Management, Winter (1990), pp. 79-81.
Jensen Michael C., `Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers,` American Economic Review 76 (1986), pp. 323-329.
Kale, Jayant R., Thomas H. Noe, and Gerald D. Gay, `Share Repurchase through Transferable Put Rights,` Journal of Financial Economics 25 (1989), pp. 141-160.
Kamma, Sreenivas, George Kanatas and Steven Raymar, `Dutch Auction versus Fixed-Price Self-Tender Offers for Common Stock,` Journal of Financial Intermediation 2 (1992), pp. 277-307.
Lakonishok, Josef and Theo Vermaelen, “Anomalous Price Behavior Around Repurchase Tender Offers,” Journal of Finance 45 (1990), pp. 455-477.
Lee, D. Scott, Wayne H. Mikkelson, and M. Megam Partch, `Managers` Trading Around
Stock Repurchases,` Journal of Finance 47 (1992), pp. 1947-1961.
Li, Kai and William McNally, `Information Signaling or Agency Conflicts: What Explains Canadian Open Market Share Repurchases?,` Working Paper (1999), University of British Columbia.
Lucas, Deborah and Robert McDonald, `Equity Issues and Stock Price Dynamics,` Journal of Finance 45 (1990), pp. 1019-1043.
Masulis, Ronald W., “Stock Repurchase by Tender Offer : An Analysis of the Causes of Common Stock Price Changes,” Journal of Finance 35 (1980), pp. 305-319.
McNally, William J., `Open Market Stock Repurchase Signaling,` Financial Management, Vol. 28., No. 2, Summer (1999), pp. 55-67.
Mikkelson, Wayne H. and Richard S. Rubak, `An Empirical Analysis of the Interfirm Equity Investment Process,` Journal of Financial Economics 14 (1985), pp. 523-553.
Ofer, Aharon R. and Anjan V. Thakor, `A Theory of Stock Price Responses to Alternative Corporate Cash Disbursement Methods: Stock Repurchases and Dividends,` Journal of Finacne 42 (1987), pp. 365-394.
Persons, John C., `Signaling and Takeover Deterrence with Stock Repurchases: Dutch Auction versus Fixed Price Tender Offers,` Journal of Finance 49 (1994), pp. 1373-1402.
Persons, John C., Heterogenous Shareholders and Signaling with Share Repurchases, Journal of Corporate Finance, 3, (1997), pp. 221-249.
Schwartz, Robert A., `A Proposal to Stabilize Stock Prices,` Journal of Portfolio Management, Fall (1988), pp. 4-11.
Schwartz, Robert A., `A Proposal to Stabilize Stock Prices: Reply to Comment,` Journal of Portfolio Management, Winter (1990), pp. 82-84.
Slovin, M. B., Sushka, M. E., and Bendeck, Y. M., `The Intra-Industry Effects of Going Private Transactions,` Journal of Finance (1991), pp. 1537-1550.
Stephens, Clifford P., and Michael S. Weisbach, `Actual Share Reacquisitions in Open-Market Repurchase Programs,` Journal of Finance 53, (1998), pp. 313-333.
Stewart, Samuel S., Jr., “Should a corporation repurchase its own stock?,” Journal of Finance 31, (1976), pp. 911-921.
Vermaelen, Theo, “Common Stock Repurchases and Market Signalling : An Empirical Study,” Journal of Financial Economics 9 (1981), pp. 139-183.
Vermaelen, Theo, “Repurchase Tender Offers, Signaling, and Manageral Incentives,” Journal of Financial and Quantitative Analysis 19 (1984), pp. 163-181.
Williams, Joseph, `Efficient Signalling with Dividends, Investment and Stock Repurchases,` Journal of Finance 43 (1988), pp. 737-747.
Young, A., “The Performance of Common Stocks Subsequent to Repurchase”, Financial Analysis Journal, 23, pp. 117-121.
신민식, “자사주매입이 주가, 체계적 위험 및 유동성에 미치는 영향,” 경영연구, 제12권, 제1 호, pp. 235-255.
우춘식·신용균, “주식재매입의 효과에 관한 실증적 연구,” 증권금융연구 2, 서울대학교 경영대학 증권금융연구소, pp. 97-114
이용교·정성창, `자사주펀드의 공시제도에 관한 연구`, 회계정보연구, 제10권(1998. 12), pp. 21-47.
이용교·정성창, `자기주식 처분과 정보신호가설,` 회계정보연구 제12권, 한국회계정보학회, 1999년 12월, pp. 235-254.
정성창·이용교 “자사주매입과 자사주펀드의 유효성 분석,” 재무연구, 제11호, 1996.4, pp. 241-271.
정성창·이용교, “자기주식 매입 전략과 기업의 가치,” 재무연구, 제14권 제1호, 2001. 5, 59-88.
정성창·이용교 (b), “상장회사의 주가관리 실태와 불공정 거래,” 한국증권학회 제4차 증권정책심포지엄 자료집, 2000년 11월 3일, 한국증권거래소, 한국증권학회, pp. 297-348.
Bagnoli, Mark, Roger Gordon and Barton L. Lipman, `Stock Repurchase as a Takeover Defense,` Review of Financial Studies 2 (1989), pp. 423-443.
Bagwell, Laurie S., “Share Repurchase and Takeover Deterrence,” Rand Journal of Economics 22 (1991), pp. 72-88.
Bagwell, Laurie S., `Dutch Action Repurchases : An Analysis of Shareholder Heterogeneity”, Journal of Finance, 47, (1992), pp. 71-105.
Barber, Brad M. and John D. Lyon, `Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statixtics`, Journal of Financial Economics 433, (1997), pp. 341-372.
Barclay, Michael J. and Clifford W. Smith, Jr., `Corporate Payout Policy-Cash Dividends versus Open-Market Repurchases,` Journal of Financial Economics 22 (1988), pp. 61-82
Bartov, Eli, `Open-Market Stock Repurchases as Signals for Earnings and Risk changes,` Journal of Accounting and Economics 14 (1991), pp. 275-294.
Bradley, Michael and L. MacDonald Wakeman, `The Wealth Effects of Targeted Share Repurchaes,` Journal of Financial Economics 11 (1983), pp. 301-328.
Brav, Alon, `Inference in Long-horizon Event Studies: A Re-evaluation of the Evidence`, Working Paper, University of Chicago, (1997).
Chan, Konan, Dave Ikenberry, and Inmoo Lee, “Do Firms Knowingly Repurchase Undervalued Shares?,” 1999년 한국재무학회 추계학술발표논문집, 한국재무학회, pp. 241-276.
Comment, Robert and Gregg A. Jarrell, `The Relative Signalling Power of Dutch-Auction and Fixed-Price Self-Tender Offers and Open-Market Share Repurchases,` Journal of Finance 46 (1991), pp. 1243-1271.
Constantinides, George M. and Bruce D. Grundy, `Optimal Investment with Stock Repurchase and Financing as Signals,` Review of Financial Studies 2 (1989), pp. 445-465.
Dann, Larry Y., Harry DeAngelo, `Standstill Agreement, Privately Negotiated Stock Repurchased, and the Market for Corporate Control,` Journal of Financial Economics 11 (1983), pp. 275-300.
Dann, Larry Y., Ronald W. Masulis and David Mayers, `Repurchase Tender Offers and Earnings Information,` Journal of Accounting and Economics 14 (1991), pp. 217-251.
Dann, Larry Y., “Common Stock Repurchase : An Analysis of Returns to Bondholders and Stockholders,” Journal of Financial Economics 9 (1981), pp. 113-138.
Denis, David J. and Gregory B. Kadlec, `Corporate Events, Trading Activity, and the Estimation of Systematic Risk: Evidence From Eqity Offerings and Share Repurchases,` Journal of Finance 49 (1994), pp. 1787-1811.
Denis, David J., `Defensive Changes in Corporate Payout Policy: Share repurchases and Special Dividends,` Journal of Finance 45 (1990), pp. 1433-1456.
Dittmar, Amy K., `Why Do Firms Repurchase Stock?, Journal of Business 73, (2000), pp. 331-355.
Ellis, Charles., “Repurchase Stocks to Revitalize Equity,” Harvard Business Review 43 (1965), pp. 119-228.
Gay, Gerald D., Jayant R. Kale, and Thomas H. Noe, `Share Repurchase Mechanisms: A Comparative Analysis of Efficacy, Shareholder Wealth, and Corporate Control Effects,` Financial Management 20 (1991), pp. 44-59.
Guthart, L. A. “More companies are buying back their stock,” Harvard Business Review 43 (1965), pp. 41-53.
Hertzel, Michael G., `The Effects of Stock Repurchases on Rival Firms,` Journal of Finance 46 (1991), pp. 707-716.
Hertzel, Michael and Prem C. Jain, `Earnings and Risk Changes around Stock Repurchase Tender Offer,` Journal of Accounting and Economics 14 (1991), pp. 253-274.
Hertzel, Michael G., `The Effects of Stock Repurchases on Rival Firms,` Journal of Finance 46 (1991), pp. 707-716.
Ibbotson, Roger G., `Price Performance of Common Stock New Issues,“ Journal of Financial Economics 2, (1975), pp. 235-272.
Ikenberry, David, and Theo Vermaelen, “The Option to Repurchase Stock,” Financial Management 25, (1996), pp. 9-24.
Jarrell, Greg A., and Paul A. Seguin, `A Proposal to Stabilize Stock Prices: Comment,` Journal of Portfolio Management, Winter (1990), pp. 79-81.
Jensen Michael C., `Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers,` American Economic Review 76 (1986), pp. 323-329.
Kale, Jayant R., Thomas H. Noe, and Gerald D. Gay, `Share Repurchase through Transferable Put Rights,` Journal of Financial Economics 25 (1989), pp. 141-160.
Kamma, Sreenivas, George Kanatas and Steven Raymar, `Dutch Auction versus Fixed-Price Self-Tender Offers for Common Stock,` Journal of Financial Intermediation 2 (1992), pp. 277-307.
Lakonishok, Josef and Theo Vermaelen, “Anomalous Price Behavior Around Repurchase Tender Offers,” Journal of Finance 45 (1990), pp. 455-477.
Lee, D. Scott, Wayne H. Mikkelson, and M. Megam Partch, `Managers` Trading Around
Stock Repurchases,` Journal of Finance 47 (1992), pp. 1947-1961.
Li, Kai and William McNally, `Information Signaling or Agency Conflicts: What Explains Canadian Open Market Share Repurchases?,` Working Paper (1999), University of British Columbia.
Lucas, Deborah and Robert McDonald, `Equity Issues and Stock Price Dynamics,` Journal of Finance 45 (1990), pp. 1019-1043.
Masulis, Ronald W., “Stock Repurchase by Tender Offer : An Analysis of the Causes of Common Stock Price Changes,” Journal of Finance 35 (1980), pp. 305-319.
McNally, William J., `Open Market Stock Repurchase Signaling,` Financial Management, Vol. 28., No. 2, Summer (1999), pp. 55-67.
Mikkelson, Wayne H. and Richard S. Rubak, `An Empirical Analysis of the Interfirm Equity Investment Process,` Journal of Financial Economics 14 (1985), pp. 523-553.
Ofer, Aharon R. and Anjan V. Thakor, `A Theory of Stock Price Responses to Alternative Corporate Cash Disbursement Methods: Stock Repurchases and Dividends,` Journal of Finacne 42 (1987), pp. 365-394.
Persons, John C., `Signaling and Takeover Deterrence with Stock Repurchases: Dutch Auction versus Fixed Price Tender Offers,` Journal of Finance 49 (1994), pp. 1373-1402.
Persons, John C., Heterogenous Shareholders and Signaling with Share Repurchases, Journal of Corporate Finance, 3, (1997), pp. 221-249.
Schwartz, Robert A., `A Proposal to Stabilize Stock Prices,` Journal of Portfolio Management, Fall (1988), pp. 4-11.
Schwartz, Robert A., `A Proposal to Stabilize Stock Prices: Reply to Comment,` Journal of Portfolio Management, Winter (1990), pp. 82-84.
Slovin, M. B., Sushka, M. E., and Bendeck, Y. M., `The Intra-Industry Effects of Going Private Transactions,` Journal of Finance (1991), pp. 1537-1550.
Stephens, Clifford P., and Michael S. Weisbach, `Actual Share Reacquisitions in Open-Market Repurchase Programs,` Journal of Finance 53, (1998), pp. 313-333.
Stewart, Samuel S., Jr., “Should a corporation repurchase its own stock?,” Journal of Finance 31, (1976), pp. 911-921.
Vermaelen, Theo, “Common Stock Repurchases and Market Signalling : An Empirical Study,” Journal of Financial Economics 9 (1981), pp. 139-183.
Vermaelen, Theo, “Repurchase Tender Offers, Signaling, and Manageral Incentives,” Journal of Financial and Quantitative Analysis 19 (1984), pp. 163-181.
Williams, Joseph, `Efficient Signalling with Dividends, Investment and Stock Repurchases,` Journal of Finance 43 (1988), pp. 737-747.
Young, A., “The Performance of Common Stocks Subsequent to Repurchase”, Financial Analysis Journal, 23, pp. 117-121.
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