減價償却方法 變更이 株價에 미치는 영향

Abstract

本 硏究는 우리나라 證券市場의 準强型 效率性을 檢證하는 데에 基本日的을 두고 있다. 檢證對象은 1976년부터 1981年 사이에 減價償却方法을 定率法에서 定額法으로 變更한 企業이며 本 硏究를 위한 對象으로는 23個의 企業이 抽出되었다. 檢證資料로는 減價償却方法 變更 發表日을 포함하는 週를 基準時點으로 前後 31週씩의 週末終價가 사용되었으며, 殘差分析과 收益率分析標本平均의 差異에 의한 分析이 檢證方法으로 사용되었다. 硏究結果로는 3가지 分析의 結果가 모두 우리나라 證券市場의 準强型 效率性을 부정하는 양상을 나타낸다는 것을 알게 되었고 이로서 우리나라 證券市場의 準强型 效率性의 成立을 부정하는 한 증거를 제시하게 되었다.;The main purpose of this thesis is to test the announcement effect of depreciation switch-back on the share price in the context of semi-strong form efficiency. As is known, semi-strong form efficiency is the case in which prices reflect not only past prices but all other published information. In this work, we review the background theory of Efficient Market Hypothesis (EMH) and depreciation as well as previous tests on the semi-strong form effiency in the light of depreciation change. Also we have conducted an empirical test of semi-strong form EMH in view of depreciation switch-back from 23 Korean firms. All firms included in the sample had changed the depreciation method from Accelerated depreciation to Straight-line one, 1976 through 1981. The price data of 63 weeks for each firm - the depreciation change had been announced in the middle of each period - and the corresponding market index were collected, and then the rates of return were calculated. Through the log-transform the data were finally applied to the Market Model. Cumulative residuals and average residuals from the Market Model are calculated using 20 weeks' data before/after the publication of the information. As a result, this thesis could not suggest any evidence of semi-strong form efficiency in Korean stock market. In other words, the deprecation change information has some impacts on the stock prices after its announcement, which is observed from the analyses of the average rate of return and cumulative residuals. Because of the restrictive nature of the research area, relatively small sample has been selected and some statistics cannot justify the model validity. The inherent and potential importance of the subject, however, provide ample justification for skating out on this admittedly thin ice.