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우리나라 株式市場에 있어 有償增資가 株價에 미치는 影響

우리나라 株式市場에 있어 有償增資가 株價에 미치는 影響
Other Titles
(A) study on the influnence of rights issues on the stock price in the Korean stock market
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대학원 경영학과
이화여자대학교 대학원
In the Korean Stock Market, virtually all of companies raise their new equity capital using the rights issues. Accordingly, a great emphasis has been put on the importance of equity rights issues as a major topic in corporate finance. The main purpose of this study is to review the current status of rights issues among Korean firms and to examine the announcement effect of rights issues on the share Price in the context of semi-strong form efficiency test. Specifically this study consists of three main topics as following: 1) The present situations of rights issues in the Korean Stock Market have been summarized. 2) This study, for one thing, aims at describing the theoretical background of rights issues as well as the previous tests on the semi-strong form market efficiency in view of announcement of rights issues. Of three previous studies, two are from works on the USA by Smith, and Scholes, and one from works on the UK by Marsh. 3) Also this study conducts the empirical tests of semi-strong form market efficiency in view of announcement of rights issues among Korean firms. For the samples to be used in empirical tests, 30 major rights issues for the period between 1976 through 1980 have been selected from the companies listed in the Korean Stock Market Exchange. The residual analysis was supposed to be adopted as the main methodology, however the Market Model did not provide any significant explanatory foundation. As a result, a final analysis has been conducted on the basis of the averaged securities' returns. As a conclusion, the results of this thesis seem to confirm to the general notion of substitution hypothesis suggested by the previous studies in other countries' stock market, and lead us to accept the fact that the Korean Stock Market is efficient with respect to rights issues announcement.;本 硏究의 주된 目的은 우리나라 證券市場에 上場된 株式을 대상으로 하여 有償增資가 企業의 情報內容으로서 株價에 어떻게 반영 되어지는가를 관찰하고자 함 이었다. 우리나라에서도 이러한 種類의 效率的資本市場에 대한 假說檢證은 여러차례 試圖되어 왔으나 아직까지는 결정적인 結論을 제시할 만한 충분한 硏究結果가 확보되어 있지 못한 실정이다. 이런 점에 비추어 보아 本 硏究에서는 有償增資의 新株配定에 따르는 情報效果를 分析하므로서 우리나라 株式市場에 대한 보다 나은 理解를 돕고자 하였다. 이를 위해서 本 硏究에서는 1976年부터 1980年에 결쳐 有償增資와 관련된 30個의 標本株式을 선택하였으며 市場模型을 利用한 殘差分析技法을 使用하고자 하였다. 그러나 硏究結果, 株價變動率의 時系列상에 있어서 市場模型에 의한 說明力이 대단히 낮았기 때문에 단순히 平均株價收益率 자체에 대한 分析만으로 그칠 수 밖에 없었다. 이렇게 관찰한 累積平均株價收益率의 分析結果는 우리나라에서도 準强型 效率的 翡本市場假說의 채택이 可能했음을 보여주고 있다.
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