轉換社債 發行에 따른 株價變動에 關한 硏究

Abstract

1985年 以後 韓國의 證券市場은 持續的인 上昇趨勢를 보임으로써 量的으로나 質的으로 모두 刮目할 만한 成長을 이룩하였다. 이러한 證券市場의 活性化 및 成熟에 따라 企業의 資金調逵方法도 變化를 보이게 되었다. 그동안 우리나라의 企業들은 外部金融에 의한 資本調達에 크게 의존하였는데 그 중에서도 一設社債에 대한 比重이 높아 財務構造가 脆弱한 狀態였다. 그러나 證券市場의 活性化에 따라 企業들은 새로운 資金調達方法으로서 有·無償增資이 의한 直接金融의 實施 轉換社債, 新株引受權附社債등의 新種社債를 개발하였다. 이중, 轉換社債 (convertible bond) 는 社債로서의 性格과 潛在的 株式으로의 性格을 동시에 갖는 投資證券으로서 發行會社는 資本코스트를 줄일 수 있고 投資者는 社債로서의 安全性 및 株式으로의 收益性이라는 投資長點을 갖기 때문에 企業의 유용한 資本調達手段으로 지목받게 되었다. 우리나라의 轉換社債市場은 1963年 咸立된 以後 별다른 成長을 보이지 못했으나, 1984年 時價公募 轉換社債가 導入되고 1985年 以後 證券市場의 持續的인 上昇趨勢에 따라 1987年부터 그 發行量이 현저히 增加하였다. 本 硏究는 이러한 社債市場의 變化이 부응하여 企業의 새로운 資金調達源으로서 그리고 새로운 投資對象으로서의 轉換社債에 대한 理論的 考察과 그 現況 把握 및 轉換社債의 發行에 따른 株震變動의 實證分析을 實施함으로써 轉換社債에 대한 올바른 理解와 그의 活用에 도움을 주는 것을 그 目的으로 한다. 本 硏究의 實證分析은 1987年 以後의 轉換社債 發行企業 중에서 40個 會社를 標本으로 選定하여, 轉換社債發行에 대한 公示效果를 살피기 위해 市場調整收益率法(market adjusted returns method)에 의하여 殘差分析 (residual analysis)을 實施하고, 株價의 變動을 招來하는 變數를 찾아내기 위해 回歸分析을 實施하였다. 分析結果 轉換社債의 發行에 대한 公示는 一時的인 株債의 下落을 가져옴으로써 負의 超過收益을 發生시켰고, 이러한 超過收益은 轉換社債의 表面利子率과 市場의 變化率에 의해 발생하였다. 轉換社債의 利用度는 株價變動과 正의 鬪係를 갖고 있어 1987年 以後 그 發行이 急增했으나 一般社債는 그 反對의 현상을 보이고 있었다. 또한 轉換社債의 發行은 企業의 負債比率을 減少시키고 資本金을 增加시킴으로써 財務構造의 改善效果를 보이고 있었다. 그러나 이와 같은 實證券析은 使用된 資料上의 問題와 分析方法의 制限 등 限界點을 갖고 있어서 이를 轉換社債發行에 대한 一般的인 현상이라고 보기는 어렵다. 따라서 앞으로는 새로운 投資對象으로 지목받고 있는 轉換社債에 대해 보다 具體的이고 多角的인 分析을 實施함으로써 發行會社와 投資者 모두에게 轉換社債에 대한 정확한 投資指標를 提供하여야 하겠다.;Korean Stock Market has made a remarkable growth both qualitatively and quantitatively, as it has shown continuous trend since 1985. Along with such activation and maturation in the stock market, there assumed a diversion in the ways of enterprises capital raise. For a long time, the nation's enterprises had depended on their capital raise on indirect financing, especially heavier disproportional bond which caused their financial status of being volnerable. As the stock market has been got so animated, however, enterprises raised directly their capital by means of allotment of new right issues and developed such new bonds like convertible bond and bond with warrant. Among these new species, the convertible bond, an investment bond which coincides both of the natures of debenture and potential stock, has been shown up as a prominent means of enterprises capital raise, for the capital costs to be born by the issuing corporation of it could be decreased effectively while beth of the investment merits of the security for bond the benefits for stock are enjoyable for investors. No particularly significant growth has been marked in the nation's convertible bond market since its openning in 1963. But, after the open floating system of market price convertible bond had been introduced in 1984, from 1987 the floating volume of the bonds has been conspicously increased on along with the continuous ascending trend in stock market since 1985. This study is aimed at helping the righteous and correct understanding over the convertible bond of theoretical review cum research of current status of it as a new capital raising source and a new investment objective, and by means of positive analysis of the stock price fluctuations caused by its issuing volume up to such diversions in stock market as above. In this study, 40 sampling companies were chosen among the enterprises who have issued the convertible bond since 1987. Over the sampling corporations, two sorts of analysis were performed; the residual analysis done by market adjusted returns method for the review on public notice effects of convertible bond issue, and the regression to find the factor causing stock price's fluctuations. As a result of the analysis, it was provon that the public notice on convertible bond issue led stock price to a temporary fall, causing a negative excess earning which was made by Par value interest rate of convertible bond and market-fluctuation rate. It was identified also that the utilizing frequency related positively to stock price fluctuations, which was ascertained in the fact that issuance of the convertible bond has been rapidly increased since 1987 while vice versa in general debentures. And further, it was found as well that issuance of convertible bond led the enterprise's liability rate of being dropped to increase capital improving its financial structures. The results of these positive analyses in this study, we are afraid of, may not be considered as a general formula which can be applied to every convertible bond issue at large. Since there were certain limits such as some problems included in the data used and restrictions following by analysis methods. Therefore, we shall strive to provide accurate indications for investment to the both sides of issuing enterprises and investors by means of more concrete and diversified analysis on the convertible bond which has appeared as a newly favorite objective for investment.