기업지배구조가 주식시장에 미치는 영향

이관영(Lee, Kaun-Y) 대한경영학회 2011 大韓經營學會誌 Vol.24 No.4

Private Equity Fund-of-Funds를 활용한 기관투자자의 PE 투자전략에 관한 연구

이관영(Kaun Y. Lee),한철호(Cheol Ho Han) 한국증권학회 2013 한국증권학회지 Vol.42 No.1

본 연구는 국내 PE 펀드와 관련된 세 가지 투자전략에 대한 분석을 통하여 기관투자자의 PE투자 의사결정에 활용할 수 있는 결과를 제시하였다. ``경기대응적 투자전략``은 수축기에 투자할 경우 확장기 보다 높은 수익을 얻을 수 있다는 결과를 보였으나, 1999년부터 본격적으로 성장한 국내 벤처투자 시장의 미청산 펀드의 수가 청산 펀드의 수 보다 많으므로 통계적으로 유의한 결과로 단정지을 수 없다고 판단된다. ``최상위 운용사 선정 투자전략``은 운용성과 전이행렬을 통하여 분석하였으나 운용성과의 연속성이 통계적으로 유의하게 나타나지 않았다. 이러한 결과 역시 자료의 부족 때문으로 판단되므로, 향후 미청산 펀드가 청산되어 감에 따라서 지속적으로 실효성을 관할 필요가 있다. ``PE Fund-of-Funds를 통한 PE 펀드 포트폴리오 투자전략``은 일반적으로 알려져 있는 것과 마찬가지로 투자 연수의 확대와 투자 펀드 수의 증가에 따라서 분산효과가 나타났다.본 연구는 국내 벤처투자 시장에서 4개 년 동안 매년 9개 이상의 펀드에 투자하거나 7개 년 동안 4개 이상의 펀드에 투자하는 경우, 투자원금의 손실발생 위험을 원천적으로 제거할 수 있다는 실증적 결과를 제시하였다. Private equity (i.e., venture capital and buyout funds) is now contributing a greater amount of the capital to financial markets. This paper examines three strategies of PE investments with the performance data of venture capital funds between 1987 and 2010. Business cycle strategy suggests that investors need to change investment sizes or strategies when the business cycle moves through the various phases. Not based on the sufficient data and not statistically significant, the result shows that venture capital funds established during challenging economic environments create more value. The performance transition matrix is used to test the track record investing strategy. Although investors may attribute a manager`s top ranking to superior knowledge and skill, investors cannot use past returns to predict future winners in Korea. However, investors rely on guides like the past track records of managers when the performance data of liquidated funds are cumulated. The PE fund-of-funds strategy, which has a portfolio of funds, shows that a portfolio has reduced risk in comparison to a single PE funds investment. The diversification effect is made larger by increasing the investing periods (longer vintage year) and/or increasing the number of PE fund investments. The simulation result suggests that portfolios with longer vintage years and more invested funds (e.g., [4v9f], [7v4f]) should have almost no risk of losing the initial capital.

신규공모시장에서 공모주가 수준의 역할

이관영(Kaun Y. Lee) 한국증권학회 2016 한국증권학회지 Vol.45 No.3

기존 국외연구에 의하면 기관투자자는 높은 주가를 선호하기 때문에 희망공모가가 높은 신규공모주식에 투자하는 성향을 보였고 반면에 개인투자자는 제한된 투자자본과 부족한 정보력으로 인하여 낮은 희망공모가 주식을 선호하는 것으로 보고하고 있다. 이를 종합하여 연구한 결과 저가발행은 낮은 희망공모가(승자의 저주 가설과 부합)와 높은 희망공모가(동태적정보취득 가설과 부합)에서 동시에 발생할 수 있다고 보고되었다(Fernando et al., 2004). 국내 신규공모시장은 미국과 그 제도적인 측면에서 차이를 보인다. 비록 두 시장이 모두 수요예측제도를 도입하고 있으나 주간사 증권사의 자율권은 여전히 격차를 보인다. 본 연구는 제도적인 차이와 공모주가 수준의 역할을 비교하기 위하여 2001년부터 2013년까지 코스닥 시장에 신규공모를 실시한 664개의 기업을 토대로 분석하였고 그 결과는 다음과 같이 요약된다. 국내 기관투자자는 희망공모주가 수준에 대한 선호도가 유의하게 나타나지 않았다. 저가발행률이 주로 낮은 희망공모가에서 높게 발견된다는 기존연구(Chalk and Peavy, 1987; Ibbotson et al., 1988)와 부합하여 국내 신규공모시장에서도 저가발행과 희망공모가는 역의 상관관계가 나타났고, 저가발행률과 공모가 조정률이 유의한 정(+)의 상관관계를 보여 동태적정보취득가설을 지지하였다. 상장 직후의 투자 행태는 투자자별로 상이한결과를 보였다. 상대적으로 많은 주식을 배정받은 기관투자자는 공모주가 수준이나 보유비율, 저가발행률 등과 무관하게 거래를 하는 행태를 보였으나 2007년 6월 자유화조치 이후 유의하게 회전율이 증가하였다. 한편 개인투자자의 회전율은 중간 수준의 희망공모가 주식과 유통물량이 많은 주식, 저가발행된 주식 등에서 더 높게 관측되었다. This paper examines how IPO share price levels play informative roles at the KOSDAQ market. Fernando et al. (2004) report that institutional ownership increases with the IPO price level because institutions prefer high-priced stocks. Individual investors who have limited source of funds and are less informed own more of low-priced stocks. Because those investors have opposite preference of share price levels, they found that the relationship between IPO price and underpricing is U-shaped. Although both U.S. and Korean IPO markets adopt bookbuilding process, those two markets are systematically different. One of the major differences is the degree of discretionary power and duty of underwriters. This study analyzes 664 KOSDAQ IPO firms to show how those findings may vary under the different regulatory regime. The main findings of this study are as follows: institutional investors do not favor high-priced IPOs; underpricing and IPO price level have an inverse relationship; consistent to Dynamic Information Acquisition Hypothesis, IPO underpricing significantly increases with the IPO price revision; trading behavior of institutional investors is not significantly affected by the IPO price level, ownership, and underpricing; but individual investors are likely to trade stocks with intermediate-priced IPO stocks, more distributed and liquid stocks, and underpriced stocks.

코스닥시장에서 기업지배구조와 인수합병공시효과

이관영 ( Kaun Y. Lee ) 아시아.유럽미래학회 2016 유라시아연구 Vol.13 No.4

Using the samples of 219 acquiring companies in KOSDAQ, the paper analyze the effects of governance on the performance of acquiring companies around the announcement. Unlike previous studies, this study includes acquisitions of business and acquisitions of stocks in the analysis. To measure the governance, I use the governance scores reported by the Korean Corporate Governance Services(KCGS) and scores of sub-category. To examine whether the effects of CG2(board) and CG4(audit) results from regulatory aspects, I divide the sample into two, small cap group and large cap group. Large cap group whose assets size is greater than 100 billion Korean Won should be obliged to have outside directors and auditors. Due to the small variation in overall governance scores among the small cap companies, I could not find a statistically significant results from the regression analysis for small cap group. However, after breakdown the governance scores into 5 categories, CG1(Shareholder right) has a significantly negative effects on CAR and CG4(audit) has a significantly positive effects on CAR. One of possible explanation is no separation of management from the ownership. Managements as owners will not pay much for the target firms and may save the cost for adopt the anti-takeover provisions (ATP). Because small cap company has small board of directors, it has not many outside directors. As a result, its CG2(board) are not much different from other small cap companies and CG2(Board) may have no significant effects on CAR. Regression results for large cap group indicate that CG(overall) has a significant and negative effects on CAR. This results comes from the dominant negative effects of CG1(Shareholder right). Because regulation forces the large cap companies to have outside directors and auditors, no large cap company seems to improve CG2(board) and CG4(audit) voluntarily further than its requirement.

한국코스닥 신규공모시장에서 수요예측제도의 정보생산기능 평가

신인석(In Seok Shin),이관영(Kaun Y Lee) 한국경영학회 2013 經營學硏究 Vol.42 No.3

We examine if the book-building procedure at the KOSDAQ market extracts private information frominformed investors as argued by the dynamic information acquisition hypothesis a la Benveniste and Spindt (1989). Although, to test the hypothesis, it is desirable to have a direct measure of private information, most of previous studies have used price adjustment during book-building as a proxy for private information. In this study, using the unique data of the KOSDAQ equity issuing market, we construct direct measures of private information provided by institutional investors under the book-building procedure, which include the average bidding price and the oversubscription ratio. We collect each bid`s information from book and measure limit prices by their quantity-weighted average and oversubscription at the issue price. We characterize these measures as private information provided during book-building, and analyze the effects of private information on issue price and whether the effects can be explained by the dynamic information acquisition hypothesis, namely a mechanism of information providing and compensation in KOSDAQ equity issuing market. We find that our measures of private information during book-building affect significantly the final IPO price. However, private information in bids has a vague and insignificant effect for the abnormal returns around the IPOs. In particular, during period 3 when Korean underwriters have a wide discretionary authority, public information, which is the KOSDA index return during book-building, affects significantly both the issue price adjustment during book-building and the abnormal returns around the IPOs. Consequently, our results do not support the dynamic information acquisition hypothesis at the KOSDAQ market.