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기업특성 및 M&A형태에 따른 코스닥기업의 합병성과에 관한 실증연구
임석필,이춘범,전웅수 한국회계정책학회 2010 회계와 정책연구 Vol.15 No.2
The purpose of this research is to analyze whether corporate characteristics and M&A types(conglomerate merger vs. non-conglomerate merger, backdoor listing vs. general mergers) affects the M&A performance in Kosdaq. 82 cases out of 126 M&A cases were collected from the Kosdaq market between 2000 and 2005. Market adjusted model was used to measure M&A performances and the effects of corporate characteristics and M&A types were tested by t-tests. The results are as follows: First, for the whole M&As there were positive abnormal returns in both short-term and long-term. For the short-term performance, abnormal returns were highest on the very day of merger announcements. For the long-term performance, abnormal returns were highest during the 46th week after mergers. Second, M&A performance of general(non-venture) corporation was better than that of venture corporations. Non-affiliated companies showed better performances than affiliated companies. Owner-manager corporations showed better M&A performances than non-owner-manager corporations. Third, conglomerate mergers and backdoor listings showed much higher performances in both short and long terms. 본 연구에서는 코스닥시장에서 기업특성(벤처기업 대 일반기업, 계열기업 대 비계열기업, 소유경영 대 전문경영)과 M&A형태(다각적합병 대 비다각적합병, 우회상장 대 일반합병)에 따른 인수합병의 성과 차이를 분석하였다. 2000년부터 2005년 사이에 코스닥시장에서 발생한 총 126건의 합병 중에서 연구의 목적에 부합하는 82건을 대상으로 시장조정모형을 이용하여 초과수익률을 측정한 후 t-test를 이용하여 가설을 검증하였으며 그 결과는 다음과 같다. 첫째, 합병공시에 따른 합병일 전후의 누적수익률을 단기(-20, 20)일과 장기(-4, 48)주로 구분하여 분석한 결과 단기와 장기 모두 합병공시일을 기준으로 초과수익률이 발생하였으며, 공시효과는 합병공시당일에, 장기성과는 합병 후 46주차에 가장 높은 수익률을 나타냈다. 둘째, 기업특성에 따른 합병성과 차이 분석에서는 벤처기업보다는 일반기업이, 계열기업보다는 비계열기업이 그리고 전문경영기업보다는 소유경영기업의 초과수익률이 높은 것으로 나타났다. 셋째, 합병형태에 따른 합병성과 차이 분석에서는 다각적합병이 비다각적합병에 비해, 우회상장이 일반합병에 비해 장·단기 모두 월등히 우수한 초과수익률을 나타냈다. 넷째, 합병이후 재무안정성, 지급능력, 수익성 등이 악화되었으며, 이는 합병에 따른 비효율성 때문인 것으로 해석된다.
非母數統計法을 이용한 通貨衝擊과 換率과의 관계에 대한 연구
임석필 단국대학교 1999 論文集 Vol.34 No.-
The effect of unanticipated changes in the money supply on the foreign exchange market is examined under very general framework of interest rate parity. By examining jointly the spot and the forward exchange markets of different maturities, we can identify testable restrictions which should be held in equilibrium. Based on the forward premiums increase occurs simultaneously after unanticipated increase in money supply, we provide convincing evidence that the complete chain of equilibrium process in the foreign exchange market is consistent with the hypothesis suggested by the interest rate parity theory and the real interest rate theory of money supply announcemant effect. The evidence obtained in the paper is also consistent with the usual linear regression study, which depends on particular model and distribution assumption. Investors in the foreign exchange market do not show any asymmetric response to the unexpected increase and decrease in the money supply. We also find that the Fed's stated monetary policy significantly affects the market participants' reactions to the unanticipated money supply changes.
임석필 단국대학교 1998 論文集 Vol.32 No.-
The effect of unanticipated changes in the weekly money supply on the Treasury-Bill market is examined. A hypothesis for the bid - ask spread in the T-Bill market is introduced to access the information content of the Federal Reserve's money supply announcement. In almost all cases, the bid - ask spread of spot bills declined after announcements but none of them are statistically significant. Two interpretations are possible. First, the Fed's release of new monetary information does not contribute the resolution of uncertainty. but at least it is not a nuisance to the market. Another possible interpretation is that the market expectations for the weekly money supply is so efficient the Fed's announcement does not contain valuable information for the future interest rate movement.