전환사채 리픽싱 및 매도청구권이 주가 반응에 미치는 영향 : 최대주주 변경 및 이익조정의 조절효과 = The Impact of Refixing and Call option Attached to Convertible Bonds on Stock Price Reactions: Moderating Effects of Changes in Controlling Shareholders and Earnings Management

다국어 초록 (Multilingual Abstract)

This study empirically analyzes the impact of refixing clauses and call options on stock price reactions at the time of convertible bond (CB) issuance announcements and over the one-year period following issuance. It also explores the moderating effects of controlling shareholder changes and earnings management. Convertible bonds have become a critical financing tool for companies with high debt ratios and low cash generation capacity. In South Korea, CBs are predominantly issued through private placements and frequently include additional terms such as refixing clauses and call options. However, these provisions can lead to divergent short-term and long-term reactions from investors and the market.
Using data from KOSPI- and KOSDAQ-listed companies between 2015 and 2023, this study examines cumulative abnormal returns (CAR) and buy-and-hold abnormal returns (BHAR) during the announcement of CB issuance and for the one-year period following issuance. The effects of refixing and call options on stock prices are analyzed in depth, with particular focus on how controlling shareholder changes and earnings management moderate these effects.
The key findings are as follows. First, CBs with refixing clauses and call options generate positive market reactions at the time of issuance but exhibit negative effects on stock prices during the one-year period leading up to the conversion option exercise date. Second, controlling shareholder changes result in positive market reactions at the time of CB issuance but are associated with negative stock returns during the one-year period following issuance. However, the interaction between controlling shareholder changes and call options shows a significant positive relationship, suggesting that call options may signal management’s intention to stabilize stock prices, which is interpreted positively by the market.
Third, the analysis of Hypothesis 3 revealed that earnings management did not significantly affect short-term market reactions (CAR) at the time of CB issuance. However, a significant positive relationship was observed between earnings management and long-term stock performance (BHAR) after issuance. In particular, for Group 1—comprising CBs with both refixing and call options—the interaction term between earnings management and these options exhibited a significant negative relationship. This finding suggests that issuing companies may have engaged in downward earnings management to artificially reduce reported earnings and lower stock prices. Such practices potentially disadvantage existing shareholders while allowing related parties to convert CBs or increase their ownership under more favorable terms. These results highlight concerns raised by the Financial Supervisory Service regarding the misuse of refixing and call options to manipulate stock prices for the benefit of specific stakeholders. By empirically demonstrating the negative market impact of the interaction between call options and earnings management
This study provides an in-depth analysis of the effects of refixing and call options during CB issuance, offering important implications for firms, investors, and policymakers. Firms should consider not only the short-term financing benefits of CB issuance but also its long-term impact on the market. Investors are encouraged to analyze not only the initial market reactions to CB issuance announcements but also the potential long-term fluctuations in stock prices. Policymakers should strengthen regulations and disclosure standards related to CB issuance to enhance market transparency and promote sustainable growth in the capital market.

목차 (Table of Contents)

• 제1장 서 론 1
• 제1절 연구 배경 1
• 제2절 연구 범위 및 의의 2
• 제2장 이론적 배경 및 선행연구의 검토 6
• 제1절 전환사채의 이해 6
• 1. 전환사채의 특징 6
• 2. 전환사채 발행 이유 8
• 3. 역사적 배경 9
• 4. 코스닥 기업 중심으로 발행되는 이유 10
• 5. 리픽싱 옵숀 부가시 회계처리 이슈 11
• 제2절 선행연구 검토 13
• 1. 전환사채 발행과 리픽싱 및 매도청구권의 역할 13
• 2. 전환사채 발행기업의 시장반응 15
• 3. 리픽싱, 매도청구권 및 이익조정 20
• 제3장 연구설계 24
• 제1절 연구가설 24
• 제2절 연구모형 34
• 1. 주가 수익률(CAR, BHAR)의 측정 34
• 2. 이익조정의 측정 35
• 3. 가설검증 모형 37
• 3-1. 전환사채 발행 조건이 주가수익률에 미치는 영향 37
• 3-2. 최대주주 변경에 따른 전환사채 발행조건이 주가수익률에 미치는 영향 42
• 3-3. 이익조정에 따른 전환사채 발행조건이 주가수익률에 미치는 영향 45
• 제3절 표본선정 49
• 제4장 실증분석 52
• 제1절 주가 수익률 및 기술통계 52
• 1. 누적초과수익률(CAR) 및 보유기간 초과수익률(BHAR) 52
• 2. 기술통계 및 상관관계 분석 54
• 제2절 발행 조건별 주가 수익률(CAR, BHAR) 비교 59
• 1. 전환사채 발행결정 공시시점의 수익률(AR 및 CAR) 59
• 2. 전환사채 발행 후 전환청구기간 동안의 보유수익률(BHAR) 61
• 3. 발행 조건별(그룹간) 수익률(CAR, BHAR) 비교 64
• 제3절 전환사채 발행조건이 주가수익률에 미치는 영향 실증분석 67
• 제4절 최대주주 변경에 따른 전환사채 발행조건이 주가수익률에 미치는 영향 실증분석 73
• 제5절 이익조정에 따른 전환사채 발행조건이 주가수익률에 미치는 영향 실증분석 83
• 제5장 결 론 93
• 참 고 문 헌 97
• ABSTRACT 108