KOSPI200 주가지수 구성종목 변경이 자본비용에 미치는 영향 = The Effect of Replacement to the KOSPI200 Stock Index on the Cost of Capital

다국어 초록 (Multilingual Abstract)

This study examines the effects of additions and deletions to the KOSPI200 stock index on shareholders. In order to examine the effects, we first investigate the announcement effect of changes in constituents of KOSPI200 stock index which is measured by the cumulative abnormal return (CAR) to shareholders of changed company. Additionally, then if the change in the KOSPI200 stock index constituents has price effects, the market reaction to the announcement that examines whether announcement of changes in constituents of KOSPI200 stock index has information effect on the company's intrinsic value. It is exploited by the multivariate regression analysis that examines the effect of announcement for change in constituents of the KOSPI200 stock index on the implied cost of equity.
The empirical results are as follows. First, the results of event study show that announcement of changes in constituents in the KOSPI200 stock index drew market reactions. Specifically, the CAR of newly entered companies into the KOSPI200 stock index shows a positive value in the short-term window, however, in the long run it was found to have a negative value. On the other hand, when a company is deleted from the KOSPI200 stock index, there is a negative abnormal return in a short run and as time goes by it turned out to be a positive abnormal return. The results imply that there is the price reversal as the Price Pressure Hypothesis suggests. Second, the result of multivariate regression analysis with all data shows that there is a positive relation between changes in the index and the cost of equity (ICOE) at a statically significant level. This result indicates that changes in constituents of the stock index convey meaningful information to the market and have an impact on the fundamental value of company. Meanwhile, in a sub-group analyses such as a fresh entry group into the index and a removed group from the index, empirical results of the two groups were very different. In an entry group into the KOSPI200 stock index, regression coefficients of status changes in the index were not statistically significant. However, results from a deleted group show a positive and statistically significant effect of changes in constituents of the KOSPI200 stock index on implied cost of equity implying that there was a significant increase in a cost of equity capital after it dropped out of the index.
To summarize, it should be concluded that a deletion from constituents of KOSPI200 stock index convey meaningful and negative information to the market and have impact on the fundamental value of companies. On the other hand, entry companies in constituents of the KOSPI200 stock index experience a temporary excess demand but in the long-run, the effect disappears as seen in the regression analysis. In conclusion, the removal from the KOSPI200 stock index has a negative effect on cost of equity capital and thus it reduces shareholders’ wealth.

국문 초록 (Abstract)

본 연구는 KOSPI200 주가지수 구성종목변경에 따른 시장반응을 살펴보고, 이를 통하여 KOSPI200 주가지수 구성종목 변경 공표가 국내 주식시장에서 가지는 정보효과를 확인하여 보고자 하였다. 먼저 사건연구를 통한 분석결과에 따르면, KOSPI200 구성종목의 변경 공표일을 전·후로 편입기업의 주가는 일시적으로 상승한 뒤 반전하였고, 퇴출기업의 주가는 하락한 뒤 반전하는 것으로 나타나 주가지수의 종목변경이 국내 시장에서 가격효과를 가지는 것으로 확인되었다. KOSPI200 주가지수 종목 변경이 자기자본비용에 미치는 영향을 검증한 회귀분석에서는 전체 종목변경기업과 퇴출기업을 대상으로 한 분석에서 종목 변경된 기업의 자기자본비용이 증가하는 것으로 나타났다. 이는 지수 구성종목 변경에 대한 공표가 해당기업의 내재가치에 영향을 미치는 정보로 작용하며, 이러한 정보효과가 지수 구성종목 퇴출기업의 자기자본비용을 상승시킨 것으로 파악된다.

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