일반은행의 유상증자 공시효과와 자기자본비율 규제기준
Regulatory Bank Capital Standard and Valuation Effects of Security Issuances by Korean Commercial Banks
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초록
본 연구는 1987년부터 2002년까지 실시된 우리나라 은행의 유상증자 83개를 표본을 대상으로 은행감독원 기준 자기자본 부족 혹은 충분정도가 해당 은행이 실시한 유상증자에 대한 자본시장의 반응에 어떠한 영향을 미치는지를 분석한 결과, 공시일 전후 40일 동안 “자기자본충족” 표본의 누적비정상수익률이 “자기자본부족”표본의 누적비정상수익률보다 높게 나타나고 있다. 특히 공시일 양일간 동안에 자기자본충족 은행은 자기자본부족 은행의 누적비정상수익률에 비하여 2.60%나 높은 누적비정상수익률을 보여 주고 있다. 누적비정상수익률에 대한 설명요인을 종합적으로 판단하기 위해 실행한 횡단면 회귀분석 결과, 자기자본비율 변수에 대한 회귀계수가 통계적 유의성이 높은 양수가 측정되었을 뿐 만 아니라 자기자본충족” 그리고 “자기자본부족” 유상증자를 구분하는 더미변수에 대한 회귀계수도 통계적 유의성을 보이고 있다. 이 결과를 종합해 볼 때, 은행이 유상증자를 공시할 당시 해당은행의 자기자본비율이 금융당국의 자기자본규제기준을 충족하는지 여부가 은행의 미래현금흐름에 대한 새로운 정보를 자본시장에 제공한다는 정보효과가 있음을 시사하며, 이러한 정보효과는 자기자본비율이 높을수록 혹은 낮을수록 더욱 강하게 작용하는 것으로 보인다.
Abstract
The value of bank equity plays a more important role than that of manufacturing firm equity in the public confidence in banks. An adequate bank capital secures the overall soundness or risk exposure of an individual bank and the banking system and reflects the idea of bank equity as a buffer to absorb possible losses. This is why an adequate bank capital is a major regulatory concern. This paper analyzes how bank regulatory bank capital adequacy influences valuation effects of security issuances by Korean commercial banks. Empirical tests document that stock price declines are associated with security issuance by banks with inadequate capital below regulatory standards, while stock price increases are associated with adequate capital over regulatory standards. These results may indicate that a security issuance by a bank with an inadequate capital standard might convey negative regulatory inside information about the bank's future cash flow, while a security issuance by an adequate capital standard might be interpreted an unexpected growth opportunity of the bank.
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