기업공개시장에서 시장조성제도가 저평가현상과 금융소비자의 청약 수익성에 미치는 영향

Abstract

This study focuses on the effects of regulatory changes: abolition of after-market stabilization and introduction of put-back option, which were administered in Korean IPO market in September of 2003. I choose each year before and after regulatory changes as a sample, and empirically analyze how the degree of underpricing, which is measured on the basis of closing price of initial trading day of IPO stocks, is changed. I also analyze how profitability of financial consumers who subscribe for ₩100 million value IPO stocks are affected by regulatory changes. The degree of underpricing before regulatory changes is 39.5% higher than that of underpricing after regulatory changes even under the control of general condition and excessive demand in the stock market. The average profitability of financial consumers before regulatory changes is also ₩121,255 higher than profitability after regulatory changes. Although Shin et al.(2004) argue that after-market price stabilization is not significantly related to the degree of underpricing, this study, which use different sample periods and methodology, shows different results. I find that the result of book building has a significant positive effect on the degree of underpricing and profitability of financial consumers. Furthermore, I find that the subscription ratio is positively related to the degree of underpricing and negatively related to profitability of financial consumers. These findings indicate that financial consumers should choose stocks with good results of book building and avoid stocks with extremely high subscription ratio when they subscribe for IPO stocks. Lastly, I show that profitability of financial consumers are closely related to the interest rate and the subscription ratio.