BW(신주인수권부사채)의 투자효과에 관한 실증연구

Abstract

The purpose of this study is to analyze the BW market, identify the investment effects of exercising warrants from the investor's point of view through empirical analysis, and present investment precautions to stock market investors. For 324 sample issues disclosed from 2014 to 2022, the issuance amount, coupon rate, maturity interest rate, maturity, exercise price, start date and end date of rights exercise were investigated, and then linked to the daily stock price fluctuations of the issuing company to determine the BW investment effect quantitatively. It was analyzed that the investment effect of BW was not high, as the ratio of days exceeding the exercise price was calculated at an average of 32.2%, which is only 1/3 of the available date for new share acquisition. The average rate of return at the start date of rights exercise was 14.2%, showing a positive rate of return in line with investor expectations, but the average rate of return on the end date of exercise of rights was -1.4%. The number of positive yields at the start date of exercise of rights was 66 and the number of negative yields was 108, which is 1.6 times greater than positive yields. The number of minus yield on the end date of rights exercise was 2.9 times greater than the number of plus yield, so the expected rate of return on acquisition of new stocks varies greatly depending on the issuance issue.