누적초과수익률 및 현금흐름을 이용한 M&A 기업의 장단기 성과에 관한 연구
A Study of Long and Short Term Performance in M&A Firms, using Cumulative Abnormal Returns and Cash Flow
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초록
본 연구는 2000년부터 2005년 사이에 발생한 합병 중 합병기업이 한국거래소의 유가증권시장과 코스닥시장의 기업을 대상으로 합병공시일을 기준으로 장단기 초과수익률을 계산하여 주식의 장단기 성과를 측정하고, 합병 전과 합병 후의 현금흐름을 이용한 장단기 경영성과와 비교하여 시장의 효율성을 검증함과 동시에 성과연장가설, 지급수단가설이 우리나라 M&A시장에서도 적용되는 지를 검증하고자 하였다. 본 연구의 결과를 요약하면 다음과 같다첫째, 유가증권시장만을 대상으로 하는 경우 합병으로 인해 주주의 부가 증가하였으며 경영성과도 합병 전에 비해 합병 후 증가한 것으로 시장이 효율적이라고 할 수 있다둘째, 성과연장가설을 검증한 결과 코스닥시장에서는 성립되지 않으나 유가증권시장에서는 단기적으로는 과거 성과가 좋은 기업의 초과수익률이 높으나 장기적으로는 과거 성과가 낮은 기업의 초과수익률이 높다는 것을 확인하였으며 장기 경영성과도 역전되는 현상을 확인하였다셋째, 지급수단가설을 검증한 결과 유가증권시장에서만 주식지급의 비해 현금지급의 경우가 정(+)의 초과수익률을 보이며 경영성과도 높다는 것을 확인하였다.
Abstract
The subjects of this study are the firms listed on the stock market of the Korea Exchange that have taken part in M&A between 2000 and 2005. First, it was determined whether the rise in stock prices were the result of real economic gains resulting from M&A or if it occurred because of a misinterpretation of the stock based on market inefficiency. To this end, the market adjusted returns model and control firm adjusted returns model were used to calculate the cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR) based on the M&A disclosure date and was separated into long and short term and was comparison of cash flow was made between pre- and post-M&A. The result of the study showed, in the case where the subject is only the stock market, the wealth of the stockholder and the firm value rose. When performance was measured pre- and post-M&A, the performance post-M&A was higher. Accordingly, it can be said that the market is efficient. Second, after the disclosure of the M&A, although in the short term glamour stocks showed a higher abnormal return than value stocks, in the long term, value stocks showed a higher abnormal return than glamour stocks, whereby proving the performance extrapolation hypothesis. The results showed cases where the performance extrapolation hypothesis were disproved in the total samples firms and the KOSDAQ market. However, in the stock market, at the time of the M&A and shortly thereafter, glamour stocks, which have a lower B/M rate than value stocks, showed a higher abnormal return than value stocks. However, in the long term, after M&A, the performance extrapolation hypothesis was chosen because the abnormal return for value stocks was higher than glamour stocks. Third, on average, where there was a stock-financing merger, the long term abnormal returns were lower than cash-financed mergers or showed a negative (-) value, proving the method of payment hypothesis. In long term analyses after the disclosure of an M&A, the results show that in all instances a negative (-) cumulative abnormal return (CAR) was shown in the case of stock-financed mergers in the stock market only. When it was a cash-financed merger, a positive (+) cumulative abnormal return (CAR) was shown. Consequently, the method of payment hypothesis was proven only in the stock market.
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