기업분할이 주가에 미치는 영향에 관한 연구

Abstract

The corporate divestiture, as a special type of corporate restructuring, which is allowed under commercial law, is economically important in that companies separate business sectors with high performance from those with low performance in order to enhance the firm value. In addition, in the case of the corporate divestiture, market participants have a chance to increase the stock price, which also plays a role to raise the market value of the firm. This study analyzes the cumulative average abnormal return (CAR) of 265 firms that have implemented the corporate divestiture for 10 years, from 2001 to 2010, and investigates the effect of split-off disclosure on stock price using regression analysis. In the event study during 20 days before and after the corporate divestiture, it was revealed that the cumulative average abnormal return (CAR) was the highest on the day of the event and then it decreased. While, in the short term, the market looked efficient and the disclosure of the split-off appeared to be accepted positively into the market, the effect varied according to each of groups. In the groups of the exchange market and physical spilt-off, the abnormal return stayed the same. On the other hand, in the groups of KOSDAQ and spin-off, the abnormal return almost vanished during the event study period. Although long-term cumulative average abnormal return (CAR) was calculated for the long-term effects of the disclosure of the corporate divestiture, it was found as the negative (-) cumulative average abnormal return (CAR) in the long-term It is considered that the market participants accept the long-term effect of corporate divestiture in the negative. According to the result of long-term effect of the divestiture, excluding the period including global financial crisis, the long-term cumulative average abnormal return (CAR) about the corporate divestiture showed the difference before and after the global financial crisis. Before the global financial crisis, long-term cumulative average abnormal return (CAR) was mostly positive (+) valued, but after the global financial crisis, it was found as negative (-) valued. During those periods, it is likely that the investors accept the effect of the corporate divestiture in different ways. In accordance with the result of regression analysis to assess the cause of cumulative average abnormal return (CAR) at the day of the stock split, the more current net income and dividend they had, the more market response for the stock split they got. In case of the period between 2001 and 2005, that did not experience the global financial crisis, cumulative average abnormal return (CAR) was affected by the types of the divestiture or market, but when the period of global financial crisis were included, it was not affected. In order to verify the possibility of interaction between control variables and dummy variables for divestiture and market types, we did execute the switching regression analysis and find that during the whole period, the interaction effect of variables-PD (propensity to dividend)×market type - were meaningful. The interaction effect was bigger when the market was KOSDAQ. In the sample period before the global financial crisis, even though the size of firms is almost same, the stock spilt affected more on the cumulative average abnormal return (CAR) in case of exchange markets and spin-off.