해외기업인수의 장단기 성과
The Performance of Acquiring Oversea Firms in Korean Stock Market
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본 연구의 목적은 우리나라 상장기업들의 해외기업 인수 이후의 장단기성과를 분석하는데 있다. 그리고 인수합병 시에 나타나는 성과추정가설(performance extrapolation hypothesis)이 우리나라 증권시장에서도 존재하는지를 살펴보았다.공시효과 분석결과에 의하면, 해외기업인수 공시일에는 통계적으로 유의하지 않는 양(+)의 초과수익률을 보였으나, 공시전후의 누적초과수익률은 통계적으로 유의한 음(-)의 초과수익률을 보였다. 장기성과의 측정결과는 측정모형과 벤치마크에 따라 그 결과가 다르게 나타났다. 보유기간초과수익률(BHAR)의 경우 정(+)의 초과수익률을, 누적초과수익률(CAR)의 경우에는 KOSPI를 벤치마크로 한 경우에는 정(+)의 초과수익률을, 매칭기업을 벤치마크로 한 경우에는 음(-)의 초과수익률을 보였다. 1요인 모형은 대체적으로 유의하지 않는 음(-)의 초과수익률을 보였다.BTM 크기별 장기성과를 살펴보면 측정모형과 벤치마크에 따라 다르게 나타나 우리나라 증권시장에서도 인수합병 시에 성과추정가설이 존재한다고 결론짓기 어렵다.
Abstract
This paper investigates the short and long-run performance of oversea firms acquisition in Korea. And examines whether the performance extrapolation hypothesis existence in Korea Stock Market. In this study, 99 acquiring firms from 1986 to 2003 are used as sample. The estimate of announcement effect uses the market model, that of the long-run performance uses Buy-and-Hold-Abnormal-Returns, Cumulative Abnormal- Returns, and One-Factor Model. KOSPI and matching firms is used as the benchmarks. It found a insignificant positive abnormal returns in the announcement day, but it found a significant negative CAR surrounding the event day. The result of the long-run performance vary with the model specification and benchmarks. The long-term performance by book-to-market(BTM) also vary with the model and benchmarks.
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- "This paper investigates the short and long-run performance of oversea firms acquisition in Korea. And examines whether the performance extrapolation hypothesis existence in Korea Stock Market. In this study 99 acquiring firms from 1986 to 2003 are used as sample."
- "The estimate of announcement effect uses the market model that of the long-run performance uses Buy-and-Hold-Abnormal-Returns and One-Factor Model. KOSPI and matching firms is used as the benchmarks. It found a insignificant positive abnormal returns in the announcement day", cumulative ab(rmal- returns)
- "also vary with the model and benchmarks.", The result of the long-run performance vary with the model specification and benchmarks. The long-term performance by book-to-market
- "also vary with the model and benchmarks.", The result of the long-run performance vary with the model specification and benchmarks. The long-term performance by book-to-market