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Relationship between Ownership Structure, IPO

Underpricing, and Aftermarket Liquidity in KOSDAQ

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목 차

< >

Abstract

···ⅷ

제 장 서 론 1

···1

제 절 연구목적 1

···1

제 절 연구방법과 범위 2

···3

제 장 소유구조와 신규공모주 저가발행 2

···5

제 절 벤처기업과 소유구조 1

···5

벤처기업의 의의 1. ···5

2 소유구조의 의의. ···7

벤처기업과 대리인 문제 3. ···9

제 절 신규공모주와 소유분산 2

···11

신규공모주 저가발행 연구의 흐름 1. ···11

소유분산과 신규공모주 저가발행 2. ···13

신규공모주와 락업 3. ···24

제 장 3 선행연구

···29

제 절 신규공모주 저가발행과 소유구조의 분산 1

···29

제 절 소유구조의 분산과 유동성 2

···34

제 절 신규공모주 저가발행과 유동성 3

···37

제 절 신규공모주 락업과 저가발행 4

···42

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제 장 4 분석자료와 분석방법

···49

제 절 표본집단과 분석자료 1

···49

연구기간과 표본집단

1. ···49 사건일의 결정

2. ···50 주식분산 요건

3. ···52 사건기간의 선정

4. ···53

제 절 2 가설의 설정

···54 신규공모주 저가발행과 소유구조의 분산에 대한 가설

1. ···54 소유구조의 분산과 락업해제일 이후 유동성에 대한 가설

2. ···55

3. 신규공모주 저가발행과 락업해제일 이후 유동성에 대한 가설 ···56

제 절 분석모형 및 분석방법 3

···57 회귀분석 모형

1. ···57 저가발행률의 측정 모형

2. ···61

제 장 5 분석결과 및 논의

···64

제 절 초과수익률의 분석 1

···64

신규공모주의 초과수익률과 누적 초과수익률 분석

1. ···64 락업해제일 전후 초과수익률과 누적 초과수익률 분석

2. ···66

제 절 회귀분석 2

···70 기술통계량

1. ···70 상관분석

2. ···70 신규공모주 저가발행과 소유구조의 분산에 대한 회귀분석

3. ···72

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소유구조의 분산과 락업해제일 이후 유동성에 대한 회귀분석

4. ···81

5. 신규공모주 저가발행과 락업해제일 이후 유동성에 대한 회귀분석 ··85

제 절 시사점 3

···89

제 장 결 론 6

···92

참고문헌

[ ]

···95

부록

[ 1] 변수의 정의

···104

부록

[ 2] 최대주주 대주주 특별관계인 주요주주 소액주주의 정의 ( ), , ,

···108

부록

[ 3] 코스닥시장 신규상장 법인의 주식분산 요건

···110

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표 목 차

< >

표 벤처기업의 기준

< 2-1> ···7 표

< 2-2> 주주명부에 공모주식수와 분배 폭 게재를 필수요건으로 하는 거래소 ··20 표

< 2-3> 유가증권시장과 코스닥시장의 IPO 관련 매각제한제도 비교····24

표 저가발행 소유구조 및 유동성 사이의 관련성 요약

< 3-1> , ···31

표 코스닥증권시장 벤처기업과 표본기업

< 4-1> ···49

표 계속 보유기간

< 4-2> ···51

표 초과수익률과 누적 초과수익률 분석

< 5-1> IPO ···65

표 락업해제일 전후 초과수익률과 누적 초과수익률 분석

< 5-2> ···67

표 기술통계량

< 5-3> ···70

표 상관분석

< 5-4> ···71

표 저가발행과 주주의 수 변동

< 5-5> IPO ···74

표 와 락업해제일 이후 주주의 수 변동

< 5-6> IPO ···76

표 와 락업해제일 이후 대주주지분 변동

< 5-7> IPO ···79

표 소유구조의 분산과 락업해제일 이후 유동성

< 5-8> ···83

표 저가발행과 락업해제일 이후 유동성

< 5-9> IPO ···86

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그 림 목 차

< >

그림

< 2-1> IPO 신규주식 1주 배정이 가져오는 청약초과 최적수준···20

그림 수익과 저가발행이 소유분산에 미치는 영향력

< 2-2> IPO ···22

그림 초과수익률과 누적 초과수익률 분석

< 5-1> IPO ···66

그림 락업해제일 전후 초과수익률과 누적 초과수익률 분석

< 5-2> ···68

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Relationship between Ownership Structure, IPO Underpricing, and Aftermarket Liquidity in KOSDAQ

Lee, Gil-Soo Department of Maritime Business Administration

Graduate School Korea Maritime University

Supervised by Professor Lee, Ki-Hwan

The purpose of the present study is to examine the relationship between the ownership structure, IPO underpricing, and liquidity of venture firms. More precisely, the study empirically investigates whether ownership disperses when a venture firm underpriced its IPO, whether the liquidity of a firm increases when ownership was diversified, and whether the liquidity of a firm increases when a firm underpriced its IPO.

The data for this study were collected from the firms that were initially listed on KOSDAQ via an IPO between January 1, 2004 and December 31, 2007. Although the lockup system was first introduced to KOSDAQ in March 1999, the market maker system was abolished in September 2003. Thus, in order to insure the constituency of the sample, we only collected the firms that were listed on KOSDAQ after September 2003. Among the total of 193 firms that were listed during the 4-year window period, we selected 112 firms that were available for our study.

Those that were delisted from the market and classified as issues for administration as of December 2007 were excluded.

The results of this study are as follows; Firstly, we analysed if abnormal returns of IPOs existed in the KOSDAQ market. We found that on the 7th day of post IPO (t=7), the cumulative abnormal return was the highest (23.69%). The underpricing level was at its peak on this day.

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It started declining after the 7th day, and on the +30th day, it was 4.66% of CAR. During 30 days of trading, the average abnormal return was 0.16%. This implies that the IPOs of the venture firms are underpriced compared to the market price. This result is consistent with the findings of Booth and Chua (1996).

Secondly, we analysed the abnormal return during the lockup exoneration days which are between -15 and +15 window days (31 days). We found that the CAR between -15 and -1 days of the event was -0.25%, -0.07% on the event day (D-0), and -0.54% between -15 and +15 days. This means that the average CAR is -0.017%.

These results support the previous study of Field and Hanka (2001) that reported a negative return after the lockup day.

Thirdly, we explored whether the underpricing of IPOs had an impact on the change of the number of shareholders. We found that ① the greater the underpricing of IPOs, the higher the number of stockholders. This finding is consistent with that of Booth and Chua (1996) and Brennan and Franks (1997); ② The number of shareholders who invested into venture capital firms significantly increased after IPO was posted; ③ The greater the ratio of flotation, the higher the number of stockholders.

Fourthly, we analysed the impact of underpricing of IPO on the change of shareholders after the closing of lockup. We found that ① the venture firms that were listed with greater underpricing of IPO showed a significant increase of shareholders. This result supports the findings of Booth and Chua (1996) and Brennan and Franks (1997); ② The number of stockholders of the venture firms which venture capital companies invested significantly increased after the end of lockup; ③ The venture businesses with higher ratio of flotation showed a significant increase of shareholders after the closing of lockup.

Fifthly, we explored the influence of the underpricing of IPO on the change of large shareholders. We found that ① the number of shareholders of the venture firms who underpriced IPOs still increased after the closing of lockup. This result is consistent with the findings of

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Booth and Chua (1996) and Brennan and Franks (1997); ② The share of the large stockholders of the venture firms that a venture capital company invested decreased significantly after the end of lockup; ③ The venture businesses with higher ratio of flotation showed a significant decreasing of shareholders after the end of lockup.

Sixthly, we examined the impact of the disperse of ownership on the liquidity of IPO. We found that ① after the closing of lockup, as the number of the stockholders increased, the ownership was more diversified and the liquidity increased with the active trading of small shareholders. This is consistent with the theory of inefficiency of the market proposed by Ofek and Richardson (2000) and Field and Hanka (2001); ② After the end of lockup, as the share of the major shareholders decreased, ownership became dispersed and the liquidity of IPOs increased. This finding supports that of Booth and Chua (1996); ③ As the share of a venture capital company's investment decreased after the end of lockup, ownership dispersion became evident and IPO liquidity increased.

Finally, we analysed the influence of IPO underpricing on liquidity.

We found that ① IPO stocks that showed a higher underpricing showed a greater trading volume after the closing of lockup. This means that the size of underpricing has a positive relationship with trading volume. It proves that underpricing leads the liquidity of IPO high; ② The greater number of shareholders after the end of lockup raised trading volume, thus enhanced liquidity. Our finding is consistent with Zheng and Li (2008)'s investor attention hypothesis; ③ As the share of the major shareholders decreased after the end of lockup, the trading volume increased and so did the liquidity of firm; ④ After the lockup finished, as the investment share of venture capital firms diminished, the trading volume increased and so did the liquidity.

In conclusion, the findings show that IPO underpricing has a positive relationship with ownership dispersion, and the latter leads the liquidity of IPO. We also conclude that there is a positive relationship between IPO underpricing and liquidity.

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모집가격(OP і)

n＊ n

OP＊

OPі

C(n)

EV(n)

청약초과수준 주당 시장가치EV(n)

주당 정보비용C(n) 모집가격(OP і)

n＊ n

OP＊

OPі

C(n)

EV(n)

청약초과수준 주당 시장가치EV(n)

주당 정보비용C(n)

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시장가치 합계 EV(n＊, S) 정보비용 합계 C(n＊, S)

최초공모 저평가액 합계 최초공모 발행금액 합계

EV(n＊, S) C(n＊, S)

S＊ S 주식수

시장가치 합계 EV(n＊, S) 정보비용 합계 C(n＊, S)

최초공모 저평가액 합계 최초공모 발행금액 합계

EV(n＊, S) C(n＊, S)

S＊ S 주식수

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α β β β β β β β ε

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α β β β β β β β β β β ε

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α β β β β β β β β β β β ε

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···

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IPO 초과수익률

-0.0500 0.0000 0.0500 0.1000 0.1500 0.2000 0.2500 0.3000

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 사건일

초과수익률

AAR CAAR

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락 업 해 제 전 후 초 과 수 익 률

- 0 .0 0 6 0 - 0 .0 0 5 0 - 0 .0 0 4 0 - 0 .0 0 3 0 - 0 .0 0 2 0 - 0 .0 0 1 0 0 .0 0 0 0

-1 -3 -5 -7 -9 -11 -13

-15 1 3 5 7 9 11 13 15

사 건 일

초과수익률

AR C AR

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α β β β β β β β β β β ε

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α β β β β β β β β β β β ε

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