기업의 투자공시가 주가에 미치는 영향 : 정보비대칭 관점을 중심으로 (The Announcement Effect of Corporate Investment on the Stock Price: Focusing on the Perspective of Information Asymmetry)

서지정보

· 발행기관 : 한국기업경영학회
· 수록지 정보 : 기업경영연구 / 23권 / 1호 / 23 ~ 37페이지
· 저자명 : 김태규, 신정순, 임예진

초록

본 연구는 기업의 투자공시가 주가에 미치는 영향을 살펴보고, 주가반응의 크기를 결정하는 요인이 무엇인지 조사하였다. 대부분의 기존 국내연구에서는 투자공시에 대해 유의한 비정상수익률을 관찰하지 못하였으며, 기업의 투자결정과 주가반응 간의 상관관계를 설명할만한 뚜렷한 결정요인 또한 발견하지 못하였다. 본 논문은 선행연구의 방법론을 토대로 하되 표본기간을 14년(2000년∼2013년)으로 확장하여 투자공시의 효과를 분석하였다. 실증분석 결과, 투자공시 전일 및 후일을 포함한 3일간의 사건기간 동안 0.561%의 유의한 누적비정상수익률을 관찰할 수 있었다. 누적비정상수익률을 설명하기 위한 다중회귀분석에서 기업의 재무 변수로 구성한 모형은 설명력이 없었으나, 정보비대칭 관련 변수를 추가한 모형은 투자공시에 대한 주가반응을 설명할 수 있는 유의한 모형으로 나타났다. 특히 모형에서 정보비대칭 변수로 사용한 변동성과 모멘텀 변수 모두 유의한 설명력을 보였다. 변동성의 경우 누적비정상수익률과 양(+)의 관계를 보여 정보비대칭 정도를 의미하는 변동성이더 큰 기업일수록 투자공시에 대해 주가가 더 강하게 반응함을 알 수 있었다. 또한 공시일 이전 6개월간의 주식수익률로 구한 모멘텀 변수와 누적비정상수익률은 음(-)의 관계를 보여 공시 이전 기간에 투자정보의 가치가 이미 주가에 반영되어 있을수록 주가반응이 상대적으로 더 약하게 나타났다. 이러한 실증분석 결과는 기업의 투자공시에 대한 주가반응이 기업의 재무적 특성보다 정보비대칭과 같은 기업의 정보환경에 따라 결정된다는 것을 시사한다.

영어초록

This study investigates the announcement effect of corporate investment on the stock price. Investment decision is one of the most important corporate policies for the firm value. Stock price reaction to corporate investment decision depends on the market's assessment of the quality of the investment. If a firm's investment is expected to increase the value of the firm, the stock price tends to show positive reaction. When corporate managers try to exploit investment decisions for their private benefits, investment announcements negatively affect the share price of the firm. Extanct research in Korea does not find significant stock market reactions to corporate investment announcements. Also, factors to explain the relationship of corporate investment decisions and stock prices are different depending on studies.
Considering the limitations of previous studies, we extend the sample period to 14 years from 2000 to 2013 and fully examine market responses to investment announcements using event study methodology. Our sample has 1216 investment announcements of 409 non-financial firms listed on the Korea Exchange. Moreover, we employ multiple regression models in the perspective of information asymmetry to explain the announcement effects of investment decisions.
We find significantly positive stock price reactions around corporate investment announcements. For three day event window including the day before and after the announcement we document abnormal equity returns of 0.561%. The regression model including information asymmetry variables such as stock return volatility and momentum has a strong explanatory power. Especially volatility and momentum are only significant variables to explain the change in stock price.
Volatility is defined as the standard deviation of stock returns for 120 days before the investment announcement.
Firms with high information asymmetry are expected to show high stock return volatility. The coefficient on volatility variable turns out significantly positive, which implies that information asymmetry is positively related to the announcement effects of corporate investment on the stock price. Momentum is measured as the difference between 6-month buy-and-hold returns on stock and benchmark index such as KOSPI. If stock prices already reflect the information on corporate investment, we may observe positive prior equity returns and weak announcement effects.
We confirm the negative relationship between momentum and abnormal returns around investment announcements.
Overall, stock prices show stronger responses as information asymmetry proxied by volatility and momentum increases. These findings suggest that information asymmetry is a crucial determinant of the announcement effect of corporate investment.
We have fully examined the announcement effects of corporate investment decisions by expanding sample periods from 2000 to 2013 for robust empirical results and attempted to resolve unexplained investment announcement effects in the Korea stock market. By focusing on the role of information asymmetry, we find that the relationship between the announcement effect of corporate investment and the stock price depends on differential information environment.
Our empirical findings may have some limitations in that only stock return volatility and momentum are employed to proxy for a firm's information asymmetry. It is to be hope that future research using refined information asymmetry measures provides further evidence for the announcement effect of corporate investment decision on the stock price.

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