풋백옵션제도 폐지가 IPO 초기성과에 미치는 영향 (The Effect of Abolition of Putback Option on IPO Short-term Performance)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 25권 / 2호 / 247 ~ 291페이지
· 저자명 : 조성순, 변진호

초록

본 연구는 2003년 10월부터 2010년 7월까지 코스닥시장에서 풋백옵션제도 폐지 전후 시기의 IPO 초기성과를 비교 분석하였다. 신규공모주 주가가 공모가 이하로 하락하는 사례가 늘어남에 따라 제기된 공모가의 적정성 문제와 공모주 시장에 영향을 미칠 수 있는 여러 요소를 분석하여 IPO 시장에 시사점을 제시하고자 하였다. 첫째, 풋백옵션제도 폐지 이후 공모가 부풀리기가 시장에 만연했다고 보기는 어려웠다. 또한 공모가 수준이 상장일 성과에 미치는 영향은 유의하지 않았다. 둘째, 상장 이전 형성된 투자자의 낙관적 기대는 상장일 성과에 유의적인 양(+)의 영향을 미치지만 그 영향이 상장 이후 단기 성과까지 지속되지 않는 것으로 나타났으며, 매매거래 개시 이후에는 상장일 이후 형성된 투자자의 낙관적 기대가 영향을 미쳤다. 마지막으로 기관투자자의 순매도 양태는 풋백옵션제도 폐지 이후 유의적으로 증가하였으며, 이는 상장 이후 단기성과에 부정적인 영향을 미치는 것으로 나타났다. 풋백옵션제도는 상장일 성과 및 상장 이후 단기성과에 유의적인 양(+)의 영향을 미치지만 제도 폐지 이후의 저가발행 정도가 여전히 높은 수준이고, 주관사의 공모가 산정 능력에 차별성이 없는 것으로 나타났다. 따라서 시장의 자율성을 존중하고 공모시장의 모든 참여자들이 보다 신중하고 차별적으로 공모시장 참여를 결정할 수 있는 방향으로의 제도 개선이 필요한 것으로 생각된다.

영어초록

This paper examines the IPO short-term performance by comparing the results before and after the abolition of the putback option provision. We used KOSDAQ market listed companies over the period between October 2003 and July 2010. In addition, we study the current IPO process by examining various relevant factors on public offering markets so as to shed further insight into regulatory implications on the IPO process.
It has been well supported that the stock price in general increases after the initial listing or IPO. According to Ritter (1998), the stock price increases after the listing, which averages at approximately 18.8% compared to its offer price. Empirical studies in Korea also have reported similar results of the IPO underpricing (Kang, 1990; Lee et al., 1995; Choi, 1999; Lee and Cho, 2007; Byun and Cho, 2011; Lee and Nam, 2009). Previous studies on IPO have mainly focused on the positive stock price movements after the initial listing, suggesting the winner’s curse hypothesis, the market stabilization hypothesis, and/or the information asymmetry hypothesis, among others.
In Korea, there was a temporary putback option provision from December 2000 to May 2007. During that period, underwriters had to buy back their IPO shares from investors if the stock price fell below a certain level (for example, 90%) of its offering price. Therefore, the underwriters had to be careful not to set the offer price too higher or higher than their bearable price level in order to avoid the investors’ putback option. However, after May 2007, the Korean regulator (the Financial Supervisory Service) abolished the putback option in line with the global policy direction toward the deregulation of the capital markets. The rationale behind that was to improve the efficiency of the IPO process by allowing more control to market participants. Perhaps out of coincidence with the abolition, however, the stock prices of IPO shares after the listing day seemed to have fallen significantly.
Some market observers in the press have argued that the underwriters intentionally inflate offer prices because they are now free from the buy back obligation even in the case of significant price drops. In order to examine the validity of this argument, several empirical studies have been subsequently conducted to compare the initial price movements of IPO shares before and after the abolition of the putback option provision (Shin et al., 2004; Kim and Lee, 2006; Lee and Cho, 2007; Lee and Nam, 2009). However, those studies have limitations in testing whether underwriters have intentionally inflated offer prices. When the stock prices continue to decrease in short-term periods compare to the offer price, there can be two explanations for that phenomenon: underwriters either intentionally inflate the offer price or simply make inaccurate valuations on the IPO shares. Therefore, neither increase nor decrease in stock prices alone cannot adequately account for the behaviors of underwriters.
This paper, therefore, uses the pre-IPO price from OTC market (the PSTOCK website) to calculate the average pre-listing price level of the IPO shares. We then analyze this pre-IPO price, the offering price, and the stock prices during the short-term periods (twenty trading days after the listing day) in order to determine whether the cause of the change was due to underwriters’intentional inflation of the offer price or simple error in determining the right level of the price. In short, our test hypotheses are as follows. First, after the abolition of the putback option provision, underwriters determine the offer prices more accurately, and the accurate valuation affects the IPO underpricing negatively. Second, since the regulation change, the ratio of subscription competition has been reduced, generating positive effects on the short-term performances. As the IPOs have positive effects on short-term performance, optimistic investors’ expectations have been built. Finally, the net sale behavior of institutional investors increases when putback option provision disappears, negatively affecting the short-term performance.
We obtained the following results from the empirical analyses. First, IPO underpricing has been reduced after the abolition of the putback option provision as we expected. Our study results cannot find support for the accusation that investors manipulate the offer prices on purpose; the prices were actually low relative to the pre-IPO prices formed in the OTC market before the book-building process. Second, although optimistic investors’ expectations formed before the listing day have significantly positive effects on listing day performance, the expectations do not last beyond the first twenty trading days after the listing. Also, the results show that after trading begins, optimistic investors’ expectations formed after the listing day have a greater influence on short-term performance than pre-IPO investors’ expectations do. Lastly, since the abolition of the putback option provision, the net sale of institutional investors has significantly increased, negatively affecting the short-term performance.
This study shows that the putback option has significantly positive effects on the stock price at the listing day and on the short-term performance. However, IPO underpricing still exists and there is no difference in accuracy of the offer price decisions among the underwriters. Therefore, we suggest that the IPO market regulations be revised to account for market autonomy and to help market participants make more careful decisions instead of regulating with more institutional devices to deepen underpricing.

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