자사주 취득과 내부자 거래의 정보신호 효과 (The Interaction Effects of Share Repurchase and Insider Trading)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 28권 / 3호 / 351 ~ 384페이지
· 저자명 : 윤평식, 임병권, 박순홍

초록

본 연구는 유가증권 및 코스닥 시장의 자사주 취득 기업을 대상으로 자사주 취득공시 이전의 내부자 거래를 이용하여 순매수 및 비매수 표본으로 구분한 후, 단기 및 장기성과에 차별성이 존재하는지를 분석한다. 또한 가치주와 성장주에서 장기성과가 차별적으로 나타나는지를 분석한다. 본 연구의 주요 분석 결과는 다음과 같다. 첫째, 단기성과는 유가증권 시장과 코스닥 시장에서 모두 양(+)으로 나타나지만 내부자 순매수와 비매수 표본은 유의한 차이를 보이지 않는다. 둘째, 장기성과는 두 시장에서 상이한 결과를 보인다. 유가증권 시장에서 내부자 순매수 표본과 비매수 표본의 장기성과는 유의적인 차이를 보이지 않는다. 반면, 코스닥 시장은 내부자 순매수 표본이 비매수 표본보다 더 높은 장기성과가 나타나고 유의적인 차이를 보인다. 따라서 내부자 거래는 특히 코스닥 시장에서 추가적인 신호를 전달한다고 추론 가능하다. 셋째, 가치주와 성장주로 구분하여 장기성과를 분석한 결과는 유가증권 및 코스닥 시장에서 비슷한 결과를 보인다. 즉, 두 시장 모두에서 가치주는 내부자 순매수와 비매수 표본 간에 유의한 차이를 보이지 않지만 성장주는 순매수 표본이 비매수 표본보다 유의하게 더 높은 장기성과를 보인다. 따라서 내부자 거래의 저평가 신호는 특히 성장주 표본에서 강건하게 전달되는 것으로 판단된다. 본 연구를 통해 유가증권 시장보다 정보비대칭이 심한 코스닥 시장에서 자사주 취득 이전의 내부자 거래가 기업가치의 저평가 정보를 포함하여 추가적인 신호전달이 가능함을 확인할 수 있었다.

영어초록

Share repurchase is the buyback process that firms use to repurchase their own stocks. It is a major financial policy of many firms, and its use has recently increased. Share repurchases can signal firm value to investors, not only because most firms mention undervaluation as a key motivation for share repurchases but also because investors look favorably on repurchasing decisions.
However, it is unclear whether repurchasing firms truly are undervalued. Ikenberry, Lakonishok, and Vermaelen (1995) divided US stocks into two groups based on their book-to-market ratio (B/M), and analyzed each group’s long-term stock returns. They found that value stocks with a higher B/M had earned a cumulative abnormal return (CAR) of 45.3% four years after the repurchase announcement, whereas glamor stocks with a lower B/M had earned almost 0% CAR. They concluded that share repurchases are a major signal for value stocks but not for glamor stocks.
Byun (2004) divided a sample of firms into two groups based on abnormal earnings before interest and tax (EBIT), and compared low EBIT firms with high EBIT firms. Compared with the high EBIT firms, the low EBIT firms had a negative long-term stock performance, suggesting that undervaluation is not the motivation for share repurchase.
How, then, can we identify which of there purchasing firms are truly undervalued? One way to identify undervalued repurchasing firms is to consider insider trading before share repurchase announcements. While share repurchasing is the buyback of a firm’s own stocks at the firm level, insider trading is personal trading by individuals with inside knowledge, such as the largest shareholders and directors. The decision-makers for these two types of trading are the same, so insiders have an incentive to increase their personal stakes if the firm is truly undervalued (Lee, Mikkelson, and Partch, 1992; Chan, Ikenberry, Lee, and Wang, 2012).
Therefore, we examined whether insider trading prior to share repurchase was an additional signal of firm value. Share repurchasing firms in the KOSPI and KOSAQ markets in Korea were divided into a net-buy group and a non-buy group, based on insider trading for the six months before the repurchases. We then looked for differences between the short-term and long-term abnormal returns of the two groups. We further divided the sample into a value stock group and a glamor stock group, and investigated the relationship between insider trading and long-term abnormal returns.
The main results were as follows. First, there were no differences in the short-term abnormal returns of the KOSPI and KOSDAQ markets. There were also no significant differences in the short-term CARs of the net-buy group and the non-buy group, even though the short-term CARs were significantly positive around the time of the repurchase announcements. Firms are required to complete repurchases of their own stocks within three months. It is thus possible that investors do not consider insider trading prior to share repurchase and simply react to the share repurchasing announcement.
Second, unlike the short-term reaction, there were significant differences in the long-term abnormal returns of the KOSPI and KOSDAQ markets. There were no significant differences between the net-buy and the non-buy groups in the KOSPI market but there were significant differences between the two groups in the KOSDAQ market. We tested for robustness using buy and hold abnormal returns (BHARs) and CARs based on the Fama and French (1993) three-factor model. We conclude that insider trading can convey additional information regarding firm value only in the KOSDAQ market, which has higher information asymmetry.
Third, there were no significant differences in the long-term abnormal returns of value stocks for the insider net-buy and non-buy groups in both the KOSPI and the KOSDAQ markets. However, for glamor stocks, share repurchases by the insider net-buy group showed a larger long-run CAR than those of the non-buy group in both markets. Therefore, we conclude that insider trading prior to share repurchase can convey information, especially for glamor stocks.
Overall, insider trading prior to share repurchase is associated with private information about firm value, and can convey a signal in addition to the information signaled by share repurchases.

참고자료

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