신규 공모주 단기매도 행태 분석 (Flipping Behavior after IPOs)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 31권 / 1호 / 39 ~ 82페이지
· 저자명 : 김석, 전상경

초록

본 연구는 신규상장 공모주를 상장 직후 매도하는 기관투자자의 공모주 단기매도 현상을 보고하고 이를 분석하였다. 신규 공모주의 상장 당일 거래를 검토한 결과, 기관투자자는 상장일에 기관에 배정된 공모주 수량의 26.6%를 매도한 반면, 매수는 5.4%에 불과했다. 기관투자자가 동일 거래일에 어느 특정 주식에 대해 매도와 매수를 병행하는 것이 매우 예외적인 현상임을 감안하면, 상장일 기관이 매도한 수량의 대부분은 IPO 발행시장에서 배정받은 수량을 상장일에 재매도(flipping)한 것으로 추정된다. 상장 후 3거래일까지를 1차 매도, 그 이후 25거래일까지를 2차 매도로 구분하여 분석함으로써 상장 이후 공모주 거래행태를 보다 명확히 분석하고자 하였다. 본 연구의 주요 분석 결과는 다음과 같다. IPO 과정에서 신규 공모주를 배정받은 대부분의 기관들은 이들 신규 공모주를 상장 직후 매도함을 확인할 수 있었다. 또한 공모과정 이전에 지분 투자한 벤처캐피탈 등 기관투자자들은 상장 후 한달 정도의 기간을 자신들의 투자자금을 회수하는 기회로 활용하고 있는 것으로 추정된다. 장기 주가수익률과 기관투자자의 투자행태와의 관계를 통해 공모과정에 참여하여 IPO 주식을 배정받은 기관투자자의 경우 IPO 주식의 수익률과 관련한 정보력은 보유하고 있지 못한 것으로 확인된다. 반면, 상장 이전에 지분 투자한 기관투자자의 경우에는 수익률과 관련해서 일정 부분 정보력을 보유한 것으로 판단된다. 이러한 결과는 IPO 주식에 투자한 기관투자자가 모두 정보투자자인 것은 아니며 상대적으로 장기간 투자한 기관투자자가 정보투자자인 것을 시사한다.

영어초록

We analyze cause and effect of Korean institutional investors’ selling behavior of IPO shares right after initial trading. Most of IPO shares sold by institutions right after initial trading are assumed to be originally allocated to them in bookbuilding process. Thus, institutions’ selling behavior of IPO shares right after initial trading is interpreted as IPO flipping that is reported by Boehmer, Boehmer, and Fishe (2006). Following the methodology of Boehmer et al. (2006), we separately analyze the initial flipping on first three trading days after IPOs, and the second flipping thereafter to the twenty fifth trading days.
Samples of our study cover firms that undertook IPOs in year 2003 through year 2014 in Korea. Firms’ financial data, stock prices, trading volumes, and market indexes are obtained from FnData Guide. IPO-specific data, such as bookbuilding results, allocation ratios, etc. are obtained from investment prospectus reported in DART (disclosure system of Financial Supervisory Services). Our samples covers 674 firms: 110 firms of Securities Market IPOs, and 564 firms of KOSDAQ IPOs.
We have found that IPO initial returns are significantly negatively related to the first flipping, but significantly positively related to the second flipping. This result implies that Korean institutional investors that are allocated with IPO shares take profit in the second flipping. We have also found that the main players of short-term sales of IPOs are institutional investors. The voluntary lock-up of institutional investors does not play a meaningful role in constraining their selling behavior of IPO shares. Right after the voluntary lock-up period, institutional investors are selling IPO shares. The initialflippingon the first three days after IPOs are not related to the amount of institution allotments.
We have also analyzed the effect of venture capital investment on the IPO stock return of the first trading day. Empirical results show that IPO firms with venture capital investments have significantly lower stock return on the first day of trading than those with no venture capital investment. This result would be interpreted as the certification effect of venture capitals. Institutional investors tend to sell more IPO shares both in the first and second flipping when firms have venture capital investments.
In the analysis of long-term return behavior, we have found that the first flipping of institutional investors does not affect long-term market-adjusted returns of IPO shares. However, the second flipping activities of institutional investors significantly decrease long-term returns measured by market adjusted returns over 3, 6, and 9 month period after IPOs. This result implies that institutional investors allocated with IPO shares tend to flip shares right after IPOs regardless of long-term prospect of IPO firms. In contrast, the second flipping is mainly driven by venture capitals that have invested in IPO firms before these firms go public. Noting that the second flipping is negatively related to long-term return performance, venture capitals that have long relationship with firms have the ability to predict future operational prospect of IPO firms.
The more shares are allocated to institutional investors, the worse are market-adjusted returns over the period of 6, 9, and 12 months after IPOs. This result is related to the dynamic information acquisition model of Benvenist and Spindt (1989). In a situation where IPO allotment ratio among investor groups are mostly fixed as in Korea, significant underpricing would be an effective way of compensation for institutional investors in the dynamic information acquisition model of Benvenist and Spindt (1989). Thus, when more IPO shares are allocated to institutional investors, those shares are more likely to suffer from underpricing.

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