본 연구에서는 청약일에서 상장일까지 신규공모주 거래가 지연됨에 따라 투자자가 입게 되는 기대손실의 상한을 옵션가치로 측정하고, 그것이 신규공모주 저평가현상에 유의한 효과를 미치는가를 검증하였다.
2000년 2월부터 2007년 7월까지 한국증권선물거래소에 상장된 602개 신규공모주의 저평가정도를 분석한 결과, 상장일 수익률은 평균 57.60%이고, 상장일 이후 20거래일까지의 수익률도 상장일 수익률을 상회하여서 국내 신규공모주의 저평가현상은 매우 높을 뿐만 아니라 일정기간 지속되는 것으로 나타났다.
청약일에서 상장일까지의 거래지연효과에 대한 옵션가치는 공모가의 평균 11.98%에 달하는 것으로 나타나서 상장일 평균 수익률 중 최대 21%가 거래지연효과로 인해 발생하는 것으로 나타났다. 이는 거래지연효과가 신규공모주 저평가현상을 발생시키는 또 다른 중요 원인임을 의미하며, 이러한 결과는 시장조성제도 변화, 상장시장, 공모 및 발행기업 관련 특성변수들 그리고 상장시점의 시장상황 등을 통제한 회귀분석에서도 동일하게 나타났다.
본 연구의 결과는 증권발행과정 상에서 투자자들이 가지는 손실가능성도 저평가현상의 중요한 원인이 된다는 실증결과를 제시함으로써 신규공모주 저평가현상에 대한 새로운 원인을 제시하고 있다.
In the Korean stock market, investors must wait, on average, for about 3 weeks after subscription day to trade initial public offering (IPO) stocks. At subscription day, the underwriting firms receive orders for the IPO stocks from various investor groups such as employees of the issuing firm, institutional and individual investors. This results in creating time lapse, or non-trading period between subscription and listing day in Korea. This is quite different from the IPO process in the U.S. Such non-trading period may be a risk factor on the IPO investments. Because investors cannot trade the IPO stocks during the non-trading period, they cannot gain the trading profits when positive information for an IPO stock is obtained and vice versa.
This paper examines how the existence of non-trading period affects the IPO underpricing as a new risk factor that can increase the expected losses of the IPO investments in the Korean stock market. To answer this research question, we first define non-trading period effect as the upper bound of dis-
count rate for the offering price or the expected losses that can occur during the non-trading period. We then measure an option value of the non-trading period effect with option pricing model and analyze the effect of the option values on the IPO underpricing.
Longstaff (1995) provided an option pricing model to estimate losses by implementing restrictions on stock trade. Assuming a perfect timer who knows the optimal selling point of the IPO stocks, a variant of Longstaff model is applied to estimate the maximum expected losses resulting from the restriction on trading IPO stocks as option values. To estimate the option value, we should measure the volatility of each IPO stocks. But that is impossible because IPO stocks have no past return data. As a proxy for the volatility of an IPO stock, we used the average of volatilities of the matching firms. Matching firms, which had to be listed at least 3 years prior to the listing day of the concerned IPO stock, were selected within the same industry of the IPO stock.
Using the data of 602 IPO stocks listed in Korea exchange (KRX) with KOSPI and KOSDAQ boards from February, 2000 to July, 2007, we first analyzed the degrees of IPO underpricing using various initial return measures. We found that the IPO underpricing in the Korean stock market was very high and sustainable. The average initial return at listing day (= closing price of listing day/offering price -1) was 57.60%. And the averages of the other 3 initial returns, the average of holding period returns (HPR) and cumulating abnormal returns (CAR) calculated for 20 trading days and HPR from listing day to first negative stock return day after the listing day, were higher than the average returns at the listing day. The amount of initial returns at listing day is more than double the amount of that in the U.S market, which was reported by Ritter and Welch (2002).
We found the evidence that non-trading period effect is one of the important factors which determine the IPO underpricing. The option values for non-trading period effect were 11.98% of the offering price on average, which is about 21% of the initial returns at the listing day. And the IPO underpicing increases as the option value of the IPO stock increases. When the 602 IPO stocks were divided into five groups by their option values, the average initial returns of the highest group fell in the range of 25~49%, significantly higher than those of the lowest group, and the highest group always showed higher initial returns among subsamples before and after the abolition of the market making rule and among those of listed markets, KOSPI or KOSDAQ.
These results are consistent with the results of the regression analysis. Various factors were controlled to evaluate the effect on the initial returns of IPO stocks. The factors considered were the change of the market making rule, market returns before and at the listing day, and other IPO-related characteristic variables -IPO amount, competitive rate of subscription, firm age, ROA, leverage ratio, etc. The option value for non-trading period effect was significantly and positively related with initial returns of IPO stocks in all models. However, the effects of the non-trading period on the IPO underpricing decreased after the abolition of the market making rule.
Previous papers suggested that the expected losses of underwriting firms resulting from the IPO regulations such as compulsory market making rule or put-back option rule are the main cause for the IPO underpricing. Above and beyond this cause, this paper suggests that the expected losses of investors during non-trading period are another important cause for the IPO underpricing in the Korean stock market.
