기업의 비윤리적 행위와 주가변화에 관한 연구

이현복 한국기업경영학회 2015 기업경영연구 Vol.22 No.4

As to academic approach to business ethics, full-scale study started in 1960’s with recent studies being attempted to establish a clear concept of business ethics and to examine the relation between ethical management and financial performance. The main object of positive studies on ethical management is to clarify the relation of ethical management with business performance, social performance and with value of the enterprise. Many studies related to ethical management assert that ethical management has a positive (+) relation with business performance and social performance. It is also said that ethical management influences the value of an enterprise from the positive (+) side and that ethical management is not one-sidedly influencing business value but that it has a mutually positive influence. But, in most of the methods of positive study, a clear theoretical ground as to how ethical management and business value are connected is not presented and simple interrelation is identified without explaining casualties of measurement variables. The development of social performance data, variables and measurement methods are still insufficient and studies related to those are unsatisfactory. Thus, it is possible to say that the theoretical ground is still somewhat insufficient. Reflecting this problem of basic studies, this study intends to verify the relation between ethical management and the value of a business, albeit not directly but rather indirectly through event study. The purpose of this empirical study is to analyze the changes of stock prices between American and Korean firms under the condition that the firms’ unethical behaviors have been reported by mass media, and to analyze whether those change significantly differ or not. The data employed were the unethical behaviors reports of major 100 firms in each country during 1. 1. 1998 and 31. 12. 2013 both in daily newspapers and on televisions networks. and three hundred sixty six vents( Korea; 311, USA; 343) were selected. This study uses event study, independent t-tests and cross sectional multiple regression analysis From the result, we can induce that the reports negatively affect stock price performance both in Korea and the USA. Further, the negative effects of unethical behavior on the firm value differ by country, types of business, event, and the date of occurrence of event. In conclusion, firms’ unethical behaviors influence their values. Unethical conduct by a firm has impact on its shareholders by lowering its value for an appreciable period of time. The results of this study show meaningful difference between Korea and the USA. This finding may indicate that Korean industry has to develop its own specific ethical system and practice plan. 기업윤리는 1960년대에 이르러서야 학술적으로 연구되기 시작 하였고, 최근 기업윤리의 개념을 정립하기 위한 노력과 함께 실증적으로 이를 기업의 재무적 성과 및 가치에 긍정적 영향을 주고 있음을 확인하고자 하는 연구들이 진행되고 있다. 하지만 아직 대부분의 연구는 이론적・당위론적 연구에 머무르고 있고, 실증 연구의 대다수도 단순 상관관계 확인에 그치고 있는 실정이다. 아직 대부분의 관련 연구들이 실증분석을 설계함에 있어 명확한 이론적 근거가 미약하거나 변수간의 인과관계에 대한 설명이 부족한 실정으로 아직까지 기업윤리와 기업의 성과에 대한 장기적 관계를 살펴볼 실증분석의 방법론이 신뢰성과 타당성을 확보하지 못하고 있다고 할 수 있다. 따라서 본 연구는 기존 연구의 낮은 이론적 토대를 극복하고, 기업윤리의 성과에 대한 실증분석의 방법론 개발을 위하여 기존의 상관분석 및 회귀분석이 아닌 재무적 연구방법을 이에 적용하여 분석을 진행하고자 사건연구(event study)로 연구를 진행한다. 본 연구는 기업의 비윤리적 행위가 기업 주가에 영향을 미치는 정도와 그것이 한국과 미국기업에 따라 차이가 있는지를 살펴보기 위하여 한국과 미국 100대기업의 16년간(1997∼2013년) 언론매체를 통하여 보도된 비윤리적 행위관련 뉴스(한국 311건, 미국 343건)를 수집하여 분석에 사용하였다. 비윤리적 행위를 7개의 유형 즉, 뇌물, 비리, 배임, 불법 등(이하 불법행위), 환경 파괴・오염 등(이하 환경오염), 내부자거래, 고용차별, 분식회계, 탈세, 기타 비윤리적행위 등으로 구분하고, 사건일(0) 기준 비사건기간 -300∼-150으로, 사건기간을 -10∼+15일로 설정하여 사건연구(event study) 진행하였고, 사건연구의 초과수익률을 이용하여 다중회귀분석을 실시하였다. 연구결과 불법행위의 경우 사건기간 한국과 미국이 각각 약 1.6%, 약 0.3%의 하락을 나타내어서 양국에 큰 차이가 없었지만, 분식회계의 경우 한국이 약 7.8%의 하락을 나타낸 반면 미국은 약 15.8%의 하락함을 나타내 주가변화에 차이가 있고 이러한 차이가 통계적으로 유의성이 있음을 t-test를 통하여 확인하였다. 그리고 사건기간 발생한 누적초과수익률의 기간에 따라 영향을 주는 요인이 한국과 미국에 차이는 있지만 경기방어주인지 여부, 금융업인지 여부, 사건이 분식회계인지 여부 등이 효과를 주는 것으로 나타났다. 기업의 기업윤리에 위반된 행위는 매우 다양하다 하지만 분식회계의 경우 매우 심각하게 기업에 관련된 투자자 및 기타 이해관계자에게 부정적 영향을 주는 것으로 나타났다. 본 연구에서 살펴본바 한국의 경우 기업이 분식회계를 하였을 경우 기업가치가 약 -7.8%, 미국의 경우 약 -15.8%의 하락을 나타냈다. 이는 한국과 미국 모두 분식회계로 인한 단기간의 기업가치의 하락폭이 10-20% 내외로 매우 커 기업의 유동성 문제를 넘어 기업의 생존에도 커더란 문제를 야기한다는 것을 시사한다. 따라서 다시 한 번 기업에게 있어 정직한 재무상태의 보고 및 공표는 매우 중요한 기업윤리의 기본임을 인식해야 할 것이다. 기업윤리에 대한 인식과 실천은 타율적인 것보다 자발적인 실천을 필요로 한다는 것이 본 연구를 통해 확인되었다. 기업윤리는 비단 장기간의 기업성과에 긍정적 영향을 준다는 가정을 믿고 실천할 필요가 있다는 것을 넘어서 기업윤리를 준수하지 않을 경우 단기간 기업가치에 커다란 부정적 영향을 ...

기업의 사회공헌활동이 기업가치에 미치는 영향

배정호(Bae Jungho),김병도(Kim Byung-Do),김준호(Kim Jun Ho) 한국인사조직학회 2008 인사조직연구 Vol.16 No.2

  최근 기업의 사회적 책임은 글로벌 기업의 핵심 경영 주제로 부각되고 있다. 일부 국내 기업들도 기업의 사회적 책임을 실천하기 위해 금전적 기부, 사회봉사활동, 장애인 고용 등 사회공헌활동에 참여하기 시작했다. 그러나 국내 기업들은 사회적 공헌활동의 필요성에 대해 원론적으로 공감하면서 사회공헌활동에 대한 투자에는 아직 소극적인 것 같다. 그 이유는 사회공헌활동의 재무적 성과를 정확히 측정한 경험이 없고 대부분 기업은 사회공헌활동을 투자로 인식하기 보다는 비용으로 인식하는 경향이 지배적이기 때문이다.<BR>  본 연구의 목적은 기업의 사회공헌활동 및 관련 투자 효과를 정량적으로 측정하는 데 있다. 사건연구 방법론을 통해 2001년 1월 1일부터 2006년 11월 31일까지 사회공헌활동이 언론에 공개된 100개 국내 기업에 대해 분석한 결과에 따르면, 사회공헌활동 및 관련 투자는 사건당일과 사건 직전일의 비정상 수익률 합의 평균이 1.04%로 나타났다. 이는 시가총액 기준으로 약 1000억 원에 해당하며, 통계적으로 유의한 양(+)의 값임을 보여주었다. 또한 사회공헌활동이 기업가치를 상승 시키는 세부적인 요인을 검증한 결과, 자산규모가 작을수록 사회공헌활동 투자의 효율성이 오히려 큰 것으로 나타났다.   Recently, CSR (Corporate Social Responsibility) is becoming a key management issue among leading global companies. A few Korean firms are beginning to recognize the importance of CSR and participate in corporate social activities such as donation, community services, the employment of the disabled, and so on. However, a majority of Korean firms are still not very active in investing in corporate social activities, even though they acknowledge its theoretical necessity.<BR>  The purpose of this study is to measure the economic value of corporate social performance and investment using the event study methodology. There have been various methods to evaluate corporate social investment in previous research. Each method has its advantages and disadvantages. Some indices in the balance sheets have more frequently been used. However, overcoming the problems in previous valuation methods, this study has employed event study method.<BR>  The event study method assumes that the firm’s stock price is immediately changed if any information considered to affect the corporate future cash flow is announced to the public. That is, it is possible to value the event on corporate action or environment by measuring the abnormal change of the stock price at the time of the information announcement. The key advantage of the event study is the possibility of reducing the bias between the time of corporate investment in the middle of the year and the time of making the balance sheets out in the end of the year. In other words, we can control the other extraneous variables affecting the value of corporate investment since we measure the instantaneous change of the stock price due to the event. Furthermore, stock price is known to be the most objective measure to evaluate the economic value of the company since it is determined by a lot of smart investors in the market who takes all kinds of possible future cash flows into present value.<BR>  The events that this study is interested in are the news announcement to public on corporate social investment from January 1, 2001 and November 13, 2006 identified by key word search on several websites. The events on corporate investment include monetary donation, welfare service, social justice and the environment protection. To measure the abnormal return of the stock price exactly, we excluded the events on companies which were not enlisted or enlisted for less than a year (e.g., the period required to estimate normal return) in the stock market. We also excluded the events on companies which made corporate investment two or more time in the measuring period (10 days), to measure the exact value of the corporate investment. Finally, we excluded the events if other information (e.g., events other than corporate investment) could affect the change of stock price in the measuring period. Total remaining number of data was 100.<BR>  The date when the event is announced is set to be the day 0 and the day before announcement date to be the day -1. We measure the abnormal returns on the days before the announcement date since some people often know the event before it is known to the public via news media. Our results show that the abnormal returns on the day 0 and -1 are statistically significant at the significance level of p = 0.05. Through social investments, the companies gain, on average, 1.04% of their market values or an average gain in market capitalization of $110 million. We conclude that corporate social investments have positive economic value.<BR>  In addition, we studied whether the abnormal returns are different across company sizes, industry types, the types of social investments, and the time of the investment to find specific causes of the abnormal return. Only the size of the company was statistically and negatively significant at the significance level of p = 0.05. As the size of the firm is getting smaller, its return on

사건연구(event study) 방법론을 이용한 정상주가 산정

우민철(Woo, Min Cheol),김명애(Kim, Meong Ae) 한국증권법학회 2014 증권법연구 Vol.15 No.3

시장 전반에 영향을 미치는 요인이 아닌 유상증자, 합병, 대규모 투자의사결정 등 특정 기업에 고유하게 발생한 사건(firm-specific event)이 해당 기업의 주가에 미치는 영향을 연구할 때 사건연구(event study) 방법이 널리 이용된다. 연구 측면에서만이 아니라 대표적인 불공정거래행위인 시세조종 또는 허위공시 등의 기업 고유사건으로 인해 투자자가 손실을 입어 손해규모를 산정할 때도 사건연구 방법론을 적용한다. 구체적으로, 불공정행위가 없었다면 형성되었을 정상주가와 실제주가간 차이를 초과수익으로 간주하고 이에 근거하여 피해 금액을 산정한다. 따라서 분석하고자 하는 사건(불공정거래)을 제외한 다른 변수들이 주가에 미치는 영향을 통제하는 것이 매우 중요하다. 사건연구에서 정상주가를 추정하는 일반적인 모형들은 시장 전체에 영향을 주는 변수인 시장대표지수 및 해당 기업이 속한 업종을 대표하는 업종지수 등을 통제변수로 사용한다. 그러나 이른바 테마주라고 불리는 주식의 비정상수익률을 계산할 때, 테마주의 특성을 반영하지 않을 경우 정상주가 산정에 문제가 발생할 수 있다. 본 연구에서는 이에 대한 대안을 제시하기 위해서 테마주에 속한 다수의 주식들을 대상으로 한국거래소의 지수 산출방법을 준용한 테마주지수를 산출하고, 테마주 지수의 수익률을 사건연구의 시장모형(market model)에 반영한다. 그 결과, 정상주가에 테마주 특성이 반영되기 때문에 테마주 특성의 영향을 배제한 비정상수익률을 계산하는 것이 가능하다. 회귀모형의 설명력 측면에서는, 테마주지수 수익률을 반영하여 정상주가를 추정하는 본 연구의 회귀모형들이 기존 방식에 의한 모형보다 더 높은 설명력을 보인다. 따라서 테마주에 속하는 주식에 대해서 시세조종 등 불공정거래행위가 발생했을 때에는 테마주지수 수익률을 반영한 회귀모형을 이용하는 것이 더 적절함을 확인하였다. 본 연구의 결과는 시세조종 및 허위공시 등의 불공정거래행위로 인해 투자자에게 피해가 발생한 상황에서 보다 합리적인 피해금액을 산정하는데 기여할 수 있을 것으로 기대한다. In the case of unfair transactions such as price manipulation or false disclosure, the amount of damage to firm value due to the transactions is calculated as the difference between the actual stock price and the theoretical price that would prevail if those transactions were not carried out. Event study method is used to estimate the theoretical price, which is often called the normal price. This methodology has been widely used since Fama, Fisher, Jensen, and Roll(1976) first used it to test the efficient market hypothesis. Empirical studies examine the stock market’s response to various corporate decisions including stock offerings, merger and acquisitions, stock split, etc. to measure the effect of such events on firm value. In an event study it is important to control the variables that affect the stock price other than the event. The return of the overall market index and/or the return of industry index are generally used as control variables. In the case of so-called theme stocks, however, an event study using this traditional market model often leads to excessive abnormal returns. The goal of our study is to suggest an alternative regression model for estimating the normal price of theme stocks. We find that modified regression models including the index for theme stocks provide more reliable results than the traditional model does. We develop the index for theme stocks in accordance with the method used for other indexes of Korea Exchange, and add it to the market model as a new control variable. By doing so, we are able to exclude the price effect which is attributable to theme stocks from the actual stock price, and result in relieving the problems of exaggerated abnormal returns. We expect that the result of our study can contribute to improving the calculation of losses in firm value particularly when theme stocks are involved with unfair transactions.

SNS Effect of the negative event on the Firm Performance: Comparison between Pre and Post SNS media appearance

김상용,이다은 한국마케팅학회 2014 ASIA MARKETING JOURNAL Vol.16 No.1

When the negative event is published, the company tends to go through the negative impact on the firm performance. Especially, with the SNS, the negative event is instantly spread on indefinite region so the impact seems bigger than the period before the SNS media appearance. It seems that everyone considers the SNS media impact on the firm performance quite big. However, there has been no empirical study on the impact comparison on the firm performance between pre and post SNS media occurrence periods. This study tries to empirically compare the impact of the negative event on the firm performance between pre and post SNS media appearance. Our study starts from the basic but not verified question; Does really the negative event have more negative impact in the post-SNS-occurrence period than in the pre-SNS-occurrence period?In order to examine the impact of the negative publicity on firm performance in two eras, pre and post SNS media appearance, we used CAR (Cumulative Abnormal Resturns) model. By using this model, we could verify the statistical significance of cumulative abnormal returns in market between before and after the events. For event samples, we focused on food manufacturers and collected the negative events from 1991 to 2003 for pre-SNS occurrence period, and from 2010 to 2013 for post- SNS occurrence period. Based on the listed food companies at KOSPI, we researched Naver News Library (newslibrary.naver.com) and Naver News (news.naver.com) for all the individual negative events published for both periods. Firm returns data were collected from TS 2000 (KOCO Info) and market portfolio data were collected from KRX Exchange. Through our empirical analysis, our finding is interesting to note that the type of events differently influences on the firm performance. With the SNS, the health-related events have influence on the firm performance ‘after the event day’ whereas the company behavior trust events have influence ‘before the event day’. Our findings have implications for management. When a negative event directly related to or threatening customers or their life such as health, it is crucial to fix up the situation right after the event occurs. On the other hand, when a negative event is not publicly available information such as company behavior trust, it is important for marketers to strengthen the firms’ trust reputation and control the bad WOM before the event.

Stock Market Response to Elections: An Event Study Method

CHAVALI, Kavita,ALAM, Mohammad,ROSARIO, Shireen Korea Distribution Science Association 2020 The Journal of Asian Finance, Economics and Busine Vol.7 No.5

The research paper examines the influence of elections on the stock market. The study analyses whether the market reaction would be the same when a party wins and comes to power for the second consecutive time. The study employs Market Model Event study methodology. The sample period taken for the study is 2014 to 2019. A sample of 31 companies listed in Bombay Stock Exchange is selected at random for the purpose of the study. For the elections held in 2014, an event window of 82 days was taken with 39 days prior to the event and 42 days post event. The event (t0) being the declaration of the election results. For the elections held in 2019 an event window of 83 days was taken with 41 days prior to the event and 41 days post event. The results indicate that the market reacts positively with significantly positive Average Abnormal Returns. The findings of the study reveal that the impact on the market is not the same between any two elections even when the same party comes to power for the second time. The semi-strong form of efficient market hypothesis holds true in the context of emerging markets like India.

ICT 관련 상호변경이 주가에 미치는 영향

박정미,박성태 대한경영학회 2019 大韓經營學會誌 Vol.32 No.6

본 연구는 4차 산업혁명이 빅이슈가 되고 있는 이 시점에 상호변경을 중심으로 2000년의 IT 버블이 재현되고있는지 파악하기 위하여 ICT 관련 산업 여부 및 ICT 관련 용어로의 변경여부 그리고 정보통신분야가 붐을이루었던 2000년 여부에 따른 시장반응의 차이를 분석하였다. 분석 결과 및 시사점은 다음과 같다. 첫째, 상호변경은 기업 가치에 긍정적인 영향을 주고 있었으며, 상호변경이라는 이슈에 대하여 시장은 효율적이게 반응하고있다. 둘째, ICT 관련 산업 여부에 따른 시장반응에는 유의한 차이는 없었다. 셋째, ICT 관련 산업 여부와ICT 관련 용어에 따른 시장반응의 차이는 ICT 관련 여부와 상관없이 ICT 비관련 용어로 변경하는 것이시장에 유의하게 긍정적인 반응을 올릴 수 있었다. ICT 관련 산업인 경우 상호변경 공시 전에는 유의한 반응을보이고 있지 않았으나, 상호변경 공시 후에는 유의하게 긍정적으로 반응하고 있었다. 넷째, ICT 비관련 산업일경우 기존에 있는 ICT 관련 용어는 그대로 유지하는 것이 좋은 것으로 나타났다. 다섯째, IT 버블기였던 2000년의 상호변경에 따른 시장반응은 그 이후의 상호변경에 대한 시장반응과는 사뭇 달랐다. 4차 산업혁명이 또다른 버블을 창출할 것이라는 기대들이 있으나, 기업의 기술 트렌드가 전반적으로 IT 기반으로 바뀌고 있으며투자자들이 이전보다 똑똑해져서 2000년 이전의 버블은 다시 발생하지 않았다. 따라서 기업의 경영자들은기존 상호를 큰 돈을 투자하면서 ICT 관련 용어로 전환하지 않아야 할 것이다. 본 연구의 공헌도는 첫째, 본 연구는 상호변경이라는 기업의 전략의 효과를 정확히 측정하기 위해 선행연구에서는 제외되었던 상호변경 후 상장폐지된 기업을 추가하였고, 상호변경의 효과로 보기 어려운 사례 즉 합병등으로 인하여 구조적 변화를 동반한 상호변경 등을 제외하여 분석함으로써 선행연구와 차별화하였으며, 이를통해 KOSDAQ 시장에서의 순수한 상호변경 공시효과에 대한 반응을 보다 구체적으로 입증하였다. 또한 상호변경기업들의 어떠한 특성에 차이가 있는 지를 파악하기 위하여 시장반응에 차이를 준 요소들을 찾아 분석을하였으며, 이를 확고히 하고자 강건성 분석을 하였다. 그에 따른 표본의 한계를 줄이기 위하여 비모수 통계도함께 적용하였다는 점에서 의의가 있겠다. 따라서 상호변경에 대한 시장반응을 분석하려고 하는 후행 연구자들은 이런 점을 고려하여 분석할 것을 추천한다. 둘째, 본 연구는 4차 산업혁명에 따른 ICT 관련 산업 여부에따라 ICT 관련 용어 사용 여부의 시장 반응을 유효한 샘플을 가지고 분석한 국내 최초의 논문으로 관련 기업들이 상호변경을 고려할 때 유용한 지침이 될 것이다. 이는 또한 상호변경을 하려는 기업에 투자하고자 하는투자자들에도 중요한 지침이 될 것이다. The purpose of this study is to determine whether the IT bubble of 2000 is being reproduced around corporate name changes at a time when the fourth industrial revolution is taking place. For this purpose, the study analyzes differences in market responses depending on whether ICT-related industries or not, whether ICT-related terms or not, and whether in 2000 or not. This study analyzes effects of corporate name changes and differences between groups, focusing on the KOSDAQ(Korea Securities Dealers Automated Quotation, KOSDAQ) market, where changes in corporate name occur frequently. The research method conducts case studies using daily data of 566 cases of pure name corporate changes from January 2000 to December 2016, focusing on the KOSDAQ market. In order to analyze effects of pure corporate name changes, we include companies that have been delisted after changing their names and exclude companies with other events such as mergers during the name change period. These points are different with the previous studies. This study uses the event study methodology to calculate abnormal returns around the announcement dates of corporate name changes. T-test, and regression analysis are performed around the event study to analyze the effect on the entrepreneurial value of the entity's name change. Following the methods used by Cooper et al. (2001, 2005), Lee(2001) and Kot(2011) the abnormal returns earned by each firm are first computed as ARi,t = Ri,t − Rmt , t = -60,…..,+60, where Ri,t is the return for firm i on day t and Rmt is the KOSDAQ index return for day t. The cumulative abnormal return (CAR) over various event windows is then calculated. This study analyzes the impact of company name change on the value of the company by dividing the event period into the entire event period (-60 to +60) and the period before the company name change announcement (-60 to -1) and the period after the company name announcement (0,+60) in order to understand the efficiency of the KOSDAQ market. The results of the analysis are as follows: First, a corporate name change has had a positive effect on the value of the entity, and the market is responding efficiently to that issues. Second, there are no significant differences in market response depending on whether the ICT-related industry or not. Third, the market responds significantly positively to changing to ICT-unrelated terms, whether or not ICT-related industries are involved. Fourth, in the case of ICT-unrelated industries, it is recommended that existing ICT-related terms remain the same. Fifth, there are expectations that the fourth industrial revolution will create another bubble, but the technology trend in companies in general is shifting to IT-based and investors are becoming smarter than before, so the pre-2000 bubble is not happening again. The implications of this study are as follows: First, this study differentiates itself from prior research by analyzing changes in corporate name by adding delisting companies and excluding corporate name changes accompanied by structural change through mergers. So the effect of corporate name changes is more specifically demonstrated in the KOSDAQ market. In addition, factors that have caused differences in market response are found and analyzed in order to determine which characteristics differ from each other, and robustness analysis is performed to ensure this. Nonparametric statistics are also addressed to reduce the resulting limits of the sample. Therefore, it is recommended that follow-up researchers who want to analyse the market response to reciprocal changes take this into account. Second, this research is the first paper in Korea to analyze market responses to ICT-related terms with valid samples, depending on whether ICT-related industries are involved, and will be a useful guide when companies concerned consider changing their corporate names. This will also be an important guideline for investors who wish to invest ...

IPO가 동종 산업 내의 기존 기업에 미치는 영향에 관한 연구

김기영,이장우 대한경영학회 2023 大韓經營學會誌 Vol.36 No.7

The purpose of this paper is to analyze the effects of initial public offerings (IPOs) on existing companies within the same industry, in terms of short-term and long-term operating performance. First, we selected IPO events between 2000 and 2015, excluding financial companies, and chose only those IPOs without larger IPO events within the same industry during the 4-year period before and after the IPO as the event. This method of identifying IPOs has both advantages and disadvantages. The advantage is that by selecting only larger IPOs, we can use IPOs with minimal contamination during the measurement period, and by comparing relative sizes, we can avoid the convenience of arbitrarily selecting IPOs. The disadvantage is that there may be a disadvantage of a concentration of IPOs during the early 2000s when IT-related companies were heavily listed. However, the analysis of the distribution by year and industry classification showed that they were evenly distributed each year. Therefore, by applying the criteria of selecting only IPOs without larger IPOs than the IPO within four years before and after, we can obtain the advantage of minimizing the dilution of IPO effects. The industry classification is based on the subcategories of Korean Standard Industrial Classification. For the selection of existing companies within the same industry, we used companies listed on the KOSPI and KOSDAQ markets, excluding financial companies between 2000 and 2019. To analyze the short-term performance of existing companies, we used the event study method, and for the long-term operating performance, we used univariate and multivariate analyses. To use the event study method, we calculated the cumulative abnormal returns (CAR) using the risk-adjusted return, market-adjusted return, and average return. For the univariate analysis, we used variables representing growth, *stability, and profitability, such as the total asset growth rate, sales growth rate, operating income growth rate, debt ratio, total asset turnover, and ROA1 (the ratio of net income to total assets) and ROA2 (the ratio of operating income to total assets). We conducted a mean difference test using the average values of each variable for the 3 years before and after the IPO. To determine if the results of the univariate analysis were due to the IPO or other factors, we also conducted a multiple regression analysis using the fixed effects model. The dependent variable (performance) included total asset growth rate, sales growth rate, operating income growth rate, ROA1, and ROA2, and the independent variables (controls) included the age of the company, the company's assets, the previous year's values of the dependent variables, and a dummy variable that took the value of 1 if an IPO event occurred in the industry in the year or within 3 years after the year, and 0 otherwise. The analysis of short-term performance showed that the cumulative abnormal returns (CAR) calculated using the risk-adjusted return, market-adjusted return, and average return all started to decline from five days before the IPO and continued to decline for the following five days. The univariate analysis showed that, except for the operating profit growth rate and debt ratio, all financial ratios had a significant decrease in the average value for three years after the IPO compared to the average value for three years before the IPO. The multivariate analysis showed that, except for the total asset turnover and debt ratio, IPO had a significantly negative impact on all financial ratios of existing companies in the same industry. Therefore, it can be analyzed that IPO has a negative impact on the short-term and long-term operational performance of existing companies in the same industry. As part of a robustness test, the IPO event was selected only for IPOs that were the largest in the industry and did not occur within four years before or after the IPO event. This was changed to three years for the a... 본 논문은 IPO가 동종 산업 내에 있는 기존 기업들에게 미치는 영향을 단기성과와 장기 영업성과 측면에서분석하였다. IPO 이벤트 선정에 있어서 2000년부터 2015년 사이에 금융 기업을 제외하고 코스피(KOSPI)와코스닥(KOSDAQ) 두 시장에 신규 상장을 한 기업 중 IPO 전후 4년 동안 동종 산업 내에 더 큰 규모의 IPO가 없는IPO만을 이벤트로 선정함으로써 IPO 이벤트의 효과가 다른 IPO 이벤트에 의해 희석되는 것을 최소화하였다. 산업을분류하는 기준은 한국표준산업분류의 중분류를 기준으로 하였다. 동종 산업내에 있는 기존 기업 선정시 2000년부터2019년 사이 금융 기업을 제외하고 코스피(KOSPI)와 코스닥(KOSDAQ) 두 시장에 상장되어 있는 기업을기존기업으로 하였다. 기존 기업들의 단기성과를 분석하는 방법으로 이벤트 스터디(event-study)를 사용하였으며, 장기 영업성과를 분석하는 방법으로는 단변량분석과 다변량분석을 사용하였다. 단변량분석의 변수로는 총자산증가율, 매출액증가율, 영업이익증가율, 부채비율, 총자산회전율, ROA1, ROA2를 사용하였으며 각 변수의 IPO 전 3년과이후 3년의 평균을 이용하여 평균차 검정을 실시하였다. 단변량분석 결과가 IPO에 의해 발생한 것인지 다른 요인에의해 발생한 것인지에 대해 분석을 위해 고정효과모형을 사용하여 다변량분석도 실시하였다. 단기성과를 분석한 결과, 위험조정수익률, 시장조정수익률, 평균수익률을 사용하여 구한 누적초과수익률(CAR) 모두 IPO 전 5일부터 하락하기 시작하여 이후 5일 동안 그 효과가 유지되는 것으로 나타났다. 단변량분석 결과, 영업이익증가율과 부채비율을 제외한 모든 재무비율에서 IPO 전 3년간 평균에 비해 IPO 후 3년간 평균이 유의미하게하락하는 것으로 나타났다. 다변량분석 결과, 총자산회전율과 부채비율을 제외한 모든 재무비율에서 IPO가 동종산업 내에 기존 기업에게 유의미하게 부정적인 영향을 미치는 것으로 나타났다. 따라서, IPO는 동종 산업 내에있는 기존 기업의 단기성과와 장기 영업성과에 부정적인 영향을 미친다고 분석할 수 있다.

개인정보 유출의 정보전이 효과

박상수 ( Park Sang-soo ),이현철 ( Lee Hyun-chul ) 한국정보시스템학회 2018 情報시스템硏究 Vol.27 No.1

Purpose Targeting Korean companies listed on Korean securities markets (i.e., KOSPI and KOSDAQ markets), this study aims to shed lights the effects of personal information security breaches on stock prices of information security companies. Interestingly, this study is, to the best of our knowledge, the first to examine the information transfer effect on personal information security breaches of companies. Design / Methodology /Approach To examine the information transfer effect of personal information security breaches, our study employs the event study commonly used in financial studies. To this end, we investigate a variety of events of personal information security breaches of companies listed on the KOPSI stock market and the KOSDAQ market. We collect the total samples of one hundred and twelve with forty seven of events of personal information security breaches by thirty companies and sixty five of information security companies. Findings The principal findings from the empirical study are as follows. First, for companies of personal information security breaches, our event study presents the significantly negative AAR (averaged abnormal return) value on the event day at the 5 % level and the highly significant negative CAAR(cumulative averaged abnormal return) value on the event day and the day after the event day at the 1 % level. The results suggest that personal information breaches significantly contribute to an decrease in value of the information breached companies. The cross sectional regressions in this study estimate the significantly negative coefficient for the ME/BE variable, the proxy for a growth opportunity at the 5 % level. This suggests a reverse relation between the growth opportunity of companies and their value. As for the various samples of the information security companies categorized by physical security, network and system security, security application software, code authentication, system integration, we find the significantly positive AAR on the day after the event day at the 5% level, only for the network and system security-companies. This addresses that the information transfer effect followed by personal information breaches is uniquely observable for companies categorized into network and system companies. The regressions for the network and system companies estimate the significantly positive coefficient for the NS dummy variable (i.e., the dummy of the network and system security companies) at the standard level. This allows us to identify appropriate times needed to make the information transfer effect realized from personal information breached companies to information security companies.

불성실공시법인 지정 및 벌점부과에 대한 주가반응

이용석(Yong Seok Lee),박희진(Hee Jin Park),이세철(Se Chul Lee) 한국경영학회 2014 經營學硏究 Vol.43 No.2

The purpose of this study is to observe the capital market reaction concerning designation as an unfaithful disclosure company and imposition of penalty points. For this purpose, two methodologies are used in the study. The first methodology is the event study method which analyzes the stock market return before and after unfaithful disclosure designation due to reasons such as disclosure failure, disclosure overturn and disclosure change. The second methodology is the regression analysis method where the dependent variable is set as the daily stock return of the unfaithful disclosure company and the explanatory variable is set as the unfaithful disclosure penalty point. Information disclosure to the capital market performs the function of enabling efficient allocation of resources by alleviating the information asymmetry problem that exists between the internal and external users of companies. If the reliability and accuracy of the information disclosure which performs these functions are not secured, the market participants will have doubts on the reliability of the information provided by the companies, and there will be difficulty in assessing the objective value of the companies. Being designated as an unfaithful disclosure company means there is an error in the speed, accuracy and reliability of the information disclosure of the company, and it can be said that the gravity of the violation is heavier when the penalty is higher. If market participants interpret unfaithful disclosure designation and imposition of a penalty as increased uncertainty of information disclosure and a decline in reliability, the resulting negative perception will be reflected in the stock prices. Therefore, if the designation of unfaithful disclosure has an additional information effect in the capital market, the corresponding company is expected to have a negative stock price reaction on the day of unfaithful disclosure designation. This expectation has been validated by Sohn(2001) and Choi et al.(2013). However, since there is a chance that the results of previous studies such as these are due to many other factors of unfaithful disclosure of a corporation, it cannot be concluded with certainty that the cause of the negative stock price reaction is only due to unfaithful disclosure. Therefore, in addition to the case studies of previous studies, this study conducts regression analysis on the profit rate of the date of unfaithful disclosure company designation and penalty points for unfaithful disclosure, to verify aspects previous studies failed to verify due to inadequate material on penalty points. The analysis result shows a drop in the stock market return from the day of the designation of unfaithful disclosure, and a statistically significant negative cumulative return. This result signifies that stock market participants perceive designation of unfaithful disclosure as a negative event that impacts stock prices. Meanwhile, though the negative response was expected to increase proportionally with the imposed penalty points during the quarter of penalty imposition, the penalty points and negative reaction of the capital market were found to be unrelated. On the other hand, the negative response of the capital market was found to increase according to the level of penalty accumulation through past designation of unfaithful disclosure. This study is differentiated from previous studies as it directly observes the effect of penalties through a short-term stock price reaction based on the date of unfaithful disclosure designation. In addition, the study presents an intuitive result that the expense of a firm may increase due to the designation of unfaithful disclosure. Furthermore, the result of this study that unfaithful disclosure penalties accumulated from the past is related to the capital market reaction on the day of unfaithful disclosure designation is expected to provide significant implications to information users such as executives,

Event Study 방법론을 통한 지역 중소기업들의 환위험노출 추정

최성희(Sunghee Choi),이기동(Ki-Dong Lee),최종일(Jong-Il Choe) 한국경제연구학회 2012 한국경제연구 Vol.30 No.2

기업의 동시기적(contemporaneous) 환위험노출을 분석하기 위해 기존의 논문들이 대표적으로 사용하는 Adler and Dumas(1984) 실증모형은 통계적으로 유의한 추정결과를 제시하는데 한계를 가지고 있다. 따라서 본 논문은 기존의 전통적인 방법론과 달리 event study 방법론을 사용하여 2008년 글로벌 금융위기시 발생하였던 급격한 환율변동이 비수도권에 위치한 주요 4대 지역의 중소기업 수익률에 미친 효과를 분석하였다. 실증결과로서 전체 기업의 약 51%가 환율변동에 유의하게 노출되는 것으로 발견되었는데, 이는 기존의 10% 내외의 성공률과 비교할 경우 매우 개선된 결과이다. 또한 높은 수출비중과 많은 단기차입금을 가지고 있는 기업일수록 더 높은 노출 정도를 보인 것으로 발견되었는데, 특히 단기차입금과 관련된 결과는 기존의 연구에서 다루어지지 않았다는 점에서 의미가 있다. Existing literature using the standard empirical model of Adler & Dumas(1984) for estimating exchange-rate exposure of firms have difficulty in providing statistically significant results. Responding such difficulty, this paper first attempts to find the impact of the sizable exchange rate changes on returns of Korean “small and medium enterprises (SME)” located in 4 major regions out of the capital area for the 2008 global credit crisis period using the event study method. The primary finding is that about 51% of the total sample SMEs are significantly exposed to exchange rate fluctuation, which is an astonishing result compared to about 10% by most of prior studies. In addition, it is found that the significantly exposed SMEs have higher ratio of export to total sales and greater short-term debt, on average, rather than insignificantly exposed SMEs.