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나영(Young Na),노희성(Hee Seong Roh) 한국경영학회 2019 經營學硏究 Vol.48 No.3
Until now, the size effect of merger firms has been analyzed as the anomaly of the stock market through many studies. However, there is no study on the effect of information asymmetry on the size effect of merger firms. In this study, we examine whether there is the size effect of merger firms. Furthermore, we find that the main cause of merger firms’ size effect is information asymmetry, and the difference of information asymmetry by company size and stock market is one of various different causes. In this study, among the listed companies in Korea Stock Exchange (KSE) from 2003 to 2017, 385 samples are selected for closing date of the fiscal year-December firms. The dependent variable is the cumulative average excess return for five days before and after the merger disclose date for examine whether there is a difference in the results of the hypothesis testing according to the accumulation period. In addition, independent variables are firm size and stock market dummy variable. Also, information asymmetry variables are stock volatility and stock trading volume turnover rate, and we analyze whether the difference in information asymmetry by firm size and stock market size variable can further explain the size effect of merger firms. The results of the study are summarized as follows: When the size effect of the merged firm is set as the market capitalization of the previous year, it can be find that the size effect of the merged firm is existence. However, dividing them into stock markets did not find a size effect. In addition, it can be find that the difference in information asymmetry between firms and their stock market is one of the various reasons for explaining the size effect of merged firms. The results of this study, for which we analyze whether information asymmetry by firm size is the cause of the merger firm size effect, suggesting the followings. First, from 2003 to 2017, the size effect of merger firms exist to domestic listed firms. Second, the size effect of merger firms, which is an anomaly of the stock market, can be explained by the differences of information asymmetry due to firm size and stock market. This suggests that the difference in information asymmetry between firm size and stock market is the main cause of the size effect of merger firms. The results of this study are expected to be useful information for subsequent researchers to study the size effect of merger firms.
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