전환사채 발행공시과정에서 나타나는 정보비대칭에 관한 실증연구

Recently investors have been interested in the effect of issuance announcement of convertible bonds on the stock price and in the reason why it is so effective. The purpose of this study is to examine abnormal stock returns associated with announcement of debt offerings, and to determine whether the abnormal stock returns at announcement of convertible debt offerings can be explained by information asymmetry models. This study also tested the hypothesis that managers issue convertible bonds when they consider stock prices as being overpriced. The empirical part of this study took a sample of 183 companies that issued convertible bonds during the period from January 1, 1994 to December 31, 1997. The study examined whether there took place abnormal stock returns during event period(AD -30 to AD +30) for the full sample and for the subsamples that are classified by the characteristics of convertible bonds, i.e., whether the bonds are guaranteed or not, the kind of the stocks into which the bonds will be converted, and the use for which the money was raised. The study also examined whether managers issue convertible bonds when they think stock prices are overpriced. Also, this study analyzed the relationship between abnormal stock returns and variables of information asymmetry models. In order to determine the factors that explain abnormal stock returns at announcement date, a multiple regression model(where, cumulative abnormal stock returns is an independent variable, and the variables used in the hypothesis associated with the issuance effect of convertible bonds are dependent variables) was employed. In order to examine the abnormal stock returns for the announcement period, themarket and risk adjusted model was selected. The findings of the empirical study can be summarized as follows: First, in the case of the full sample, an averaged abnormal return of one day after announcement is -0.424% which is significantly different from zero at the 5% level. This result indicates that there is a negative relationship between issuance announcement of convertible bonds and abnormal stock returns. However, in the case of subsamples, this negative relationship was found only in the bonds the conversion of which was guaranteed, the bonds that were converted into common stocks, and the bonds the money raised from which was used for operations and refinancing. Second, the empirical results in the full sample showed cumulative abnormal returns for the period, (AD -10 to AD -1), allowed the hypothesis(that managers issue convertible debt when they think sock prices are overpriced) to be accepted. In case of subsamples, the hypothesis was accepted only when the bonds were converted into common stocks and when the bonds were issued for operations and refinancing. This study has a limitation in drawing conclusions from its empirical data. The problem is in collecting data. This study selected independent variables for its regression model to analyze the extent of the influence of the issuance announcement of convertible bonds on the stock price. The values of the independent variables were obtained from the financial statements of the sampled firms. The problem is in the fact that the values of the independent variables appeared on the financial statements may not coincide with the values at the issuance announcement date. It is hoped that future studies on the information effect of convertible bonds on the stock price should be conducted in the direction of developing the models that can measure abnormal stock returns more elaborately and can better explain the factors that determine abnormal returns.