해외증권 발행 유형별 정보효과

We examined the wealth effects of the announcement of issues of different type of foreign securities, such as CB, BW, EB, and DR issued by Korean listed firms during the period of 1998-2003. Announcement effects are measured using a standard event study methodology as described in Brown and Warner(1985). But the returns will be biased if there is a run-up in prices prior to the announcements. For this reason, we employ mean-adjusted return to examine the announcement effects. The results are as follows; First, announcements of issue of foreign convertible bond, foreign warrant bond, and DR all have significant positive effects on shareholder wealth. Under the strict listing requirements in the U.S. market, we think that the issuance of these kinds of securities conveys to the market some information as a sign of good quality companies. In our study, the magnitude of information effect is in the order of CB, BW, and DR. Second, we also find that when the sample is partitioned by price of issue, firms that issue convertible bond at premium show that cumulative abnormal returns increase over the period before and after announcement date. And firms that issue warrant bond at premium show that cumulative abnormal returns slightly increase after announcement date. Third, we found that the announcements of the issue of foreign CB have more positive effects on the stock price than those of domestic CB. Our results are consistent with evidence that Japanese equity-linked offshore issues have a significant positive stock price reaction, but contrast with evidence that U.S. equity-linked issues have a significant negative stock price reaction.