자사주 매입 기회주의 가설과 대주주의 보유주식 매도 거래

This paper examines the managerial opportunism hypothesis of stock repurchase announcements by analyzing firms that announced open-market repurchases between 1999 and 2001. Previous studies on open-market repurchases have provided a number of potential explanations for the positive effect to such an announcement, including the tax advantages of share repurchases relative to cash dividends, a signaling of an equity undervaluation, reduction of excess cash flow, takeover deterrence, and stock option funding. Clearly, traditional explanations of open-market repurchase programs such as the undervaluation signaling hypothesis have value and may be a determinant in some cases. However, a question remains regarding open-market repurchases that has rarely been examined in finance literature: are there any firms who announce a repurchase without having either undervalued shares or any real intention of actual repurchasing them? Studies on false signaling of open-market repurchase have not been documented except by Fried (2001). He suggests a managerial opportunism hypothesis based on the agency theory of Jensen & Meckling (1976). Because there are no direct costs of false signaling regarding open-market repurchase, it is possible for majority shareholders including managers to falsely signal their shares to be undervalued. Despite Byun (2004) investigates the market reaction and long-term performance of false repurchasing announcements in Korea, he can not find clear evidence of managerial opportunism. He measures managerial ownership changes between before and after the announcement. The problem is that the time lag between the measuring and announcement dates is too long to pinpoint managerial trading. This paper tries to overcome such time discrepancy by analyzing actual managerial trading behavior. Repurchases announced by 'undervalued' motivation total 290 programs from 1999 to 2001 on Korea Exchange (KRX) which includes both the Stock Exchange and the Kosdaq market. According to the result of verifying actual market, to be profitable, a shareholder should not sell the stock after the buy-back disclosure if the purpose of announcement was undervaluation of the stock. The results show that the majority shareholders selling behavior occurs in about 35% of sample firms within three months period. Relatively less undervalued stocks' majority shareholders tend to sell off the stock after the announcement, which implies the disclosure of repurchasing can be false since the majority shareholders sell their stocks after the announcement. Our regression result shows that the SSR (stock sales ratio of majority shareholders) is much positively related to firms with higher IIR (institutional investor ratio), higher PCARs (previous cumulative abnormal returns), and higher CARs (cumulative abnormal returns). However, we find no statistical relation between the firm size and the SSR, although the sign is negative. We conduct regression analysis with control variables of Chaebol dummy and stock market dummy. The results also show the SSR has positive relation with IIR, PCARs, and CARs. It has been anticipated that if the majority shareholder sells after the repurchasing announcement, institutional investors' shares would be low since they closely monitor the corporate management. Yet, the institutional investors tend to have more shares (higher IIR) which means they have a tendency to seek transactional profits rather than act as monitoring investors. In a relatively small scale corporate, majority shareholder tends to sell the stock after the announcement. This may imply inefficient monitoring over the management. Finally, after the announcement, the majority shareholders tend to sell more stocks if the price rises up. Our results suggest that the managerial opportunistic behavior less likely exists in well monitored firms and the institutional investors in Korea provide insufficient monitoring activities.