코스닥기업의 실패요인과 주가반응에 관한 연구

Recently, failure rates of Kosdaq IPO firms are increasing and their survival rates tend to be very low, and when these firms do fail, often times backed by a number of governmental financial supports, they may inflict severe financial damage to investors, let alone economy as a whole. To ensure investors' confidence in Kosdaq and foster promising and healthy businesses, it is necessary to precisely assess their intrinsic values and survivability. This study investigates what contributed to the failure of Kosdaq firms and analyzed how these elements are factored into corresponding firms' stock returns. Failure risk assessment model uses financial variables that are frequently discussed in previous distress related studies to predict a firm's failure. This study treats internet and non-internet firms separately based on its findings that attributes of internet industry induce a significant impact on a firm's valuation, and thus failure risks involved with internet firms may not apply to the other. Sample firms used in this study include 98 Kosdaq firms that have failed and 98 matched healthy firms that are classified into the same industries categories, and Logit models are used in estimate the probability of failure. Empirical results show that firm's size, ROA, current ratio, and financial leverage, obtained a year prior to failure, are related significantlt to failure risks, and they are subsequently reflected in the stock price. Failure risks are negatively related to annual size-adjusted abnormal return for non-internet firms. This model, however, has shown little relevance and efficacy in assessing failure risks for internet firms, indicating that the model must consider firms' value drivers (e.g. web traffic) of internet firms. The results of this study may be useful for government regulatory officials to set up pertinent policies and for credit analysts to evaluate firms' credit standings.