합병기업 규모효과의 산술적 요인에 대한 연구

It has been reported that abnormal stock price return of an acquiring firm shows 'the size effect' around the the M&A announcement date. The effect says that the abnormal return is negatively related with size of the acquiring firm. This study classifies the size effect into two categories such as 'the size effect in absolute form' and 'size effect in relative form'. The size effect in absolute form denotes the case where the average abnormal return of a group of small sized acquiring firms is positive while that of a group of large sized acquiring firms is negative. The size effect is categorized as 'relative form' when the average abnormal returns of both groups are positive. This study shows that the size effect in relative form might be distorted by arithmetic factors involved in measuring the performance of the acquiring firm, which has no economic meaning. Empirical evidence supporting that the arithmetic factors are the major driver of the size effect in relative form is also presented. As a result, it is claimed that the arithmetic factors have to be removed to obtain real economic meaning of the size effect. The study suggests a procedure to remove the arithmetic factors from the size effect and applies the procedure to measure 'true' size effect which has economic meaning. After the arithmetic effect is factored out by the procedure, it is found that the performance of the acquiring firm around the M&A announcement date is positively related with the size of the firm. This finding is contrary to the existing literature reporting size effect in relative form.