투자자의 감정이 자사주 매입에 미치는 영향

This paper examines the investor sentiment and market timing of stock repurchases using 835 samples of KRX (Korea Exchange) stock repurchase announcements between 1999 and 2007. We employ the framework of Baker and Wurgler (2006) to measure the investor sentiment on stock market. Results of event study are consistent with the previous empirical findings. The cumulative abnormal returns (CARs) using the market model between 0 and +3 of the event date are statistically significant, averaging 4.01%. Also, the average of twelve-months cumulative abnormal returns (CARs) is 10.65% that is consistent with the underreaction hypothesis of Ikenberry, Lakonishok, and Vermaelen (1995). Our empirical findings are as follows. First, we cannot find that stock repurchases are more likely to be announced by firms which are more sensitive to investor sentiment in cold market. Second, repurchases are more likely to be announced by firms with longer operating age and higher volatility in positive sentiment periods. Third, we find that firms with higher sensitivity to sentiment are tend to underreact to the repurchase announcements. This implies the existence of market timing of repurchasing firms. Forth, more positive sentiment leads to lower short-term abnormal returns, however, it leads to higher long-term abnormal returns. We found that investor sentiment is important factor for firms to decide stock repurchases, especially for firms with higher sensitivity to sentiment such as longer operating age and higher volatility. This result is consistent with the market timing hypothesis when we analyze both higher sensitivity to sentiment and long-term abnormal underreation of repurchase firms.