한국 주식관련사채의 전환공시효과 분석 : 국내외 CB, BW의 비교를 중심으로

In recent years, there have been a lot of empirical studies on the announcement effects of CB(convertible bond) and/or BW(bonds with warrant) issuing. To our knowledge, however,there is no literature on the announcement effects CB/BW conversion requests. In this paper,therefore, we tried to investigate the announcement effects of Korean firms' CB/BW conversion requests(hereafter, CB/BW conversion). The empirical findings are as follows. First, announcement of CB/BW conversion has a significant positive effect before announcement day plus a following significant negative effect after announcement day. Second, a significant positive effect before announcement day can be explained by timing strategy of bondholders. In other words, investors exercise conversion rights when stock prices are high enough to make money. Third, CBs and BWs issued overseas have a stronger negative announcement effect than domestic ones in issuing announcement while there are little differences in conversion announcement. In sum, announcement of Korean firm's CB/BW conversion have a significant negative effect after announcement day. These results imply that investors regard announcement of CB/BW conversion into stocks as a bad news even though market has already incorporated all the informations on CB/BW issuing.