KOSPI 200 변경기업 장기성과 이례현상

This study examines the behavior of stocks during the first 250 days after the listing or delisting from the KOSPI 200. Also this paper analyzes the correlation between firms’ long- term stock returns and performance prior to the listing/delisting of the equity. Prior studies mainly examined short term market reaction, while this study centers on the long term market performance. Results show that while the portfolio of delisted stocks add over 20% CAR during the 250 day period, the portfolio of listed stocks do not abnormally significantly different in long term market performance. Also, results showed that returns over the post event (addition/ deletion) periods are affected by cumulative returns of prior events periods, regardless of addition or deletion samples. This is explained by the hypothesis that even after controlling all other factors, long-term performance is influenced by listing changes itself. In multiple regressions which examine factors that affect the long-term excess return, studies show that the long term excess returns posted prior to the listing/delisting influence the returns posted after the listing/delisting. The post factor returns showed positive figures when dummy variables that indicates long-term excess return after change were applied to the prior and post listing/delisting returns. Therefore, this study ascertains that index change affects long-term performance as determined by constant patterns of abnormal returns, which contradicts the efficient market hypothesis. Particularly, for the delisted sample firms from indices of KOSPI 200, our study shows an exceptional phenomenon as share prices were additionally fallen due to the event, however, over the long term window, cumulative returns reversed during the 250 day period.