사건연구(event study) 방법론을 이용한 정상주가 산정: 테마주 종목을 대상으로

In the case of unfair transactions such as price manipulation or false disclosure, the amount of damage to firm value due to the transactions is calculated as the difference between the actual stock price and the theoretical price that would prevail if those transactions were not carried out. Event study method is used to estimate the theoretical price, which is often called the normal price. This methodology has been widely used since Fama, Fisher, Jensen, and Roll(1976) first used it to test the efficient market hypothesis. Empirical studies examine the stock market’s response to various corporate decisions including stock offerings, merger and acquisitions, stock split, etc. to measure the effect of such events on firm value. In an event study it is important to control the variables that affect the stock price other than the event. The return of the overall market index and/or the return of industry index are generally used as control variables. In the case of so-called theme stocks, however, an event study using this traditional market model often leads to excessive abnormal returns. The goal of our study is to suggest an alternative regression model for estimating the normal price of theme stocks. We find that modified regression models including the index for theme stocks provide more reliable results than the traditional model does. We develop the index for theme stocks in accordance with the method used for other indexes of Korea Exchange, and add it to the market model as a new control variable. By doing so, we are able to exclude the price effect which is attributable to theme stocks from the actual stock price, and result in relieving the problems of exaggerated abnormal returns. We expect that the result of our study can contribute to improving the calculation of losses in firm value particularly when theme stocks are involved with unfair transactions.