주간사와 기관투자자간의 거래관계가 IPO 배정(Allocation)에 미치는 영향

Prior studies focusing on the U.S. market show that underwritersfavor certain institutional investors in IPO allocation due to various reasonsexplained by book-building hypothesis (e.g., Benveniste and Spindt, 1989;Benveniste and Wilhelm, 1990; Spatt and Srivastava, 1991 etc.), agencyproblem based hypothesis (e.g., Loughran and Ritter, 2002; Reuter, 2006;Ritter and Zhang, 2007 etc.) and so on. In this study, we examine if andhow the strength of prior business relationship between underwriters andinstitutional investors affects IPO initial allocation in Korean market. Toaddress the issue, we use monthly mutual fund holding information andIPOs listed in KOSDAQ market during 2002 to 2012. To our best knowledge,this is the first study that examines the IPO initial allocation in Koreanmarket. Studies on IPO allocation generally suffer from data availabilitysince the allocation data is not publicly available. They all used either quarterlyor semi-annual mutual fund holding information to proxy for initial IPOallocation to institutional investors, which has clear limitation. We try toovercome the data limitation by using monthly mutual fund holdinginformation for the first time in the literature and applying additionalscreening procedures to identify initial IPO allocation to mutual funds. Wemeasure the strength of prior business relationship by (1) the total investmentamount by each mutual fund in IPOs underwritten by each underwriter,(2) the number of participation by each mutual fund in IPOs underwrittenby each underwriter, and (3) the average investment amount by each mutualfund in each IPO underwritten by an underwriter, based on prior one andtwo years of IPO participation information by each mutual fund. We find that about 78.4% of our IPO sample was allocated to mutualfunds at the time of IPOs. The results show that underwriters allocate moreIPOs to funds with stronger prior business relationship, especially when IPOs are more underpriced (positive initial returns). On the other hand,when IPOs are overpriced (negative initial returns), mutual funds withstronger prior relationship receive relatively less IPOs. On average, thehigher institutional investors’demands are, the smaller IPO allocation toindividual fund is. However, even in IPOs with higher institutional investors’ demands, mutual funds with stronger prior business relationship receiverelatively more IPO allocation. In addition, consistent with Sherman and Titman (2002), we find thatmutual funds that were allocated with overpriced IPOs (or IPOs with negativeinitial returns) in the past receive more underpriced IPOs in the currentallocation. Park et al. (2011) argues that there is a higher probability thatKorean securities firms allocate IPOs underwritten by themselves to theiraffiliated mutual funds. We find that underwriters, on average, allocateless IPO shares to affiliated funds. For underpriced IPOs, however, theyallocate more shares to affiliated funds, which is consistent with the conflictof interests argument. Overall our results indicate that underwriters favorregular investors with stronger business relationship in IPO allocation inKorean market.