우리사주 초과수익률에 영향을 주는 요인에 관한 실증분석

This is the empirical study on the main factors to affect the employee’s financial increase in the Employee Stock Ownership Plan(ESOP). The data get from the Korea Securities Finance corporation(KSFC), the exclusive custodian for ESOP of the Republic of Korea. The study examines the relationship between the excess returns of the ESOP share and the market volatility, conditional beta, market value, ratio of acquisition and ratio of debts. The results of the empirical study has two main findings. First, the ESOP of the Korea Stock Exchange (KSE) listed firms have the incentive for investment. KSE listed firms have the excess returns of the ESOP share in spite of the lower risk than the market risk. In contrast, Korean Securities Dealers Automated Quotations (KOSDAQ) listed firms have lack of the incentive. They have the higher risk than the market risk but there are no excess returns of the ESOP share. Second, in the KOSDAQ listed firms case, while there is no effect on the ratio of debts, the bigger the volatility and the bigger the market values of the ESOP share and smaller the conditional beta and the higher the ratio of acquisition, the higher the ESOP excess return significantly. Consequently the government’s policy of the ESOP vitalization have to focus on increasing the ratio of acquisition of the KOSDAQ listed firms’ ESOP share.