분리형 사모 신주인수권부사채 발행의장·단기 공시효과에 관한 연구

This paper examines the short-term and long-term valuation effects of 554 detachable privately-placed bond with warrant (BW) issues. The sample is divided into a buyback group and a non-buyback group. Here, buyback refers to the case where warrants are sold to the affiliated persons such as the largest shareholders, CEO, director, etc. The major empirical findings are as follows. First, the buyback firms are quite different from the non-buyback firms. The buyback firms are financially distressed marginal firms, whereas the non-buyback firms are ordinary firms that typically want to increase the ownership interest. Second, the shortterm announcement effect of BW is significantly positive which is in sharp contrast with the previous results. This positive announcement effect holds only for the non-buyback group and the difference in short-term reaction between two groups is significant. Third, the one-year long-term effect is significantly negative and the difference in long-term reaction between two groups is also significant. Fourth, the short-term positive effect and long-run underperformance hold also for public-placed detachable BW issues. To summarize, the positive announcement effect and negative long-term reaction are documented only for the non-buyback group. For the buyback group, the positive short-term effect disappears due to the wealth transfer and the information asymmetry can explain the fact that the stock prices of those firms do not decline much in the long run.