공모주 투자자보호제도가 상장초기수익률 및 그 불확실성에 미치는 영향에 관한 연구: KOSDAQ을 중심으로

This paper investigates the effect of investor protection (IP) of initial public offerings (IPOs) on the initial returns of IPOs and the variability of the initial returns in KOSDAQ. The initial returns are measured with the returns of the close prices at the 21st secondary market dates over the issuing prices. From the data of 569 IPOs between July 2000 and December 2010, the paper reports the followings. First the average of the initial returns in the period of repeal of the IP decreases and the pricing errors as the standard variations increases. The amount 64% of the IPOs in the period is overpriced. Second the initial returns and the pricing errors in the period between July 2000 and December 2010 are strongly interrelated. The interrelationship is strongly affected by the existence of the IP and the market conditions. The existence and the market conditions cause the intial returns and pricing errors time-varying. These imply that the existence as well as the market conditions strongly influences the initial returns and the pricing errors and that the introduction of the IP could reduce the variability to lead private firms to the public ones.