한국 분할공모주의 사적정보에 의한 공모가 결정요인과 수요예측제도의 가격발견기능

Using 90 samples of equity carve-outs (ECOs) from 2000 to 2013, this study explore the efficiencies of IPO pricing by testing the partial adjustments of the dynamic information acquisition hypothesis (Benveniste and Spindt, 1989) as well as the prospect theory (Loughran and Ritter, 2002). In addition, this study evaluates the price discovery on book-building processes at deregulated regime after 2007 July in Korean Market. My analysis reveals that both market return during offer-range setting period and demand on limit-bids are significantly related to both price update and initial return, the percentage change between the fifth-day closing price and the offer price, at deregulated regime. Especially, I argue that under strong oversubscription, partial adjustment of demand on limit-bids generally result in investor’s rent-seeking behavior not the compensation for well-informed investors and its behavior is clearly shown to primary ECOs which their parents are listed in KOSPI. Furthermore, the parent firms have not upset about leaving money on the table as incorporating the excess returns of parent the firm's stock over market index and primary offer size to both initial return and the Opportunity Cost of Going Public, the ratio of money left on the table to pre-existing equity value, market value at the fifth-day closing price less sum of proceeds and money left on the table from primary offers. The adjusted investors’ pricing, the residuals of normalized average limit price by elimination both the market and demand on limit-bids, is not related to the initial returns. Meanwhile, the adjusted investors’ pricing of the secondary ECOs is negatively related to the initial return by overpricing of both underwriter and investor due to parent’s deep intervention to ECOs’ pricing processes at deregulated regime. On the other hand, the empirical results indicate that the narrower offer range compared to regulation regime, has contributed to enhance the price discovery from limit-bids by triggering only investors who agree this offer range with confidence on their pricing to be participated on ECOs’ book-building. The Pricing discovery is measured by limit parity, the percentage change between the first-day closing price and the weighted-average limit price. However, the mispricing of secondary ECOs from investors undermines the price discovery by severe information asymmetry. I close that ECOs pricing in Korean market is not supporting the dynamic information acquisition hypothesis but the prospect theory, albeit on the improved price discovery of book-building mechanism at the deregulated regime.