개인투자자의 IPO 주식 투자성과에 영향을 미치는 요인

We analyze constraints on individual investors’ investment in IPO stocks, and factors affecting their investment performance measured by profit amount instead of first-day return, using Korean data consisting of 570 companies from January 2009 to December 2018. Our main findings are as follows. Subscription competition among individual investors is fierce, with the average rate of 460 to 1. It takes approximately three days from the date of subscription to be refunded, and because of fierce competition and the deposit for subscription system that requires 50% of the subscription amount, individual investors are required to be able to raise hundreds of times the amount they want to make actual investments. Assuming individual investors are able to raise 100 million won for deposit, an average profit of 87 thousand won per IPO is generated after reflecting constraints and transaction costs, in sharp contrast to the average first-day return of 33.1 percent. Next are the analysis of factors affecting investment performance. First, among the signal effect variables, ESOP share ownership and voluntary lockup rate of institutional investors significantly increase the profit amount. This indicates that individual investors can obtain useful signals about the quality of IPO companies by observing issuance of ESOP shares and the institutional investor’s promise of non-sale. Second, among the market situation variables, the higher the number of IPOs in the last three months and the return on the KOSDAQ index for one month just before the subscription date, the greater the profit amount. Third, among the firm characteristics variables, whether to attract investment from venture capital reduces the profit amount, suggesting that venture capital, an existing shareholder, is exerting influence on the setting of offer price in a way that prevents the transfer of wealth to new shareholders. Fourth, among demand and supply effect variables, while the competition rate for individual investors’ subscription negatively affects the profit amount, the competition rate for institutional investors’ book-building has a positive effect on the profit amount. Fifth, among the deal characteristics variables, the scale of IPO negatively affects the profit amount in the KOSDAQ sample, but the statistical significance was weak. Unlike previous IPO-related studies focused on identifying the causes of underpricing, this study has an academic contribution in that it analyzes how much profit individual investors can reap in the overall underpricing situation and what factors affect their investment performance. Also, there are practical implications for investors investing in IPO stocks in that this study present useful variables that are readily obtainable and highly informative.