수요예측제도 도입과 채권발행가격 결정요인 분석

[Purpose] The purpose of this study was to examine initial pricing behavior in Korean corporate bond market and compare degree of mispricing after introduction of book building process. [Methodology] For this study, we collected 2925 primary market data from 300 Korean firms between 2007 and 2018. The multiple regression analysis with clustered standard errors and fixed effect model were hired in order to analyze the data. [Findings] We found new issues were overpriced by 6.88bp compared to seasoned issues because of excessive demand for new issues and investment grade bond were more overpriced than speculative grade bond. Second, the overvaluation phenomenon was weakened from 10.43bp before the book building process to 3.23bp after the process change. This is because the introduction of the book building process resulted in the increase in market efficiency. [Policy Implications] This is the first study on pricing behavior in Korean corporate bond market and expands the results of previous studies by suggesting and using new measures for mispricing. This study also addresses the changes in bond issuing market system and the impact of mispricing. It is expected that this study will greatly contribute to understanding issuance system and pricing behavior in corporate bonds.