채권발행가격 저평가 현상 연구

[Purpose] Despite the high interest in IPO underpricing in the stock market, studies on the domestic primary bond market are rare. This study aims to broaden the scope of research on the bond market by analyzing primary bond market data and actual transaction data in the secondary market, and by analyzing the underpricing on bond issuance prices. [Methodology] This study compared between the issuing prices and secondary market prices of 567 corporate bonds issued from October 2013 to 2018 after the introduction of the book building system, and confirmed whether there was a phenomenon of underpricing of bond issuance prices. In order to find the cause of the underpricing of issuance price, factors such as information asymmetry, book building, and liquidity were identified, and multiple regression analysis was performed to control and analyze the characteristics of individual companies. [Findings] As a result of the empirical analysis, it was confirmed that the issuance price of the domestic bond market was underpriced by about 0.46bp like the stock market IPO, and this underpricing phenomenon was large in high yield bonds with large information asymmetry. In addition, it was confirmed that the liquidity of high－yield bonds and the competitive rate of book building of high－quality bonds can affect issuance and secondary market prices. [Policy Implications] The domestic primary bond market has been stable since the introduction of the book building system, but it is difficult to access capital by companies with speculative credit ratings, making it difficult to raise capital through public bond issuance. Therefore, it is necessary to consider a system in which the underwriters can issue public bonds with responsibility like applying exceptions in a stock market, and it is judged that it is necessary to devise measures to stimulate transactions, such as granting tax benefits to investors in the secondary market.