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Korean Journal of Financial Studies 2015;44(1):157-187.
Published online February 28, 2015.
Comprehensive Review of Listing Eligibility and Information Asymmetry
Po Sang Lee, Jin Woo Park
상장적격성 실질심사제도와 정보비대칭
이포상, 박진우
Abstract
Using the firms that are considered as the object of comprehensive review of listing eligibility by the Korea Exchange, this paper investigates the possibility of information asymmetry in the Korean stock market. Specifically, this paper analyzes the price movements and the trading patterns by investor types surrounding the review process as well as the change in the share ownership of large shareholders prior to the event. The results are summarized as follows. First, the firms that become the object of comprehensive review have suffered from financial distress for a long time before the event. Second, there exist negative abnormal returns for the firms that are decided to be listed after the review whereas abnormal returns are not observed for the firms that are exempt from the review. In particular, the firms that are delisted as a result of the review exhibit the abnormal return of -73.70% on the first day of the cleanup period, incurring a huge loss on shareholders. Third, during the period of one year prior to the review, domestic individual investors are net buyers while both domestic institutional investors and foreign investors are net sellers. In particular, the more purchase of individual investors is observed for the delisted firms. Fourth, the share ownership of large shareholders, on average, declines by more than 30% over the course of two years prior to delisting. Finally, the logit regression result shows that the reduction in the shareholding of the large shareholders is a significant predictor of becoming the object of comprehensive review as well as the possibility of delisting.
Key Words: 개인투자자,대주주 지분,상장적격성심사제도,정보비대칭,투자자유형별 매매패턴,Individual Investors,Information Asymmetry,Large Shareholders,Listing Eligibility,Trading Patterns by Investors Types


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