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Korean J Financ Stud > Volume 48(3); 2019 > Article
Korean Journal of Financial Studies 2019;48(3):343-370.
DOI: https://doi.org/10.26845/KJFS.2019.    Published online June 30, 2019.
Listing of Preemptive Right Certificates and Arbitrage Opportunities
Pyung Sig Yoon
신주인수권증서의 상장과 차익거래 기회
This study analyzes investors’ trading patterns, and investment and arbitrage opportunities by examining the trading data of preemptive right certificates, which are issued from seasoned right offerings. The major findings of this paper are as follows: First, investors can earn 9.70% returns over approximately a one month period (annualized return of 95.69%) by selling stocks short and purchasing certificates. This stock-certificate arbitrage suggests that certificates are undervalued in the market. Second, during the certificate trading period, institutional investors show a selling trading imbalance whereas personal investors show a buying trading imbalance, compared to past trading patterns. Third, existing investors earn the same returns either by selling certificates or by participating in right offerings. Overall, the listing of preemptive right certificate makes the market more efficient not only by protecting minor shareholders’ wealth but also by providing new investment and arbitrage opportunities.
Key Words: 주주배정 유상증자,신주인수권증서,공시효과,거래행태,주식-신주인수권증서 차익거래,Seasoned Right Offerings,Preemptive Right Certificates,Announcement Effect,Trading Pattern,Stock-Certificate Arbitrage
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