국내 기업집단의 주가지체현상에 관한 연구

Abstract

This paper examines the stock price delay of Korean firms that belong to large business groups. We develop our hypothesis based on the contagion effect hypothesis and propping hypothesis. Using firms listed in the Korean stock market from 2001 to 2018, we construct stock price delay following Hou and Moskowitz(2005) and verify whether business group affiliation mitigates stock price delay. We further analyze how the global financial crisis affects the relation. Our empirical results reveal that business group affiliation alleviates stock price delay, consistent with the contagion effect hypothesis. We also find that the negative relationship between business group affiliation and stock price delay is lessened during the crisis. It tells us that under a negative macro impact, our results are consistent with the propping hypothesis rather than the contagion effect hypothesis. Our main results are intact whether we construct our delay measure using overall stock market price or industry-specific stock market price, and whether we implement pooled OLS or firm fixed effect. We also observe the same results when we measure stock price delay either in individual firm-level or in size-delay portfolio level.