COVID-19 경기 침체기 동안 지배주주의 주식담보대출이 주식시장에 미치는 영향 : 한국주식시장에 대한 실증적 증거

초록

We examine the effect of controlling shareholder share pledging on firm value during the COVID-19 downturn. This study aims to empirically examine whether investors perceive controlling shareholders’ share-pledged loan disclosures negatively, and to assess whether such reactions increase stock price declines and ultimately lead to a loss of shareholder value. Using a sample for South Korean listed stocks, we find that firms with controlling shareholder share pledging had lower cumulative excess returns and higher volatility than did firms without share pledging. In addition, we find that lower returns and higher volatility of the companies with controlling shareholder share pledging are partially driven by investor sentiment toward share pledging. Many earlier studies have tended to focus on how controlling shareholders engage in agency-related behavior. By contrast, this study turns its attention to the way the market responds to such disclosures. Using investor sentiment indices together with stock return data, it develops a quantitative approach that offers a somewhat different approach from what prior research has typically presented.

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