국민연금의 지분공시가 주가에 미치는 영향

Abstract

2014년 8월말 현재 국민연금이 보유하고 있는 국내 주식가치는 89.9조원으로 우리 주식시장의 최대 투자자이다. 한편 2009년 2월부터 공시정책 변경에 따라 국민연금은 보유하고 있는 투자대상 회사의 지분을 공시해 오고 있다. 본 논문에서는 국민연금의 지분공시를 분석대상 사건으로 하여 공시가 주가에 미친 영향을 실증적으로 검증하였다. 대상기간은 2009년 2월 ～ 2014년 4월까지로 설정하였으며, 공시에 따른 주가반응은 사건연구 방법론(Event Study)을 적용하였다. 공시기한 연장 전후로 나누어 유가증권, 코스닥 각 시장별로 분석을 실시하였다. 또한 기존의 여타 지분공시 관련 연구와 달리 공시가 공시 다음날의 시가(始價)에 미친 영향에 대한 분석도 병행하여 공시효과 분석을 세분화하였다. 분석 결과, 1) 2009년 7월 공시기한이 연장되기 전 코스닥 시장에서의 국민연금의 지분처분 공시 또는 취득 공시는 각각 주식수익률 하락 또는 상승요인으로 작용하였다. 반면 유가증권 시장에서는 공시가 기업가치에 영향을 미치지 않는 것으로 나타났다. 2) 공시기한 연장 후에는 공시가 시장가격 형성에 영향을 미치지 않는 것으로 분석되어 공시의 적시성을 완화시킨 정책당국의 조치가 주가변동성을 완화시키는 순기능으로 작용한 것으로 판단된다. 3) 국민연금의 대량 주식 취득․처분은 그 사실만으로도 주식수익률에 각각 긍정적인 또는 부정적인 영향을 미치는 것으로 분석되었다. 4) 지분공시는 예상과 달리 공시 다음날 시가 형성에는 영향이 없는 것으로 나타났다. 국내 주식시장에서 차지하는 규모에 불구하고 국민연금의 지분공시가 주가에 미치는 영향은 그다지 크지 않다고 생각된다. 하지만 국민연금이 주식을 취득․처분하는 과정에서 직접적으로 주식수익률에 상당한 영향을 미치고 있음은 확인할 수 있었다. 기금의 성장과 함께 나날이 증가되어가고 있는 국민연금의 주식부문 기금운용에 비견하여 주가변동성을 점차 완화해 나갈 수 있는 정책마련이 요구된다.|At the end of August 2014, domestic equity value which National Pension Fund, the largest investor in the stock market, holds is 89.9 trillion won. Depending on the disclosure policy change, since February 2009 the NPF has disclosed of its invested company equities. In this paper, it is analyzed empirically the effects of stock price reaction by the NPF's disclosure of equity ownership. The analyzed period was set to February 2009 to April 2014, Event Study methodology was applied. Divided into before and after change of disclosure deadline, the KOSPI and the KOSDAQ market analysis was conducted for each. Moreover, unlike other existing related research, it also analyzed the disclosure effect by studying of the impact on the next day opening price. According to the analysis, 1) before the extension of disclosure deadline, July 2009, in the KOSDAQ market the disclosure of disposal of share or acquisition of share by the NPF was working with each falling or rising stock returns factor. On the other hand, in the KOSPI market it showed that the disclosure does not affect the corporate value. 2) After extension of disclosure deadline, it is analyzed that the disclosure does not affect the market value formation. so policy measure which relieve the timeliness of disclosure is considered as a proper function to mitigate volatility of share price. 3) It is observed that the NPF’s Block acquisition or disposal of share has a positive or negative impact on stock returns that fact alone. 4) It is shown the disclosure of equity ownership does not affect determination of the next day opening price unlike it is expected. Despite the NPF’s big portion in the domestic market it seems that the effect on stock price by the NPF’s disclosure of equity ownership is not so great. But it can be found that the NPF’s acquisition or disposal of share has significant influence over stock returns directly. It is required providing policy which may alleviate the volatility of stock price in proportion to asset management in stock sector which increases day by day with the NPF’s growth.; At the end of August 2014, domestic equity value which National Pension Fund, the largest investor in the stock market, holds is 89.9 trillion won. Depending on the disclosure policy change, since February 2009 the NPF has disclosed of its invested company equities. In this paper, it is analyzed empirically the effects of stock price reaction by the NPF's disclosure of equity ownership. The analyzed period was set to February 2009 to April 2014, Event Study methodology was applied. Divided into before and after change of disclosure deadline, the KOSPI and the KOSDAQ market analysis was conducted for each. Moreover, unlike other existing related research, it also analyzed the disclosure effect by studying of the impact on the next day opening price. According to the analysis, 1) before the extension of disclosure deadline, July 2009, in the KOSDAQ market the disclosure of disposal of share or acquisition of share by the NPF was working with each falling or rising stock returns factor. On the other hand, in the KOSPI market it showed that the disclosure does not affect the corporate value. 2) After extension of disclosure deadline, it is analyzed that the disclosure does not affect the market value formation. so policy measure which relieve the timeliness of disclosure is considered as a proper function to mitigate volatility of share price. 3) It is observed that the NPF’s Block acquisition or disposal of share has a positive or negative impact on stock returns that fact alone. 4) It is shown the disclosure of equity ownership does not affect determination of the next day opening price unlike it is expected. Despite the NPF’s big portion in the domestic market it seems that the effect on stock price by the NPF’s disclosure of equity ownership is not so great. But it can be found that the NPF’s acquisition or disposal of share has significant influence over stock returns directly. It is required providing policy which may alleviate the volatility of stock price in proportion to asset management in stock sector which increases day by day with the NPF’s growth.