DR과 원주의 가격차 결정요인 연구

초록

This study investigate to see whether the DR price equals to original stock price after adjusting for foreign exchange rate. And then we search for the factors which can explain the price differentials between them. Finally, we study any changes in price differentials between them as the financial market liberalization proceeds gradually. Results show that there exists price differential between DR and original stock. Especially DR prices have premium compared to the implied FX adjusted price. In addition to that, this price differential is time-varying. The determinants of price differential between DR and original stock price are: (1) Won-dollar exchange rate has a significant positive effect on DR premium, (2) KOSPI and MSCI world index have negative and positive effects, respectively. Firm size has a negative and a positive significant effect on ADR and GDR premium, respectively. No firm size effect, however, shows with the dataset including both ADR and GDR. Dividends has a positive effect on DR premium, DR volatility has a negative effect and trade volume in ADRs has a negative effect. Foreign ownership used as a proxy for information asymmetry has no statistical significance. Through this study we confirm the price differential between DR and original stock. And these price differentials are caused by each market investors' sentiment, different exchange venue, differences in liquidity and trade expense, different recognition and attitude toward risks, and information asymmetry. Also, these price differentials are time-varying.

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