This study had confirmed that spin-off disclosure effect exists as an abnormal return occurs and obtained a result that a semi-strong form of efficient market hypothesis is established since spin-off disclosure effect disappears after disclosure in Korea by analyzing spin-off disclosure effect of total model, each market, each division purpose, each division method, and sales profit using an event study method with 40 days before and after of disclosure day as case period in order to find out if spin-off disclosure have an effect on stock price through 229 spin-off disclosure models of the listed companies disclosed by the Financial Supervisory Service from January 1999 to December 2010.
First, CAAR is positive from t=-36 before disclosure when targeting spin-off total models and it was statistically significant in 1% level at CAAR (-35, +40) section. Therefore it can be interpreted as advance exposure of disclosure information and exposed information has positive effect on stock price.
Second, CAAR of both markets was statistically significant at 1% level in model analysis per market (KSE, KOSDAQ) and divided corporate CAAR of KOSDAQ market was 2.65% higher than KSE market during before and after (-40, +40) disclosure about divided corporate of KSE market and KOSDAQ market, and it was analyzed that there is significant difference between two groups as t value was 5.23.
Third, CAAR of spin-off was a bit higher when comparing CAAR difference of before and after (-40, +40) period in each division type (spin-offs, carve-out) but it was shown there is no difference between two groups as t value was 0.98.
Fourth, CAAR of all each division motivation showed statistically significant result in analysis of each spin-off motivation but CAAR was relatively low for transition to holding company. This means investors are receiving relatively weak favorable factor information when spin-off motivation is transition to holding company. Business specialization and governance improvement showed the highest CAAR with each 7.32% and 10.75% in (-30, +30) period with disclosure time as the standard.
Fifth, as a result of analyzing CAAR difference during before and after (-40, +40) disclosure period about 50% of high rank and 50% of low rank based on increase rate of sales profit of the last year compared to the year before last, CAAR and t statistics two groups were statistically insignificant with 0.5% of CAAR and 1.16 of t statistics. Therefore it can be judged difference in sales profit doesn't have particular effect on CAAR according to spin-off.
Resultingly, this information can be leaked in advance and it can be reflected on stock price gradually since spin-off is progressed over a long period of time, and this information is positively affecting stock price as it is accepted in the market.