제19대 대통령선거 관련 정치테마 주식에 대한 사건 연구

초록

In this paper, we use three models for the event study analyses of the so-called "politically–themed stocks (or theme stocks)” movement for each candidate in the 19th presidential election day and primary days for both short-term and long-term periods. In particular, the cumulative abnormal returns of individual candidate’s theme stocks for the events were measured by the market model, Fama-French three-factor model, and four-factor model with momentum factor, respectively. Almost all models showed statistically significant cumulative abnormal returns before and after all the event dates, but they seem to disappear over time. In the case of the three-factor and four-factor models, the theme stocks of Moon Jae-In after the presidential election showed higher cumulative abnormal returns for a considerable period, while the market model showed negative returns. However, this was different depending on the nature and the event of the theme stocks. A comprehensive analysis of these results suggests that the politically-themed stocks’movement is due to a surge in political issues of each candidate rather than a surge in the performance or fundamental value of the company. In addition to the existing view that the price of domestic politically-themed stocks is not formed according to expectation of the company’s long-term performance but as a result of manipulation attempt or irrational overheating, when the presidential election theme is formed for each candidate, and that there is a possibility that the theme stocks may contain stocks that are somewhat lacking in terms of size and book to market value. Therefore, it is necessary for individual investors to pay special attention to investing in politically-themed stocks. Also, it suggests that supervisors need to monitor the market more closely, if stock prices of certain stocks classified as politically-themed stocks rise sharply.

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