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본 연구는 지배구조가 좋을수록 기업의 대리인 비용이 감소한다는 기존의 연구결과를 바탕으로 2002년부터 2006년까지 유가증권시장에 상장한 제조기업들을 대상으로 개별기업의 지배구조점수를 통해 대리인 문제가 기업의 보유현금에 미치는 영향을 실증적으로 분석했다. 그 결과, 지배구조가 좋은 기업일수록, 그리고 특히 주주권리보호가 우수한 기업일수록 보유현금비율이 유의적으로 낮았다. 기업지배구조의 내생성을 통제한 이후에도 동일한 결과를 얻어 지배구조가 좋을수록 보유현금을 축적함으로써 사적 이익을 추구하려는 경영자의 유인을 효율적으로 감시할 수 있다는 대리인 이론의 주장을 지지했다. 재벌기업의 경우 비재벌기업보다 현금성 자산을 유의적으로 낮게 보유하였고 기업지배구조의 영향력도 더 컸다. 한편, 재벌기업의 그룹 내 기타 계열사들의 보유현금비율이 높을수록 해당 기업의 보유현금비율이 유의적으로 낮아져 재벌기업에 내부자본시장이 존재함을 간접적으로 시사했다.
Two dominant theories explaining firms’ different level of cash holdings are the static trade-off model and the pecking order theory. According to the former, a firm holds cash and cash equivalent assets when the subject firms’ managers can easily enjoy the incentives from the transactions of such assets and the precautionary motive outweigh the cost and benefit of cash holdings. In contrast to the static trade-off model, the pecking order theory asserts that the level of firm’s cash holdings is determined passively and that the optimal level of cash holdings does not exist since a firm first expends on the profitable investment opportunities and then pays off the debt and accumulates cash holdings with what is left (Myers and Majluf (1984)). Most empirical studies have also placed emphasis on the static trade-off model and the pecking order theory. Both models exhibit exceedingly similar results that smaller-sized firms tend to increase the level of cash holdings, implying a greater degree of information asymmetry existing in a subject firm especially when its investment and R&D expenditures are projected to be high. Higher expenditures subsequently lead to higher future capital requirement and higher possibility of liquidity shortage owing to more volatility in past cash flows (Opler et al. (1999), Gong (2006)). On the other hand, as Myers and Rajan (1998) have mentioned, managers in a firm with a higher possibility of an agency problem due to the separation of ownership and management are likely to have an incentive to hold more cash assets. This is because cash and its equivalents are the easiest types of assets with which managers can exercise their discretional power.. Conversely, at a firm with more transparent corporate governance, on the other hand, its management has less incentive to hold more cash assets as a way to expand his/her discretional power since, then, such firm closely monitors management’s transactions, which reduces the possibility of the agency problem. As such, based on the previous studies, we examine whether the agency theory, as well as the static trade-off model and pecking order theory, is also a significantly influential factor in deciding the level of cash holdings for Korean companies. Most studies consider only partial elements of corporate governance such as ownership structure including shareholding ratios of management, or institutional investors and foreign investors as proxy variables for the possibility of agency problem. Unlike those preceding studies, we use a unique data set of the firm-level corporate governance scores on an annual basis as a proxy variable for the degree of agency problem. The data are being provided by the Korea Corporate Governance Service (KCGS) every year, following the evaluation of listed firms’ ownership structures and governance structures. In addition, we provide an empirical evidence on how the agency problem affects a firm’s level of cash holdings based on our analysis of 2,541 sample firms listed in the Korea Stock Market between 2002 and 2006. We collect an individual firm’s annual financial statement data, stock price data, and composite data with respect to Korean business groups (aka. chaebols) from KisValue II and FnDataGuide. The annual ratio of average cash holdings to total assets ranges from 9.34% to 10.42%. We also consider the standardized score of shareholder protection, board of directors, corporate disclosure (transparency), auditing organization, and earnings distribution which altogether constitute the total corporate governance score. By controlling various factors of the static trade-off model and the pecking order theory, we find that firms with sound corporate governance, especially those that enforce strong shareholder protection rules, tend to reduce the level of cash holdings. Moreover, we also undertake various robustness tests to control for the effects of endogeneity problems of corporate governance and the characteristic of panel data. Furthermore, we provide additional evidence reinforcing our results and the agency theory. We conclude that chaebols show lower levels of cash holding ratios than non-chaebols do, if all else equal. The tendency of the lower the level of cash holdings the better corporate governance the firm has is found more apparent in chaebol firms than in non-chaebol firms. Further, as the level of cash holdings of the other group-affiliated firms increases, the firm’s cash holding ratio becomes lower, implying that the static trade-off model and the pecking order theory have less influence on the cash holdings due to the existence of internal capital markets within Korean chaebol groups. In other words, internal capital markets within chaebols indeed have a substantial impact on the group-affiliated firms and allow them to maintain lower level of cash holdings than those of non-chaebols, all else equal. Overall, this paper provides the evidence strongly supportive of the agency theory and shows that differences in the intensity of agency problem across firms play an important role in explaining the different levels of firms’ cash holdings.
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본 연구는 우리나라 기업과 거래은행 자료를 이용하여 기업 관점에서 은행․기업관계의 차이를 살펴보았다. 실증 분석에 따르면 기업의 정보비대칭성(외형적 특성 : 규모, 업력, 유형자산 비중)이 낮을수록 기업들은 보다 많은 은행들과 거래관계를 유지하는 반면 주거래은행의 대출비중이 낮은 것으로 나타났다. 기업 경영성과(ROA) 및 위험(금융비용 부담률) 측면에서도 경영성과가 양호하고 위험성이 낮은 기업일수록 보다 많은 은행들과 거래관 계를 유지하는 반면 주거래은행의 대출비중이 낮은 것으로 나타났다. 한편 기업 성장과 투자 측면에서는 성장 지향적이거나 투자가 많은 기업일수록 주거래 은행의 대출비중이 높은 것으로 나타났다. 기업재무 건전성 측면 에서는 재무건전성이 양호한 기업일수록 거래은행 수가 적은 반면 주거래은행의 대출 비중은 높은 것으로 나타 났다. 우리나라 은행․기업관계에서는 단기적으로 양호한 경영성과를 보이거나 위험성이 낮은 기업들의 경우 거래은 행 다변화가 용이한 것으로 보인다. 또한 성장 지향적이거나 투자수요가 많은 기업들은 거래은행 다변화가 용 이하지 않은 반면 기존 주거래은행 등과의 관계 강화를 중요시 하는 것으로 보인다. 한편 재무건전성이 양호한 기업은 소수의 은행과 거래하더라도 자금 조달이 용이한 것으로 추정된다.
This paper analyzes the firm-bank relationship from a borrower (firm)’s perspective using the data of Korea’ s listed firms and banks in transaction relationships (say related banks). For the analysis, I use a number of related banks or the of dependence of a firm on the main bank as measurements of firm-bank relationship. Further, the more related bank means that the firm has many ties with banks, which implies the firm can make new relationship with new bank easily. However, each tie is weak in the strength. In the other hands, the more dependence on the main bank means that the firm has the deeper relationship with the main bank. The firm characteristics for the analysis are classified into four categories. The first includes the information asymmetries on the borrower. Firm size, firm history and proportion of tangible assets among total assets are used to capture the information asymmetries. In particular, the firm with bigger size or longer history might have lower information asymmetries in the loan market. The more tangible asset of a firm, often hold as a mortgage in the loan contract, also could decrease the information asymmetries in loan market. The second category includes the performance and the risk of the borrower. ROA and the interest expenses-sales ratio capture the performance and the risk of the firm respectively. The firm showing better performance or with lower risks has less trouble to make a new relationship with new banks. However, these variables does not indicate the depth of relationship between a firm and banks. The third includes the characteristics regarding the growth and investment of a firm. Growth rate in sales and average growth rate in sales for recent five years are used to capture the growth characteristic of a firm. Further, investment activity of a firm is measured by the increase in tangible asset divided by total asset of a firm. Since the firm with fast growth and intensive investment is more likely to have the higher information asymmetries in the loan market, the firm might have trouble to raise funds from banks except the main bank. Therefore, we expect that the growth and investment of a firm are loosely related to the depth of relationship with banks. The fourth is the financial soundness, which is important factor to determine the firm-bank relationship. The financially sounder firm can raise funds easily from only limited numbers of banks. Thus, the sounder financial status of a firm implies the deeper relationship with banks. Since the paper analyzes the firm-bank relationship in the firm’s perspective, I control the characteristics of banks for the analysis using variables like ROA and size of main bank. To control the effects of firm’s dependency on the bank loan, size of bank loans of a firm divided by total liabilities is used. Furthermore, year and industry dummies are included to control the effects of macro economic condition or industry characteristics. The result of empirical analysis shows that borrower with lower information asymmetries is easier to find new relationships with banks and has lower dependency on the main bank. Tuning to the performance and risk of a firm, the firm showing better performance or with lower risks is easier to find new relationship with banks and has lower dependency of the main banks. However, a firm with fast growth and intensive investment is more likely dependent on the main bank to raise funds. Also the result suggest that a firm with the sounder financial status has the smaller number of related banks and the higher dependence on the main bank. In summary, borrower with lower information asymmetries, better performance, and lower risks is more likely to have multiple ties with banks than growth-oriented (or investment-oriented) firms. However, the dependency on the main bank is stronger in growth-oriented (or investment-oriented) firms. In addition, the financial soundness make strengthen the relationship between the borrower and the main bank. It is a common belief that the alleviation of information asymmetry in the loan market can improve the intermediary role of banks. Also the strengthening of main bank stimulates the growth or investment of small-medium enterprise. Moreover, financial soundness of firms is crucial to strengthen the firm-bank relationship and enhance the intermediary role of banks. The analysis in this paper using Korean data empirically supports these common beliefs. However, this paper has several limitations to be improved in future researches. The empirical results are obtained from the recent Korean data, and the time-span of data is not sufficient. Therefore, more rigorous studies are required to generalize the result of this paper. Further, although simple test of correlation among variables shows that endogenous problem is negligible, still the endogenous problem could exist.
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본 논문은 한국거래소 유가증권시장(KRX)을 대상으로 호가단위가 유동성 및 시장의 질적 수준에 미치는 영향을 분석한 후, 현행 호가단위의 적절성을 파악한다. 기존 연구와는 달리, 호가단위와 시장깊이의 관계에 초점을 두며 모든 분석에서 내생성 문제를 고려한다. 분석결과는 다음과 같다. 첫째, 호가단위를 축소할 경우 스프레드율과 거래활동 측면에서 분석한 유동성 증가로 시장의 질적 수준은 개선되는 반면, 시장깊이 측면에서 분석한 유동성 감소로 인해 시장의 질적 수준은 악화된다. 둘째, 호가단위 축소시 시장깊이가 감소하는 것은 “주문크기”가 감소하고 “최우선호가보다 우선한 주문비율”이 증가하는 데 그 원인이 있다. 셋째, 호가단위를 축소하더라도 호가단위가 점프하는 부근(10,000원 제외)에서 거래되는 종목의 시장깊이는 감소하지 않아, 시장의 질적 수준은 악화되지 않는다. 넷째, 현행 상대호가단위의 상한이 0.2%인 가격대의 경우, 0.2% 상한은 더 이상 축소할 필요성이 없는 최소한의 상대호가단위임을 시사한다.
To determine the appropriate tick size for the Korean Exchange (KRX), we analyze the effect of changing the minimum tick size (hereafter “tick size”) on, first, the liquidity, measured by relative spread, market depth, and volume and secondly, on the overall market quality. The results from these analyses shed light on the optimal tick size for the KRX. Our finding shows an ambiguous effect of changing the tick size on market quality: reducing the tick size increases relative spread and volume but decreases market depth. Also, compared to the U.S. exchanges whose tick size is one cent regardless of the stock price, the tick size of the KRX is a step function of the stock price. This characteristic allows us to study the effect of changing the tick size by comparing stocks with prices just above and just below the level at which the tick size changes. Unlike previous studies, our analyses focus on the effect of changing the tick size on market depth among liquidity variables, by, among others, addressing the endogeneity problem among the variables. Other specific methods used in our analyses are as follows. First, as a preliminary study, we examine whether our results regarding the effects of changing tick size on three variables of liquidity--relative spread, market depth, and volume--in the KRX are the same as those from previous studies on domestic and overseas exchanges. Second, we investigate the effects of changing tick size on investors’ order submission patterns to find the reasons and implications of the adverse effects of reducing tick size on market depth. For both analyses, we conduct panel-data analyses, which are robust even with the endogeneity problem. Rogers’ (1993) standard errors are incorporated in order to adjust for the clustering effect. Third, we test dynamic relations between tick size and market depth in order to obtain detailed results indicating the effects of reducing tick size on market depth. This test is designed to measure the extent to which the KRX tick size could be reduced. For this test, we use the sample stocks whose tick sizes change during the sample period. We, first, sort them into 9 categories based on their upper and lower price limits and, then, conduct “endogeneous” event studies. Using all 689 common stocks listed on the KRX during our sample period of 122 trading days from January 3 to June 30 in 2005, we apply both TAQ (Trades and Quotes) and daily data to each stock. The data are provided by the KRX. The test results for our seven null hypotheses are as follows. •Results from Analyses for the Effects of Changing Tick Size on Liquidity: Reducing tick size has a favorable effect on relative spread and volume, but an unfavorable effect on market depth. This finding of trade-off among the liquidity variables confirms similar results from previous studies; however our finding is more robust, since the endogeneity problem among the variables is taken into account in the regression analyses. Our study also has the practical implication that policy makers must heed unfavorable effect on market depth when considering reducing the tick size as a way to reduce transaction costs. •Results from Analyses Using Investors’ Order Submission Patterns: As tick size is reduced, order size decreases and the ratio of cancellation and correction orders increases. Market depth, in turn, is decreased and market quality deteriorates. As tick size is reduced, the ratio of “order-more-improved to best-order” also increases. This increase leads market depth and relative spread to decrease; as a result, it can either improve or deteriorate market quality due to the trade-off between them. As tick size is reduced, the market-order ratio slightly increases, decreasing liquidity and, in turn, resulting in a slight deterioration of market quality. All together, a decrease in order size and an increase in the ratio of cancellation and correction orders are, at least, principal causes for decreasing market depth as tick size reduces. •Results from Dynamic Relation between Tick Size and Market Depth: Reducing tick size does not decrease the market depths of the stocks whose prices are around the points at which the tick size jumps, except at 10,000 won. This implies that the tick size can be reduced at most price levels without deterioration of market depth. The price range jumping around 10,000 won is the only exception at which market depth decreases with statistical significance as the tick size decreases. This phenomenon is closely related to the large change in the relative tick size (from 0.1% to 0.5%) at this price range, which is a very abrupt change compared to that at other price ranges (from 0.1% to 0.2%, in particular for 5,000 won and 50,000 won price ranges). Therefore, if we set our argument to stocks under 100,000 won, the KRX can reduce the relative tick size 0.2 percent without having significant adverse effects on market depth.
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