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기존연구들은 좋은 지배구조를 가진 기업일수록 높은 주식수익률을 실현한다는 연구와 좋은 지배구조를 가진 기업일수록 높은 기업가치를 갖는다는 연구가 공존하고 있는데, 이는 자본비용의 측면에서 상충되는 연구결과들이다. 현실적으로 기업지배구조 정보는 여타의 재무관련 정보와는 달리 일반투자자들이 쉽게 접근하기 어려우며, 본질을 파악하기 어려운 측면이 있으므로 투자자들이 특정 기업의 지배구조에 관한 정보를 인지할 경우에만 자본비용의 감소효과를 기대할 수 있을 것이다. 그러므로 본 연구는 주식시장에서 기업의 자본비용을 낮추는 지배구조 개선의 효과가 기업 전반에 대한 정보비대칭 수준에 따라 달라질 수 있음을 확인함으로써 기존연구들의 결과가 충분히 양립할 수 있음을 보여준다. 실증분석결과, 기업에 대한 정보비대칭 수준이 낮은 경우에만 투자자들이 기업의 좋은 지배구조를 충분히 인지함에 따라 자본비용이 하락할 수 있음을 확인하였다. 또한 정보비대칭 수준이 낮은 경우 좋은 기업지배구조가 기업가치를 상승시키는 효과가 있는 것으로 나타났지만, 정보비대칭 문제가 심각한 경우 이러한 효과는 나타나지 않는 것으로 확인되었다. 본 연구의 결과는 정책적 측면에서 기업과 투자자 간 정보비대칭 해소가 선행되어야만 기업지배구조가 효율적으로 작동할 것임을 시사한다.
The previous literature on the effect of corporate governance on firm values raises a question on the efficiency of the stock market. One line of research involves many papers supporting that good corporate governance leads to higher firm values as measured by the Tobin’s Q. Papers by Ashbaugh et al. (2004), and Byun et al. (2008) among others belong to this group claiming that reduction in agency costs helps to increase firm value by reducing the cost of capital. On the other hand, there are papers showing that the information on corporate governance is not fully reflected in the stock prices; therefore, investors may still realize abnormal returns by investing in firms with good corporate governance (Gompers et al., 2003; Bebchuk et al., 2009). These two results are not consistent in terms of market efficiency since the first group of papers implies that information on corporate governance is already reflected on the stock price of the firms while the second group of papers implies that the information is not fully reflected on the stock prices. In this paper, we attempt to reconcile these two contradictory findings by providing evidence that the realization of the effect of good corporate governance is contingent on the level of firms’ information asymmetry. We empirically show that good corporate governance of a firm reduces the cost of equity capital only when the information asymmetry of the firm is relatively at a low level. Practically, the information on corporate governance such as ownership structure, board of directors, shareholder right protection, and audit committee is abstruse as well as hard to access. In Korea for example, the Corporate Governance Service evaluates the governance level of the firms listed on the Korea Exchange, but does not disclose corporate governance scores to investors except for the best and second-best firms. Because of the incomprehensibility of corporate governance level, stock investors may not fully reflect the information on the corporate governance of a firm on its stock price, so that reduction in the cost of equity capital of the firm may not be attained. Investors’ perception of corporate governance, therefore, is an important issue for the efficiency of a stock market and the financing costs of related firms. We hypothesize that the level of information asymmetry of a firm affects the level of the investors’ understanding of the corporate governance of the firm and, accordingly, the value of the firm. To the authors’ knowledge, this is the first study ever conducted to show that the effect of good corporate governance on the firm value depends on the level of information asymmetry of a firm. Previous studies have investigated the relation between corporate governance and firm value without taking into account investors’ perception of corporate governance. This paper, however, complements the existing results by considering the impact of investors’ understanding of their firms’ corporate governance. For the analysis, we divide the sample firms into two groups based on their level of information asymmetry. The number of analyst coverage is used as a proxy for information asymmetry. Then, we construct a hedge portfolio which is long in good governance firms and short in weak governance firms by each group, and estimate the abnormal return of the hedge portfolio of each group using CAPM and Fama-French (1993) three-factor model. The results show that the abnormal return of the hedge portfolio is statistically not different from zero for the low information asymmetry group, which implies that information on corporate governance is efficiently reflected on stock prices for the group. On the other hand, the abnormal return is significantly positive for the high information asymmetry group, which suggests that information on corporate governance of those firms is not fully understood by the investors and, therefore, is not fully reflected on the stock prices. We also regress Tobin’s q on corporate governance scores and find that corporate governance has significantly positive effect on Tobin’s q only for the low information asymmetry group. The effect of corporate governance on Tobin’s q is insignificant for the high information asymmetry group. In summary, we find that investors do not really reflect the information on the corporate governance of firms on their stock prices and their financing costs in case of higher information asymmetry. On the contrary, we show that good corporate governance positively affects firm values with lower level of information asymmetry.
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This paper investigates the spill-over effects of the U.S.’s and the euro area’s macroeconomic news on the Asia-Pacific interest rates. We find that higher than expected news from these two economies raises the conditional mean, and most news, regardless of signs, elicits the associated volatility of daily returns of the Asia-Pacific interest rates. We also find supporting evidence for the two possible channels of the spillover effects of macroeconomic news, namely the policy reaction expectation and the integration mechanisms. More importantly, we reveal that the U.S.’s unemployment rate news and the euro area’s inflation news have the strongest impact on the first two moments of the Asia-Pacific interest rates daily returns. These findings are consistent with the relative size of these two economies and the monetary policy frameworks conducted at the U.S.’s Federal Reserve and the European Central Bank.
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이 연구는 Gruber(1996)와 Zheng(1999)이 제시한 펀드투자자의 펀드선정능력, 즉 스마 트머니 효과에 대하여 국내 시장을 대상으로 Keswani and Stolin(2008)의 연구방법론을 사용하여 실증 분석하였다. 분석결과를 요약하면 첫째, 분석기간 중 개인투자자의 자금증 가율이 기관투자자보다 크고 개인투자자와 기관투자자간의 자금흐름의 상관관계는 매우 낮다. 둘째, 국내 펀드투자자가 스마트하다는 스마트머니 효과(smart money effect)의 존재에 대한 어떠한 증거를 발견하지 못했다. 셋째, 펀드투자자의 펀드선정능력의 정도를 분석하면 시장에서의 인기펀드가 비인기펀드보다 오히려 성과가 저조하다. 넷째, Zheng (1999)의 정보효과(information effects)를 분석한 결과, 펀드자금흐름정보를 활용하여 역의 정보효과가 존재하며 다섯째, 시장국면별 분석과 조건부성과 측정모형을 적용한 결 과도 스마트머니 효과의 존재를 발견할 수 없었다. 이 연구의 의의는 다음과 같다. 첫째, 펀드자금흐름의 두 가지 측정방법, 즉 펀드별 순자 산․수익률에 기초한 내재적 측정방법과 펀드별 직접 측정방법을 비교분석하였다. 둘째, 개인투자자(공모펀드)만의 기존연구에서 기관투자자까지 연구대상에 포함하여 분석을 시 도하였다. 셋째, 펀드매입과 환매를 일별 데이터를 사용하여 보다 정교하게 자금흐름을 산출하여 스마트머니 효과를 분석하였다.
The smart money hypothesis states that investor money is “smart” enough to flow into the funds that will outperform in the future; that is, the investors have an ability to identify superior managers and invest accordingly. The first studies to address this issue (Gruber, 1996; Zheng, 1999) find that, indeed, funds that receive greater net money flows subsequently outperform their less popular peers. This pattern was termed the “smart money effect.” Also, more recent research (Keswani and Stolin, 2008) finds a robust smart money effect in the United Kingdom and the U.S. The effect is caused by buying (but not selling) decisions of both individuals and institutions. On the other hand, Sapp and Tiwari (2004) could not detect the smart money effect when they applied a more appropriate performance evaluation procedure that takes the stock returns momentum effect into account. To understand better how different types of investors make their fund buying and selling decisions, we briefly present evidence on the determinants of mutual fund money flows in Korea. Our dependent variables are net flows and their components that are expressed as proportions of fund value at the end of the month. We would expect lagged fund cash flows and fund returns to be the primary determinants of the fund cash flows. Control variables are logarithms of fund total net assets (TNA) and fund age, as well as fund total expenses (Chevalier and Ellison, 1997; Sirri and Tufano, 1998). Our results, based on the time series of cross-sectional regression coefficient estimates, indicate that our flow variables are persistent. Coefficient estimates for lagged flows and TNA are always positive and significant. But those for past performance, fund age, and fund expenses are negative and significant. In this paper, we examine the smart money issue with Korean daily data (January 2002 to May 2008). Owing to data constraints, all of the above studies work with the aggregate money flows to funds. All investors are aggregated, and sales are offset by repurchases. Furthermore, not having access to exact net flows, these papers approximate such flows using fund TNA and fund returns. But our data allow us to conduct a stronger test for the smart money effect by using daily data on exact fund flows, and to gain greater insight into investors’ decisions by considering separately the sales and purchases of individual and institutional investors in the Korean fund market. So we observe exact flows rather than approximations based on fund values and fund returns. To examine the smart money controversy, a simple way is to evaluate the performance of all “new money” put into mutual funds by investors. A natural benchmark against which to measure the success of these new investments is the performance of “old money”, that is, of assets already in place before the latest round of investments. We characterize our fund portfolios using what Zheng (1999) calls “the portfolio-level approach.” Specifically, each month we conduct a Carhart (1997) four-factor regression for every fund portfolio to obtain our four estimated factor loadings. Our new money portfolios don’t deliver higher alphas than old money fund portfolios. In other words, new money is not, in fact, smart. We also use a different methodology above, which involves sorting funds into positive and negative flow groups. The results are similar. On the other hand, in order to examine the pervasiveness of Korean investors’ ability to select superior funds, we compare equally weighted groups of popular and unpopular funds. This approach curtails the influence of funds with extreme flow observations. To understand which flow components drive this result, it is desirable to apply the same methodology to all the flow variables comprising net flows. Specifically, each month we sort funds using our measures of normalized money flows into high flow portfolios and low flow portfolios. We then compare the risk-adjusted performance of equally weighted high and low flow portfolios. The results show that the average alphas of the high flow portfolios are not larger than those of the low flow portfolios. This means that we no longer find this smart money effects. Only the result from the trading strategies confirms adverse Zheng (1999)’s information effect, that is, relatively investors can beat the market by investing in negative money flow, low money flow funds. To verify that the smart money effect holds throughout the empirical period and appraising methodology, we use alternatives approach. First, we repeat our analysis separately for the first and last halves of our Jan. 2002 to May 2008 study full period. Indeed, the contributions of the two subperiods are of similar results. Second, we show portfolio-level approach results using Ferson and Schadt’s (1996) conditional performance evaluation. Specifically, we follow Wermers (2003) and Kacperczyk et al. (2005) in implementing the conditional version of the Carhart (1997) model with the risk-free rate and term structure premium and credit spread representing the conditioning set of publicly available information. The results are qualitatively similar to those under the unconditional portfolio approach. There is no smart money effect on the basis of net flows, inflows and outflows. The results once again confirm that inflows and outflows don’t give rise to the smart money effect in the Korean fund market.
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