재무연구 [Asian Review of Financial Research]

간행물 정보
  • 자료유형
  • 발행기관
    한국재무학회 [The Korean Finance Association]
  • ISSN
  • 간기
  • 수록기간
  • 등재여부
    KCI 등재
  • 주제분류
    사회과학 > 경영학
  • 십진분류
    KDC 325 DDC 658.46
제27권 제1호 (5건)

유상증자의 방식과 주간사 계약의 형태에 대한 연구

김석봉, 박경서, 정찬식

한국재무학회 재무연구 제27권 제1호 2014.02 pp.1-44

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본 연구는 대주주, 증권사 및 투자자간 정보 보유 정도가 각각 상이한 유상증자라는 경제적 사건을 중심으로 발행사 대주주의 보유지분율에 따른 경제적 유인이 유상증자의 방식 및 증권사와의 주간사 계약에 어떠한 영향을 미치며, 궁극적으로는 이들이 발행 가격 결정에 어떠한 영향을 미치는지 분석한다. 실증분석 결과 첫째, 대주주 지분율이 높을수록 발행사는 주주우선배정 방식보다는 주주배정 방식을 선호하고, 반대의 경우 주주우선배정 방식보다는 일반공모 방식을 선호하였다. 이는 대주주가 발행사에 대한 우월한 정보 보유를 바탕으로 발행사에 대한 관여를 통하여 이윤을 추구하며, 일반 투자자로의 부의 이전을 피하고자 하는 경제적 유인에 기인하는 것으로 해석된다. 둘째, 주주우선배정 방식하에서 발행사는 총액/잔액인수 계약을 체결하는 것으로 나타났다. 이는 실권주 인수 미달발생 위험에 따른 대주주의 잠재적인 경제적 손실을 최소화하기 위한 것으로 해석된다. 이때 상대적으로 명성이 낮은 증권사일수록 거래의 수임을 위하여 총액/잔액인수 계약을 체결하는데 적극적인 것으로 나타났다. 셋째, 주주우선 배정 방식 및 총액/잔액인수 계약의 경우, 상대적으로 저평가 정도가 높은 것으로 나타났다. 이는 유상증자의 확실한 성공을 원하는 대주주와 중개위험을 기피하고자 하는 증권사간 이해상충문제가 타협된 결과로 해석된다.
This study analyses how the economic interests of a company’s largest shareholders affect the choice of secondary equity offering (“SEO”) floatation methods, forms of underwriting agreements with investment banks, and ultimately, the new share issuance price in a SEO where the information asymmetry is high amongst the largest shareholders, investment banks and investors. Unlike price discovery through bookbuilding process, issuing companies and investment banks determine issuance price prior to the offering in Korea. The SEO floatation methods and forms of underwriting agreement are publicly disclosed. This study differs itself from previous studies in that it evaluates how the economic interests of the largest shareholders as well as potential conflicts of interests amongst SEO participants may impact the selection of SEO floatation methods and forms of underwriting agreement. Furthermore, this study, by presenting the drivers behind a SEO and by analysing its effects, is anticipated to contribute to future research related to securities issuance, which is one of the most important financial decisions for corporations. The largest shareholders are seeking not only economic profits from SEO but also noneconomic objectives such as strengthened management control of the corporation. Investment banks tend to prioritize the relationship with the largest shareholders of the issuing company over the interests of retail investors. The forms of SEO can be classified into rights offering, rights offering with under subscribed shares to be offered to the public(“ROUP”), public offering, and 3rd party allotment. There are two types of underwriting agreements which include underwriting agreements on a firm commitment basis and best efforts basis. This study excludes cases where SEO is based on 3rd party allotment as well as those cases where underwriting agreements are non-existing. This study examines which floatation method of SEO is preferred according to the stakes of the largest shareholders and also identifies the financial variables which may have impact on the floatation method of SEO and forms of underwriting agreement chosen. Firstly, based on the analysis of precedent SEOs, we found that the higher the stake of the largest shareholders or the healthier the profitability and financial structure of a company, rights offerings is most preferred and public offering is least preferred. ROUP comes in between the rights offerings and public offerings. The main reason behind such outcome comes from the economic incentives of the largest shareholders. The largest shareholders take advantage of the situation where they possess superior information on the company relative to the retail investors. When the largest shareholders have higher stakes and therefore more economic interests, they tend to get more involved in the SEO process which could affect the economic benefit of minority investors and try to maintain or increase their existing stakes or trade preemptive rights to pursue economic interests. When the largest shareholders have lower stakes and therefore less economic rights, as long as the management control is secured, they tend not to commit more capital to maintaining their stakes not to share potential economic gains with outside investors because they’ve already disposed of significant stakes. Instead they’d rather seek another investment opportunity. In addition, outside investors would consider the largest shareholders’ trading of preemptive rights negative so that public offering is likely a choice of SEO floatation method in this case. Secondly, under ROUP, issuers prefer underwriting agreements on a firm commitment basis to minimize largest shareholders’ potential economic losses associated with under subscribed shares. The largest shareholders influence issuers to negotiate with investment banks to reflect their interests in the underwriting agreement. The less reputable investment banks aggressively take the risk of entering into an underwriting agreement on a firm commitment basis to get mandated for the SEO. The largest shareholders prefer underwriting agreement which guarantees that new shares be fully subscribed not to suffer from losses associated with under subscription which in turn has a negative effect on stock prices. On the other hand, in the case of public offerings where retail investors participate, the economic interests of the largest shareholders are less of importance and thus, issuers are indifferent to either form of underwriting agreement. Thirdly, under ROUP and underwriting agreements on a firm commitment basis, the level of discount and underpricing of issuance price is higher than that of the other SEO methods. This is the outcome of compromise of the conflicts of interests between the largest shareholders who want guarantee of the success of SEO and investment banks which want to minimize their underwriting risks. On the other hand, under underwriting agreements on a best efforts basis, because investment banks do not bear underwriting risks and only focus on the sale of new shares, they are not sensitive to the issuance price so there is no incentive for them to reduce the level of discount and the issuance price.



Forecasting Exchange Rates with Neural Network

Ho-Jin Lee

한국재무학회 재무연구 제27권 제1호 2014.02 pp.45-71

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Artificial neural networks (ANNs) with the logistic transforms are popular methods to increase the accuracy of performance forecasting due to their functional flexibility. In this paper, we estimate the accuracy of the ANNs models by conducting a data-driven search for optimal specifications. Our tests on foreign exchange rate forecast for the Korean won/US dollar show that the ANNs are superior to linear models. The superiority of the ANNs, however, does not hold for the Japanese yen/US dollar exchange rates. We use the success ratio (SR) as the out-of-sample forecasting performance evaluation. The directional accuracy (DA) test and the forecast comparison statistics of Diebold and Mariano (DM) are applied to assess the relative forecast performance of the ANNs as well. For the Korean won spot rate, it seems that there is much to be gained by using the ANNs for predicting the direction of change. The DA test results also show that the SR from the ANNs is generally greater than that from the AR models. For the Japanese yen, the ANNs achieve a lower SR in most cases. The balance between the in-sample fit and the out-of-sample forecast performance is well achieved for the Korean won exchange rate, but not for the Japanese yen exchange rate. This study is significant in that no previous works that evaluated the accuracy of exchange rate forecasts have applied a variety of tests in order to ascertain whether the ANNs of out-of-sample forecast performance actually achieve directional accuracy as economic criteria.



회사채 스프레드의 유동성 요인 분석:글로벌금융위기 기간을 전후하여

김재윤, 이준희, 이준행

한국재무학회 재무연구 제27권 제1호 2014.02 pp.73-104

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본 연구는 2005∼2012년 국내에서 거래된 회사채를 대상으로 새로운 방법으로 비유동 성을 직접 측정한 후 회사채 스프레드의 유동성 요인을 글로벌금융위기 기간을 전후 하여 살펴보았다. 본 연구에서는 회사채의 비유동성을 나타내는 유동성 변수를 직접 측정하였고, 비유동성이 회사채 스프레드에 미치는 영향을 분석하기 위하여 회사채 스프레드에 영향을 미치는 기타 설명변수들을 통제한 후 각각의 신용등급별로 글로벌 금융위기 기간 및 이전, 이후를 나누어 회귀분석을 실시하였다. 본 연구에서 직접 측정한 5가지 유동성 변수는 Amihud 측정값, 무거래 비율(bond zero), 거래량 회전율(turnover), Amihud 측정값의 변동성, 유동성 변수 λ 측정값이다. 비유동성 정도를 보여주는 유동성 변수 λ 측정값은 앞의 4가지 유동성 변수 측정값을 표준화한 후 합산하여 구한다. 또한 동일 신용등급 회사채의 유동성 차이가 회사채 스프레드에 얼마나 반영되는지 보여주는 유동성 요인을 구하였다. 이러한 유동성 요인의 크기를 글로벌금융위기 기간을 전후 하여 신용등급별, 잔존만기별로 나누어 살펴봄으로써 회사채 스프레드에서 차지 하는 유동성 프리미엄의 크기가 글로벌금융위기 기간을 거치면서 신용등급별, 잔존 만기별로 어떠한 차이를 보이는지 확인해 보았다. 실증분석 결과, 회사채의 비유동성은 글로벌 금융위기 기간에는 AA등급에서만 회사채 스프레드에 통계적으로 유의한 양(+)의 영향을 미친 반면 글로벌금융위기 기간 이전 및 이후에는 AA 및 A등급에서 회사채 스프레드에 통계적으로 유의한 양(+)의 영향을 미쳤다. 유동성 요인의 크기는 글로벌 금융위기 기간이 시작되면서 더 커졌으며 잔존만기 2∼5년의 A등급 회사채에서 가장 크게 나타났다. A등급 회사채 발행 만기가 대부분 3∼5년임을 감안해 보면 유동성 요인이 회사채 발행금리 및 가격 결정에 중요한 부분을 차지하는 것으로 나타났다.
This paper analyzes the liquidity component of corporate bond spreads using a new illiquidity measure for corporate bonds in Korean bond market. We perform the empirical study during 2005~2012, which spans before and after global economic crisis exacerbated by the collapse of Lehman Brothers. At first, we estimated directly liquidity measure λ with four liquidity variables: Amihud measures of price impact, turnover, zero trading days, and the variability. Next, we regressed corporate bond spreads on λ after controlling for another explanatory variables within each rating before and after global economic crisis period. Lastly, we calculated the size of liquidity component to look directly at the impact of corporate bond illiquidity on corporate bond spreads. Through this study of liquidity component, we could compare the size of liquidity premium on corporate bond spreads within each rating, and maturity before and after global economic crisis period. As results, before andafter the global economic crisis period, the effect of illiquidity on spreads was positive and statistically significant for AA and A-rated bonds meanwhile only for AA-rated bonds during the period. The size of liquidity component has become bigger since the global economic crisis period and was peaked at A-rated bonds with 2- to 5-year maturities. Those results shows that the liquidity component is comprised of important parts of issuing price of A-rated bonds whose maturities at the time of issuance are mostly 3 to 5 years.



ELS 시장의 금융혁신자 이익에 대한 연구

지현준, 엄영호, 장운욱

한국재무학회 재무연구 제27권 제1호 2014.02 pp.105-140

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한국에서 주가연계증권(equity linked securities, ELS) 시장은 2003년에 처음 개설 되었다. 본 연구에서는 한국의 ELS 시장에 최초로 진입하여 새로운 상품을 개발하는 금융기관을 혁신자로 인식하여 전체 시장에서 혁신자가 후발자에 비해 어떠한 방식으로 이익을 얻는지 살펴보았다. 금융혁신에 대한 선행연구들은 금융상품은 특허권(patent) 등을 통해 보호되지 않으며 후발자에 의해 쉽게 모방이 이뤄지기 때문에 혁신으로 인한 초기 이익보다는 시장점유율을 높이는 방향으로 이익을 추구하게 된다고 보고 하였다. 하지만 한국의 ELS 시장 자료를 대상으로 상품의 구조적 특성 및 판매유형을 통제하고 진행한 실증분석결과 혁신자가 후발자에 비해 높은 발행 이익을 추구하였음을 확인할 수 있었다. 이와 같이 ELS 시장에서의 혁신자의 이익추구방식이 나타나는 것은 시장 진입에 제약이 있었기 때문으로 보인다. 시장 진입장벽은 혁신자가 금융혁신을 통해 단위당 수익을 높이는 방식으로 이익을 극대화할 수 있는 여건을 제공해 줄 수 있었으며 이와 같은 ELS 시장 초기의 혁신자들의 높은 발행수익 추구는 국내 대부분의 증권사가 후발자로 진입한 이후에도 계속되었다. 또한 혁신자들은 공모보다는 사모로 ELS를 판매하는 경우 더 높은 발행이익을 얻을 수 있었음을 밝힐 수 있었다.
By the name of financial innovations, a large number of new financial products related to derivatives have been introduced into the global financial market for the last few decades. The Korean financial market was not an exception to this development. Among new financial products in Korea, the Equity-Linked Securities (hereafter ELS) may be considered one of the most successful products, judging from its market size. Since it was first introduced in 2002, the ELS have been very popular to individual investors who were cautious of downside risk of their investments. The ELS provided them with new tools to manage their future wealth. Therefore, the ELS can be thought as a good example of financial innovations in the Korean financial market. It is broadly accepted that financial innovations are originated by market imperfections, whereas there have been two competing theories about what drives financial institutions to invent new products. Because, unlike innovations in other industries, new products in financial industry are not protected by the patent law and should be disclosed publicly, financial innovations may have some different features from those in other industries. For instance, one could argue that that the benefit to financial innovator is not an excess profit. Bhattacharyya and Nanda (2000) assumed that the imitation occurred immediately in the financial market, so they suggested that an innovator made an effort to increase the market share rather than to take excess profits. Herrera and Schroth (2003) also agreed that financial innovators could notmake more profits than imitators could. Moreover, they thought that the information about potential clients was the main source for innovators to be able to increase their market shares. These theories were supported by the empirical research of Tufano (1989). He tested this hypothesis with data related to corporate securities and MBS (Mortgage-Backed Securities) and found that financial innovators could not impose higher margin, while they could extend their market shares. In contrast, Van Horne (1985) argued that financial innovators could take profits before imitators appeared even though there was no legal protection in the financial market. His theory was based on the traditional monopoly theory and it was empirically supported by Carrow (1999) and Schroth (2002). Carrow (1999) found that innovator’s profit decreased as more rivals came into the market and Schroth (2002) reported that the source of innovator’s excess margin was the superior knowledge about a new product. Using 4,521 issuance data during the early stage of ELS market in Korea, this paper empirically examines whether first movers, or innovators, earn more profits than imitators do. We also test whether the profit of innovators declines as the time passes by. As a proxy for profit, we estimate the total margin of ELS, the difference between the actual issue price and the theoretical price of ELS divided by the actual issue price. This measure represents the proportion of issuer’s margin to the total price of ELS and it gives us the information about how much innovators charge on different products. In creating new products, the characteristics of embedded option in ELS are at the issuer’s discretion and the issuer’s profit is mainly determined by how the embedded option component is valued. Thus, for the robustness of our empirical results, we also estimate the margin of embedded option in ELS, the difference of the value of the embedded option in ELS and its theoretical value divided by the value of embedded option. Then we perform regression analysis with the total margin or the option margin as a dependent variable. To control the effects of hedging costs, we also use the product type, the number of underlying asset type, the maturity, and the embedded option type, and issue type (private/public issue) for controlling variables. The empirical results show that innovators in the ELS market could earn more margin than imitators do. These results are inconsistent with the theory of Bhattacharyya and Nanda (2000). However, margins decline as the market becomes more competitive. The results also show that the large sized financial institutions innovate more frequently and earn higher margins than lower sized firms do. Our empirical results have important implications for regulatory policy regarding entry barrier. To issue the ELS in the Korean market, securities firms should get permission from the regulatory authority. Therefore, in the Korean ELS market, innovators protected by the regulatory barrier could have taken excess profits, despite of the fact that some competitors exist in the market. Moreover, they can maintain their margin policies after competitors come in. The regulation of Korean ELS market was aimed to protect investors from issuers’ insolvency. However, it resulted in protecting first-movers from followers as well. As a consequence, innovators in the ELS market become superior to imitators, which prevent a fair competition. In the future, the regulation authority should consider both the investor protection and the market competition.



기업집단에서 지배주주 가족에 의한 경영과 기업성과


한국재무학회 재무연구 제27권 제1호 2014.02 pp.141-176

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본 논문은 지배주주가 가족인 한국의 대기업집단을 대상으로 어떤 계열사에 가족이 최고경영자(CEO)로서 재직하는지의 결정요인과 그러한 가족의 직접적인 경영권 행사가 기업의 성과 및 가치에 미치는 영향을 분석한다. 한국 대규모 기업집단의 방대한 자료를 활용하여 분석한 결과, 지배주주 가족의 소유권(cash flow rights)이 크고 그룹에 대한 출자비중이 높은 계열사일수록 가족이 CEO로서 재직할 가능성이 높게 나타난다. 하지만 지배주주 가족이 CEO인 경우 수익성(EBITDA)이 더 낮게 나타나 가족의 직접 경영은 오히려 기업성과에 악영향을 미친다. 또한 지배주주 가족이 CEO인 경우에만 가족의 소유권과 그룹에 대한 출자비중이 클수록 오히려 기업가치(Q 비율)가 낮게 나타난다. 이는 가족에 의한 소유와 경영의 일치가 오히려 지배주주로 하여금 그룹에 대한 통제권 유지에 몰입하게 하는 참호구축(entrenchment) 효과로 인해 대리인 문제가 발생 한다는 것을 암시한다. 마지막으로 지배주주 가족이 임원에 포함되지 않고 전문경영자가 CEO인 경우에 있어서만 기업가치가 높게 나타나 독립적인 전문경영인 체제가 기업가치 극대화를 위해서 가장 효과적인 수단임을 발견한다. 본 연구는 지배주주의 영향력이 막강한 기업집단에서 가족경영보다는 전문경영 체제가 보다 효율적임을 보여주었다는 데 그 의의가 있다.
To better understand the nature of family-owned firms, one must distinguish management from control rights (Villalonga and Amit, 2006). Also not all controlling sh-areholders in family firms serve as CEOs. When professional managers serve as CEOs of family firms, the controlling shareholders often assume the role of monitoring the hired managers. Therefore, these firms end up bearing some agency costs that incur between the owner and professional managers. While the owner-manager conflict can be mitigated in firms in which family members serve as CEOs (henceforth, ‘family CEO’), the agency problem between controlling shareholders and minority shareholders can be also intensified (Shleifer and Vishny, 1997). Taken all factors into consideration, family CEOs can affect firm performance in both positive and negative ways. By definition, controlling shareholders of any business groups face the dilemma whether to get involved in the firm management. And yet, not much research has been conducted on this issue as to address the question which is better for the firm. This must have been so perhaps because of data limitations. In fact, Lin and Hu (2007) is the only study that directly addresses the selection issue. However, their sample is limited to listed Taiwanese firms, not sufficient to account for general characteristics of business groups including unlisted firms. To the best of my knowledge, this paper is the first study of its kind to analyze the determinants of family CEO using information of all affiliatesboth listed and unlisted- belonging to the same business groups. When a family keeps control of a firm, its controlling shareholders can get involved in the management as CEOs or the like to maximize the sum of the value of the retained block and the private benefits obtained (Burkart, Panunzi, and Shleifer, 2003). If maximizing the former is intended, family CEO can positively affect firm performance as long as he/she has good management skills. But if maximizing the latter is intended, family CEO can be negatively related to firm performance. Stein (1989) and James (1999) develop a model illustrating the positive effect of long-term investors on firms’ investment efficiency especially when they are the members of the family that owns the firm. The study explains that such long-term investors can minimize myopic investment decisions by managers. Anderson and Reeb (2003) empirically find that firms with family CEOs outperform those with professional CEOs for this reason. On the other hand, controlling shareholders of family firms don’t tend to take enough advantage of competitive managerial labor market since they are likely to limit management control to their own family circles. Such practice of ‘nepotism’ can harm firm performance (Perez-Gonzalez, 2006). As such, existing theoretical and empirical studies about the effect of family CEO on firm performance are contradictory. To draw its own conclusion, this paper first investigates the precise determinants of family CEO before probing the question of family CEO’s effect on firm performance. Finally to reflect the endogenous nature inherent in family CEOs, the self-selection or reverse causality issue is addressed through modeling family CEO as an endogenous choice. Using the Korean business group data from 2001 through 2011, the following results are found. First, firms with higher cash flow rights of controlling shareholders and larger equity portion in affiliates are more likely to have family CEOs. This means that controlling shareholders tend to serve as CEOs to maximize their control rights over the business group as well as the value of their stake, supporting a proposition of Burkart et al. (2003). Second, family CEO negatively affects firm profitability measured by EBITDA. This implies that when controlling shareholders serve as CEOs, agency costs between themselves and minority shareholders increase. Also, only for firms with non-family CEOs, their investments have a significantly positive impact on EBITDA, indicating that professional CEOs commit more to efficient investments than family CEOs do. Third, for firms with family CEOs, higher cash flow rights and larger equity portion in affiliates are associated with lower firm values measured by Tobin’s q. This implies that the concentration of ownership and management by controlling shareholders induces agency problems due to the entrenchment effect, making them commit to maximizing control rights over the business group although the value of their shares is damaged. On the other side, for non-family CEO, larger equity portion in affiliates is associated with higher firm value, implying that professional CEOs invest more efficiently in affiliates’ equity than family CEOs do. But the effect of cash flow rights on firm values is insignificant for these firms. Just like the results on EBITDA, investments have a significantly positive impact on firm values only for the sample with non-family CEO. Fourth, controlling the endogeneity of family CEO through Heckman (1979)’s model, family CEO still negatively affects value as well as profitability of firm. Fifth, through a robustness check we found that firm profitability worsens only when family CEO runs the firm; if professional managers are CEOs and family members are not involved in the management position, those firms show higher value. This finding suggests that securing an independent professional management system without family members can be the most effective way to maximize corporate value in the business group. Overall, the findings indicate that when controlling shareholders with potentially powerful influence over the business group directly manages the firm, they are highly like to be driven by the self-serving incentive to maximize their controlling rights over the business group, rather than to commit themselves to increasing firm value through efficient investments. By drawing this conclusion, this study sheds more light on this unexplored yet salient question of which organizational structure, with or without family CEOs, is more efficient.


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