Earticle

Home

Issues

재무연구 [Asian Review of Financial Research]

간행물 정보
  • 자료유형
    학술지
  • 발행기관
    한국재무학회 [The Korean Finance Association]
  • ISSN
    1229-0351
  • 간기
    계간
  • 수록기간
    1988~2019
  • 등재여부
    KCI 등재
  • 주제분류
    사회과학 > 경영학
  • 십진분류
    KDC 325 DDC 658.46
제31권 제4호 (4건)
No
1

이익의 지속성에 근거한 적정배당정책에 관한 연구

김성민, 장용원

한국재무학회 재무연구 제31권 제4호 2018.11 pp.447-475

※ 기관로그인 시 무료 이용이 가능합니다.

최근 국민연금을 비롯한 공적연기금과 자산운용사, 외국계 헤지펀드들의 주주행동주의에 따른 배당요구가 커지고 있는 상황에서 기업은 중장기적인 차원에서 기업가치 제고를 위한 배당정책을 시급히 마련할 필요가 있다. 그럼에도 불구하고 아직까지 이에 대한 논의나 연구는 전무한 실정이다. 이에 본 연구는 과소배당이나 과다배당이 아닌 기업가치를 극대화 할 수 있는 적정배당정책의 수립을 어디서 출발할 것인지에 대한 실증적인 방안을 제시하였다는데 그 의의가 있다. 본 연구는 현금배당이 지속적인 이익에 의존한다는 주장과 현금배당이 기업가치 제고에 기여한다는 주장을 근거로 지속적인 이익에 근거한 현금배당이 기업가치에 미치는 영향을 분석하고자 한다. 이를 위해 베버리지-넬슨 방법으로 이익(E)을 지속적인 이익(EPERM)과 일시적인 이익(ETEMP)으로 분해하였다. 실증분석 결과 첫째, 지속적인 이익 대비 현금배당 비중(D/EPERM)이 증가할수록 기업가치는 유의적으로 증가하였다. 둘째, 지속적인 이익 대비 현금배당 비중(D/EPERM)과 기업가치가 역U자 형태의 비선형적인 관계임을 발견하여 적정배당 수준의 도출이 가능함을 보여주었다. 이러한 실증결과는 국내 기업들에게 이익의 지속성을 고려한 적정배당정책의 실현이 기업가치 제고에 필요하며, 기관투자자들에게는 미시적인 차원에서 기업의 적정배당수준에 대한 모니터링 역할이 주주가치 향상에 기여할 수 있음을 시사한다.
Shareholder activism in public pension funds, asset management firms, and foreign hedge funds have led to an increasing number of calls for dividend payouts, so listed firms on the Korean Stock Exchange should urgently prepare an optimal dividend policy for raising corporate value in the mid- to long-term. However, developing such a policy has not previously been discussed or analyzed. In this study a method of deriving the optimal dividend policy of a firm to maximize its value is suggested. Based on the arguments (Fama and Babiak, 1968; Marsh and Merton, 1987; Lee, 1996, etc.) that cash dividends rely on permanent earnings and on the empirical findings (Fama and French, 1998; Pinkowitz, Stulz, and Williamson, 2006 and etc.) that cash dividends contribute to an increase in corporate value, the effect of cash dividends, which are driven by the permanence of earnings, on corporate values is analyzed. In the Beveridge-Nelson method earnings are divided into permanent and temporary earnings. Empirical results show that as the proportion of cash dividend relative to permanent earnings increases, corporate value increases significantly. Second, it is possible to derive the optimal level of dividend for a company, as the proportion of cash dividend relative to the permanent earnings is nonlinear and takes a reverse U form. Specifically, we find that corporate value increases with the cash dividend proportion of permanent earnings up to the point of 41.47%, and it decreases as the percentage increases beyond this point. These results imply that domestic firms must realize their optimal dividend policy by considering the persistence of earnings, and that institutional investors need to monitor whether a firm’s dividend policy at a micro level is aimed at achieving its optimal dividend level, which can maximize its shareholder value.

6,900원

2

한국 주식시장에서 손절매 전략의 활용 효과 : 국민연금기금의 액티브 위험 관리 규정을 중심으로

강대일, 박종호, 엄경식

한국재무학회 재무연구 제31권 제4호 2018.11 pp.477-519

※ 기관로그인 시 무료 이용이 가능합니다.

본 논문은 한국 주식시장에서 손절매 전략을 수행할 경우 얻게 되는 성과와 유효성을 논의한다. 방법론으로는 Lei and Li(2009)의 일반적 전략(1996. 7~2016. 6. KRX 상장종목)과 국민연금기금의 특정 전략(2011. 1~2017. 12. 우량종목, “액티브 위험 관리 3단계” 조치)을 시뮬레이션을 통해 매입보유 전략과 비교한다. 분석 결과, 첫째, Lei and Li(2009)의 일반적 손절매 전략은 성과 측면에서 매입보유 전략과 비교해 우열을 가릴 수는 없지만, 위험 감소 측면에서는 보다 효과적이다. 둘째, 국민연금기금의 액티브 위험 관리 3단계 전략은 현행처럼 제3단계 진입 시 손절매를 고려하는 것보다 제2단계 진입과 동시에 단기수익률의 안정성을 체크해가며 손절매하는 것이 바람직하다. 두 전략의 분석 결과가 상이한 데에는 시뮬레이션에 사용한 손절매 전략 자체의 차이가 주요인이라 판단된다. 손절매 전략이 실효성을 가지려면 일반적 손절매 전략을 현실의 한국 주식시장에 어떻게 구현하느냐가 관건임을 시사한다.
A stop-loss strategy is an investment strategy that automatically sells a stock that is suffering a loss when its price reaches a stop price. It is well known that investors actively use these strategies to protect against downward risk in the face of (ultra-) short-term volatility and drastically dropping stock prices. Since a stop-loss strategy uses algorithms to determine when the stock should be sold, investors do not have to follow the market constantly. Therefore, investors can control their behavioral biases and prevent losses in advance, and in practice this strategy is generally known to be useful in improving returns on investment. However, according to Kaminski and Lo (2014), the stop-loss strategy has different effects depending on the return-generating process the stocks follow. If stock returns follow a momentum or a regime-switching process, then a stop-loss strategy can increase portfolio profits and/or reduce volatility. However, if they follow a random-walk or a mean-reverting process, then a stop-loss strategy can lower portfolio profits. This paper analyzes the performance and effectiveness of stop-loss strategies in the Korean stock market by analyzing a general stop-loss strategy and a specific stop-loss strategy. For the general stop-loss strategy, we use the one studied by Lei and Li (2009). For the specific stop-loss strategy, we use the Active Risk-Management Phase 3 of the Korea National Pension Service (NPS). We analyze the effects of the general stop-loss strategy on the stocks listed on the KOSPI and KOSDAQ markets from July 1996 to June 2016. We use block bootstrapping to compare the performances of the stop-loss strategy to the buy-hold strategy, and calculate the efficiency of the stop-loss strategy by calculating the stop-loss premium. To analyze the specific stop-loss strategy embedded in the NPS’s Active Risk-Management Phase 3, we analyze the NPS’s investment universe from January 2011 to December 2017. We compute the cumulative rate of returns after the entry of the Active Risk-Management Phase 3 under an algorithm simulation. Ever since the 2008 global financial crisis, the Korean stock market, like other leading global markets, has experienced ultra-short-term volatility and sudden liquidity droughts in the absence of any material news. Stop-loss orders are a basic risk-management tool under these circumstances. Despite these structural market conditions, the Korea Exchange (KRX) does not offer stop orders or stop-loss orders to investors. Therefore, it is important to determine whether stop-loss strategies can help control the downside risk to investors. This study also addresses how the interaction between the structural conditions of the Korean stock market and the implementation of mandatory stock trading under the risk-management rules affect the investment strategy of the NPS, which is a timely and important topic. The results of our analyses are as follows. First, in terms of performance, we cannot confirm that a general stop-loss strategy is statistically superior to a buy-hold strategy, or vice versa. However, in terms of risk management, a general stop-loss strategy is more effective at reducing volatility than a buy-hold strategy. Second, 75% of the stocks that enter Phase 1 exit and return to a normal status within fourteen trading days. Phase 1 only involves enhanced monitoring of the stock, and stop-loss orders are not applied to these. When a stock enters Phase 2, a report is generated, but no specific action is mandated. Once a stock enters Phase 3, NPS is mandated to consider placing a stop-loss order. We find that in Phase 2 it is beneficial to observe whether the stock return becomes positive or remains stable over the ensuing 2~3 months (60 trading days) or 4~5 months (120 trading days). If the return continues to be positive or stable, NPS should continue to hold the stock and not place a stop-loss order. However, if the return remains negative in Phase 2, it is desirable to sell the stock without waiting for it to enter Phase 3. If a stock enters Phase 3 and NPS still holds it, it is desirable to sell the stock and to invest the sales proceeds in safe assets, and then repurchase the stock if and when it meets the re-entry threshold. Third, as the cumulative return after entering Phase 3 is often negative for up to 240 trading days, the stop-loss strategy does not seem to hurt returns by realizing transitory losses. Any possible increase in volatility, which results from the introduction of static VI or the increase of the price limit, does not appear to adversely affect the stop-loss strategy. Fourth, we find that the general stop-loss strategy in the Korean stock market does not improve performance. However, in the case of active risk management of NPS, it is desirable to sell the stocks prior to or on entering Phase 3. The difference between the two results appears to be largely due to the differences of the specific parameters of the stop-loss strategies. In the end, the effectiveness of stop-loss strategies critically depends on matching the parameters of the strategy to the conditions in the Korean stock market.

9,000원

3

보상격차와 기업성과

임정대, 김석진

한국재무학회 재무연구 제31권 제4호 2018.11 pp.521-555

※ 기관로그인 시 무료 이용이 가능합니다.

본 연구는 2004년부터 2016년까지 유가증권시장과 코스닥에 상장된 기업을 대상으로 경영진과 종업원 간 보상격차가 기업성과에 미치는 영향을 검정한다. 나아가 경영진 능력을 추정하여 보상격차가 정당한지를 살펴본다. 실증분석결과는 다음과 같다. 첫째, 경영진과 종업원 간 보상격차는 기업성과에 부정적 영향을 미쳤다. 둘째, 이 부정적 영향은 경영진 능력이 낮은 그룹에서만 나타났다. 셋째, 보상격차가 커질수록 기업성과에 미치는 음(-)의 영향이 더 커졌다. 특히, 저능력 그룹에서 부정적 영향이 더욱 가파르게 커졌다. 넷째, 도구변수를 이용하여 역 인과관계에 따른 내생성 문제를 고려하여도 본 연구의 실증결과는 강건하였다. 끝으로, 제조업과 비제조업, 재벌기업과 비재벌기업, 유가증권시장 기업과 코스닥 기업 등 하위표본별 분석에서도 일관된 결과를 얻었다. 본 연구결과는 한국의 경우 경영진과 종업원 간 보상격차가 기업성과에 미치는 영향은 상대적 박탈 이론에 의해 설명되며, 경영진 보상을 책정할 때 높은 기업성과를 위해 고려해야할 많은 시사점을 제시한다.
Since the Korean currency crisis of 1997, Korean firms have followed the compensation system used in the U.S. With this shift, pay for executives has risen sharply and the pay multiple has increased. We investigate the effect of this increased pay multiple on the overall operating and stock performance of Korean firms. Our data comprise 15,438 firm-year observations in 1,745 non-financial firms listed on two Korean stock markets from 2004 to 2016. Researchers in the field of human resource management find that relative pay has greater relevance than absolute pay in shaping the behaviors or attitudes of lower-level employees. Accordingly, we conjecture that enlarged pay multiples have a negative effect on Korean firms, as Korea has a relatively more egalitarian culture and a less elaborate evaluation system. In addition, relative deprivation theory posits that employees feel deprived when they perceive that their executives are overpaid. Employees may accept that high pay for an executive is deserved if that executive has high managerial ability. However, the employees may feel that executives with low managerial ability are paid too much. We therefore estimate the managerial ability of executives by adopting the method suggested by Demerjian, Lev, and McVay (2012), and we divide our sample firms into high and low managerial ability groups. We hypothesize that the effects of pay multiple on firm performance differ according to whether the firms have high or low managerial ability. Our empirical results are as follows. First, pay multiple negatively affects the overall operating and stock performance of most Korean firms. This finding implies that most employees think their executives’ pay is unjustifiably high, and it should be reduced. This sentiment seems to support relative deprivation theory. Second, the negative impact of pay multiple occurs only in the low managerial ability group. In the high managerial ability group, increased pay multiples have a positive effect. This finding indicates that employees in firms with low-ability managers feel deprived because of their executives’ excessive pay, whereas employees in firms with high-ability managers accept that their executives’ increased levels of pay are deserved. Third, the squared terms of pay multiple have negative coefficients. In other words, the negative effect of pay multiple becomes greater as pay multiple increases in the low managerial ability group. Meanwhile, this result indicates that the positive effect of pay multiple changes negatively as pay multiple increases in the high managerial ability group. In quintile analyses, we confirm that this non-linearity applies for both high and low managerial ability groups. In general, the negative effect becomes greater for each higher quintile of pay multiple in the low managerial ability group. We find that there is an inverted U-shaped relationship between pay multiple and firm performance in the high managerial ability group, which implies the existence of the optimal pay multiple. Fourth, we use an instrumental variable to check for potential endogeneity due to reverse causality between pay multiples and firm performances. Our empirical results are robustly confirmed. Finally, we further analyze various sub-samples of manufacturing and non-manufacturing firms, chaebol and non-chaebol firms, and Korea Stock Exchange (KSE) as compared to KOSDAQ firms. We obtain consistent results for all of the subsamples. In summary, we show that pay multiple has a negative effect on firm performance. However, this negative effect only occurs in low managerial ability firms, where the negative impact becomes more significant as the pay multiple grows larger. These findings are consistent with relative deprivation theory. This paper examines executive-employee pay multiples, rather than pay gaps among executives or employees. By linking the pay multiple to firm performance, we show that it is important to adopt a pay structure that includes both executives and employees. Furthermore, we contribute meaningful evidence concerning relative deprivation theory by analyzing how managerial ability is related to the relationship between pay multiple and firm performance. Our findings indicate that to enhance firm performance, executive pay structures need to reflect managerial ability.

7,800원

4

부채가계의 자산배분과 결정요인

최원호

한국재무학회 재무연구 제31권 제4호 2018.11 pp.557-594

※ 기관로그인 시 무료 이용이 가능합니다.

국내가계는 금융자산보다 실물자산을 많이 보유하고 있어 선진국의 자산보유분포와 다르게 나타난다. 게다가, 부채보유여부에 따라 금융자산과 실물자산의 배분이 다르게 나타난다. 본 논문에서는 이러한 국내 가계의 자산구성과 가계의 특징을 바탕으로 2011~2013 가계금융 설문조사자료를 이용하여, 부채가계와 부채가 없는 가계의 포트폴리오 구성을 조사하였으며 다음과 같은 결과를 발견하였다. 첫째, 부채가계는 금융자산과 실물자산을 부채가 없는 가계보다 많이 보유하고 있으며, 특히, 금융자산인 주식, 채권, 보험과 수익증권을 부채가 없는 가계보다 상대적으로 많이 보유하고 있었다. 부동산과 자동차를 포함한 실물자산에서도 부채가계가 더 많이 보유하고 있었고 통계적으로도 유의한 차이를 보였다. 이러한 결과는 부채가계가 자산배분에 있어 부채가 없는 가계보다 적극적이며 일부 자산에 대해서는 공격적인 투자를 한다는 암시를 하고 있다. 둘째, 주요 관심변수인 가처분소득은, 부채보유여부와 관련없이, 소득수준이 낮은 가계는 금융자산보유를 감소시키고, 높으면 금융자산보유를 증가시켰다. 반면, 가처분 소득이 낮으면 실물자산인 부동산을 늘리지만, 높으면 부동산보유를 감소시킨다. 이는 가계가 포트폴리오 다각화를 통하여, 위험을 분산하려는 의도가 있음을 암시한다. 순자산은 부채보유여부에 따라 금융자산에 대한 영향이 다르게 나타났다. 셋째, 가계부채는 금융자산의 감소를 초래하였으나 실물자산에 대해서는 반대의 효과를 나타내, 가계부채가 실물자산투자 욕구를 강화하고 있다는 증거를 찾았다. 마지막으로, 세대별로 특징을 보면, 부채가 있는 노년세대나 중년세대는 부채가 없는 동일세대보다 주식을 선호하는 현상이 나타났으며, 또한 청년세대보다 주식선호현상이 더 두드러져 부채가 세대 간 투자의사결정에 영향을 미치고 있다는 사실을 발견했다.
In this paper, I analyze household portfolios with and without household debts, each of which is supposedly subject to distinct financial target according to household characteristics and financial status, respectively. Four issues were identified through the 2011~2013 Household Financial Survey. First, households with debts have more financial assets in addition to real assets than those without debts, which include stocks, bonds, insurance, and mutual funds. Households with debts also own more real estate and durables such as automobiles and real assets, which is statistically significant. This result implies that households with debts invest aggressively in asset allocation and in specific assets, unlike those without debts. Second, disposable income is a main interest variable and reduces the share of financial assets at a low level but increases the share at a high level, irrespective of household debts. In contrast, At a low level, the net worth increases real assets, whereas it decreases at a high level. Thus, we conclude that households tend to diversify the portfolio risk of real assets through financial markets. Third, as previously found, household debts reduce household financial assets but reinforce the holdings of real assets, which is also prevalent in the sample of households with excessive debts. Finally, in terms of generations, middle-aged and older households with debts are more likely to prefer stocks, and significantly more likely than younger households.

8,200원

 
페이지 저장