Earticle

본 연구는 확정급여형 퇴직연금 기업의 최적 적립률을 금융부채를 포함한 기업재무 전반의 모형을 통해 이론적으로 도출하고, 그의 특성과 실증연구에의 함의를 살펴본 다. 주요 결과는 다음과 같다. 첫째, 퇴직연금 적립률은 기업의 경영성과와 법인세율 이 높을수록, 그리고 파산비용이 작을수록 높게 나타난다. 둘째, 퇴직연금 적립금과 금융부채는 서로 대체관계에 있으며, 기업은 퇴직연금 적립금 선택에 있어서 제한된 범위의 재량적 선택이 가능하다. 셋째, 퇴직연금의 적립률과 부채비율 간 실증분석이 수행될 경우 음(-)의 관계가 나타나지만 다양한 특성의 기업이 분석에 포함될수록 그 강도는 약해질 것으로 예상된다. 넷째, 퇴직연금의 적립률은 기업가치, 수익성을 나타내는 재무변수들과는 양(+)의 관계, 파산위험을 나타내는 재무변수와 음(-)의 관계를 보이는데, 대형 기업들이 많이 포함될수록 그 관계는 더 강하게 나타날 것으로 예상된다. 한편 본 연구의 이론적 결과는 선행 실증연구와 대부분 합치하는 것으로 나타났다.

This paper develops a theoretical model to derive optimal pension funding ratios of defined benefit(DB) pension plans, and discusses their characteristics and empirical implications. The main results are as follows. First, DB firms’ optimal pension funding ratios are positively associated with their operating performances and corporate tax rates, while negatively associated with bankruptcy costs. Second, pension funding and financial debt service are inversely related each other, and DB firms have a certain degree of discretion in choosing their optimal pension funding ratios. Third, DB firms’ pension funding ratios are expected to show negative relationship with the firms’ debt ratios in the empirical tests, but intensity of their relationship becomes weaker as the sample firms in the tests get more diverse. Fourth, pension funding ratios are expected to show positive relationship with both firm value and operating performance variables, but negative relationship with financial distress variables. Their intensity becomes stronger when the proportion of large firms increases. Finally, theoretical results and predictions of the paper are largely consistent with the findings of existing empirical studies.

This study aims to examine the influence of investor sentiment in the cryptocurrency market on the mean-variance relationship of Bitcoin. We find that Bitcoin expected excess return is positively related to conditional variance of Bitcoin return daily during the period of Extreme Fear but unrelated to conditional variance during the periods of Fear, Neutral, Greed, and Extreme Greed. Our findings are consistent with a distortion of a positive mean-variance tradeoff by investor sentiment. We also find that a negative relation between returns and contemporaneous innovations of conditional variance is only significant in the period of Extreme Fear. Moreover, the findings are robust, even after controlling for the impact of global factors determining Bitcoin price, and in Ethereum market, beyond Bitcoin market.

This paper reviews the academic research on derivative products and derivatives markets in Korea published since 2010. We classify the literature into three main research areas: derivative securities markets, option pricing models, and risk management. Topics in the derivative securities markets section include the effects of an increase in the option contract multiplier, the price discovery function of derivatives markets, expiration-day effects, and the trading behavior and strategies of market participants. Next, in the section on option pricing models, we introduce theoretical modeling papers, empirical research on pricing models, implied moments, and the variance risk premium, which is derived from option prices. Thereafter, in reviewing the literature on risk management, we focus on the foreign exchange risk management of firms and the relation between risk management and firm value. Finally, we add three unique topics—equity-linked warrants, equity-linked securities, and credit default swaps—to consider the developments in derivatives markets over the past decade.

This paper reviews the empirical evidence on payout policy in Korea over the last three decades. This study aims at providing the researcher with a comprehensive understanding of dividend policy by reviewing the theories and empirical evidence of dividend policy including tax-preference, information asymmetry and signaling hypothesis, agency costs and the free cash flow hypothesis, and catering theory of dividends. The theoretical and empirical research on dividends and stock repurchases has produced an extensive volume of literature. Despite decades of study, we have yet to understand completely the factors that influence dividend policy and how these factors interact. One of the reasons for the difficulty in resolving the dividend puzzle is that some researchers have strived to develop a universal, one-size-fits-all explanation, despite knowing that dividend policy is sensitive to factors like firm characteristics, market friction, corporate governance, and legal environments. Although not all of the pieces of the dividend puzzle may be in place, this paper features information that provides useful guidance for identifying the determinants of payout policy in the real world.