Earticle

본 연구는 의무공개매수제도가 도입된 41개 국가들의 지분인수거래 데이터를 이용하 여 의무공개매수제도의 도입이 지배의 사적이익을 낮추는 데 긍정적인 효과가 있는지 를 분석한다. 분석 결과 의무공개매수제도 도입 이후 공개매수 제의 의무가 발생하는 지분율 구간에서 지배의 사적이익이 통계적으로나 경제적으로 유의하게 감소하는 것 으로 나타났다. 이는 의무공개매수제도가 도입되면 인수자에게 지배에 따른 사적이익 을 낮출 유인이 생긴다는 De la Bruslerie(2013)의 이론적 예측을 실증적으로 뒷받침 하는 것이다. 의무공개매수제도 도입의 이러한 효과는 도입 시점에 기업지배구조가 취약한 국가에서 더 큰 것으로 나타났고, 지배권 거래가격과 거래 발표 직전의 주가 차이로 계산한 통상적인 의미의 지배권 프리미엄도 의무공개매수제도 도입 이후 낮아 지는 것을 발견하였다. 한편, 지배의 사적이익이 큰 경우 의무공개 매수 발동 지분율을 하회해서 인수하고, 지배의 사적이익이 작은 경우 발동 지분율을 상회해서 인수하는 자기선택 편향(self-selection bias)의 문제는 크지 않은 것으로 나타났다. 이러한 결과는 의무공개매수제도 도입에도 불구하고 인수 비용 증가가 억제되고, 결과적으로 기업 인수 활동을 저해하지 않을 수 있다는 정책적 함의를 가진다.

This study explores whether adopting mandatory bid rule mitigates private benefits of control during instances of control transfer. We posit that implementing the mandatory bid rule could motivate the acquirer to self-limit their private benefits of control. According to the model proposed by De la Bruslerie (2013), an acquirer's offer of a higher control premium, signaling their intention to extract more significant private benefits following the control transfer, would likely make minority shareholders more inclined to tender their shares. This is due to the attractive offering price and the elevated risk of expropriation. Such a scenario would invariably necessitate the acquirer to purchase shares beyond the optimal threshold, thereby shouldering the consequential costs. Foreseeing these potential consequences, acquirers would be motivated to reduce the control premium and moderate their intention of extracting private benefits. To test our hypothesis, we exploit the staggered adoptions of mandatory bid rule in 41 nations over a 50-year period (1972 to 2022). We take multiple steps and go through a meticulous process to ensure our samples can accurately measure the private benefits of control. This yields 1,421 deals as the final sample. We define private benefits of control as the relative difference between the price paid to the incumbent blockholder and the market price of shares immediately following the deal announcement, multiplied by the proportion of shares acquired (Dyck and Zingales, 2004). Employing a difference-in-differences approach, our findings align with the theory suggesting that the mandatory bid rule encourages acquirers to reduce the private benefits of control. The deals above the threshold exhibit significantly lower private benefits of control after the rule's adoption, while those below the threshold show negligible changes post-adoption. In tandem, we observe a similar trend with control premiums. The results remain intact to a series of robustness checks. First, the results are even more pronounced when restricting the sample to countries where we have samples before and after the rule adoption. Second, the results survive even when limiting the sample to deals where incumbent controlling shareholders owned substantial equity stakes in the target firms. Third, the results stand firm even after financially distressed target firms are excluded from the analysis. We also find evidence that our results are not merely driven by selection bias, which would occur if acquirers seeking high private benefits predominantly acquired shares below the threshold and acquirers pursuing low private benefits mainly acquired shares above the threshold. Above all, the increase in private benefits of control after adopting the mandatory bid rule for deals below the threshold is substantially smaller in magnitude compared to the decrease in private benefits of control for deals above the threshold. Additionally, the deal-fraction analysis of Lee, Kim, and Kim (2023) reveals that the fraction of deals above the threshold does not drop significantly after adopting the mandatory bid rule. Overall, our study offers the first empirical evidence of the effect of mandatory bid rules on the private benefits of control. Specifically, we show that the mandatory bid rule influences acquirers to reduce the private benefits of control. Our results also provide an important implication for the ongoing debate regarding whether the mandatory bid rule increases acquisition costs. Should the rule lower private benefits of control (and the control premium), as shown in this study, it is unlikely that the acquisition cost will rise, thereby not impeding acquisition activities.

본 연구는 콜/풋옵션거래금액 비율을 활용하여 KOSPI200 옵션시장과 주가지수시장 간 정보 이전 효과를 실증 분석하고, 정보 변수의 가격 발견 기능이 극대화되기 위한 시장 조건을 탐색한다. 연구 결과는 다음과 같다. 첫째, 지표 추종 매매 투자 전략에 따르면, 콜/풋옵션거래금액 비율이 주가지수에 대해 유효한 가격발견기능을 갖는다. 둘째, 가격 발견 기능의 지속력은 등가격 옵션거래에서 가장 강하게 나타났으며 옵션 의 잔존만기가 짧을수록, 주가지수의 변동성이 클수록 가격 발견 효과가 강해지는 양상을 보였다. 셋째, 콜/풋 거래금액 비율의 정보력은 기존 문헌에서 활용되던 콜/풋 거래량 비율보다 예측 정보력 측면에서 우월한 모습을 보이는 것으로 나타났다. 넷째, 실제 거래비용을 고려하는 경우에는 지표 추종 매매 전략이 초과 수익을 만들지 못하 며, 주식시장과 옵션시장 사이의 가격연동이 효율적으로 이루어지고 있음을 확인할 수 있다. 마지막으로 KOSPI200 옵션의 거래 승수 인하는 외가격 옵션을 이용한 거래 전략의 매매의 성과만 개선시키는 모습을 보이며 거래 승수 인하 정책이 외가격 옵션 시장의 효율성을 낮추었다고 볼 수 있다.

We empirically analyze the effect of information transfer between the KOSPI200 option market and the stock index market using the call/put option trading value ratio. According to the theoretical framework proposed by Chen et al. (2005), the ratio of call/put trading values is calculated every minute in order to estimate the probability ratio of the index increasing versus decreasing. Then, we implement the indicator-following trading strategy, which buys the index when the benchmark call/put ratio increases more than the pre-defined sensitivity threshold and sells the index when the benchmark call/put ratio decreases more than the sensitivity. Using the calculated daily returns of the indicator-following trading, we test whether the indicator-following trading strategy significantly outperforms the simple buy-hold strategy that takes a long position on the index at the beginning of the market and clears the position when the market closes for each day. If returns of indicator-following trading are significantly larger than the returns of the buy-hold strategy, the empirical results can support the hypothesis that information is disseminated from the KOSPI200 options market to the stock index market, and the call/put ratio can be treated as a predictive information variable. By controlling various environments of indicator-following trading, we investigate market conditions for maximizing the price discovery effect of our information variables: trading timing, trading sensitivity, volatility of the index, time to maturity of the option, and call/put ratios for different moneyness. In addition, we compare the return predictability of our information variables to the call/put option trading volume ratio, take account of transaction costs, and examine the effect of lowering the trading multiplier of the KOSPI200 option. The results of our study are as follows. First, the indicator-following trading on the total call/put ratio exhibits significantly higher returns than the returns of the buy-hold strategy by 18bp on average per day with the corresponding t-statistic of 7.8, which supports the price discovery feature of our information variable for the KOSPI200 index. Also, the return predictability remains effective for a minute under a 1% significance level. Further, we numerically verify the existence of the local maximum point whose sensitivity maximizes the average return per trading of the indicator-following strategy. As the existence of the local maximum is consistent with the theoretical prediction, the underlying theoretical framework could be justified. Second, the return predictability extends to 2 minutes for the call/put trading value ratio on the at-the-money option, which implies that the persistence of the price discovery stems from the trading information of the at-the-money option. The argument is supported by additional empirical tests under different moneyness ranges. Moreover, the shorter the remaining maturity of the option and the greater the volatility of the stock index is, the stronger the price discovery effect becomes. Third, comparing the returns of indicator-following trading, the return predictability of the call/put trading value ratio is superior to the call/put trading volume ratio used in the existing literature. Fourth, when considering actual transaction costs, the indicator-following trading strategy does not generate excess returns, which indicates efficient and immediate information delivery between the actual option market and the stock index market. Lastly, lowering the trading multiplier of the KOSPI200 option improves only the trading performance of the trading strategy using the out-of-the-money options, and we interpret that the policy hinders the efficiency of the out-of-the-money option market. Our study contributes to the strands of literature spanning the market microstructure between the KOSPI200 option market and stock index market, the high-frequency trading, and the policy of the Korean option market. By demonstrating the distinguished and superior return predictability of the call/put option trading value ratio compared to the counterpart of trading volume, we argue that the information can flow from the index option market to the stock index market. That is, our results shed light on the unresolved debate on the direction of the information flow between those two markets. Including the significant persistence of the return predictability of the call/put trading value ratio, various empirical findings under different trading conditions support that the KOSPI200 option market leads the stock index market. Meanwhile, we highlight the importance of using high-frequency data because implementing the high-frequency trading strategy allows us to estimate more precise persistence of return predictability than prior research. Additionally, complementing the extant research reaching conflicting conclusions on the effectiveness of lowering the trading multiplier of the KOSPI200 options, identifying the effect of the policy with the indicator-following trading strategy on call/put trading volume ratio enables us to support the partial efficacy of the policy.

본 연구에서는 자본조달비용을 고려하여 물적분할 이후 자회사상장이 모기업 소액주 주들의 현금흐름권에 미치는 영향을 분석한다. 지배구조관점에서 물적분할 이후 자회 사상장은 지배주주의 사익추구와 모자회사의 주주 간 이해충돌을 악화시킨다는 견해 가 있는데 본 연구에서는 자본조달 비용 관점에서 볼 때에 모회사 소액주주들의 재무 적 이익도 존재한다는 것을 제시한다. 이를 위해2019년 이후 물적분할된 자회사가 거래소에 상장된 경우를 분석하였고 그 결과는 다음과 같다. 첫째, 공모주시장 활황기 에 자회사의 상장을 통한 신주발행은 자금조달비용을 낮추어 주는 효과가 있기에 오히려 모기업 소액주주에게 이익이 될 수 있다. 반대로 자회사의 공모를 통하지 않고 모회사가 물적분할없이 주식 발행을 이용하여 같은 금액의 자금을 조달할 경우 소액주 주의 지분율 희석은 훨씬 더 클 수 있다. LG화학의 예로 들면LG에너지솔루션의 공모 로 인한 LG 화학 소액주주의 현금 흐름권은 54%이지만 만약 물적분할없이 LG화학이 직접 동일 자금을 유상증자로 조달했다면 소액주주의 현금흐름권은 46%로 자회사 공모의 경우가 오히려 현금흐름권이 더 크게 된다. 둘째, 주가 분석의 결과에 따르면 물적분할이나 자회사 상장이 모회사 주가에 악영향을 미쳤다는 근거는 희박하다. 공시 일 기준 모회사의 주식의 수익률은 양수인 경우가 많으며 장기 주가 추세를 볼 때에도 모회사 주식이 자회사보다 수익률이 나쁘다고 보기 힘들 뿐 아니라 물적분할이 소액주 주의 보유주식 가치를 떨어뜨린다는 기존의 비판과 상이한 결과를 얻었다. 본 연구 결과를 종합적으로 볼 때 물적분할이후 자회사 상장이 모회사 주주들의 이익을 침해했 다는 근거는 찾기 힘들다. 오히려 공모주시장의 활황을 이용한 마켓타이밍 효과가 있기에 자회사 상장은 자금조달비용을 감소시켜주어 모기업 주주에 오히려 이익을 가져다 줄 수 있다. 본 연구의 결과를 종합하여 볼 때 LG화학의 물적분할 및 LG엔솔의 IPO는 LG화학 소액주주의 현금흐름권을 오히려 증대시켰다고 볼 수 있다.

This paper investigates how the cashflow rights of a parent company’s minority shareholders are affected by a subsidiary listing after a carve-out. It has been argued that the listing of a subsidiary may substantially dilute the cash flow rights of minority shareholders. However, this paper shows that minority shareholders might benefit from such carve-outs particularly when the cost of capital in the initial public offering (IPO) market is low. In a hot IPO market, issuing new shares through the subsidiary’s listing may reduce the cost of finance for the parent’s minority shareholders. In the counterfactual case where the same amount of funds was raised in seasoned equity offering (SEO) of the parent company, the dilution of minority shareholders’ cash flow rights may be greater. In the example of LG Chemical, the cashflow rights of minority shareholders resulting from the IPO of LG Energy Solutions is 54% of LG Chemical, whereas raising the same amount of funds through a SEO without listing the subsidiary company would have resulted in only 46% cashflow rights, indicating that the cashflow rights would be greater in the case of subsidiary’s IPO. Furthermore, the analysis of stock prices shows little evidence of negative impacts of the IPOs of subsidiaries on parent companies’ stock prices. In fact, returns on the parent companies on the announcement of carve-outs or listings are often positive, and long-term stock prices do not indicate that subsidiary listings following carve-outs harm the interests of the minority shareholders. On the contrary, subsidiary listings following carve-outs may benefit the minority shareholders by reducing financing costs in a hot IPO market. Contrary to the recent criticisms against the IPO of LG Energy Solutions, our findings show that the IPO may have increased the cash flow rights of minority shareholders in LG Chemical.

ESG 투자규모는 전 세계적으로 크게 증가하였지만, 투자전략으로써의 ESG의 효용성 에 대해서는 긍정적인 시각과 회의적인 시각이 공존한다. 본 연구는 대표적인 ESG 투자전략(포지티브, 네거티브 스크리닝)의 성과를 검증하고, 이를 강화할 수 있는 여러 방안을 제시한다. 연구 결과는 다음과 같다. 시장에서 발견된 이상현상 (anomaly)에 기반한 스타일 투자와 기존 ESG 투자전략이 결합된 ESG 통합전략 (ESG integration)은, 장기투자라는 공통된 투자시계(investment horizon)를 가진 두 전략 간의 시너지를 창출하여, 기존 ESG 전략 대비 더 높은 성과를 기록할 수 있음을 확인하였다. 특히, 기업규모(size), 발생액(accruals) 등을 이용한 스타일 전략 들이 ESG와 결합되었을 때 큰 성과의 개선이 있었다. ESG에 스타일 전략을 결합함으 로써 기존 스타일 전략 대비 위험지표 들을 개선할 수 있음을 확인하였다. 본 연구의 결과는 투자자로 하여금 ESG의 목적을 달성하면서도, 투자의 본래 목적인 수익성을 강화할 수 있는 방안을 제시하였다는 점에서 의의가 있다.

ESG investing has gained significant traction among institutional investors worldwide. For example, large asset owners such as National Pension Service, CPP Investments, and CalPERS are considering ESG factors in their investment decisions, and this trend is expanding to other institutional investors. In fact, according to Morningstar, ESG fund inflows reached $1.921 trillion in 2021, bringing the global ESG fund universe to $2.744 trillion at the end of 2021. Therefore, from the perspective of institutional investors and asset managers, the question of ‘how’ to enhance their investment portfolios has become a more important agenda than the question of ‘why’ ESG investing should be made. ESG investing strategies will only be sustainable if they can do what they are supposed to do: generate returns. To improve the performance of ESG investing strategies that invest in companies with high ESG scores, we propose an "ESG Integration" strategy that combines style investing based on market anomalies reported in the academic literature. Our results are summarized as followings. Through ESG Integration, which amalgamates style investing strategies with ESG, such as company size (small-cap) and accruals strategies, we find that greater excess returns can be achieved compared to existing ESG-only strategies. For example, compared to the High ESG-only strategy, the High ESG integrated small-cap style strategy outperforms1.136% per month on average. When we integrate the style based on the accrual anomaly into the ESG, we verify the ESG integration strategy has an excess return of 0.386% per month to the ESG-only strategy. This result pertains to absolute performance and risk-adjusted excess returns, as confirmed using the Carhart (1997) four-factor model. Someone can argue that we could get a loss for ESG scores when we undertake ESG integration than ESG-only strategies. However, we confirm there is a little loss to ESG scores even if we integrate ESG into various style investments. Therefore, by integrating ESG and profitable style strategies based on market anomalies reported by academic literature, investors could enhance the performance of ESG-only strategy without suffering a loss of the very purpose of ESG investing. ESG scores vary a lot by industry's specific characteristics. In Korea, for instance, the banking industry averages the highest ESG score among other industries. Meanwhile, the medical device and service industry shows the lowest ESG score. If we do not consider the industry-specific variations in ESG scores when conducting ESG investments, we could construct a portfolio that is overly tilted to specific industries with high ESG scores on average. Therefore, we employ industry-adjusted ESG scores to construct the ESG Integration strategy. Our result shows that the ESG Integration strategy based on industry-adjusted ESG scores also surpasses the performance of an ESG-only approach. How to handle the risk in their asset management is essential to institutional investors, such as public pension plan sponsors. Even a strategy can deliver enormous profits, but if it is very risky to the level of the risk appetite of institutional investors, investors cannot accept undertaking the strategy. From a risk management standpoint, we present that combining ESG with style strategies results in more favorable risk indicators than pure style strategies. Thus, we confirm that integrating ESG and style strategies can yield superior excess returns over existing ESG-only strategies while mitigating risks compared to conventional style strategies. The direction toward sustainable development through ESG has already garnered agreement and perceived necessity among many international participants. Nonetheless, for companies to sustain their ESG activities, ESG investing in the market must be concurrent. For investors, generating profits through ESG investment is paramount. Presently, consensus on ESG investing predominantly centers around major asset owners like pension funds. However, these pension funds primarily aim to provide pensions to beneficiaries through fund management rather than solely addressing social issues or augmenting societal welfare via ESG investing. Therefore, evaluating whether existing ESG strategies genuinely contribute as investment strategies and how they can be enhanced is pivotal. This study holds significance by proposing practical strategies to boost ESG investment performance, ensuring its sustainability. Furthermore, this research offers empirical evidence that supports not only the social value but also the financial value of ESG investing. Such evidence can be pivotal for future governmental and financial authorities in establishing policies and guidelines related to institutional investors' ESG activities, transcending the social value of ESG investments and encompassing its financial value. Lastly, the integrated strategy to enhance ESG performance, built upon comprehensive information encompassing non-financial ESG factors and financial style strategies, requires a high level of expertise in strategy formulation and execution. Determining how to combine and tailor various strategies, constructing portfolios, rebalancing, monitoring, etc., demands substantial resources, systems, and experience throughout the entire investment process. Institutional investors lacking internal resources may boost investment efficiency and stability by actively leveraging Outsourced Chief Investment Officers (OCIO) such as asset management companies.