Earticle

본 연구는 신용등급 변경 가능성과 기업의 재무정책 간의 관계를 조사한다. 기업의 세부 신용등급이 ‘+’ 또는 ‘-’인 경우를 신용등급 변경 가능성이 높은 기업으로 정의하 여, 2011년부터 2022년까지 한국 유가증권시장과 코스닥시장에 상장된 기업들을 대 상으로 분석하였다. 분석 결과, 신용등급 변경 가능성이 높은 기업들은 그렇지 않는 기업들에 비해 자산 대비 더 낮은 부채를 보유하였고, 더 적은 배당을 지급하였으며, 더 많은 현금을 보유하였다. 이러한 결과는 신용등급 변경 가능성이 높은 기업들이 자본 비용을 줄이고 금융기관들의 투자 기준을 충족시키기 위해 보수적인 재무정책을 추구하고 있음을 제시한다. 본 연구는 신용등급과 기업재무정책 간의 관계를 단순 선형관계로서 분석한 이전 연구와 차별화되며, 신용등급 변경 가능성과 다양한 기업재 무정책 사이의 관계에 대해 분석했다는 점에서 관련 문헌에 공헌한다.

Previous studies have examined how credit ratings are associated with corporate financial decisions by focusing on their linear relationship (e.g., Baghai, Servaes, and Tamayo, 2014; Khieu and Pyles, 2016; Jung and Kim, 2018; Kim and Kim, 2019; Jeon and Lee, 2020). However, this relationship is not likely to be linear because market recognition on credit ratings and financial regulations are affected by alphabetic ratings (Kisgen, 2006). For example, firms near credit rating upgrade (a rating designated with "+") or downgrade (a rating designated with "-") have stronger incentives to obtain a credit rating jump or avoid a credit rating downgrade than these not near credit rating change issue, resulting in different corporate financial decisions. In this paper, we thus examine how the likelihood of credit rating changes affects corporate financial policies. We hypothesize that firms near credit rating changes are more likely to have conservative financial policies than these not near rating changes. Our hypothesisis based on two reasoning. First, firms closer to credit rating changes are more likely to pursue conservative financial decisions to reduce the cost of raising capital. Because credit ratings are a significant factor to determine the cost of raising capital, firms near a rating change issue are more concerned about possible changes in their cost of capital. Hence, firms with a plus (minus) rating will be more conservative regarding their financial decisions to obtain the higher rating (maintain the current rating) than these without a plus (minus) rating. Second, firms near a change in rating are likely to choose more conservative policies to meet the investment criteria of financial institutions. Financial institutions face several regulations with respect to their investments. Under the regulations, a firm’s credit rating is one of important criteria to decide the investments of financial institutions. Therefore, firms with a minus (plus) rating are motivated to set greater conservative policiesto maintain current investments (obtain new investments) from financial institutions than these not near a rating change issue. To test our conjecture, we use data on credit ratings to Korean firms over the 2011-2022 period. Following Kisgen (2006), We define firms with a plus (+) or minus (-) rating as these closer to rating changes (upgrade or downgrade). Using the rating outlook data, we also define firms with a "Positive" or "Negative" ("Stable") outlook as these near (not near) rating changes. Moreover, we measure corporate financial policies using a firm’s leverage, dividend, and cash holdings. Our final sample includes 2,736 firm-year observations between 2011 and 2022. We find that firms with a plus or minus rating tend to use less debt, pay less dividend, and hold more cash than these without a plus or minus rating. We further find that firms with a "Positive" or "Negative"outlook are likely to borrow less, pay less dividend, and reserve more cash than these with a "Stable" outlook. The results suggest that firms more prone to rating changes are more likely to have conservative financial policies to reduce the cost of raising capital and meet the investment criteria of financial institutions. In addition, our findings remain consistent after mitigating endogeneity issues subject to reverse causality, omitted variable bias, and measurement errors. Specifically, our results persist when we re-estimate the likelihood of credit rating changes using the rating outlook data and perform propensity score matching analysis and system generalized method of moments (GMM) estimations. Unlike the previous literature that hasexamined on a linear relationship between credit ratings and corporate decisions, this paper contributes to the corporate finance literature by suggesting a non-linear relationship between the likelihood of credit rating changes and corporate financial policies. Furthermore, while existing studies on credit rating changes have focused on capital structure (Kisgen, 2006; Kim, Seol, and Kim, 2007; Kim and Yoon, 2013), earnings management (Kim, 2016), cost behavior (Kim and Chung, 2017), corporate governance (Hong and Kim, 2019), and voluntary disclosure incentive (Kim, 2022), this paper adds to the literature by exploring various corporate financial policies and enriching the understanding of corporate decisions with respect to credit rating concerns.

본 연구는 국내 자본시장에서 종합금융투자사업자(초대형IB) 제도 도입 이후 증권사의 대형화 유도에 따른 부실위험을 확인하기 위한 실증연구이다. 제도 도입 이후 증권사의 업무 범위 확대는 레버리지 확대로 인한 고위험 투자, 부동산PF 자산편중 심화, 파생결합증권 매매에 따른 신용 및 금리위험 증가 등 다양한 리스크에 노출될 수 있다는 우려가 적지 않았다. 본 연구에서는 2013년 10월 제도 도입을 전후하여 국내 39개 증권사를 대상으로 패널회귀모형을 통해 자기자본규모가 부실위험에 미치는 영향을 실증분석하였다. 분석결 과, 첫째, 종합금융투자사업자 제도 도입의 취지에 맞게 증권사의 대형화가 이루어지고 있으나, 제도 도입 이후 부실위험이 증가하는 것을 확인하였다. 둘째, 특히 자기자본 3조원 이상의 초대형 증권사는 제도 도입 이후 자기자본 규모에 비례하여 부실위험이 유의미하게 증가하였는데, 이는 이들의 업무 범위 확대에 따른 리스크 노출에 기인하는 것이라 할 수 있다. 본 연구의 실증분석 결과는 규제 완화에 따른 초대형 증권사의 위험 추구를 적극적으로 감독하고, 대형사 부실의 파급 경로에 즉각적으로 개입할 수 있는 거시건전성 측면의 리스크 대응체계를 구축함으로써 자본시장의 안정을 도모할 필요가 있음을 시사한다.

This study is a study to empirically confirm the insolvency risk caused by the induction of large-sized securities companies after the introduction of the comprehensive financial investment business (extra-large securities companies) policy in the Korean capital market. Since the introduction of the polcy, there have been concerns that the expansion of the business scope of securities firms may expose them to various risks, such as high-risk investments due to leverage expansion, concentration of real estate PF assets deepening, and credit risk and interest rate risk due to trading of derivatives-linked securities. In this study, the impact of equity capital on insolvency risk was analyzed using a panel regression model for 39 domestic securities firms from the first quarter of 2009 to the fourth quarter of 2016, before and after the introduction of the policy in October 2013. Among previous studies, studies that presented positive results regarding the enlargement of financial companies focused on individual financial companies, while studies that presented negative results focused on the perspective of the financial system as a whole. The introduction of comprehensive financial investment businesses, which was the focus of this study, is a topic from the financial system perspective, so it is appropriate to conservatively examine the impact of policy introduction. Therefore, this study established the hypothesis that “the enlargement of securities companies following the introduction of the comprehensive financial investment business policy increases their insolvency risk.” The dependent variable of the analysis model is the natural logarithm of the default risk variables (EDF and Z-Score), and the independent variable is the amount of equity capital (natural logarithm) of individual securities companies. Other control variables include asset size (total assets (natural logarithm)), capital adequacy (NCR), profitability (ROE), asset soundness (NPL), and macroeconomic variables (GDP growth rate, housing price fluctuation rate, KOSPI growth rate). As a result, first, although securities companies are becoming larger in line with the purpose of introducing the comprehensive financial investment business policy, it was confirmed that their insolvency risk increased after the introduction of the policy. In other words, in the case of large securities companies, EDF increased and Z-Score decreased. Second, especially for super-large securities companies with equity capital of KRW 3 trillion or more, their insolvency risk increased significantly in proportion to the size of equity capital after the introduction of the policy, which can be attributed to the risk exposure due to the expansion of the scope of business. These results suggests the following: First, it needs to be intended to promote stability in the capital market by actively supervising the risk-seeking business of large securities companies following deregulation, and establishing risk-monitoring system in terms of macroprudentiality that can immediately intervene in their insolvency. Second, It can urge the awakening of all securities industry. In particular, in the process of reorganizing the sales and profit structures of securities industry due to the policy, it can be suggested that policies such as specialization strategies for small and medium-sized securities companies in order to minimize the negative impact of the relative weakening of their competitiveness. Finally, companies seeking to access the capital market can be expected to actively monitor the securities firms they deal with. This perspective is especially useful for small and medium-sized businesses. The insolvency risk of financial companies is inversely proportional to the financial inclusion of small and medium-sized businesses. Above all, without undermining financial stability, coordination and cooperation of market participants such as companies, investors, intermediaries, and advisors, as well as regulatory policies of policy authorities are of utmost importance.

This study investigates the anti-manipulation effects of average futures within a generalized framework. Our primary contributions include revising and extending the anti-manipulation features proposed by Yoo (2015) and providing an in-depth comparison of existing anti-manipulation settlement mechanisms and average futures in terms of their efficacy as manipulation deterrents. We find that the anti-manipulation effects are weaker than in Yoo (2015) if a manipulator engages in an average futures contract with a smaller contract multiplier or more reference dates, manipulates it not only on its expiration date but also on other reference dates, or if the price momentum of the underlying asset due to the manipulation is stronger. Additionally, average futures effectively deter manipulation and help preserve market stability, unlike traditional anti-manipulation mechanisms that often distort prices. This comprehensive comparison underscores the advantages of using average futures to maintain market equilibrium and mitigate manipulation.

본 연구는 2013년부터 2022년까지 국내 유가증권시장에 상장된 기업들을 대상으로 퇴직연금의 과소적립수준이 기업의 투자활동에 미치는 영향을 분석하였다. 연구 결 과, 과소적립수준이 높은 기업은 연구개발지출이 증가하는 경향이 있지만, 자본지출 에는 유의한 영향을 미치지 않았다. 이는 과소적립을 통해 절약한 자금을 자본지출보 다 연구개발에 우선 투입하기 때문으로 해석된다. 재무적 제약이 없는 기업에서 이러 한 경향이 더욱 두드러졌다. 이는 내부 자금으로 충당되는 연구개발 투자가 일반 유형 자산 투자보다 높은 미래 수익을 기대할 수 있기 때문이다. 또한, 과소적립수준이 높은 기업은 연구개발에 과잉 투자할 가능성이 크며, 이는 경영진의 재량권과 기회주 의적 행동을 시사한다. 이러한 발견은 기업이 DB형 퇴직연금 적립을 위한 자금을 비효율적으로 활용하고 있음을 시사하며, 이에 대한 보다 강력한 규제 필요성을 제기 한다.

This study investigates the impact of defined benefit pension plan underfunding on the investment activities of firms listed on the South Korean stock market from 2013 to 2022. Using a sample of firms with accessible pension data, the research analyzes the relationship between pension underfunding levels and two primary types of investment activities: capital expenditures and research and development expenditures. The findings reveal that firms with higher levels of pension underfunding tend to increase their research and development spending, while there is no significant effect on capital expenditures. This indicates that firms prefer to allocate the funds saved from pension underfunding towards research and development rather than capital expenditures. This preference can be explained by the expectation that research and development investments, which are primarily funded through internal cash flows, yield higher future returns compared to investments in tangible assets or capital expenditures. Supporting studies highlight that increased research and development spending is associated with significant improvements in abnormal returns and long-term operating performance, whereas high capital expenditures can lead to negative abnormal returns. The study further explores the distinction between financially constrained and unconstrained firms in terms of their investment behavior. The positive relationship between pension underfunding and research and development expenditure is particularly pronounced in firms without financial constraints. Financially unconstrained firms are more likely to prioritize long-term growth and innovation over short-term financial stability, leading them to invest more heavily in research and development. In contrast, financially constrained firms may face limitations in their ability to invest due to higher external financing costs and limited internal cash flow, thereby prioritizing immediate financial survival over long-term investments. To investigate potential managerial opportunism in firms with underfunded pensions, the study hypothesizes that managers may leverage the flexibility and discretion they have over pension funding to divert resources to other investment activities. The findings indicate that firms with high levels of managerial ownership exhibit a stronger positive relationship between pension underfunding and research and development expenditure. This suggests that managers with significant ownership stakes have more leeway to influence investment decisions and are more likely to direct savings from pension underfunding towards research and development. The potential for managerial opportunism is further supported by the observation that such managers prioritize investments with higher expected returns, like research and development, which can enhance their own compensation and the firm's long-term prospects. The robustness of the results is tested using different measures of pension underfunding, including the ratio of pension deficits to market value and the ratio of pension deficits to cash and cash equivalents. These additional analyses consistently show that pension underfunding significantly impacts research and development expenditure but not capital expenditures, reinforcing the primary findings of the study. The implications of this study are multifaceted. First, it underscores the strategic decisions firms make regarding the allocation of resources saved from pension underfunding. The preference for research and development over capital expenditures is driven by the higher expected returns and the strategic importance of innovation and long-term growth. This finding highlights the role of internal financing in supporting research and development activities, particularly in firms with significant managerial ownership and those without financial constraints. Second, the study reveals the need for more stringent regulations to ensure efficient utilization of pension funds. The potential for managerial opportunism, where managers may use the flexibility in pension funding to their advantage, poses risks to the firm's financial health and the security of employee pensions. Policymakers should consider implementing measures that limit the discretion managers have over pension funding and enhance transparency in how these funds are allocated. Third, the results suggest that firms with underfunded pensions might be engaging in riskier investment strategies, such as increased research and development spending, to achieve higher returns. While this can lead to significant long-term benefits, it also introduces greater volatility and potential risks. Therefore, investors should be aware of the implications of a firm's pension funding status on its investment strategy and overall risk profile. In summary, this study provides valuable insights into the relationship between defined benefit pension plan underfunding and corporate investment behavior. It highlights the strategic allocation of saved resources towards research and development, the influence of financial constraints, and the potential for managerial opportunism. The findings call for improved regulatory oversight to protect the interests of employees and ensure the sustainable growth of firms. The study contributes to the broader understanding of how pension funding decisions impact corporate strategy and financial performance, offering a foundation for future research in this area.