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We investigate the valuation effects of diversification activities by Korean business groups known as chaebols before and after the 1997 Korean financial crisis. Employing a unique dataset of 2,894 firmyear observations for the 1994-2000 period, we document the following main results. First, chaebol firms are, on average, significantly less valuable than non-chaebol firms, indicating that a firm’s chaebol affiliation comes with a value discount. Second, both chaebol and non-chaebol firms experience a significant decline in firm value following the financial crisis. Third, unrelated diversification by chaebol firms erodes in firm value throughout the whole period examined. In contrast, their related diversification is associated with a significant value gain before the financial crisis but turns into a significant value loss post-crisis. Overall, our study provides strong evidence on the significantly different valuation effects of related versus unrelated diversification by Korean business groups and the importance of the Korean financial crisis on these relations. Our findings are robust to different regression estimation specifications.

Firms may repurchase their own stocks not only to distribute wealth to shareholders but also to gain control of the firm. This study explores this possibility from stock repurchase programs for Japanese firms listed in the Tokyo Stock Exchange. We find that ultimate owners of firms with large cash flow to voting right deviation announce stock repurchases more aggressively. It appears that incumbent management teams are wary of the fact that they can become hostile takeover targets. Extending Bagwell’s (1991) argument, we interpret that firms with large deviation between cash flow rights and voting rights are likely to announce large amounts of stock repurchase in order to increase both the cost of gaining a toehold and the price of the offer. We also find that Keiretsu (business group) affiliate firms are most aggressive in repurchasing their own shares when the cash flow rights and voting rights are far off alignment. This is consistent with the view of Claessens et. al. (2000) that firms with low deviation between cash flow rights and voting rights return more cash dividends to shareholders to distribute earnings.

We present a moral-hazard-based hierarchical contracting model, where investors con- tract the top manager and the top manager contracts all middle managers. We compare e®ects of hierarchical contracting on managerial contract sensitivities with those of a di- rect contracting benchmark where investors directly contract all managers. We argue that under hierarchical contracting, the top manager shifts his compensation risk to middle man- agers by providing middle managers with higher-powered incentive contracts than would be desired by investors under direct contracting. It is striking that this top managerial risk- shifting behavior motivates investors to design the top managerial contract in such a way that the top-managerial hierarchical contract sensitivity approaches either the ¯rst best or zero, as the ¯rm size grows. However, under some reasonable conditions such as correlated managerial e®ort outcomes, the top managerial sensitivity quickly approaches zero as the ¯rm size increases, and consequently, the sensitivity for large ¯rms can be far lower than predicted by the standard agency theory. This result can serve as an explanation of widely observed ¯rm-size e®ects on CEO compensations, namely, lower pay sensitivities for large ¯rms than those for small ¯rms. We also argue that even when investors are risk-neutral and then individual performance outcomes of nonexecutive employees may be very weakly correlated to the total outcome of the ¯rm, company-wide bonus plans for nonexecutive employees can still be justi¯ed under hierarchical contracting.

We examine the effects of several corporate governance and monitoring mechanisms on the choice of dual-class status and firm performance of dual-class firms. Employing 736 firms that implemented dual-class and 7,027 single-class firms during the period 1996-2002, we find that dual-class firms tend to be larger, higher director ownership and institutional ownership, lower blockholdings, and smaller fraction of independent outside directors on their board than those of single-class firms. In addition, we observe that dual-class firms are followed by smaller number of security analysts. After correcting for endogeneity bias, our regression results show that firms with higher analyst coverage and lower wedge, measured as the difference between voting rights and cash flow rights, are strongly associated with Tobin’s q. In contrast, blockholders’ ownership, board independence, and institutional ownership play a relatively insignificant role in enhancing Tobin’s q. We interpret our results to mean that security analysts are the most effective monitoring mechanism that influence both the dual-class choice and firm performance. Our results are not attributed either to the difference in firm size or to an industry effect.

Large tick sizes imposed on high-price stocks on the Korea Stock Exchange (KSE) are significant binding constraints on bid-ask spreads. Nearly 60% of quoted spreads are equal to the tick size for stocks with the largest tick size. The average spread of KSE stocks is smaller than that of the matched sample of New York Stock Exchange (NYSE) stocks, although the average spread of KSE stocks that belong to larger tick size groups is greater than that of matched NYSE stocks. These results suggest that the KSE’s electronic limit order market provides cheaper executions than the NYSE’s specialist system for our matched sample of stocks, and the KSE could further reduce trading costs if the large tick sizes imposed on highprice stocks are replaced with smaller ones.

This paper examines how price discovery efficiency is affected by changes in the pre-trade transparency level on the Korea Exchange (KRX) on October 6, 2003. The preopening session on the KRX has experienced three policy changes related to pre-trade transparency of the open limit order book. We find that KRX stocks composing the KOSPI200 index have significant price learning about 10 minutes before the opening. We document that the transparency level change has reduced informed traders’ participation in the preopening, but has enhanced the information transfer efficiency for uninformed traders. The information loss from the decreased informed participation is canceled out by the increased information transfer efficiency for the uninformed. The total amount of market price discovery shows no significant difference after the transparency change. Overall, we conclude that the pre-trade transparency level change did not increase preopening informativeness of the intrinsic price.

본 논문은 최근 국제금융시장에서 많은 관심을 받고 있는 이슬람 채권(수쿡)을 소개하고자 한다. 이슬람 채권은 그 발행이 급증하고 있 을 뿐 아니라 그 투자자들이 이슬람 인구뿐만이 아니라 서구의 투자자 계층에게로 확산되어 가고 있다. 또한 발행 국가도 이슬람권이 아닌 서 구의 국가로 확산되고 있어 점차 글로벌 채권화하고 있다. 따라서 중동 을 비롯한 이슬람권 진출 한국 기업들은 새로운 자금 조달원으로서, 한 국의 금융기관 등 자산관리자들은 포트폴리오 운영에 있어서 새로운 운영 대상으로서 이슬람 채권의 원리와 구조에 대하여 알아야 할 필요 가 있다. 이슬람 채권은 이슬람 금융의 원리에 바탕을 두고 발행되는데 이슬 람 금융은 근본적으로 이자의 수수를 금지하고 있는 대신 이윤과 손실 을 분배하는 원리로 이루어져 있다. 이 본 논문에서는 이윤과 손실을 분배하는 이슬람 금융 원리에 의해서도 전통적인 채권과 유사한 채권 의 구조화가 어떻게 가능한가를 설명하고자 한다. 세부적으로 이슬람 채권은 그 바탕이 되는 실물자산에 대한 이슬람 금융 계약의 형태에 따라 이자라 수쿡, 살람 수쿡, 무라바하 수쿡, 무샤라카 수쿡, 무다라바 수쿡, 이스티스나 수쿡 등으로 구분될 수 있는데 이러한 종류별 이슬람 채권들의 구조와 작동 원리를 구체적으로 설명하고자 한다.

민영화는 대상기업의 수익성 증대로 이어지지만 이는, 효율성 증대가 아닌, 독점력의 남용 과 사회적 후생의 희생으로 이루어졌다는 비판이 있다. 본 고는 1981년에서 2000년 사이 에 30개국 정부가 민영화를 실시한 34개 통신기업을 표본으로 하여 민영화 이후 10년간의 경영성과를 통하여 이러한 주장이 사실인지를 조사하였다. 그 결과 민영화 이전 기간에 높 은 수준이던 대상기업의 수익성은 민영화 직후 크게 향상되었다가 시간이 경과하면서 조금 씩 하락하여 비교기업과 비슷한 모습을 보인다. 민영화 이전 기간에 낮은 수준이던 효율성 은 민영화 이후 비교기업과 비슷한 정도로 개선된다. 민영화 기업의 수익성 하락은 정부의 요금규제와 경쟁 강도의 증대의 결과이다. 통신산업 민영화는 단기적으로는 자본투자 활성 화, 장기적으로는 효율성 향상이라는 목표를 달성하는 한편, 효과적인 요금정책을 통해 독 점적 이윤을 해소시킬 수 있어서 사회적으로 바람직한 결과를 가져왔다.

This paper examines how the boundary and efficiency of internal capital markets (e.g., firm size) is affected by corporate spin-offs. A spin-off is classified by its organizational structure: whether or not spun-off firms are operationally controlled or focused by parent firms after a spin-off. Surprisingly, in about 58% of the 102 spin-off transactions we studied, parent firms retain “control” of spun-off firms through overlapping management. Our result implies that these two types of parent firms are systematically different in their management of the internal capital market. That is, we find that corporate spin-offs themselves do not change investment sensitivity in parent firms after spin-offs. However, investment activities have already been sensitive to the change in Tobin’s Q around the spin-off events for the focused parent firms. In contrast, the controlling parent firms turn out to have maintained inefficient capital markets around spin-offs. We find that most of the focused parent firms in our spin-off sample are much larger than the controlling parent firms prior to spin-offs. Furthermore, for the controlling (focused) parents, the investment sensitivity increases (decreases) as firm size increases. These results are consistent with our argument that a spin-off appears to be a means to maintain an optimal firm size as suggested in Aron (1988), Gertner, Scharfstein, and Stein (1994) and Stein (1997). We show that the pre- and post spin-off marketadjusted performances are also consistent with the efficiency of the internal capital markets under these two types of parents.

대규모 사회간접자본 시설에 대한 투자에 대한 재원조달방안인 project financing 기법의 하나인 BTO((Build-Transfer-Operate)방식을 활용하여 많은 민자사업이 추진되었다. 그러 나 실제 활용된 기법은 ‘BTO+최소수익보장’ 방식의 민간투자방식이었다. 이 ‘BTO+최소 수익보장’ 방식은 관련자에게 왜곡된 유인를 제공하여 실물부문의 비효율성 - 과다한 수요 예측과 그에 따르는 재정의 낭비 등의 문제점 - 을 유발하였다. 이러한 문제점에 대안으로 등장한 것이 BTL(Build-Transfer-Lease) 방식이다. 이 논문에서는 BTO 방식과 BTO의 변 형 방식, 그리고 BTL방식을 분석하고, 개선책을 제기한다.

파생상품거래의 과세는 과세요건을 구성하는 파생상품거래에 대하여 선도거래, 선물거 래, 옵션거래, 스왑 거래의 4가지 형태로 유형화하여 과세 제도를 정비하는 것이 바람직할 것이다. 파생상품 거래 손익에 대해서는 만기일, 반대매매일, 청산 일에 과세소득을 인식하 는 결제기준을 적용하되, 파생상품거래에 대한 인프라구축이 미흡한 현실을 고려하여 결산 일 현재의 공정가액 평가와 파생상품의 평가손익에 대한 과세는 거래소에서 거래되는 선물, 옵션, 외환 거래 등으로 한정하고, 스왑거래, 선도거래 등에 대해서는 거래 상대방이 파생상 품에 대한 합리적인 평가모형을 사용하고 있다고 인정되는 금융기관과의 거래에 대해서만 가능하다고 생각된다. 또한 위험회피 회계를 수용하는 경우라면 위험회피대상인 자산ㆍ부채 의 공정가액평가를 허용해야 하며, 위험회피수단인 파생상품의 평가손익은 위험회피대상의 공정가액 변화로 발생되는 평가손익이 과세대상으로 귀속되는 시점과 동일한 시점에 과세소 득으로 인식하여야 한다. 이외에도 파생상품거래의 과세제도 합리화를 위하여 옵션거래에 있어 행사 일에 옵션을 행사하는 것이 유리함에도 불구하고 행사하지 아니한 경우와 행사하 지 않는 것이 유리함에도 불구하고 행사하는 경우 거래 상대방에게 이익을 제공하는 것으로 간주하여 부당행위계산부인 또는 증여의제 규정을 적용할 것을 제안한다. 마지막으로 파생 상품 거래와 결합하여 평가 증 된 포지션으로부터의 이익을 아무런 과세부담 없이 향유하거 나 조세부담을 이연시킬 가능성을 배제하기 위하여 평가증된 포지션에 대해 공정가액으로 양도, 처분, 종료된 것으로 간주하여 이익을 인식하도록 하는 간주매출규정의 적용을 제안한 다.

I suggest taxing qualifying derivative contracts by classifying into four categories such as forward, future, option and swap contracts. The gain or loss from trading derivative instruments should be included in taxable income in the year that covers maturity date, offsetting sales date or payment date. However, the gain or loss from measuring derivatives at year-end is taxable for exchange-traded contracts. Otherwise, it is taxable only when one of the parties to the contracts is a financial institution that uses reliable valuation models for derivative instruments. To the extent that hedge accounting is accepted, fair value measurement of hedged items should also be allowed. And the gain or loss on a derivative contract must be recognized as taxable income in the same period during which the change in value of the item being hedged affects taxable income. To enhance effectiveness of the taxation of derivative contracts, we suggest taxing certain option contracts under which one party transfers gain to the other through exercising or not exercising his/her right by applying the recalculation rule for unfair practices or the constructive rule. Finally, to minimize the likelihood that the gain on appreciated financial position together with derivative contracts is realized without paying or deferring taxes, I suggest treating the appreciated financial position as constructive sales-as if the derivative instruments of concern are sold at fair value.