Earticle

This paper uses conventional measures of CEO overconfidence: option holdings-based and net stock purchase-based measures to examine the impact of CEOs who hold firm-specific risk on insurer’s risk-taking and firm performance in U.S. publicly traded property-liability insurance companies. We find that two CEO overconfidence measures are negatively associated with insurer’s risk-taking and positively related to firm performance. We also provide evidence that CEOs who maintain high exposure to firm-specific risk exploit their private information to time stock-option exercises in an effort to increase the cash payout from these exercises. Our overall results indicate that CEOs who have private information on their firms’ future earnings maximize their personal profits by postponing option exercises or buying additional stocks, and that they tend to take a lower risk to protect their personal wealth in property-liability insurance firms. Therefore, our findings suggest that it may not be CEO overconfidence, but rather the private information and the intention to control the company’s risk that drive our results.

We empirically test competing theoretical arguments about the impact of common ownership on bank stability: the common ownership hypothesis, where banks decrease risk-taking by internalizing risk externalities on commonly held banks, and the diversification hypothesis, where banks increase risk-taking incentivized by the common owners who diversify away idiosyncratic risks. Using data from the U.S. banking industry from 1991 to 2016, we find that banks with more common ownership linkages undertake less risk, as predicted by the common ownership hypothesis. This relation is statistically significant and economically sizable, which is consistent across alternative measures of common ownership and bank risk and robust to potential endogeneity. Our study adds the financial stability perspective to the ongoing discussions on common ownership and antitrust regulations.

We develop a dynamic model of debt contracts with adverse selection and belief updates. In the model, entrepreneurs borrow investment goods from lenders to run businesses whose returns depend on entrepreneurial productivity and common productivity. The entrepreneurial productivity is the entrepreneur’s private information, and the lender constructs beliefs about the entrepreneur’s productivity based on the entrepreneur’s business operation history, common productivity history, and terms of the contract. The model provides insights on the dynamic and cross-sectional relation between firm age and credit risk, cyclical asymmetry of the business cycle, slow recovery after a crisis, and the constructive economic downturn.

We take a macroprudential approach to analyze the optimal lending policy for the central bank, focusing on externalities that policy imposes on markets. Lending against high-quality collateral protects central banks against losses, but can adversely aect liquidity creation in markets since high-quality collateral gets locked up with the central bank rather than circulating in markets. Lending against low-quality collateral creates counterparty risk but can improve liquidity in markets. We characterize the optimal policy incorporating these trade-os. We show that, contrary to what is generally accepted, lending against high-quality collateral can have negative eects, whereas it may be optimal to lend against low-quality collateral.

In this study, we compare the pricing and hedging performance of options-pricing models using two parameter-estimation methods to employ cross-sectional options data with multiple maturities. In the Portfolio of Volatility Smiles method, each set of parameters that describe the individual volatility smile for each maturity are estimated separately. In the Volatility Surface method, a single parameter set that describes the entire volatility surface is estimated, regardless of the time to maturity. When pricing and hedging options with various times to maturity, the Portfolio of Volatility Smiles method generally outperforms the Volatility Surface method, irrespective of the option-pricing model used, maturity, and moneyness. Considering the volatility smile individually at each maturity is more effective in pricing and hedging options than is considering the volatility surface simultaneously.

We propose a Bayesian approach to identify the excessive comovement of two markets as a contagion. This goal is technically achieved by linking a latent factor model and single equation error correction model and testing the breaks in the short-term and long-term relationships and correlatedness in the linked model. We find that a short-term relationship representing a systematic volatility ratio between two markets plays a key role in contagion dynamics. When long-term relationship or correlatedness is broken, the cause is determined by calculating posterior probabilities. If the cause is a break in the short-term relationship, a contagion is formally declared.

This paper investigates asymmetries in volatility connectedness among the G7 stock markets. Using daily realized semi-volatility indices, obtained from intra-day data, we provide ample evidence for the asymmetric volatility connectedness. We find that the impact of bad volatility strictly dominates that of good volatility in generating connectedness across financial markets. In particular, the global financial crisis and the European debt crisis have witnessed most influential episodes of volatility connectedness. We also discuss that the effect of the US stock market on other countries has been largely due to bad volatility.

We examine the relationship between corporate social responsibility (CSR) and credit risk. We test how CSR strengths and concerns impact credit default swap (CDS) spreads during the global financial crisis period (2008–2009) and non-crisis periods (2001–2007 and 2010–2011). We empirically find that CDS spreads capture additional effect of CSR on credit risk that credit ratings miss, implying that CDS spreads have advantages over credit ratings for studying CSR. Our empirical results show the asymmetric effects of CSR concerns and strengths on credit risk. CSR concerns increase and CSR strengths reduce CDS spreads during the non-crisis period, whereas their effects change during the financial crisis. CSR strengths during an adverse economic environment can indicate agency problems and overinvestment. The effect of CSR concerns becomes much larger during the financial crisis, while that of CSR strengths can even increase CDS spreads. These results are supported by a 2SLS analysis used to mitigate endogeneity problems.

Using large proprietary money management app data from a major commercial bank in Canada, I study how the app users manage their personal finance upon seeing an overspending message on the mobile app. First, I find that the message recipients reduced spending on the following day by C$8.15, which corresponds to 5.4% of their daily average spending, compared to the non-recipients. Second, these fintech nudges had temporary effect on flow spending and resulted in permanent reduction in cumulative spending. Third, the effects are especially pronounced for the users who are older, have higher liquid wealth, are more finance-savvy, are new to the app experience, or reside in a city with a higher fraction of educated population. Fourth, I find suggestive evidence that these effects could spill over from one app user to another in the same household. On the other hand, the message recipients were less likely to monitor their accounts via log-ins afterward, which is selective inattention known as the ostrich effect.

This paper develops an endogenous selection model under asymmetric information, in which risk types are endogenously determined by individuals. By assuming heterogeneity in asset sensitivity that inheres in a two-argument utility function, we find that in equilibrium, an asset sensitive type of individual may invest in self-protection and become a low-risk, whereas an insensitive type never chooses to expend effort. Unlike the standard model of Rothschild and Stiglitz (1976), the present study demonstrates that the sensitive type (low-risk) demands more insurance than the insensitive type (high-risk) under advantageous selection. We also find other types of equilibrium such as adverse selection, separating equilibrium for a single premium rate, partial pooling equilibrium, and pooling equilibrium. In contrast to all previous papers, the equilibrium results obtained in this study reflect the reality that individuals make trade-offs between an income and an insurable asset.

주식초과수익률에 대해 Ang et al.(2006)들은 위험-수익률 상충현상이 나타나지 않는 고유변 동성 퍼즐현상을 주장하였다. 그들이 고유변동성 추정을 위해 사용한 Fama-French(1993) 3요 인 모형은 주식초과수익률을 설명하지 못한 체계적 위험이 내재되어 있다. 체계적 위험을 완 벽하게 설명할 수 있는 변수를 찾는 것은 어렵기 때문에 Ludvigson and Ng(2009)의 연구방법 을 인용해 많은 양의 거시경제 변수들을 주성분분석을 통해 거시경제요인을 생성하여 고유변 동성의 통제변수로 사용하였다. 그 결과 KOSPI시장에서 고유변동성에 거시경제요인을 통제했 을 경우 Ang et al.(2006)들이 주장한 고유변동성 퍼즐 현상은 전통적 재무관리 이론이 주장 하는 양(+)의 관계로 반전되는 현상을 확인 하였다. 이는 주식초과수익률에 대해 3요인 모형 이 설명하지 못한 체계적 위험이 거시경제요인들이 가지는 다양한 정보의 영향력에 의한 것으 로 해석할 수 있다. 투자자들이 거시경제요인을 포트폴리오에 활용한다면 거시경제요인을 가 격화 할 수 있을 것이다.

We study the value of FinTech for retail consumers from individual overseas remittances on a FinTech platform. The value of FinTech mostly comes through overcoming various frictions such as high cost or time/spatial constraints of transaction. Using detailed transaction-level overseas remittance data from a leading FinTech rm in Korea, we nd that the FinTech platform lowers remittance cost by 10.6% on average compared to tra- ditional commercial banks. However, we nd mixed results regarding the time/spatial exibility provided by the FinTech platform that it may not always lead to the optimal timing of remittance transactions. While the FinTech platform can enhance consumer welfare by allowing constraint-free transactions with some advanced features in the plat- form, the exibilities can also harm consumers by amplifying their behavioral bias.

This study documents evidence that share repurchases have become persistent in recent years, as an increasing number of firms repurchase shares year after year. This persistence means that share repurchases are now a long-term cash flow commitment. As a result, previous notions about share repurchases—such as considering them a means of distributing transitory cash flow, or a response to undervaluation or raising the debt ratio—have little explanatory power. Instead, share repurchases are linked to fast, consistent future growth, which is reflected in the high stock valuation of share repurchasing firms. Firms use cash flow as the primary source of capital to finance share repurchases year after year. This financing has cumulatively large effects on capital structure, as share repurchasing firms experience large, steady increases in retained earnings and comparable decreases in paid-in capital over time. On average, share repurchases do not displace investment, as share repurchasing firms invest actively to generate fast growth that in turn helps finance repeated share repurchases.

본 논문은 2009-2017년 기간 발생한 160건의 상장회사 간 지분매입 인수거래를 대상으로 거래 프리 미엄과 공시 주가반응을 분석하였다. 분석 표본에는 인수기업(acquirer)이 피인수기업(target)의 지분을 5% 이상 취득하는 경우를 포함하였으며, 거래 프리미엄은 1주당 거래가격과 피인수기업의 공시 직전일 (또는 1주일 전) 종가 간의 차이로 정의하였다. 분석 결과, 취득지분의 크기와 거래 프리미엄 간에는 통 계적으로 유의한 양(+)의 선형관계가 존재하였으나, 거래 프리미엄의 중간값은 0에 가깝고 음(-)의 값을 가지는 건수가 절반에 달해 상장회사 간 지분매입 거래시 양(+)의 프리미엄을 지불하는 것은 일반적이 지 않았다. 인수기업 자산대비 거래대금이 클 경우 거래 프리미엄이 높았으나 영업성과가 좋거나 대주 주 지분율이 높은 인수기업일수록 거래 프리미엄을 덜 지급하는 것으로 나타났다. 누적초과수익률(CAR)을 사용해 지분매입 거래 공시에 대한 인수기업과 피인수기업의 주가반응을 분 석한 결과, 인수기업의 CAR(-2, 2)의 평균은 유의성이 없었으나 피인수기업의 CAR(-2, 2)의 평균은 1.6%로 유의적이었다. 따라서 지분인수 거래는 평균적으로 인수기업보다는 피인수기업에 긍정적인 주가 반응을 이끌어내는 것으로 보인다. 한편 CAR(-2, 2)을 종속변수로 설정한 회귀분석 결과 인수기업의 주 가반응은 거래 프리미엄이 크거나 피인수기업의 영업성과가 좋을수록 높았으며, 피인수기업의 주가반응 에는 뚜렷이 영향을 미치는 요인이 발견되지 않았다. 거래 프리미엄이 음(-)인 경우가 절반 정도나 되며 피인수기업의 공시 주가반응이 평균적으로 양(+) 이라는 관측은 “강제 공개매수제도를 택하지 않는 현 법제도 하에서 지분매입 거래의 프리미엄 혜택 은 피인수기업 대주주에게만 돌아간다”는 비판적 의견을 지지하지는 않는다.

This paper examines a sample of 160 equity-stake purchase deals between listed companies over the period 2009-2017. The sample consists of deals in which acquiring firms buy at least 5 percent of the target’s common stock but does not include mergers or acquisitions of the target’s entire equity. Deal premium is measured by the difference between the deal price (per share) and the target’s share price one day or a week before the deal’s announcement. Our investigation shows that, although deal premium tends to increase with the size of equity stake in the target, deal premium is negative in about half of the sample and its median value is close to zero. Our regression results show that deal premium is positively associated with the won value of the deal size relative to acquiring firms’ assets, but negatively associated with the quality of acquiring firms (as measured by operating return on assets) and the size of inside ownership of those firms. We also analyze stock price responses to deal announcements for acquiring firms and targets. For acquiring firms, the mean of their stock price responses, as measured by CAR(-2, 2), is not statistically significant, but their CAR(-2, 2)　tends to increase with deal premium and the target’s operating performance. For target firms, the mean of their CAR(-2, 2) is significantly positive (about 1.6 percent), but we cannot identify factors that are systematically associated with their CAR(-2, 2).

There has been limited research on the incentives foreign institutional investors face in foreign markets. We investigate whether foreign institutional investors are long term investors using the Korean stock market data. We measure the influence level of foreign institutions using the trading share of foreign institutions in the total trading volume of a firm as well as ownership of foreign institutions. We find a positive relationship between the influence level of foreign institutional investors and opportunistic earnings management. This result suggests that they have a short investment horizon and seek information-based trades. We also find that the positive relationship between foreign institutional investors and earnings management intensifies during periods of low market growth, and in firms with lower managerial ownership or firms unaffiliated with large conglomerates. These findings suggest that monitoring incentive and investment horizon of foreign institutional investors depend on economic environment, market growth and corporate governance characteristics in emerging markets.

발행회사 대주주 등의 제3자에게 전환사채를 매수할 수 있는 권리인 콜옵션(매도청구권)을 부 여하는 사모 콜옵션 전환사채(CB)는 분리형 신주인수권부사채(BW)가 금지된 2013년에 처음 발행된 이후 발행량이 급격하게 늘어나고 있으나, 주요 선진국에서 활용되고 있지 않는 구조 이다. 대주주는 콜옵션 CB를 이용하여 콜옵션을 양도받는 것이 사모 분리형 BW로부터 분리 된 신주인수권을 매입하는 것보다 유리한데, 이유는 콜옵션이 내가격에 있는 경우에만 전환사 채를 매수함으로써 대주주가 손해볼 확률이 0%이기 때문이다. 본 연구는 2013년부터 2018년 까지 공시된 사모 전환사채 1,496건을 대상으로 콜옵션 포함여부가 발행공시효과와 전환권행 사공시효과에 미치는 영향을 분석하였으며 주요 결과는 다음과 같다. 첫째, 콜옵션 CB발행의 공시효과는 표준형 CB발행의 공시효과보다 유의적으로 작은데 이는 콜옵션 부여에 대한 부정 적인 견해를 반영한다. 둘째, 콜옵션 CB를 발행한 기업은 표준형 CB를 발행한 기업에 비하여 영업성과가 우수하고 발행조건이 유리하며 대주주지분율이 높고 리픽싱조항 채택비율도 높다. 셋째, 전환청구권행사의 공시효과는 유의적인 음이며, 콜옵션 CB에 연관된 전환청구권행사의 공시효과가 표준형 CB에 연관된 전환청구권행사의 공시효과보다 유의적으로 더 부정적으로 나타난다. 요약하면, 본 연구는 콜옵션 CB에 대한 구조적 문제점을 제시하고 이를 뒷받침하는 시장의 부정적 실증증거를 처음으로 보고한다. 이해관계자에게 콜옵션을 부여하는 사모 CB의 발행은 극단적인 불공정 거래이므로 사모 분리형 BW가 금지된 것처럼 발행이 금지되어야 할 것으로(즉, 발행기업만이 콜옵션을 행사할 수 있도록 제한해야 할 것으로) 판단된다.

Callable convertible bonds (CBs) that provide call options to the third parties, whose structure is not used in major countries, have been issued since issuances of detachable privately-placed bonds with warrants (BWs) had been banned in 2013. The largest shareholders prefer callable CBs to detachable BWs because they would exercise call option only if CBs are in the money. This study analyses the effect of call option on the announcement effects of CB issuances and exercising conversion rights using 1,496 privately-placed CBs issued between 2013 and 2018. The major findings of this paper are as follows. First, the announcement effects of callable CBs are significantly smaller than those of standard CBs, reflecting negative view of providing call options to the third parties. Second, callable CB issuing firms have better operating performance, higher ownership of the largest shareholders, and higher adoption rate of refixing clauses than standard CB issuing firms. Third, the announcement effects of exercising conversion rights are significantly negative, and those of callabe CBs are significantly smaller than those of standard CBs. To summarize, this study brings structural problems of callable CBs to attention and documents empirical evidences to support our hypothesis. We recommend financial authority to ban the issuance of callable CBs.

We generalize the Permanent Income Hypothesis (PIH) of Friedman (1957) with a large, negative income shock (LNIS). We quantify the required amount of pre- cautionary savings for consumption smoothing. We nd that with the LNIS, the precautionary savings could increase as wealth increases, consistent with the US data. We also provide a general equilibrium analysis with a focus on interest rate. The agent's demand for precautionary savings is suciently strong making her save at a high rate and thus lowering the equilibrium interest rate signicantly, which is particularly relevant to today's low-interest-rate environment. Finally, the LNIS signicantly improves our equilibrium model's ability to match the equity premium and risk-free rate of the century-long sample (1891-1994).

본 연구에서는 7가지 유형의 스마트베타 ETF(베타, 규모, 가치, 퀄리티, 배당, 모멘텀, 저변동성)를 대상으로 Fama-French 5요인 모형에 의거한 부트스트랩 시뮬레이션과 Resampled Efficiency 방법론을 활용하여 그 경제적 가치를 분석하였다. 연구의 주요 결과는 다음과 같다. 첫째, 스마트베타 ETF는 기존의 전통자산들과 대비하여 투자할 만한 경제적 가치가 있다. 그 크기의 차이는 있지만, 거의 모든 유형의 ETF가 무위험 자산, 시장포트폴리오에 추가하여 포트폴리오의 성과를 개선시킬 수 있다. 둘째, 그 중 에서도 베타, 저변동성, 배당 ETF가 무위험자산, 시장포트폴리오에 추가하여 포트폴리 오의 성과를 유의미하게 개선시킨다. 셋째, 무위험자산, 시장포트폴리오, 스마트베타 ETF로 포트폴리오를 구성할 경우, 위험회피계수에 따라 최적투자비중은 달라진다. 본 연구의 결론에서 일반투자자가 스마트베타 ETF를 포함한 자산배분을 실행할 수 있는 방법에 대해 논의하였다.

This study investigates the MAX effect regarding lottery mindset in the Chinese stock market. The MAX effect significantly affects stock returns through quintile portfolio and cross-sectional regression analyses. The most-overpriced stock groups, as categorized by mispricing index, show more support for the MAX effect. However, the idiosyncratic volatility (IVOL) effect continues regardless of consideration for the MAX effect, indicating that the MAX effect is not a source of the IVOL effect. Our results suggest that the MAX effect, which is highly relevant for overpriced stocks, might have information for determining stock price, and appears to be independent from information of the IVOL effect in the Chinese stock market.

We exploit an interesting setting of Korean professional baseball league to examine whether sports sentiment affect investor behavior at the stock and/or fund levels. Korean baseball league is different from the Major League Baseball in the U.S. in that teams are explicitly associated with chaebol conglomerates, generating a direct and cross-sectional variation in investor sentiment. Using daily fund flow data, we find evidence of significant outflows from funds that hold a large weight on a conglomerate member following the team’s loss the previous day. This effect is the strongest among online retail funds, and this outflow does not appear to be driven by the investors’ prescient response to poor future returns. At the stock level, we similarly document significant net selling of conglomerate member firms by retail investors following the team’s loss. Using these cross-sectional variations, our paper uncovers strong evidence of behaviorally-motivated investment decisions driven by sports sentiment.

For decades, most business schools and companies have taught and behaved as if the capital asset pricing model (CAPM) can be used to estimate firms’ cost of equity capital for capital budgeting purposes. I examine whether the CAPM can be used for such purposes and prove that it cannot and must not. The most obvious reason for this rejection is the CAPM itself, which never allows for use in evaluating firms’ investment projects, if understood correctly. Using the CAPM for capital budgeting is essentially applying a pricebased theory to a cash-flow-based world and a perfect diversification model to undiversified firms, both of which are illogical jumps and never automatically guaranteed. I prove this in five independent rationales based on differences between securities and real investment, between stock prices and cash flows, between beta and standard deviation of returns, and based on problems in stocks with very low or even negative betas. In addition, a case illustration, two explanations for the ongoing inappropriate use of the CAPM for capital budgeting applications, a testable hypothesis, and a summary of previous surveys on the topic are also provided. This paper will provide theoretical rationales and practical interpretations of the significant differences between firms’ hurdle rates and the costs of capital reported in survey studies, in order to help practitioners or researchers establish more scientific and practical methods of determining appropriate discount rates for firms in the future.

This paper examines the impact of expected skewness on IPO underpricing based on a comprehensive set of 17,051 IPOs from 23 countries between 1990 and 2013. We find that IPOs with high expected skewness have significantly higher first-day return around the world, confirming the previous results based on U.S. IPOs. Such preference for skewness remains robust to estimation method or portfolio formation and is more pronounced in countries with relatively higher gambling propensity, a larger number of non-religious populations, and more individualistic culture. Finally, IPOs with high expected skewness underperform those with low expected skewness. Our results provide additional empirical support for skewness preference and pricing of lottery type assets in an international setting.

This study analyzes the relationship between Environmental, Social and Governance (ESG) scores and bond returns using the corporate bond data in Korea during the period of 2010 to 2015. We find that ESG scores include valuable information about the downside risk of firms. This effect is particularly salient for the firms with high information asymmetry such as small firms. Interestingly, of the three ESG criteria, only environmental scores show a significant impact on bond returns when interacted with the firm size, suggesting that high environmental scores lower the cost of debt financing for small firms. Finally, ESG is complementary to credit ratings in assessing credit quality as credit ratings cannot explain away ESG effects in predicting future bond returns. This result suggests that credit rating agencies should either integrate ESG scores into their current rating process or produce separate ESG scores which bond investors integrate with the existing credit ratings by themselves.

This study examines how corporate governance (CG) and leverage affect real earnings management (REM) in non-financial firms listed on the Korea Composite Stock Price Index during 2003-2011 by employing corporate governance score (CGS) and total, short-term, and long-term debt ratios (i.e., leverage) as independent variables, and four REM metrics as dependent variables. We find a significant positive relationship between leverage and REM, while there is a negative effect of CG on real manipulations. We also find that firms with a high-level of CG are low-leverage firms, whose managers are less likely to conduct REM activities than those of firms with a low-level of CG. Moreover, our results reveal that CG moderates and weakens the relationship between leverage and REM. These findings are consistent with the controlling hypothesis, alignment of interest between managers and owners, and increase of the firm’s transparency and reliability, which are characteristics of firms with strong CG, whose managers reduce their opportunistic behavior and do not engage frequently in REM activities. Our study complements the literature by detecting the moderating effect of CG, which might be considered an effective mechanism to reduce and avoid REM activities.

본 논문은 국내 상장 기업의 개별 기업 수준(firm level) 총요소생산성을 다양한 방법으로 측정하고 그 결과를 비교했다. 총요소생산성은 기업의 핵심 특성 중의 하나가 될 수 있는 기업의 총요소생산성 추정은 경제학분야 뿐만 아니라 재무분야에서도 활용성이 광범위한 매주 중요한 연구라고 할 수 있다. 분석대상은 유가증권과 코스닥시장에 상장된 기업이고, 분석기간은 2003년부터 2018년이다. 개별 기업의 총요소생산성 수준 측정을 위해 콥-더글라스(Cobb-Douglas) 생산함수를 사용했다. 측정을 위해 사용된 변수는 노동투입변수로 노동자수를, 자본투입변수로 자본스톡을 사용했고 산출물은 부가가치(value-added)를 사용했다. 총요소생산성 측정을 위해 모수(parametric) 분석 방법으로서 시스템적률법(system GMM)과 확률변경분석(stochastic frontier analysis)을 사용했다. 비모수(non-parametric) 분석방식으로 대리변수(proxy-variable) 방법으로서 투자를 대리변수로 사용한 Olley and Pakes(1992) 모형과 생산 중간재를 대리변수로 사용한 Levinshon and Petrin(2003)모형을 사용했다. 모형 결과 비교를 위해 통합최소자승법(POLS)과 고정효과(fixed effect)모형을 사용했다. 분석 결과 측정된 기업 수준 총요소생산성의 분포 형태는 유사했으나 분포 수준은 상이함을 보였다. 분포 내 개별기업의 순위순서(rank-order)를 비교해 보면 측정 방법에 따라 순위가 달라짐을 확인할 수 있었다. 이는 분포 곡선의 단순 이동이 아니라 분포에서 개별 기업의 순위순서가 달라지면서 이동한 것이다. 이는 기업 수준의 개별 총요소생산성을 활용하여 개별 기업의 재무비율, 투지지표나 주가수익률 등의 관련성을 연구할 경우 측정 방법 선택에 따라 연구 결과가 일부 달라질 수 있음을 의미한다. 기존 총요소생산성에 대한 연구는 주로 경제학 분야에서 다루어지고 있고, 산업별/지역별 수준으로 통합(aggregate)한 거시(macro)연구가 주를 이룬다. 반면에 본 연구는 미시(micro)연구로서 개별 기업 수준의 총요소생산성을 측정했다. 사용하기 용이한 상장기업의 회계자료를 사용했기 때문에 해당 기업의 재무자료, 투자지표, 위험지표, 주가수익률 등 개별 기업 수준의 재무·투자자료와 총요소생산성과의 관계를 살펴보기 위한 연구를 위한 기초 분석으로서 의미가 있다.

This study investigates how the supply chain may affect inter-corporate ownership structure among member firms within the business group. Previous literature suggests that profitable firms are located at the top of the pyramidal structure directly owned by the controlling shareholders. However, profitability may be endogenously determined based on related party transactions. Specifically, suppliers within the business group may generate higher profits through exclusive sales contracts with member firms. Based on a sample of large business groups in Korea, I find that suppliers are more likely to be located in the upper part of the pyramid. This suggests that controlling shareholders’ incentive to expropriate corporate opportunity may be an important factor in structuring business groups.

This paper examines whether analyst coverage affects firm innovation in an economy dominated by family-controlled business groups. Using a sample of Korean publicly traded firms from 2010- 2018, we find that an increase in financial analysts results in lower level of R&D. Especially, unlike in U.S., firms with more analyst coverage tend to cut investments in corporate venture capital. Moreover, the reduction in R&D is more pronounced when analysts are from other chaebol (family-controlled large business group) affiliated brokerages. These findings suggest that analyst coverage may function more as a “pressure” mechanism than “information” mechanism when information environment is less transparent.

This paper explores the relationship between corporate environmental responsibility (CER) and ownership structure along with the role of media coverage. Our results show that environmental costs measuring CER are lower for firms with higher media coverage. There is also a statistically significant U-shaped curvilinear relationship between managerial ownership and total environmental costs. Environmental costs decrease with managerial ownership before managerial ownership reaches 20.8% level, and then increase afterwards. Our results support the view that good governance by external monitoring and incentivized management improves a firm’s CER activities and long-term viability of firms.

본 연구 목적은 MBTI®에 의해 구분되는 인간의 성격유형에 따라 금융투자자들의 위 험선호의 차이 유무, Private Banker의 투자조언의 수용, 그리고 Private Bank Service의 사용의도에 어떠한 영향을 미치는지 알아보는 것이다. 또한 MBTI®의 성격유형별 주기 능 사용의 차이에 기인한 개인의 특성이 위험선호에 미치는 영향을 알아보는 것이다. 이를 위해 본 연구는 실험군인 고액자산가(HNWI, VVIP)와 대조군인 학생의 MBTI® 성 격유형을 개별로 검사하고 Holt and Laury (2002)와 Weber et al. (2002)의 설문을 활용 하는 실증적인 비교분석을 실시하였다. 본 연구의 결과, 첫째, Holt and Laury(2002)의 Lottery연구에서 고액자산가와 일반 대조군 그리고 MBTI®의 주기능분류(ST, NF)에 따 른 차이는 존재하였다. 특히 고액자산가의 경우ST와 NF 그룹의 차이가 존재하는 것을 확인하였다. 둘째, Weber et al.(2002)의 위험 감수를 측정하는 심리측정 요인 중 Gamble(g) Recreation(r)의 특성이 고액자산가에서 위험선호도에 미치는 영향이 높은 것 으로 나타났다. 이러한 결과는 개인의 일상생활에 관련한 특성 또는 금융과 관련 없는 취미생활이 개인의 위험선호도에 반영될 수 있음을 나타내는 것으로 기존의 문헌들의 연구결과를 지지한다고 할 수 있다. 셋째, MBTI®의 선호지표점수에 따라 위험선호도에 차이가 존재하였다. MBTI® T점수가 높을 경우 위험선호도가 낮은 것을 확인할 수 있었 으며, 고액자산가그룹에는 영향이 없는 것으로 밝혀졌다. 넷째, MBTI® 유형도표의 태도 지표에 의해 구분된 유형들에 따라 전체 금융자산 대비 Private Banker를 이용하는 비 율의 차이가 존재하는 것으로 밝혀졌다. 고액자산가를 대상으로 분석한 결과 태도유형 EP의 경우 다른 그룹에 비해 이용비율수준이 낮아 MBTI®로 분류된 성격유형에 따라 전체금융자산 대비 Private Banker의 이용수준에도 영향이 있음을 확인하였다.