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In a classical paper, Allen and Faulhaber (1989) provided a signaling explanation for underpricing in the IPO price. Their main insight is that good-type rms nd it optimal to signal their type by underpricing their initial issue of shares, and investors know that only the best can recoup the cost of this signal from subsequent issues. In this note, we argue that their proof of the main result is not complete because they only checked part of the incentive compatibility conditions without showing that their outcome is robust against all possible deviations. We show that a good rm always has an incentive to deviate to raise the IPO price slightly from its equilibrium price if the price is the only signaling device. This implies that there is no separating equilibrium, that is, signaling by underpricing does not occur in equilibrium in the case of one- dimensional signal. If the rm can choose the equity fraction to be sold as well as the price, however, a high-type (good-type) rm can signal its high protability by choosing a low fraction of equity. In this case, a high-type rm still engages in underpricing in the sense that it sets a lower IPO price than the real value of the rm, but underpricing cannot be a signal because both types choose the same price in equilibrium.

We distinguish the valuation effects of growth opportunities and profits through a common lens, namely, corporate free cashflows (FCF) whose negative value means investments using external funds while positive value means internal funds available for payouts. The sign of FCF’s crosssectional relation to firm value in a country (FCF beta) can show which one has a greater impact on country-wide corporate valuations. Using data from 43 countries for the period of 1992-2018, we show that firm values are higher in countries whose FCF beta is more negative—i.e., where externally funded corporate investments, not internally available corporate profits, are valued higher. The role of growth opportunities in country-wide valuations is more pronounced among growth firms. In contrast, mature firms are representative of the valuation of the global industry to which they belong, not their country. Finally, the FCF beta is more negative in common law countries than in civil law countries, suggesting that growth-supporting governance is more value-relevant than payout-securing governance at least at the country level.

This study develops a duopoly model with quality and price competition, and investigates the corporate demand for insurance. Our model predicts asymmetric strategic effects of insurance for two firms with different qualities, because the increases in the quality of each firm have opposite effects on the intensity of price competition. We show that lowquality firm has positive strategic effect of insurance, and might purchase insurance, whereas high-quality firm has negative strategic effect of insurance and never purchases insurance if firms are risk-neutral. When firms are risk-averse, however, high-quality firm might also purchase insurance if the cost of risk is sufficiently large, so that the benefit of insurance exceeds the sum of the strategic effect and the cost of insurance. We show that the availability of insurance might raise the quality levels of both firms.

본 연구는 한국의 상장된 9개 금융지주사의 기업가치와 ESG 등급 및 지속가능경영보고서의 관계를 분석하였다. 금융지주사의 ESG 활동은 금융 기관은 물론 금융 산업의 ESG 활동에 대표성이 있을 것으로 판단하였으며, 기존 연구와는 차별적으로 지속가능경영보고서를 감성 분석하여 부정 감성을 추정하고 해당 변수를 독립변수로 설정하였다. 2011년에서 2020년의 9개 금융지주사의 재무자료 및 지속가능경영보고서를 활용하여 분석한 결과, ESG 등급은 금 융지주사의 기업가치에 부정적인 영향력이 나타나지만, 지속가능경영보고서 공시는 기업가치 에 긍정적인 영향력이 확인되었다. 또, 지배구조 ESG 등급은 기업가치에 긍정적인 영향력이 나타났다. 그리고 지속가능경영보고서의 부정 감성이 기업가치에 부정적인 영향력을 미치므 로 ESG 활동 및 실천이 기업가치에 유의미한 영향력이 있음을 확인하였다. 본연구는 이상의 분석결과를 바탕으로 다음과 같은 시사점을 도출하였다. 금융지주사는 지속가능경영보고서의 공시 및 ESG 활동을 전략적으로 활용하여 기업가치에 긍정적인 영향을 줄 수 있다. 특히 지 배구조가 잘 구축된 기업은 대리인 비용에 대한 우려가 낮으므로 지속가능경영보고서를 기업 의 ESG 활동을 시장에 알리기 위한 도구로 적극적으로 활용하여야 할 것이다. 반면, ESG 여 신 운용의 수익성 및 전문성에 대한 신뢰가 부족한 상황으로 ESG에 대한 부정적 시각을 잠 식시키기 위해서는 ESG 활동의 실천과 성과, 그리고 사회, 경제적 긍정적 영향력이 확인되 어야 할 것이다.

This study analyzed the relationship between the corporate value of nine listed financial holding companies in Korea and ESG rating and Social Responsibility reports. It was evaluated that the ESG activities of financial holding companies would be representative of ESG activities of financial institutions as well as the financial industry, and the Social Responsibility report was implemented sentiment analysis. The variable was set as an independent variable. As a result of analyzing financial data and Social Responsibility reports of nine financial holding companies from 2011 to 2020, ESG rating has a negative impact on the corporate value of financial holding companies. However, disclosure of Social Responsibility reports positively impacts corporate value. The governance ESG grade showed a positive influence on corporate value. In addition, since the negative sentiment of the Social Responsibility report negatively influences corporate value, it was confirmed that ESG activities and practices have a significant influence on corporate value. The following implications were derived based on the analysis results. Financial holding companies can positively impact corporate value by strategically utilizing the disclosure of Social Responsibility reports and ESG activities. In particular, companies with a well-established governance structure have lower concerns about agency costs, so Social Responsibility Report should be actively used as a tool to inform the market of companies' ESG activities. On the other hand, to erode the negative view of ESG due to the lack of trust in the profitability and expertise of ESG credit management, the practice, performance, and social and economic positive influence of ESG activities must be confirmed.

The \ESG lending" market, where loan contract terms are contingent on borrower ESG performance (i.e., ESG-linked loans), or where loans are issued for specic green projects (i.e., Green loans), has grown exponentially from $6 billion in 2016 to $173 billion in 2019. Much of this growth is driven by ESG-linked loans which are widespread across various industries and well developed capital markets, especially in civil law countries. ESG-linked loans are issued in sizeable amounts by large and publicly listed borrowers, and are often structured through revolving credit facilities by large groups of syndicates led by reputable \ESG specialist" global banks, who keep tight relationships with borrowers. Green loans are smaller project nance vehicles, similar in format to green bonds, yet issued to mostly privately held borrowers. They do not tend to attract large cross-border syndicates. We nd that ESG loans tend to be written by borrowers and lenders with superior ESG proles ex-ante, and nd no evidence that their ESG performances deteriorate ex-post after ESG loan issuance. Overall, our results indicate that borrowers capable of maintaining high ESG standards and lenders capable of coordinating and monitoring ESG loan contracts drive the emergence of ESG banking activities around the globe.

This study investigates the effects of related party transactions and chaebol firms on earnings management. A merged dataset of 9,200 firm-year observations from the Total Solution 2000 (TS 2000) database of the Korea Companies-Information Service (KOKOInfo) database for 1,380 firms, listed in KOSPI and KOSDAQ of the Korea Exchange (KRX) from 2004 to 2020 was used. In addition, we introduced the lagged variables to investigate the effects of chaebol firms and related party transactions on earnings management. Furthermore, since those factors have simultaneous mutual effects on each other with time lags, we introduce simultaneous equation models (SEM) with finite distributed lags of five years. The findings of this study are summarized as follows. First, chaebol firms have more severe earnings management than non-chaebol firms. Second, earnings management has a negative effect on related party transactions for chaebol firms. Third, related party transactions for chaebol firms have a negative effect on earnings management. Fourth, through simultaneous equation model analyses, we have verified the above-mentioned conclusions. Fifth, the effects of earnings management on IPO return last for years while those of chaebol firms on earnings management last for years. However, the effects of related party transactions on earnings management lasted only for a year.

This paper investigates possible explanations for the customer momentum documented by Cohen and Frazzini (2008). First, returns to the customer momentum vary significantly over time and can have large crashes during market crises. However, I do not find evidence linking the customer momentum to macroeconomic risk. Second, the customer momentum does not weaken significantly out-of-sample and thus is unlikely to be driven by statistical bias. Third, there is no evidence for the publication effect of Mclean and Pontiff (2016). Hence, the customer momentum does not represent profitable opportunities for arbitrage. Consistently, I show that the customer momentum is concentrated in stocks that are difficult to arbitrage. Moreover, trading on the customer momentum generates high turnovers but the probability of underperformance is not as high in annual frequency. Overall, my evidence suggests that limits-to-arbitrage prevent the incorporation of new information on customer firms into the share prices of suppliers.

본 연구는 2019년 6월에 시행된 증권거래세의 세율 인하 조치가 주식시장의 유동성에 미치는 실효성을 평 가했다. 증권거래세는 투자자가 부담하는 명시적 거래비용이지만 거래세 부과 정책이 주식시장의 질적 수준에 미친 실효성에 대한 결과들은 엇갈린다. 본 연구는 유가증권시장과 코스닥시장의 전체 수준에서 거래세 인하 가 투자자들에게 거래비용 경감이라는 측면에서 유동성 수준의 횡단면적 차이와 조세 수입의 효과를 고려하여 정책적 시사점을 도출했다. 실증분석 결과를 요약하면 다음과 같다. 첫째, 유가증권시장이나 코스닥시장 모두 스프레드나 가격충격과 같은 질적 유동성보다는 거래대금과 회전율과 같은 양적 유동성에 대해서 거래세율 인 하가 거래를 활성화한 효과를 가져왔다. 또한 양적 유동성 제고 효과는 거래세율 인하 전 기간에 거래가 저조 했던 종목들에 대해서 강한 효과가 발생한 반면, 거래가 활발했던 종목에서는 상반된 효과가 나타났다. 둘째, 양적 유동성에서 효과가 시현된 것으로 나타난 저유동성 종목에서는 개인과 외국인이 전반적인 거래 활성화를 주도했다. 셋째, 유동성 제고의 예상 효과가 발생한 종목들에서는 거래세율이 인하한 직후의 단기는 물론 표 본기간 후반까지 지속하는 결과를 보였다. 이와 같은 실증 결과는 거래세가 거래비용적 특성에서 유동성 제고 에 미치는 효과가 유동성 수준별로 차별적이면서 저유동성 종목에서 제한적으로 발생함을 보여준다. 즉, 조세 의 탄력성이 높은 저유동성 종목을 거래하는 투자자들은 거래비용 부담에 민감하므로 거래세 인하의 효과가 강하게 나타난 반면, 유동성이 높은 종목에서는 그러한 효과를 발견할 수 없었다. 이같은 실증 결과는 시장의 유동성을 활성화하기 위한 수단으로 거래비용 수준과 책정 방식에 대한 실무적 시사점을 제공한다.

Using 1,559 IPO firm data from the GSMAR database for 13 years from 2003 to 2015, we investigate the honeymoon effect of IPO and the impact of stock lock on long-term market performance of IPO firms with following results. Through this study, we found that firms with longer honeymoon periods have a better long-term market performance of IPO firms. This will lead firms to maintain their honeymoon period in various ways such as lock-up period. On contrary, our study found that higher lock-up stock period and Higher lock-up stock ratio will lead underperformance of IPO firms. The impact of lock-up stock on the stock market is complex and variable. Therefore, firms should consider short-term and long-term performance when setting stock lock periods. The disadvantage of this paper is that it only considered the honeymoon period, not the honeymoon return. This section will be supplemented in future studies.

한국 신용카드시장의 카드이용실적은 2020년 877.3조 원으로 민간소비지출의 98.1% 수준까지 크게 성장하였다. 신용카드시장은 가맹점과 회원이 신용카드네트워크로 연결되는 양면시장 (two-sided markets)이다. 양면시장 이론에 따르면 양면시장에는 한 측의 규모가 다른 한 측의 효용에 영향을 미치는 간접네트워크외부성(indirect network externality)이 존재하며 이를 이용 하여 양면시장의 거래량 또는 이윤을 최대화 할 수 있는 최적 가격구조(price structure)가 존재 한다. 신용카드시장에서의 가격구조란 카드이용에 대한 가맹점수수료와 회원연회비의 합계인 가격 수준(price level)은 고정된 상태에서 가맹점수수료와 회원연회비간 상대적인 부담정도로 정의되며 이러한 가격구조의 변동만으로 카드이용실적에 영향을 미칠 수 있다는 것이 양면시장 이론의 핵 심내용이다(Rochet and Tirole, 2003). 그러나 이러한 신용카드시장의 가격구조효과에 대한 국내 외 선행연구는 이론적 모형의 연구가 대부분이다. 본 연구에서는 국내 신용카드시장의 양면시장 가격구조가 카드이용실적 및 시장점유율에 미치는 영향을 최초로 실증분석하고자 시도하였다. 가 맹점수수료, 회원연회비 이외에도 내생성(endogeneity)을 방지하기 위해 외생변수를 포함하여 분석한 결과 가맹점의 회원대비 상대적 부담이 증가할수록 카드이용실적이 증가하는 것으로 나타 났고 시장점유율도 증가하는 것으로 나타나 국내 신용카드시장이 분석기간 동안에는 양면시장의 이론적 기제로 작동하고 있음을 확인할 수 있었다.

In this paper, we investigate the effects of the firm-level climate change risk on the marginal value of corporate cash holdings. The underlying idea is that climate change risks would induce firms to increase their demand for capital, which may also lead to an increase in the value of the cash holdings. As the climate change risk is an uncertainty for firms, investors would also positively evaluate the firm’s excess cash. A regression analysis finds a positive association between the firm-level climate change risk and the value of cash holdings. Furthermore, we also test how the green swan and financial constraint level affect the relationship. Subsample analysis shows that the market positively values the cash holdings of firms that are more sensitive to climate change and that are more financially constrained. Various robustness tests confirm that the baseline regression results are not necessarily driven by endogeneity.

The literature posits that overconfident CEOs are more likely to hoard bad news, resulting in higher stock price crash risk than non-overconfident CEOs. However, what if a CEO experiences an extreme market crash of their firm’s stock price during their tenure? We provide evidence that overconfident CEOs appear to moderate their behavior after their stock price crash experience. We find that the positive effect of CEO overconfidence on a firm’s future stock price crash risk is less pronounced after a crash experience. We propose three possible reasons. First, a CEO’s crash experience, particularly the first one, reduces their confidence level. Second, firms that experience a crash tend to change their CEO, typically from an overconfident to a non-overconfident CEO. Finally, firms seek to adjust their CEO compensation structure after a crash experience. Our results similarly hold for executives in firms. Overall, we suggest that both the CEO and the firm may learn from their crash experiences.

개요: 본 연구는 이중차분법(Difference-in-Difference)을 이용하여, 우리나라 정부가 2015년 도입한 탄 소배출권거래제도가 기업의 기업가치와 자발적 탄소배출량 공개 성향에 미치는 정책 효과를 분석하고 자 한다. 이를 위해 본 연구는 한국 CDP(Carbon Disclosure Project, 탄소정보공개프로젝트) 보고서에 공개된 국내 기업의 탄소배출정보와 각종 재무 정보를 활용했으며, 탄소배출권 거래제의 1차 기간 (2015~2017년)부터 2차 기간(2018~2019년)에 이르기까지 재벌기업집단을 중심으로 이 제도의 정책 효과 를 살펴봤다. 본 연구의 주된 분석 결과는 다음과 같다. 첫째로 탄소배출권거래제를 측정한 DID 변수는 국내 기업 의 기업가치와의 관계에 있어 통계적으로 유의한 양(+)의 효과를 가졌으며, 재벌기업집단에 대한 효과 가 비재벌기업집단에 비해 더욱 큰 것으로 나타났다. 둘째로 이 DID 변수는 국내 기업의 자발적 탄소배 출량 공개 성향의 관계에 있어 음(-)의 효과를 가졌으며, 재벌기업집단에 대한 효과가 비재벌기업집단에 비해 더욱 큰 것으로 나타났다. DID 변수가 각 가설에 대한 분석 결과에서 재벌기업집단에 대하여 각기 다른 효과를 갖는 것은 재벌 기업집단이 탄소배출권 거래에 있어 별다른 감시와 통제를 받고 있지 않으며 이에 따라 탄소배출권 거 래가 기업 가치를 올리는 데 용이한데 더해(가설 1), 이 기업들로 하여금 추가적인 탄소배출량 공개를 미 온적으로 만드는 결과(가설 2)를 초래할 수 있는 것으로 추측된다. 따라서 본 연구는 재벌기업집단의 보 다 투명한 탄소배출권 거래를 위하여 정부 및 관련 기관의 보다 적극적인 감시와 통제의 필요성을 시사 하고 있다.