Earticle

전통적인 연구는 독점기업의 품질의 하방왜곡전략을 제시하고 있고, Srinagesh & Bradburd의 분석은 품질의 상방왜곡을 제시하고 있다. 이는 시장에 존재하는 소비자들의 품질에 대한 총효용과 한계효용간의 정의 관계 혹은 양의 관계가 존재하느냐에 따라 달라지고 있다. 우리는 현실에는 이 두 유형의 소비자가 함께 존재할 수 있고, 이런 시장에서 대하여 더 많은 정보를 가져 이를 구별할 수 있는 기업에 비하여 상대적으로 적은 정보를 갖는 규제자가 선택 가능한 규제수단의 효과에 대하여 분석하였다. 정보를 가지지 못하는 규제자는 두 시장을 동시에 고려하여야 하며 각각의 규제선택이 이들 시장에 미치는 효과를 분석하였다. 최고가격규제는 총효용과 한계효용이 음의 관계를 가진 경우에만 유효한 정책수단이 되며 이 관계가 정의 관계일 경우에는 하방왜곡된 저품질재화의 질을 상승시키나 동시에 최적의 질로 공급되고 있는 고품질재화의 질의 하락을 수반하여 왜곡을 교정하는 효과를 보장하지 못하고 있다. 최저가격규제는 총효용과 한계효용간의 관계에 상관없이 오히려 더 악화시킬 수 있다. 가격스펙트럼상한제는 하방왜곡 또는 상방왜곡을 교정하는 효과를 가지나 이미 사회적 최적으로 제공되고 있는 품질의 왜곡을 동시에 초래하고 있다.

Contrast to the standard approach that results in the monopolist’s quality strategy of downward distortion, Srinagesh & Bradburd propose the monopolist’s upward distorting quality strategy. They concluded that this difference flows from the different assumption about whether consumers with a higher total utility of quality also have a higher marginal utility of quality or not. We accept that in the real world both types of consumers may exist. In this paper, we consider the market where the monopolist has the information about the type of the consumers but the regulator does not. In this double asymmetric information situation between the firm and the regulator, we analyze the effects of three regulatory tools, price ceiling, price bottom and price spectrum ceiling regulation. Both the price bottom and price spectrum ceiling regulation are not the effective regulation tools regardless of the type of consumers contrary to our intuition. Price ceiling regulation is effective only when the market has the consumers with negative relation between the total and marginal utility.

본 연구는 비대칭정보 시장에서 서로 다른 품질을 생산하는 과정에서 나타나는 비용간섭이 독점 기업의 품질전략에 미치는 영향을 사회 최적과 비교하고, 나아가 기존 명령-통제형 규제 연구와 다 른 유인일치규제의 방향을 제시하고 있다. (1) 기존의 연구와 다르게 소비자 효용 및 비용간섭의 특성에 따라, 기존 연구들에서 공통적으로 나타나는 현상인, 저선호 소비자에게 제공되는 품질이 하방 왜곡된다는 결과가 이윤극대화과정에서 오히려 역전되어 기업이 자발적으로 품질을 상승시킨다는 흥미로운 결론을 얻었다. (2) 저품질의 상 승현상은 명령-통제형의 규제 형태에서 더 나아갈 가능성을 보여준다. 규제자가 생산과정상에 영향 을 미칠 수 있다면, 기존 연구가 고민하는 저품질 재화의 고질적인 하방왜곡 문제를 완화할 수 있 다. 이는 기존 연구들이 제시하고 있는 품질이나 가격 등 기업행위의 결과에 대하여 직접 규제를 가하는 방식인 명령-통제형 규제에서 벗어나, 사회적으로 유의미한 규제 형태로 개입함으로써 기업 과 사회의 유인이 일치하는 규제의 도입을 가능하게 한다. 아울러 이와 같은 효과를 기대할 수 있 는 유인일치 규제제도가 가져야 하는 특성을 제시한다.

we consider how the cost interference between the high and low quality affects the product strategy of the monopolist and propose new incentive compatible regulatory direction. The traditional approach offers the downward quality distortion. In attempting to maximize the profit, the monopolist offers the socially optimal quality to the highest preference consumers. However, he offers the lower than the socially optimal quality to the lower preference consumers, The existence of the cost interference changes the quality strategy of the monopolist. Depending on the properties of the consumer utility function and cost interference, he offers a different quality options. (i) When there exists cost complimentary relation between the production of high and low quality, the monopolist offer the higher than the socially optimal level to the highest preference consumer and the lower than the socially optimal level to the lowest consumer. (ii) Even if there exists adverse relation between the production between the high and low quality, when the increasing rate of the utility increase arising from the quality difference is lager than the increasing rate of cost interference, the results are same as (i). (iii) Most interestingly, when there exists the adverse relation between the unit quality increase of the high quality and the unit cost of the low quality, the quality set offered by the monopolist is the one that has not been treated in the previous studies. The monopolist increase the lower quality than the cases when the negative cost interference does not exists. This may also offer the some new direction to the incentive compatible regulatory tools by interfering into the production process directly to correct the downward quality distortion, apart from the traditionally proposed command-and-control regulatory remedies which mainly focus on the results.

동일한 품질을 소비해도 소비자 간에 서로 다른 선호크기 및 선호강도를 가지는 시장에서 소비자를 구별할 수 없는 비대칭 정보에 직면한 기업은 소비자들에게 선택 가능한 품질-가격 조합을 제시하여 소비자들이 스스로 선택하도록 자기선택과정을 통하여 이윤을 극대화하는 품질을 결정한다. 이 과정에서 기업은 각 소비자들이 자발적으로 시장에 참여하고 기업의 이윤동기에 부응하는 선택 을 하도록 품질-가격을 설정한다. 이러한 품질 가격-조합을 설정하여 소비자들이 기업의 이윤에 부 합하도록 스스로 선택하게 하기 위하여, 시장참여제약식과 유인일치제약식을 활용하였다. 그 결과, 기업은 고효용 소비자에게는 사회적으로 최적의 품질을 제공하지만, 저효용 소비자에게는 사회적 최적 품질보다 낮은 품질을 제공하는 품질의 단방향왜곡이라는 시장왜곡 현상이 발생한다. 이와 같 은 전통적 분석은 소비자 선호의 독립성을 전제로 한다. 그러나 재화의 특정 품질을 소비함으로써 전통적 접근과 같이 절대효용을 얻음과 동시에 다른 소비자가 소비하는 품질에 비하여 우월한 품질 을 소비한다는 자체로서 추가적으로 상대적 효용을 얻는 과시적 소비자가 존재하면 이상의 표준적 인 결론은 더 이상 유의하지 않다. 과시적 소비자의 존재는 독점기업으로 하여금 자기선택모형에 따라 고품질 재화는 사회적 최적품질보다 매우 높은 품질을 설정하고, 저품질 재화는 사회적 최적 품질보다 낮은 품질을 제공하도록 한다. 이와 같은 쌍방향 왜곡에 따라 시장은 후생감소를 수반하 게 된다. 이 논문에서 우리는 과시적 소비자가 존재하는 시장에서 발생하는 쌍방향 품질왜곡을 교 정하기 위한 수단으로 최고가격규제, 최저품질규제, 가격스펙트럼규제의 효과를 분석하였으며, 이 규제들은 모두 시장왜곡을 교정하는 효과가 있다는 결론을 얻었다. 아울러 어느 규제수단이 더 효 과적인가는 소비자들의 절대효용의 강도, 과시적 소비자의 상대효용의 강도에 의존한다는 결론을 얻었다.

With the standard approach, the monopolist who cannot discriminate the different types of consumers offers the array of quality with downward distortion. In contrast, in the market with conspicuous consumers, the monopolist with imperfect information offers the qualities with bidirectional distortion. In this paper, we have explored the properties of three regulatory tools, (i) maximum price regulation, (ii) minimum quality regulation, (iii) price spectrum regulation, to correct the bidirectional quality distortion. From our result, we can find that all of these three remedies can improve the social welfare by reducing the quality distortion. Furthermore, depending on the values of the strength of the consumer’s absolute utility and the conspicuous consumer’s comparative utility, which regulatory remedy is more efficient can be determined.

소비자에 대한 비대칭 정보 하에서 독점기업의 품질전략으로서 자기선택모형에 대한 전통적인 연구는 독점기업의 품질의 하방왜곡전략을 제시하고 있다. Srinanagesh & Bradburd(2001)에 따르면 이는 소비자의 총효용과 한계효용이 양의 관계를 가질 경우 발생한다. 이 관계가 음일 경우에는 독 점기업이 제공하는 품질은 상방왜곡된다. 우리는 소비자가 자신이 소비하는 재화의 품질로부터 절대적 효용뿐만 아니라 저품질에 비교하 여 상대적으로 고품질을 소비함으로써 상대적 효용을 얻는 과시적 소비자이면서 Srinanagesh & Bradburd(2001)의 효용특성을 가진 소비자에 대한 독점기업의 품질전략에 대한 분석을 하였다. 우 리는 다음과 같은 결론을 얻었다. 첫째, 독점기업이 제공하는 품질은 상하 양방향으로 품질스펙트럼 이 확대된다. 이는 저품질 재화가 하방왜곡된다는 점에서는 표준적인 모형의 결론을 포함하며, 고품 질 재화가 상방왜곡된다는 점에서는 Srinanagesh & Bradburd(2001)의 결론을 포함하여 두 접근의 결과를 모두 포함한다. 둘째, 저효용 소비자는 그가 선택하는 고품질 재화를 소비함으로써 얻는 모 든 효용은 높은 가격으로 독점이윤에 이전된다. 반면, 고효용 소비자는 저품질 재화를 소비하면서 양의 효용을 얻는다.

The standard results of the quality discriminating monopolist approach facing the asymmetric information for the consumer’s type propose that there is no distortion at the highest quality level while downward quality distortion at the lower level. In contrast, Srinagesh & Bradburd(2001) propose the monopolist’s upward distorting quality strategy. They concluded that this difference flows from the different assumption about whether consumers with a higher total utility of quality also have a higher marginal utility of quality or not. In this paper, we consider the market where there exist conspicuous consumers with Srinagesh & Bradburd’s utility assumption. Srinagesh & Bradburd(2001) assumes that there exists negative relation between the total and marginal utility. For the consumer who earns the comparative utility as well as the absolute utility, the quality spectrum enlarges by distorting both side qualities. The distortion takes the forms of degrading the lower quality at the same time upgrading the higher quality, when the comparative utility increases in the increasing rate to maintain profitable market segmentation.

소비자의 선호 분포에 대하여 기업이 알지 못하는 비대칭 정보 하에서 독점기업의 품질전략으로 서 소비자로 하여금 스스로 선택하도록 하는 자기선택모형에 대한 전통적인 연구는 독점기업의 품 질의 하방왜곡전략을 제시하고 있다. 이는 시장에 존재하는 소비자들은 자신이 소비하는 재화의 품 질수준이 제공하는 효용을 얻으며 고품질 재화는 저품질재화에 비하여 소비자에게 더 큰 절대적 효 용을 제공한다는 가정에 근거한다. 우리는 독점기업이 제공하는 재화의 품질을 소비하는 소비자는 해당 품질의 소비를 통하여 절대적 만족감뿐만 아니라 상대적 만족감을 얻는 재화를 분석하고 있 다. 특히 고품질 재화를 소비하는 소비자는 고품질재화를 소비함으로써 해당 재화의 품질 자체가 제공하는 만족감 그 자체를 얻을 뿐만 아니라, 자신이 저품질에 비하여 고품질을 소비한다는 사실 자체에서 느끼는 상대적 만족감을 얻으며 우리는 이를 과시적 소비라고 정의한다. 이와 같은 과시 적인 소비자가 존재하는 시장에서 다양한 품질의 재화를 공급하는 독점기업은 기존의 전략과 다른 품질 및 가격전략을 선택하여 이윤을 극대화한다. 분석의 결과는, 독점기업은 고선호 소비자에게는 높은 품질을 제공하고 저선호 소비자에게는 낮은 품질을 제공하여 이윤을 극대화한다. 독점기업이 2가지 이상의 품질을 제공하면서 해당 재화가 과시적 소비의 대상이 되는 재화의 경우에는 독점기 업은 최대의 이윤을 이끌어 내기 위하여 저픔질 재화는 사회적인 최적의 질보다 낮은 품질을 제공 하고, 고품질의 재화는 사회적 최적의 질보다 더 높은 질을 제공한다. 아울러 이들에게 제공하는 재화의 가격은 이 과시적 소비로 얻은 상대적 만족감의 크기를 최대한 이윤으로 환원할 수 있도록 가격을 설정한다.

The standard approach on the monopolist quality strategy facing the asymmetric information for the consumer’s types proposes the quality strategy of downward distortion. In contrast, Srinagesh & Bradburd propose the monopolist’s upward distorting quality strategy. They concluded that this difference flows from the different assumption about whether consumers with a higher total utility of quality also have a higher marginal utility of quality or not. In this paper, we consider the market where there exist conspicuous consumers. In this situation, the consumer earns the comparative utility from the only fact that he consumes the higher quality compared to the lower quality in addition to the absolute utility from consuming the quality itself. When the monopolist decides to offer the different qualities to both types of consumers, the quality spectrum enlarges by distorting both side qualities. The distortion takes the forms of degrading the lower quality at the same time upgrading the higher quality, when the comparative utility increases in increasing rate.

하향식 예산편성은 국가예산의 총 규모와 분야별 지출한도를 먼저 설정하고, 각 부처가 해당 한도 내에서 사업별 예산을 편성하면 최종 조정을 거쳐 예산안을 확정하는 방식이다. 우리나라에서는 2004년 도입되었는데, 과다 예산 요구 관행이 사라지는 등 여러 성과가 있었으나 재정당국의 미시적 조정이 여전하다고 비판도 존재한다. 본 연구는 이론 모형을 통해 하향식 예산편성과 상향식 예산편성을 비교하였다. 재정당국과 지출부처 사이에 비대칭 정보가 있는 경우 하향식 예산편성의 장점이 나타나지만, 비대칭 정보 문제 외에 지출부처의 결정에 왜곡요소가 있는 경우 오히려 단점이 더 커짐을 보였다. 또한 이러한 단점을 보완하기 위해 재정당국이 미시적 조정을 하향식 예산편성에 추가한다면, 상향식 방식과 동일한 예산배분으로 회귀한다는 결과를 제시하였다.

This paper theoretically examines the effects of a top-down approach on budget preparation. In a benchmark model, information asymmetry between a spending ministry and a department of finance on benefits of public projects makes the top-down budgeting superior to the traditional bottom-up approach. If the spending ministry has distortive incentives as well as informational advantage, the gain from the top-down budgeting disappears. Lastly, it is shown that if a final screen stage by the department of finance is added to the top-down procedure, as it is in Korea, the distinction between the two becomes meaningless.

2012년 3월에 도입된 주택금융공사의 적격대출은 대출금리가 낮은 데다 거치식 상환 방식이 가능함에 따라 급속한 성장세를 나타내었다. 적격대출의 낮은 금리는 대출 채권의 유동화 증권이 주택금융공사의 보증에 힘입어 낮은 금리로 발행되는 데 주로 기인하므로 결국 정부가 민간 금융회사의 대출 위험을 떠안는 셈이 된다. 적격대출은 향후 주택담보 대출 시장을 선도하여 외부 충격에 취약한 변동금리․일시상환 대출 구조를 고정금리․ 비거치식 분할상환 구조로 유도하는 한편 차입자의 부담도 덜어주는 긍정적인 역할을 할 것으로 예상된다. 그러나 아직까지 거치식 대출이 많이 포함되어 있고, 상환능력, 신용등급 등 채무자 요건이 매우 낮은 수준인 데다 민간 금융회사가 수취하는 수수료를 스스로 결정하는 등의 문제점들을 안고 있다. 특히 이런 문제점들이 주택담보대출 시장의 비대칭정보 문제와 연결되는 경우 주택금융공사의 부실 문제로 이어질 수도 있으므로 거치식 대출 폐지, 채무자 요건 강화, 수수료의 직접 관리, 적격대출제도 상시 감독 및 국회 보고 등의 개선방안을 검토할 필요가 있다. 한편 적격대출의 부실 등을 우려하여 정책당국이 적격대출에 대하여 양적 규제 등을 시도하는 경우 비대칭정보 문제가 오히려 심화될 가능성도 있으므로 앞으로는 적격대출제도의 문제점들을 철저히 개선하는 한편 양적 규제는 오히려 완화하는 것이 바람직하다.

Korea Housing Finance Corporation (KHFC) introduced conforming mortgage loan (CML), which is standardized to be compatible with securitization. It is similar to the conforming loan in the U.S. The U.S. government is directly and indirectly involved in the home mortgage market. Its direct involvement is through the granting of Federal Housing Administration (FHA) loans, as well as loans granted by the Department of Veterans Affairs (VA) and the Rural Housing Service of the Department of Agriculture. The government’ indirect involvement is made possible through the securitization. The mortgage loans offered by private firms, on the other hand, are referred to as conventional mortgage loans. Some conventional mortgage loans have to conform to the requirements in order to be purchased by the Fannie Mae and the Freddie Mac. Most of these conforming loans are securitized by those public entities. By buying mortgage loans, these two governmentsponsored enterprises (GSEs) create liquidity for lenders, freeing up capital so they can make more loans, thereby offering better support to the credit market. The access to funding from the capital markets on fairly generous terms by Fannie Mae and Freddie Mac has historically generated a steady demand for conforming loans, and in the process allowed lenders to offer somewhat more favorable terms on these home mortgages. In many respects, CML in Korea and the conforming loan in the U.S. are quite similar. For instance, the private mortgage loans that satisfy the requirements set by KHFC are purchased by the corporation. CML also allows lenders to provide home mortgage loans on very favorable terms. KHFC requires the following specific conditions for CML. Borrowers should have credit grades no worse than 8th grade assigned by the certified credit bureaus. Loan-to-value and debt-to-income ratios should not violate the guidelines set by Korea’s financial watchdog, called the Financial Services Commission. Also, the loan size cannot exceed 500 million Korean Won, and the length of maturity ranges from five to thirty-five years. Both fixed and floating rate loans are accepted. In addition, there is no restriction on repayment method, and even bullet loans are qualified for CML. As soon as it was introduced in March 2012, due to these borrower-friendly terms, CML became instantly popular in the Korean residential mortgage loan market. Mainly its low interest rate and flexible repayment scheme attracted many. The low interest rate relies predominantly on the risk mitigation measure provided by KHFC since CMLs are sold by commercial banks with the presumption that they would be securitized through the issuance of MBS with credit guarantee by KHFC that is again backed by the government. The government guarantee of CMLs can be understood as a necessary incentive to induce mortgage borrowers to switch their existing loans to long-term fixed rate loans with amortization from short-term bullet loans. And yet, CML has some structural flaws that require immediate policy attention. Contrary to initial intention, bullet loans still comprise a significant portion of CML portfolio. In addition, the credit standard is set at a very low level in terms of the borrowers’ credit scores and repayment ability. Moreover, servicing companies are free to set their own level of servicing fees, which create ample chances for disputes to erupt between servicers and borrowers in anytime soon. These problems may result in significant financial burden on KHFC when they are entangled with the problem of information asymmetry prevalent in the mortgage market. In response to these potential challenges, we make the following four policy recommendations. First of all, bullet loans should be completely eliminated from CML portfolio. Second, credit standards should be significantly tightened immediately. Third, KHFC should restructure the loan management system to reclaim the right to determine the level of servicing fees lenders can charge. Finally, transparency on CML should be enhanced through disclosure of wider range of information and tighter monitoring by the financial supervisor and the National Assembly. According to the news reports in early 2013, a policy measure was taken to impose a ceiling on the amount of CML each bank can sell. Banks seemed to have responded to the measure by raising the loan interest rates. If the banks chose to increase the loan interest rate, one possible outcome is adverse selection. Safer borrowers whose risk levels fall within the given risk bracket may be unwilling to borrow at a higher interest rate than what their credit standing; as a result, the mix of borrowers within the pool becomes riskier. The second possibility is that an increase in the loan interest rate could worsen the likelihood for moral hazard problem. That is, those borrowers within the pool who have some latitude in their investment decisions may choose riskier projects at a higher loan interest rate. If the banks are exposed to the default risks, they will not raise the loan interest rates, because higher interest rates could mean lower expected profit for the banks. Since the banks are not responsible for the defaults, they are willing to raise the rates. Therefore, the quantity restriction should be avoided since it can only aggravate either adverse selection or moral hazard or both problems by those banks.

흔히 자본시장의 꽃으로 불리우는 투자은행의 육성은 우리나라에서도 중요한 과제로 제기되어 왔으나 국내 금융투자회사들은 여전히 단순중개 등에만 주력하고 있으며 기업에 대한 정보 생산을 바탕으로 하는 증권의 인수나 M&A 중개 등의 업무 비중이 매우 낮은 형편이다. 이 논문은 이론 모형을 통해 우리나라에서와 같이 산업자본 계열사 들이 지배적인 위치를 차지하는 경우 투자은행이 제대로 성장하지 못하게 되는 문제를 분석하였다. 이에 따라 도출된 주요 연구결과는 다음과 같다. 첫째, 산업자본 소속 투자은행이 계열 비금융회사의 투자안을 평가하는 경우 독립계 투자은행에 비하여 항상 좋은 투자의견을 제시하는 정보 왜곡이 발생할 가능성이 높다. 둘째, 두 산업자본이 투자은행과의 결합 여부를 결정하는 게임에서 순진한 투자자가 많을수록 그리고 평판 비용이 작을수록 (결합, 결합)의 균형이 이루어질 가능성이 커진다. 마지막으로 산업 자본과 투자은행이 결합되어 있는 경우의 사회후생 수준은 분리되어 있는 경우에 비하여 항상 낮게 된다는 것을 발견하였다.

Investment banks (IBs) are often viewed as key players in the capital markets because of their pivotal roles in securities businesses as underwriters. Mainly, they are most useful as producers of information or creators of information market place, often resorting to resolve the asymmetric information problems that exist in the market. Indeed, IBs’ role as the providers of information to the market participants is vital for active financial markets especially for IPOs and renegotiation of corporate loan payments in times of distress. In such situations, investment banks can create added value by producing information for themselves or by designing and running a market place within which information are being produced and traded. As such, the Korean government has made a major regulatory reform so as to introduce investment banking businesses. Despite the favorable regulatory environment, Korea has witnessed thus far very little success with this endeavor as only few domestic IBs can be found in the domestic market. In general, financial companies in the Korean capital market play limited roles in stock brokerage. Other complex financial services related to securities underwriting or M&A deals are mostly performed by foreign investment banks. This paper, therefore, examines to gain better understanding what obstacles exist in Korea’s capital market for securities companies to properly function as full-fledged investment banks. In particular, the paper explains theoretically that it is difficult for an investment bank, which is affiliated with non-financial firms, to produce accurate information about its non-financial affiliates or their rivals, and thus it cannot build up easily its reputation as an IB. This potential conflict of interest often gets in the way for investment banks in Korea to secure their positions in the financial market as proper IBs, or reliable information sources. The game theoretic model used in this paper is based on Bolton et al. (2012), and Chemmanur and Fulghieri (1994). The model is developed in the context of an investment bank underwriting a stock issue and there are three main participants: issuers, investment banks, and investors. Issuers approach the equity market to raise capital for their projects and market their equity either directly to potential investors or through investment banks (or underwriters). Investment banks are producers of information about the issuers. But they produce noisy evaluations of issuers’ projects, which they report to investors when marketing equity in return for a fee from the issuer. Then, investors determine the market value of the equity based on the information provided by the IBs. In this paradigm, investors believe ex-ante that the project is good with the 50% probability. This lack of certainty creates room for the investment banks to perform their role using their expertise to accurately assess whether the project in hand is actually worth the investment. Investment banks obtain fees only from those firms whose equity they market. The fees charged by the investment banks are assumed to be a fraction k of the value added by their services for the issuer firms. This value added can be determined by assessing the difference between the value of equity when the investment bank is involved and the value when it is not when the issuer approaches the equity market directly without the help of an underwriter. After reviewing the report, the issuer has the choice whether to accept or refuse the investment bank’s proposed evaluation report. When the issuer firm turns down the investment bank’s report, it does not pay fees and the report is not disclosed. Once the investment bank’s evaluation report is announced or it is known that the report has been turned down, the issuer sets a uniform price for the investment. Investors, after taking into account the evaluation report and the price, finally decide whether and how much they intend to invest. Investors are divided into two types: sophisticated and naive. Sophisticated investors observe the payoffs of the game for both the investment bank and the issuer and they understand the potential conflict of interest between the investment bank and the issuer. Yet, they are not certain whether the project is good or bad, as they only have access to the investment bank’s report without being able to directly observe the IB’s signals about the project. On the other hand, naive investors simply assume that investment banks always truthfully evaluate the project. The main findings from this model are as follows. First, an IB which is affiliated with non-financial firms is more likely to produce distorted information than an independent IB is. Second, non-financial conglomerates are more likely to integrate with IBs if there are more naive investors in capital markets, if the fraction k is greater, and if the reputation costs are lower. Last, social welfare produced in the case when IBs are affiliated with non-financial conglomerates is always lower than that in the case when the IBs are independent. These results imply that separation of investment banking and commerce could be an important pre-condition for the successful introduction of IBs and their development.

Vendor financing is credit instrument offered by a supplier to increase the sale of its product. Vendor financing is prevailing among riskier firms, competing primarily with short-term bank debt, revolving line, in corporate debt market. This paper models the differential contractual features of vendor financing compared to bank revolving line. When there exists positive mark-up due to imperfectness of intermediate good market, an intermediate good supplier can increase the sales and profits by offering vendor financing to risky borrowing firms. Therefore, vendor financing tends to service riskier borrowing firms than bank revolving line does in corporate debt market. To deal with the issue of corporate liquidity management in lieu of selecting short-term financing source between bank revolving line and vendor financing, this paper provides both analytical model extended from screening model and empirical analysis utilizing a unique database, LPC’s DealScan, for bank financing contract. The empirical analyses using Compustat and LPC DealScan data support the theoretical prediction.

최근 들어, 기업의 투자가 부진한 이유를 외국인 투자자가 기업의 투자에 부정적인 영향을 주어서 발생한 것으로 보고 있다. 본 연구에서는 외국인 투자자가 기업의 투 자의사 결정에 부정적인 영향을 미치는 있는지 파악하기 위해 정보비대칭에 의한 자 본제약이론 관점에서 국내 주요주주와 외국 주요주주가 기업의 투자결정에 미치는 영향이 다른지 분석하고자 한다. 2000년부터 2008년까지 유가증권에 상장된 비금융 업 12월 결산법인 중에서 주식을 5% 이상 대량보유한 주요주주가 있는 기업을 대상 으로 국내 외부 주요주주 지분과 국외 외부 주요주주 지분이 실물투자인 설비투자율 과 연구개발투자인 연구개발투자율에 미치는 영향을 정태적 패널분석을 실시하여 분 석하였다. 분석결과는 첫째, 국외 외부 주요주주가 국내 외부 주요주주보다 자본제약 기업의 투 자-현금흐름 민감도를 감소시키는 역할을 하고 있다. 둘째, 연구개발투자율을 종속 변수로 분석한 결과, 국외 외부 주요주주가 국내 외부 주요주주보다 통계적으로 유의 하게 연구개발 투자를 증대시키고 있으며, 투자-현금흐름 민감도를 감소시키고 있 음을 보이고 있다. 따라서, 외국인 투자자는 국내 투자자 보다 상대적으로 정보비대 칭을 완화함으로써 기업의 투자에 긍정적인 영향을 주고 있음을 보이고 있다고 할 수 있다.

The purpose of this study is to investigate how the foreign outside blockholders affect a firm's investment policy. Since the Asian financial crisis, Korean corporation’s total investment has been decreasing. To name a few, they are structural obstacles to investment (Jeon, Kim, and Ha, 2005), increase in the cost of capital caused by decrease in debt ratio (Jeon, 2006), market and policy uncertainty (Lee, 2004), and increase in foreign ownership. The structural obstacles include the decreases in profitable investment opportunities, the globalization of production bases and Chinese growth, and weakened entrepreneurial momentum. This study particularly focuses on how foreign blockholders influence firms’ investment decisions. If, for instance, foreign investors have only short-term interest under the limitation of information asymmetry, they are not likely to be interested in firms’ long-run investment policies while demanding high dividend payout to recoup their investment as early as possible. The sharp increase in foreign ownership ratio may also create the market environment inductive to more hostile M&As in Korea. Therefore, it has been argued that firms had to spend a lot of cash to repurchase their own shares in the capital market, thereby decreasing investments. As such, this study analyzes the effects of foreign shareholders on firms’ investment policy from the view point of the theory of financial constraints under information asymmetry. Myers and Majluf (1984) argue that the firms with financial constraints have under-investment problems and prefer inside financing to outside capital, when there is an information asymmetry between inside managers and outside investors. Fazzari, Hubbard, and Petersen (1988) and Agca and Mozumdar (2008) also show that as the degree of information asymmetry (financial constraints) is mitigated, the investment-cash flow sensitivity decreases, while the investment of firms increases. Thus, this study argues that if the foreign investors are not disadvantaged by more information asymmetry than domestic shareholders are, they are more likely to play leading roles in increasing the investment of firms by facilitating the firms’ access to capital under reduced financial constraints. On the other hand, if the foreign shareholders suffer more information asymmetry than domestic shareholders do, they may be interested in short-term performance and demand higher dividend payout to the shareholders, consequently leading to the decrease of corporate investment. The previous studies with regards to this issue have shown conflicting results. Park (2004) and Sul (2006) argue that as foreign ownership increases, the corporate investment in facilities decreases. In contrast, Bin and Cho (2005), Lee (2005), Bae and Hwang (2006) show that the increases in foreign ownership do not directly affect firms’ investments in facilities. Kim (2003), Park and Lee (2006), Cho and Sul (2006) show that the foreign ownership is positively related with the R&D investments. However, Lee (2006) argues that the foreign shareholders do not necessarily affect firms’ investment in R&D. This study is different from the previous literature in that this analysis uses both fixed assets and R&D as the variables affecting firms’ investment decision. In addition, we conduct our studies on a separate pool of domestic and foreign outside blockholders who have more than 5% ownership from the rest of blockholders. Further, this study looks into whether and how domestic and foreign outside blockholders affect investment-cash flow sensitivity. Finally, we use the financial variables of all the non-financial companies listed in Korea exchange for the period of year 2000 through 2008. All the data are collected from the annual reports provided in the DART system of Financial Supervisory Service and KIS-value data base. After deleting some outliers having 1% extreme financial variables, 391 firms’ variables are used for this study. The static panel analysis is employed because this model considers the time series and cross-sectional characteristics as follows: INVit = α + βMajorownit - 1 + x' it - 1 r + uit , where INVit is the investment level of a firm i and year t as a dependent variable. Firms’ investments in both facilities and R&D are used as dependent variables, separately. Majorouwn it-1 is the ownership of major shareholders, and x it - 1 reflects control variables including cash flow, cost of capital, profitability, inside ownership, firm size, and growth rate. The results of our analysis are summarized as follows: Firstly, the panel analysis of the investments in plant and equipment as a dependent variable shows that outside foreign shareholders often end up decreasing the investment-cash flow sensitivity of firms by increasing the firms’ financial constraints. This result implies that outside foreign shareholders in the end play positive roles in reducing information asymmetry. Secondly, the panel analysis of firms’ R&D investment shows that more outside foreign shareholders’ involvement increases R&D investment significantly more than that of outside domestic blockholders; in short, foreign shareholders bring about the effect of decreasing investment-cash flow sensitivity of firms while tightening capital constraints. These observations imply that outside foreign investors play important roles in mitigating the information asymmetry problem while increasing the investments in R&D more than domestic blockholders do. That is, the foreign investors have contributed to the increase in the investments by making firms’ capital financing easier through the mitigation of information asymmetry. Some limitations in this study may arise due to some potential measurement errors of the firm size and retained earning/equity, used for the proxies of information asymmetry.

The fundamental features of information flow that are created by both external and internal ingredients with complex behavior have been analyzed by economists and scientists to understand complicated interactions between financial units. It is so hard to understand what is the origin of information flows because the status of market should be changed every time. We employ the daily 22 industry sectors in the KOSPI market from January 3st, 2000 to March 30st, 2011 and adopt the symbolic transfer entropy method to calculate the asymmetry information flows. We measured a degree of asymmetry information (DAI) between industry sector data sets before, during, and after subprime crisis in order to analyze how to relate DAI to the market crisis. We find that a degree of asymmetry information and the number of connectedness during the financial crisis in the Korean stock market are higher than those of before and after the market crisis.

We show how target debt ratios in book value terms applied to new investment can be used to improve alignment of investment incentives toward value maximization in firms with risky debt outstanding and asymmetric information. While wealth transfer from both agency conflicts can reduce the value of existing equity, new debt offsets the value loss to old shareholders. Since financing a part of investments with new debt set by book debt ratios offsets wealth transfer effects, firms will not pass up valuable investment opportunities and will make optimal investment decisions. Numerical examples show that both agency conflicts can be eliminated with new debt set by a target book debt ratio.

The paper investigates how long term value of publicly trading firm and its stock prices affect managerial compensation under asymmetric information. To do this, we incorporate Grossman and Stiglitz (1980) model into conventional principalagent problem. We analyze comparative statics of weights on the long term value and stock prices in managerial contract. Each weight is affected by information cost and supply shock. When traders are sufficiently averse to risk, as information cost decreases, the proportion of informed traders increases and this leads to the increases informativeness of stock prices. Then the weight on the long term value decreases and that on the stock prices increases. The changes of supply shock provide the reverse effect to the weights.

We propose a new eliciting method of measuring risk aversion through a laboratory experiment to overcome disadvantages of the multiple pricing list format developed by Holt and Laury (2002) and standardize the risk aversion ranking by quantile normalization. Our method doesn't stick to any specific utility function, and is free of the framing effect or the multiple switching problem. Furthermore, with the new measure of risk aversion, we examine how individuals change risk attitude and decision making time when they face new informational disadvantages, i.e., less information about asset markets than experts. Decision making time gets shorter and risk aversion rises significantly when individuals perceive themselves informationally disadvantaged.

The paper investigates how the degree of ambiguity and risk aversion affect excess volatility in asset markets. Assuming that uninformed traders have multiple beliefs about asset payoff in the model of Grossman and Stiglitz (1980), we analyze asset market equilibrium under asymmetric information. We show that both risk aversion and ambiguity play important roles of explaining excess volatility in asset market equilibrium.

본 연구는 비대칭정보 이론을 적용하여 해외자원개발사업에의 민간기업의 참여를 확대하기 위한 성공불융자제도가 효율적인 형태로 설계되었는지 분석하였다. 성공불융자제도는 탐사사업 및 투자위험보증사업에 대하여 정부가 민간기업에게 사업자금의 일정분을 지원해주는 제도인데, 사업 실패 시 융자원리금을 감면하되 사업 성공 시 융자금에 추가로 특별부담금을 징수하는 방식으로 운영된다. 본 연구에서는 성공불융자에서 세 가지 비대칭정보의 상황을 상정하고, 이에 주인-대리인의 문제를 적용하여 최적계약의 형태를 도출하였다. 비대칭정보의 상황에 주인-대리인의 문제를 적용하면 감추어진 정보로 인한 역선택 및 감추어진 행동으로 인한 도덕적 해이의 비효율성을 극복하는 최적계약(optimal contract)의 형태를 도출할 수 있다. 분석결과, 세 가지 비대칭정보의 상황에서의 최적계약이 모두 성공불융자제도 하에서와 유사한 형태로 분석되어 성공불융자제도의 효율성을 보였다.

We analyze the effectiveness of the success repayable loan system for resource exploration projects by applying the asymmetric information theory. Korean government formulated the success repayable loan system to support firms which participate in overseas resource exploration projects. Firms which benefitted from this loan system should repay the additional payment besides their loan when the results of their projects are successful, but receive exemption from paying the loan when their projects end in failure. This study classifies three cases with asymmetric information such as hidden knowledge and hidden action which might be possible under the success repayable loan system. Then, by applying a principal-agent problem, we try to draw the optimal contract forms under these situations. The results show that the optimal contracts formed under three cases with asymmetric information are very similar to those of the success repayable loan system. That is, we can conclude that we prove the effectiveness of the success repayable loan system for overseas resource exploration projects with asymmetric information.