자본투자와 주식수익률의 관계에 관한 연구 (An Empirical Study on the Relation betweenCapital Investments and Stock Returns in Korea)

서지정보

· 발행기관 : 한국기업경영학회
· 수록지 정보 : 기업경영연구 / 21권 / 1호 / 67 ~ 84페이지
· 저자명 : 감형규, 신용재

초록

본 연구는 한국 자본시장을 대상으로 자본투자(capital investment)와 주식수익률 간의 관계를실증적으로 다루었다. 실증분석을 위하여 1999년～2013년 동안 한국거래소 유가증권(KOSPI)시장에 상장된제조업 소속 기업들 중 일정요건을 충족하는 기업의 주가 및 재무제표 자료를 사용하였다. 분석방법은 자본투자, 잉여현금흐름(free cash flow), 부채비율(leverage ratio) 등의 세 가지 변수를 기준으로 구성한 포트폴리오 및 투자전략의 성과분석, Fama-French(FF) 3요인 모형을 이용한 성과분석, 그리고 기업-연도별 자료의특성을 반영한 패널자료분석(panel data analysis) 등이다. 주요 연구결과는 다음과 같다. 첫째, 자본투자(CI)포트폴리오를 이용한 분석결과, 자본투자와 주식수익률 간에 유의한 관계는 존재하지 않는 것으로 나타났다. 둘째, 대리인 문제와 관련된 변수로서 잉여현금흐름 및 부채비율을 추가적으로 고려한 포트폴리오 분석결과,현금흐름이 많거나 부채비율이 낮은 기업집단에서도 자본투자와 주식수익률 간에 유의적인 관계는 발견되지않았다. 이는 대리인 문제와 관련된 변수가 자본투자와 주식수익률의 관계에 별다른 영향을 미치지 못함을의미한다. 셋째, FF 3요인 모형을 이용한 분석결과, 포트폴리오 및 투자전략의 성과는 FF 3요인에 의해대체로 설명 가능하였다. 넷째, 개별기업을 대상으로 실시한 패널자료분석의 결과, 포트폴리오 접근법에서와같이 자본투자와 주식수익률 간에 유의적인 관계가 존재하지 않는 것으로 나타났다. 본 연구의 결과는 한국자본시장에서 자본투자가 주식수익률의 향방을 파악하는 데 유용한 정보가 될 수 없음을 시사한다. 본 연구는,저자들이 아는 한, 한국 자본시장을 대상으로 자본투자와 주식수익률의 관계를 다룬 최초의 시도일 수 있다는점에서 의의를 지닌다

영어초록

This paper examines the relationship between capital investments and stock returns in Korea.
The prior literatures suggest a number of potential explanations on weather or not capital investmentsare significantly correlated with subsequent stock returns.
McConnell and Muscarella(1985) hypothesize that unexpected changes in capital spending conveyto the market unexpected changes in the value of the firm’s investment opportunities under assumptionthat managers act in shareholders’ best interests. They find that increases (decreases) in plannedcapital expenditures are related with significant positive (negative) excess stock returns for industrialfirms. They interpret the evidence as being consistent with the hypothesis that managers seek tomaximize the market value of the firm in making their corporate capital expenditure decisions.
Jensen and Meckling(1976) present the effect of agency costs on a firm's shareholders. Theiranalysis suggests that the agency costs related with the capital investments increase as the size ofthe firm increases. The increase in agency costs occurs because of the outsiders’ incapability tomonitor managers' actions. Jensen (1986) asserts that even if projects have negative NPV the incentiveto overinvest in the projects is intensified when the firm produces cash flow in excess of that neededto fund projects which create value. His argument is based on the hypothesis that other things equal,managers of firms that produce high levels of cash flow are more likely to have the opportunityto overinvest and are more likely to do so than are firms with low levels of cash flow. Thus, itcan be expect the agency costs are linked with capital investments to be increasing in free cashflows. Easterbrook(1984) indicates that capital markets provide a role in the monitoring of managers.
Jensen(1986) suggests that high financial leverage of itself imposes discipline on management. Highfinancial leverage bonds managers to use free cash flow, that otherwise could be wasted on empirebuilding activities, to meet financial obligation. Therefore, the agency costs linked with capitalinvestments to be reduced by the high debt ratios.
Our sample includes manufacturing firms listed on KOSPI of KRX(Korea Exchange) from 1999to 2012. Our sample excludes firms with a negative book value and firms that have other monthsdifferent from December as the last month of fiscal year and change the settlement month. Datafor the stock and financial variables are obtained form KIS-value database. For an empirical research,portfolio approach, Fama and French(FF) 3-factor model, panel regression model are employed. Weidentify high capital investment stocks and low capital investment stocks according to the amountof capital investments and then classify them into various portfolios by using free cash flow andleverage ratio respectively. And then we evaluate the average monthly returns of portfolios andinvestment strategies. We also apply the FF 3-factor model to analyze the performances portfoliosand investment strategies. We use panel data analysis to examine the relation between capitalinvestments and stock returns in individual firms.
We find that (i) there is no significant relation between capital investments and stock returnsin Korea, (ii) there is no significant capital investment-stock return relation even if in the analysisdone with considering two variables free cash flow and leverage ratio which are related to agencyproblems, (iii) performances of all of the portfolios and investment strategies are explained by threefactors of FF 3-factor model, (iv) there is no significant relation between capital investments andstock returns in the panel data analysis using individual stocks. The results of this study are differentfrom those of prior studies which examine the relationship between capital investments andsubsequent stock returns in international markets. To our knowledge, this is among the first to examinethe relationship in Korea.

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