기업의 연속 설비투자 증가가 주가 수익률에 미치는 영향 : 제조업 중심으로 (Firm Capital Expenditure Increase and Stock Return: The Effects of Consecutive Multi-Year Capital Expenditure Increase on Stock Returns)

서지정보

· 발행기관 : 한국생산성학회
· 수록지 정보 : 생산성연구: 국제융합학술지 / 31권 / 2호 / 145 ~ 164페이지
· 저자명 : 양인선

초록

If firms increase investments consecutively, does this contribute to an increase in stock returns? If firms are in a trend of distributing their earnings as investing in capital expenditures, does this help in increasing firm value? Most theoretical papers based in the U. S. or Europe have suggested that expected returns decline in response to increasing investment. These negative returns are referred to as “investment-related anomalies.” Various explanations have been offered for the negative relationship in investment/stock return of “investment-related anomalies”. For example, the Dynamic q-theory of investment as proposed by Liu, Whited, and Zhang (2009) states that firms tend to invest less when the cost of capital is high, inducing a negative investment/return (if ‘/’ is not acceptable ‘&’ is Ok also.) relationship.
Overinvestment theory (Titman et al., 2004), asserts that investors are concerned about possible overinvestment by managers due to the agency problem, consequently generating negative stock returns. They argue that firms that increase investment expenditures tend to overinvest and that the market initially overreacts to the negative implications of the higher level of investment.
In this paper, I explore the effects of continuous investment behavior patterns, with specific emphasis on continuous increases in investment of Korean manufacturing firms and its relationship with stock returns. With the panel of Korean stock returns over the 1990 to 2014 period, this paper utilizes two empirical methodologies; the Fama-French alpha measurement and benchmark portfolio excess return calculation. This paper analyzes multiple year windows instead of the commonly used single year time frame between stock returns and investment.
Most Korean studies on recent announcement effect over a short-term window have shown a positive relationship between corporate investment and stock returns when firms announce the increase of capital expenditure spending. However, there have been no long-term studies that show a clear positive relationship between stock returns and capital expenditure. I have found that as firms spend more on capital investments there are subsequently more positive benchmark-adjusted returns.
The results of this study show a strong positive correlation between a firm’s continuous investment increase and subsequent positive returns. Sorting by investment increase numbers, we find that the portfolio yearly excess return spread between firms with a one-time increase in investment and firms that have three consecutive years of increased investment is at 0.0072%. The higher the total number of increases in capital investment, the higher the portfolio excess returns. In addition, the higher the number of consecutive increases in capital investment, the higher the excess returns of the firm.
Since there have been no previous studies on cumulative increases in capital expenditure of firms and stock return, one of the paper’s major contributions is exhibiting a clear positive relationship when firms increase investment at least up to three times. In addition, this paper also analyzes the effect of the cumulative year over year increases on the investment/return relationship in comparison to traditional single year time frames.

영어초록

If firms increase investments consecutively, does this contribute to an increase in stock returns? If firms are in a trend of distributing their earnings as investing in capital expenditures, does this help in increasing firm value? Most theoretical papers based in the U. S. or Europe have suggested that expected returns decline in response to increasing investment. These negative returns are referred to as “investment-related anomalies.” Various explanations have been offered for the negative relationship in investment/stock return of “investment-related anomalies”. For example, the Dynamic q-theory of investment as proposed by Liu, Whited, and Zhang (2009) states that firms tend to invest less when the cost of capital is high, inducing a negative investment/return (if ‘/’ is not acceptable ‘&’ is Ok also.) relationship.
Overinvestment theory (Titman et al., 2004), asserts that investors are concerned about possible overinvestment by managers due to the agency problem, consequently generating negative stock returns. They argue that firms that increase investment expenditures tend to overinvest and that the market initially overreacts to the negative implications of the higher level of investment.
In this paper, I explore the effects of continuous investment behavior patterns, with specific emphasis on continuous increases in investment of Korean manufacturing firms and its relationship with stock returns. With the panel of Korean stock returns over the 1990 to 2014 period, this paper utilizes two empirical methodologies; the Fama-French alpha measurement and benchmark portfolio excess return calculation. This paper analyzes multiple year windows instead of the commonly used single year time frame between stock returns and investment.
Most Korean studies on recent announcement effect over a short-term window have shown a positive relationship between corporate investment and stock returns when firms announce the increase of capital expenditure spending. However, there have been no long-term studies that show a clear positive relationship between stock returns and capital expenditure. I have found that as firms spend more on capital investments there are subsequently more positive benchmark-adjusted returns.
The results of this study show a strong positive correlation between a firm’s continuous investment increase and subsequent positive returns. Sorting by investment increase numbers, we find that the portfolio yearly excess return spread between firms with a one-time increase in investment and firms that have three consecutive years of increased investment is at 0.0072%. The higher the total number of increases in capital investment, the higher the portfolio excess returns. In addition, the higher the number of consecutive increases in capital investment, the higher the excess returns of the firm.
Since there have been no previous studies on cumulative increases in capital expenditure of firms and stock return, one of the paper’s major contributions is exhibiting a clear positive relationship when firms increase investment at least up to three times. In addition, this paper also analyzes the effect of the cumulative year over year increases on the investment/return relationship in comparison to traditional single year time frames.

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