지분율 괴리도와 투자이상현상 (The Divergence between Voting Rights and Control Rights and the Growth Anomaly)

서지정보

· 발행기관 : 한국회계학회
· 수록지 정보 : 회계학연구 / 39권 / 6호 / 189 ~ 227페이지
· 저자명 : 조형진, 김미옥, 정형록

초록

본 연구는 기업의 지배구조가 투자와 미래주식수익률 간의 음(-)의 관계에 미치는 영향을 분석하고자 한다. 투자와 미래주식수익률간의 음(-)의 관계에 대하여 선행연구에서는 두 가지 견해를 제시하였다. 첫 번째는 투자에 대한 시장의 과대평가로 인한 차기의 주가조정현상으로 보는 견해(가격이상현상)이다. 향후 투자로 인한 실적 변동이 시장의 기대에 못 미치면 주식가격이 하락하는 가격조정이 이루어지기 때문이다. 두 번째는 투자수익률과 투자선호기업 간의 체계적인 관계에 의해 나타난 결과로 보는 견해(-이론)이다. 본 연구는 두 가지 견해 중 가격이상현상에 초점을 맞추어 지분율 괴리도가 투자와 미래주식수익률간의 음(-)의 관계에 어떠한 영향을 미치는 지를 분석하였다.
연구결과는 다음과 같다. 첫째, 지배주주의 사적이익을 위한 비효율적인 의사결정으로 비효율적인 투자가 존재하는 지를 분석하였다. 투자수준에 영향을 미치는 기업특성을 통제하였음에도 불구하고 지분율 괴리도는 비효율적인 투자와의 유의한 양(+)의 상관관계가 있다는 것을 발견하였다. 둘째, 투자와 미래주식수익률간의 음(-)의 관계가 비효율적인 투자로 인해 더 강하게 나타나는지 분석한 결과, 지배주주의 사적이익추구행위가 일어날 가능성이 높은 지분율 괴리도가 높은 기업에서는 비효율적인 투자와 미래주식수익률 간의 음(-)의 관계가 강하게 나타났으며 이러한 관계는 투자 후 3년간 지속되는 것을 발견하였다. 즉 지분율 괴리도가 높은 기업의 비효율적인 투자는 장기간 기업 가치를 낮추는 요인임을 제시하였다.
본 연구는 투자와 미래주식수익률의 관계를 지배구조와 투자의 관계를 통해서 규명하고자 하였다. 또한 지배구조가 약할수록 비효율적인 투자가 이루어질 가능성이 높음을 제시하고, 이러한 비효율적인 투자는 기업의 미래가치를 낮추는 요인임을 제시하였다는 점에 공헌점을 둔다.

영어초록

This paper investigates the impacts of corporate governance on the negative relation between corporate investment and future stock returns. Prior research provides two explanations on the negative relation between investments and future stock returns, which is labeled as the growth anomaly.
First explanation is the mispricing originated from the investors’ over-valuation of investments. The stock price can decline when the actual performance after investments fail to meet the market’s expectation on the future performance. Second explanation is based on the q-theory. Firms with lower systematic risks will have larger investments, resulting in the negative association between future stock returns and investments.
This paper focuses on the mispricing explanation and examines the effect of corporate governance on the negative association between investments and future returns using the divergence between voting rights and control rights, henceforth wedge, as the proxy for corporate governance. Previous studies document that the wedge is positively related with the major shareholders’ expropriation of other shareholders. Therefore, firms with a large value of wedge are more likely to engage in investments which can increase the private benefits of control for major shareholders while having no or negative effect on other shareholders’ wealth.
Our sample includes the firms listed in the Korean stock exchanges from 2000 to 2011 with available data of the divergence between voting rights and cash flow rights. We obtain the wedge data from Fair Trade Commission. We use the total amount of investment (the sum of capital expenditure and research and development expenses) and the asset growth as proxies of investments. To better understand the effect of inefficient investment on future returns, we also consider the abnormal level of investment. Normal level of investments is measured by the predicted value from the regression of investments on firm characteristics.
Before the regression analysis, we construct the hedge portfolio to test the effect of wedge on the relation between investment and future stock returns. The hedge portfolio test results show that the wedge is positively related with abnormal investments. They also provide that the negative relation between investments and future stock returns is stronger for firms with a larger divergence between voting rights and control rights.
The regression results are as follows.
First, after controlling for firm characteristics related with the level of investments, we find that there is the positive relation between the divergence between voting rights and control rights and inefficient investments. This indicates that the private benefits of control from a large divergence between voting rights and control rights result in inefficient investments decisions.
Second, we find that the negative association between investments and future returns is stronger for firms with a larger divergence between voting rights and control rights. We find that the investments of firms with a large divergence between voting rights and control rights have negative effects on future returns at least for three years. This can be explained in two folds: (1) consistent with q-theory, firms with lower systematic risks can invest more than those with higher systematic risks because they have lower required rate of returns, resulting in the negative relation between investments and future stock returns, and (2) investors fail to recognize the inefficient investments and adjust their mispricing to the investments of firms with a large divergence between voting rights and cash flow rights, resulting the negative stock returns.
To understand whether our findings can be explained by the mispricing, we perform a battery of robustness tests. We find that investments of firms with a large wedge is negatively related with future operating cash flows. This supports our first finding that investments of firms with a large wedge are more likely to be inefficient than those of firms with a low wedge.
We also regress the contemporaneous stock returns on investments, wedge, and their interaction. We find that investors react more positively when firms with a large wedge invest more. Therefore, this last finding provides evidence that our results can be attributable to investors’ misunderstanding on the value implication of investments by large wedge firms.
This paper contributes to the accounting research by investigating the fundamental reason of growth anomaly. While many prior studies document a negative relation between investment and future returns, there is a little explanation on why this negative relation appears. We highlight the channel through which the corporate governance influences the association between investments and future stock returns. Weak corporate governance, proxied by a large divergence between voting rights and control rights, results in inefficient investment decisions which deteriorate the firm value. Furthermore, investors fail to recognize the effect of investments on the firm value, resulting in the initial overpricing for firms with a large divergence between voting rights and control rights. Most previous studies on the growth anomaly and inefficient investments fail to attribute their relation to the corporate governance(Cho et al. 2014; Titman et al. 2004; Titman et al. 2009).
This research is closely related with Jiang et al.(2011) who document that a divergence between voting rights and cash flow rights is negatively related with the investment sensitivity to stock price, resulting in inefficient investments and poor future financial performance. We differentiate from Jiang et al.(2011) by focusing on the investors’ failure to understand the value implication of investments on firm value and consequent mispricing for firms with a large wedge, while Jiang et al.(2011) focus on the negative effect of inefficient investments on future financial performance.

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