기관투자자의 투자기간과 자사주 매입 (Institutional Investment Horizons and Share Repurchases)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 32권 / 2호 / 221 ~ 246페이지
· 저자명 : 김현동, 김태연

초록

본 연구는 한국기업을 대상으로 기관투자자의 투자기간과 자사주 매입 간의 관계에 대해 조사하였다. 2004년부터 2017년까지 유가증권시장에 상장된 기업들을 대상으로 분석한 결과, 기관투자자의 투자기간과 투자 대상 기업의 자사주 매입 사이에 유의한 음(-)의 관계가 발견되었다. 특히, 단기 기관투자자의 지분이 높은 기업일수록 더 많은 자사주를 매입하는 것으로 나타났다. 이러한 결과는 단기 기관투자자들이 장기 기관투자자들과 달리 기업의 성장보다 단기적 주가 상승에 관심이 많고, 주가에 대한 많은 정보를 보유하여 기업의 자사주 매입 후 이어지는 주가 상승으로부터 보다 많은 이익을 취할 수 있기 때문이라 생각된다. 흥미롭게도 기업을 재벌기업과 비재벌기업으로 나누고 기관투자자의 투자기간과 자사주 매입 간의 관계에 대해 조사한 결과, 둘 사이의 유의한 음(-)의 관계는 재벌기업에서만 관찰되었다. 이는 재무적 제약이 적고 지배주주의 지배력이 높은 재벌기업에서 자사주 매입이 더 높은 주가 상승으로 이어지기 때문으로 보인다. 본 연구는 기관 투자자들을 동질적 집단으로 간주하였던 기존 국내 연구들과 달리 기관투자자들의 상이성에 초점을 맞춰 기관투자자들마다 투자 대상 기업의 재무 정책, 특히 자사주 매입 정책에 대한 관심이 다를 수 있음을 보였다는 점에서 의의를 갖는다.

영어초록

In recent decades, share repurchases have greatly increased (Dittmar and Field, 2015; Floyd, Li, and Skinner, 2015; Sul, Kim, and Jang, 2004). Institutional ownership has also grown during this period, and institutional investors have had an increasingly significant effect on corporate decision making (Gugler, Mueller, and Yurtoglu, 2008; Yun and Kim, 2015). Even so, the existing literature has generally maintained that each institutional investor has unique characteristics. In particular, institutional investment horizons can be a notable dimension of heterogeneity among institutional investors (Bushee, 1998; Gaspar, Massa, and Matos, 2005; Chen, Harford, and Li, 2007; Aghion, Van Reenen, and Zingales, 2013). In this paper, we examine the relationship between institutional investment horizons and share repurchases. We hypothesize that firms with higher short-term institutional ownership engage in more share repurchases than those with lower short-term institutional ownership. Our conjecture is based on two considerations.
First, short-term institutional investors are more likely to care more about the capital gains they expect from an increase in a firm’s stock price than they care about the firm’s long-term value. In financial markets with information asymmetry, share repurchases of overvalued firms benefit the shareholders who sell their shares, but such repurchases harm the investors who hold their shares. Accordingly, firms typically repurchase their stocks only when they are undervalued, and then stock repurchases typically stimulate an increase in stock prices (Lucas and McDonald, 1998). Although stock repurchases reduce the information asymmetry between firms and shareholders by providing the market with information on a firm’s intrinsic value, these repurchases may not enhance the firm’s growth or improve its operations. Given that short-term institutional investors may not remain shareholders of the firm for long, those investors are more likely to be concerned with the short-term capital gains that can result from share repurchases. Long-term institutional investors are more concerned with how share repurchases may affect a firm’s long-term value creation.
Second, short-term institutional investors often have more information on a firm’s stock prices than long-term institutional investors (Yan and Zhang, 2009). More informed shareholders can make better decisions on a firm’s stock trades, and they can gain more profit from selling their shares. Therefore, more informed shareholders prefer share repurchases that can reap greater capital gains (Brenan and Thakor, 1990). Previous studies (Grinblatt and Titman, 1989; Wermers, 2000; Yan and Zhang, 2009) have indicated that short-term institutional investors are better informed about stock prices, and they tend to realize abnormal profits. Therefore, short-term institutional investors are more likely to prefer stock repurchases.
To test our hypothesis, we measure institutional investors’ investment horizons with reference to turnover ratios. Following the literature (Gaspar et al., 2005; Attig, Cleary, El Ghoul, and Guedhami, 2013), we define a turnover ratio as the weighted average of the total portfolio’s churn rates among a firm’s institutional investors. We also use two other proxies for investment horizons, which are measured as the percentages of ownership of a firm held by long- and short-term investors. We define long-term (short-term) investors as those whose turnover ratios are in the bottom (top) tertile. In addition, a firm’s stock repurchases are measured as the amounts paid for stock repurchases, divided by the amounts of total payouts (that is, the sums of cash dividends and stock repurchases). Our final sample represents 3,404 Korean firm-year observations from 2004 to 2017.
We find that the investment horizons of institutions are negatively related to share repurchases. In particular, firms that are mainly held by short-term institutional investors tend to make more repurchases. Our findings remain unchanged when we address endogeneity issues subject to measurement error and omitted variable bias. Specifically, our results are robust to using various measures of stock repurchases, and they hold after conducting a propensity score matching procedure and a change regression. Interestingly, we also find that when firms are classified as Chaebol or non-Chaebol firms, the negative association between institutional investment horizons and share repurchases is observed only in the Chaebol firms. Chaebol firms often have fewer financial constraints, due to the presence of internal capital markets. The controlling owners of Chaebol firms also tend to exercise greater control than owners of non-Chaebol firms. These characteristics of Chaebol firms are likely to provide a suitable environment for increased repurchases. Overall, our empirical findings suggest that shorter institutional investment horizons are among the most important factors explaining increased buybacks.
Previous studies have analyzed the effects of institutional investors on corporate policies by regarding institutional investors as an homogeneous group. Relatively few researchers have investigated the heterogeneity of institutional investors. This study focuses on examining the differing investment horizons of institutions, and it makes a contribution to the corporate finance literature by examining the determinants of firms’ payout policies. Moreover, we add to the literature on Chaebol firms by showing that firm characteristics appear important for explaining the relationships between institutional investment horizons and stock repurchases.

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