우리 나라 회사채수익률 예측을 위한 적정 시계열 모형에 관한 연구

구맹회(Ku, Maeng-Hoe),김병곤(Kim, Byoung-Gon),박상현(Park, Sang-Hyun) 대한경영학회 2000 大韓經營學會誌 Vol.26 No.-

株式收益率 變動性 市場價格에 관한 硏究

구맹회(Ku, Maeng-Hoe),이윤선(Lee, Yun-Sun) 대한경영학회 1998 大韓經營學會誌 Vol.17 No.-

투자자(投資者)의 기대수익성장성(期待收益成長性) 측정(測定)에 관한 연구(硏究) -한국(韓國) 상장기업(上場企業)의 자료분석(資料分析)을 중심(中心)으로-

이용달 ( Yong Dal Lee ),구맹회 ( Maeng Hoe Ku ) 東亞大學校附設 石堂傳統文化硏究院 1977 石堂論叢 Vol.1 No.-

Securities earnings price ratio is generally described as a function of two factors in most stock valuation models. These two factors can be broadly defined as: (1)the risk that is associated with the firm, and (2)the expected growth in earnings or the profit aspect of the firm. While many papers on the return risk analysis have been presented in the financal literatures, the research on the growth factor has been less emphasized. Indeed, the expected earning growth is simply measured with the differential of earnings or prices between the continuing periods, which is based on the historical data. Investors, however, continuously reassess the firm`s expected performance on the basis of new information. Thus, the purpose of this paper is to examine and evaluate investors` earning growth expectations. Once the EPR(earnings price ratio) represents the causality of two factors, the return risk influence and the expected earnings growth, and the EPR is regressed on the return risk variables only, each estimated error is comprehended as the presentation of the earnings growth expectations for the respective observations. The respective model of EPR for the year 1972, 1973 and 1974 indicated that there doesn`t appear any reason to accept the adequacy of the models (See Table-2, 3, 4,). Thus, the stepwise regression model of EPR for 1975 is analyzed in the paper(for the fitness of the model, see Table-1). The estimated regression model of EPR in 1975 is as follows: EPR=-6.3183+0.0364ISPI+1.5183AST-0.0054DIV-0.1313LEV-1.5648DPR+e (2.1425)** (2.5399)** (-0.5756) (-2.0334)** (-10.3376)*** Where ISPI=the stock price index by industry AST=the natural logarithm of the total assets for the firm DIV=the dividend payout ratio LEV=the leverage ratio DPR=the dividend per share to stock price ratio the distribution of estimated regression errors, the representation of expected earnings growth, makes the shape of the left skewness (see Figure-1). This is indicated as the growing trend of the securities` earnings in the Korean market in 1975. The characteristics and trends of securities by industry suggest another importance for this analysis (see Table-8). The writer admit, so far the limitation of this paper especially in the process of observation and selection of the risk variables. However, the results of this empirical study could contribute to the integration and modeling of the listed securities variability in Korea, which the public or the security analysis could utilize as the investment decision criteria.

기업다각화는 기업가치를 감소시키는가 ?

김병곤(Byoung Gon Kim),박상현(Sang Hyun Park),구맹회(Maeng Hoe Ku) 한국증권학회 2001 한국증권학회지 Vol.29 No.1

기업다각화는 기업가치를 감소시키는가 ?

김병곤(Byoung Gon Kim),박상현(Sang Hyun Park),구맹회(Maeng Hoe Ku) 한국증권학회 2001 Asia-Pacific Journal of Financial Studies Vol.29 No.1

資本構造의 理論

具孟會 釜山大學校 1983 經營 經濟 硏究 Vol.2 No.1

F. Modigliani and M. H. Miller(MM), in their outstanding papers of 1958 and 1963, stated the relationship between the behavior of the cost of capital and the value of a firm throughout all degrees of financial leverage. MM made a formidable attack on the traditional view on the cost of capital, capital structure and the valuation of a firm by suggesting three propositions about ① the average cost of capital, ② the cost of equity and ③ the cutoff rate in investment decision. Based on the three propositions, the study of the cost of capital and capital structure has been one of the main topics by financial theorists up to 1970's. Even in the beginning of 1980's the study is still conducted. It is no doubt that there are some limitations in proving MM's hypotheses. However, the reliability of MM's models based on the three propositions are still accepted as valid. Once we admit the assumptions of the perfect capital market and the constancy of cost of debt through all degrees of financial leverage, MM's models for ① the value of levered firm, ② the cost of equity funds and ③ the WACC do not present any inconsistency with those adjusted to the CAPM or to the personal income tax rate. And MM's average cost of capital can also be used as a cutoff rate in capital budgeting decisions. The arguments on the validity for the WACC model are mainly caused by the failure to recognize fact that the different WACC models (output) can be derived from the different input factors in calculation. That is, each WACC model represents its unique characteristics according to the following input factors in derivation. ① the type of cash flow like the before-tax cash flow, the overall cash flow or the net operating cash flow ② whether or not MM's valuation model(V_(L) = V_(U) + tB) is adjusted to the WACC model ③ the adjustment of KU's valuation model(V_(L) = V_(U) + MITS) to the WACC model ④ the adjustment of the personal income tax rate to the WACC model Each WACC after-tax is represented as a decreasing function of the financial leverage(B/V). That means the higher the financial leverage is, the lower the WACC after-tax is, which results in increase of the value of a levered firm. Such a functional relationship between the WACC after-tax and B/Vis also consistent in meaning with MM's valuation model of a levered firm, which presents the addition of the interest tax subsidy to the unleverd firm. Thus, the optimal capital structure can not exist theoretically if the irrational extreme level of fivancial leverage(B/V=1.0) is excluded. KU's models of a levered firm's valuation and the WACC are logically identical to the MM's. KU's models, however, removed MM's impractical hypotheses that the cost of debt is constant at all levels of financial leverage, and that all the firms should be the going-concern. Thus, KU's models are comprehended as the better tools in financial decisions in the sense that they are more contingent to the real financial situations. That is, the models have the higher flexibility in application, because they could be applied to every firm's valuation without limitation on the duration of business operation and the changes of debt costs. There are two factors affecting the value of a levered firm, when a firm increases the financial leverage. One is the interest tax subsidy and the other is the cost of financial distress. When a firm gradually substitutes the debt for equity funds, the former adds the value of the firm at the amount of tB(MM) or MITS(KU), whereas the latter reduces the firm's value as represented in the following models. MM: V_(L) = V_(U) + tB - FD KU: V_(L) = V_(U) + MITS -FD FD = the cost of financial distress If a firm increase step by step the financial leverage(B/V) up to 1.0 from 0.0, the cost of financial distress gradually carries the heavier weight (the reduction of a firm's value) than that of the interest tax subsidy (the addition of a firm's value). Thus, there should be a turning point of the value increasing trend in the range of 0.0< B/V <1.0 for a levered firm. That turning point of a firm's value is the indication of the optimal capital structure. That is, the capital structure composed at that turning point is the optimal capital structure which maximize the value of a firm. There are some difficulties, however, in measuring the cost of financial distress for the valuation of a firm, because the cost is always affected by many related factors. They are ① the nature of industry, ② the size of business, ③ the management situation, ④ the economic situation at the time of measurement and ⑤ the degree of competition and other business environments. Therefore, the measurement of the cost of financial distress is possibly attained for a particular firm at a specific period by research. However, it is concluded that the optimal capital structure can be surely explained by the counterbalance between the additional effect of the interest tax subsidy to the firm's value and the reduction effect of the firm's value due to the cost of financial distress.

株式收益率 變動性 市場價格에 관한 硏究 : TVP GARCH모형을 중심으로 Using the TVP-GARCH type model

구맹회,이윤선 大韓經營學會 1998 大韓經營學會誌 Vol.17 No.-

대리권문제와 기업다각화가 기업가치에 미치는 영향에 관한 실증연구

구맹회,김병곤 한국재무관리학회 1999 財務管理硏究 Vol.16 No.2

본 연구에서는 우리 나라 266개 상장기업을 대상으로 기업다각화의 동기를 밝히고, 대리권문제와 기업다각화가 기업가치에 미치는 영향을 분석하였다. 기업다각화수준의 결정에 있어 대리권문제의 영향을 분석한 실증결과에 의하면, 첫째, 내부지분율이 낮을수록 다각화가 많이 이루어지고, 내부지분율이 높을수록 다각화수준이 낮아지는 것으로 나타나, 우리 나라 기업의 다각화 동기를 대리권문제 관점에서 찾을 수 있음을 알 수 있었다. 둘째, 외부대주주지분율과 다각화수준간에는 유의적인 관계를 발견하지 못하여, 외부대주주들이 경영자를 감시·통제함으로써 대리권문제를 축소시키고, 기업의 다각화를 억제할 것이라는 가설은 기각되는 것으로 나타났다. 다각화가 기업가치에 미치는 영향에 대한 분석결과에서는, 첫째, 다각화가 기업가치의 감소를 유발시켜 다각화수준이 높을수록 기업가치가 낮을 것이라는 가설은 기각된든 것으로 나타났다. 오히려 우리 나라 기업에 있어 다각화는 기업가치에 긍정적인 영향을 미치는 것으로 분석되었다. 둘째, 관련다각화 기업과 비관련다각화 기업의 가치를 비교해본 결과 비관련다각화 기업의 가치가 관련다각화 기업의 가치보다 높은 것으로 나타났다.

한국기업의 다각화와 기업가치에 관한 실증연구 : LISREL 모형을 응용하여

구맹회,김병곤 한국재무관리학회 1999 財務管理硏究 Vol.16 No.1

본 연구는 LISREL모형을 이용하여 우리나라 266개 상장기업을 대상으로 기업다각화와 기업가치간의 영향관계를 분석하고, 다각화 및 기업가치 결정요인을 분석하였다. 분석결과 첫째, 90년대 초반까지는 다각화가 초과가치를 발생시켰지만, 90년대 중반 이후에는 다각화에 의한 사업운영방식이 負의 초과가치를 발생시켜 기업가치에 부정적인 영향을 미칠 수 있음을 알 수 있었다. 둘째, 다각화는 기업의 시장가치에 正의 영향을 미치는 것으로 나타나, 시장에서는 다각화된 기업을 전문화된 기업보다 더 높게 평가하고 있음을 알 수 있었다. 셋째, 기업의 다각화수준에 영향을 미치는 요인으로는 외부대주주지분율, 레버리지비율, 기업설립연수, 기업규모, 계열기업 여부 등으로 파악되었다. 90년대 초반까지는 외부대주주지분율이 높고, 기업설립연수가 오래되고, 계열기업에 속해 있고, 규모가 작은 기업의 경우 다각화수준이 낮게 나타났지만, 90년대 중반 이후에는 이와 같은 특성을 가진 기업의 다각화수준이 높아지는 것으로 분석되었다. 레버리지비율은 기업의 다각화수준과 일관되게 正의 영향관계를 보여, 차입자금을 이용하여 다각화를 추진하는 우리 나라 기업의 현실적 상황을 확인할 수 있었다. 넷째, 다각화의 초과가치에 영향을 미치는 요인으로는 외부대주주지분율, 레버리지비율, 기업규모, 계열기업 여부 등으로 파악되었다. 90년대 초반에는 외부대주주지분율이 높고, 기업규모가 작고, 계열기업에 속한 기업들이 다각화를 통해 正의 초과가치를 획득할 수 있었지만, 90년대 중반 이후에는 외부대주주지분율이 낮고, 기업규모가 크고, 계열기업에 속하지 않은 기업이 다각화에 의해 초과가치를 얻을 수 있음을 알 수 있었다. 레버리지는 그 비율이 높을수록 다각화의 초과가치가 크게 나타나는 것으로 분석되어, 다각화 기업이 더 많은 부채부담능력을 가질 수 있고, 부채의 세금절감효과에 의해 기업가치를 증가시킬 수 있음을 알 수 있었다.

小地域社會의 成長 模型 : 北部 캘리포니아주 地域社會 베이스의 硏究

具孟會 東亞大學校 1973 東亞論叢 Vol.10 No.-

Movement of mobile resources refers to the main factor which influences the development of communities. Parallel to the continuous grouwth of the California's population the movement of human and capital resources kept changing the development situaltion of each individual community in Northern California in the period of 1960∼1970. There are three genral determinants of small community gorwth potential; the geographic dimension, the economic dimension, and the social dimension of the community base. That is, the growth potential-the ability to attract and hold preductive mobile resources-is a function of the economic, social, and geographic dimensions of the coummunity base. Twenty-eight communities are classified into the viable or nonviable set of communities by the growth potential (G) of community base. Tn variates representing the community base are then regressed on seven different growth objectives. One growth objective-Change in City Property Value-presents the significant different populations between two sets of communities. This implies that the holding or the accumulation of the central city property for the viable set of communities are different from that of the nonviable set of communities. All the other objectives-Change in City Pupulation, Change in Community Population. Net Community Migration, Change in City Rental Units, Change in Total Community Personal Income, and Change in Community Per Capita Personal Income-do not produce the differnt performance between the two classes of communities. The factor analysis technique suggests the mutaul interdeperdence of communities by the factor scores representing the urban size and three dimentsions of the community base, while the regression model presents the causal level in the performence of community objectives affected by the growth potential (the presentation of interdependence). Finally, the development of a community could be controlled by the emphasis of either the central city activities or the hinterland activities in the community.