자산증가와 주식수익률간의 관계 = Asset Growth and the Cross-Section of Stock Returns

국문 초록 (Abstract)

본 논문에서는 1990년-2010년까지의 거래소시장(KOSPI)시장에 상장된 비 금융공개 기업을 대상으로 자산증가와 이후 주가수익률 간의 관계를 검증한다. 이론적으로 첫째, 성장옵션과 관련하여 기대수익률은 이자율, 자산의 평균체계적 위험, 성장옵션의 수 및 가치에 의해 조건부로 영향을 받기 때문에 기업은 성장옵션과 자산의 혼합 상태에서 성장옵션이 자산보다는 본질적으로 보다 위험하며, 성장옵션 행사에 따라 나타나는 체계적인 위험의 감소는 투자와 이후 주가수익률간 부의 관계가 존재한다는 것이다. 둘째, 기업이 투자에 대한 조정비용을 경험하게 되면 자산성장과 수익률간에 부의 관계가 존재한다는 것이다. 이러한 이론적 결과를 기초로 본 논문에서 실증분석 결과는 다음과 같다. 첫째,자산증가율을 기초로 포트폴리오를 구성하고 이후 주가수익률을 분석한 결과 수익률이 부의 유의적인 값을 보였다. 둘째, 횡단면회귀분석에서 자산증가율은 이후 주가수익률에 부의 유의적인 영향을 주었다. 셋째, 기업 규모별 실증분석 결과 중간규모의 기업군에서 자산증가가 이후 주가수익률에 보다 많은 영향을 주었다. 본 연구의 결과는 기업특성변수들을 통제한 후에도 강건성을 보였다. 결국 과거 자산증가율이 높은 기업은 이후 주가수익률이 하락한다는 이론적 결과를 지지하고 있음을 알 수 있다. 이러한 결과는 주식시장의 투자자들에게 포트폴리오 전략을 위한 중요한 정보를 줄 수 있다.

다국어 초록 (Multilingual Abstract)

This paper analyzes the relationship between asset growth and subsequent stock return for non-financial firms listed in KOSPI over 1990-2010. Theoretical backgrounds are as follows: First, growth option is more risky than asst in place from mixed condition with growth option and asset in place because the expected returns related to growth option, average systematical risk, interest rate, the number and value of growth option depend on their effects. Also systematical risk reduction from the exercise of growth option suggests that investment and subsequent return are negatively related each other. Second, it should be negative relationship between asset growth and subsequent return if firms experience adjustment cost on firm investment. Based on these theories, in this paper, the results of empirical test are as follows. First, this paper finds that there is a significantly negative value from portfolio based on asset growth. Second, I also provide the evidence that asset growth has the negative effect significantly from cross-sectional regression. Third, after firm classification based on size, I find that firms with medium size have more significantly asset growth effect on subsequent stock return. These results are robust after controlling for characteristic variable of firms. As a result, these findings suggest that firms with high asset growth tend to have low subsequent stock return, supporting the theoretical result from previous paper. The results from the empirical test in this paper imply that stock market participants could make important strategies in operating their funds to enhance investment return.

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