혁신이 부도위험, 투자 및 기업가치에 미치는 영향 = The effect of innovation on the default risk, the investment, and the value of firms

다국어 초록 (Multilingual Abstract)

Innovation plays a pivotal role in establishing and maintaining a competitive advantage in the market for firms because innovation can be the source of a profit increase and growth. In addition, innovation allows firms to obtain a stable profit by constructing the entry barrier for other firms. Thus, innovation can lower the default risk of firms and increase the investment and the value of firms. However, it is reported in the previous studies that innovation can also increase the firm's default risk because innovation requires too much investment of the firm's resources.
This thesis examines whether innovation has an effect on the default risk, the investment, and the value of firms. Our sample consists of firms listed on the Korea Stock Exchange from January 1, 1999 to December 31, 2007. More precisely, we exclude the firms, which belong to the financial and construction industries. In addition, firms that issue the preferred equities during the sample period are also excluded. To examine the effect of innovation on the default risk, the investment and the value of firms, it is important how to measure innovation and the default risk.
This thesis differs from the previous studies at least in two aspects. Firstly, we adopt the innovation performance as a new measure for innovation of firms. More specifically, in the thesis, we use R&D activity as an innovation input indicator and the innovation performance as an innovation output indicator. R&D activity is measured as R&D expenditure divided sales. This is always constrained as an innovation indicator by the fact that it measures an input only and comprises both the production of new knowledge and new practical applications of knowledge[Fagerberg et al.(2005)].
The innovation performance is measured as the proportion of gross profit not explained by the capital stock and labor. Besides the innovation performance, the number of new product or process improvement is considered as an innovation output indicator. However, these variables are not sufficient to reflect wholly the information about innovation as new sources of supply and new market. On the contrary, the innovation performance can reflect these information with single indicator because it is based on the Cobb-Douglas's production function and captures the contribution of non-capital stock and non-labor production factors to a firm's gross profits.
Secondly, the Merton's(1974) debt pricing model is adopted to compute the default probability which is the proxy variable of the default risk of firms. The Merton's model uses the market value of a firm's equity and the Black and Scholes(1973) option pricing model in calculating the default probability of firms. It also has an advantage to take account of the volatility of a firm's assets in estimating its default probability, while accounting models such as the Altman‘s(1968) Z-score model do not. Accounting models imply that firms with similar financial ratios have similar likelihoods of default. However, this is the not case in the Merton's model, where firms may have similar levels of equity and debt, but very different likelihoods to default, if the volatilities of their assets differ[Vassalou and Xing(2004)].
Essay Ⅰ investigates the effect of innovation on the default risk of firms. The empirical results are as follows. First, our results show that R&D activity reduces the default risk, while too much R&D activity increases the default risk, which means that the relationship between R&D activity and the default risk is non-linear. These results are consistent with Czarnitzki and Kraft(2004), who study the relationship between R&D ratio and credit ratings. These results imply that the manager of firms consider the characteristics of firms and the level of technology to determine the optimal level of innovation. Second, it is found from our empirical results that innovation performance also reduces the default risk of firms. However, contrast to R&D activity, we do not find any nonlinear relationship between innovation performance and the default risk.
In Essay Ⅱ, we examine the influences of innovation on the investment of firms. First, from the empirical results, it is found that there is no significant relationship between the innovation input indicator and the investment of firms, while it is observed that there is a significant relationship between the innovation performance and the investment of firms. This suggests that the firm's investment is influenced by the outcome of innovation, not the investment of the firm's resources for innovation. Second, Tobin's average Q has positive effects on the investment of firms. This result implies that growth opportunities could promote the investment of firms. However, the current market value of a recoverable debt at default divided by the current book value of assets has negative effects on the investment of firms.
Essay Ⅲ examines the relationship between innovation and the value of firms. More precisely, we examine how innovation influences the value of firms. First, it is observed that there exists the ∩-shaped relationship between innovation and the value of firms. In other words, R&D activity increases the value of firms, while too much R&D activity reduces the value of firms. This result means that the manager of firms consider the characteristics of the firms and the level of technology to determine the optimal level of R&D activity. Second, innovation performance increases the value of firms. Overall results imply that to increase the value of firms, a manager of the firms should endeavor constantly to promote innovation.

목차 (Table of Contents)

• 제1장 혁신이 부도위험에 미치는 영향 = 1
• 제1절 서론 = 1
• 제2절 연구내용 = 4
• 1. 선행연구 = 4
• 2. 혁신의 측정 = 5
• 3. 부도위험의 측정 = 11
• 제3절 분석모형 = 15
• 제4절 실증분석 = 18
• 1. 자료와 기초 통계량 = 18
• 2. 실증분석결과 = 21
• 제5절 결론 = 28
• <참고문헌> = 30
• 제2장 혁신이 기업의 투자에 미치는 영향 = 34
• 제1절 서론 = 34
• 제2절 연구모형 = 36
• 1. 토빈의 한계 q와 토빈의 평균 Q 간의 관계 설정 = 36
• 2. 타인자본 기대회수액의 현재가치 = 37
• 3. 투자와 혁신 = 40
• 제3절 실증분석 = 45
• 1. 자료와 기초 통계량 = 45
• 2. 실증분석결과 = 48
• 제4절 결론 = 56
• <참고문헌> = 58
• 제3장 혁신이 기업가치에 미치는 영향 = 61
• 제1절 서론 = 61
• 제2절 선행연구 = 62
• 제3절 분석모형 = 64
• 제4절 실증분석 = 68
• 1. 자료와 기초 통계량 = 68
• 2. 실증분석결과 = 72
• 제5절 결론 = 80
• 참고문헌 = 82
• 부록 = 85