한국주식시장에서의 투자성향효과 분석

박순식,안영규 한국산업경영학회 2005 한국산업경영학회 발표논문집 Vol.2005 No.2

본 연구에서는 행태재무론(behavioral finance) 중 시장참가자들이 합리적이라는 가정에 위배되는 일상적인 오류인 투자성향효과(disposition effect)에 대하여 살펴보고자 한다. 구체적으로, 본 연구에서는 투자성향효과를 보이는 투자자가 시장에 존재할 경우 시간의 흐름에 따라 균형자산의 가격이 어떻게 변하는지에 대하여 살펴본다. 그리고 한국주식시장에서 기대수익률의 횡단면적 특성 중 행태변수(behavioral variables)의 대용치로 투자성향효과변수의 설명력을 검정한다. 이를 위해, Grinblatt & Han(2003)의 이론모형을 소개하고, 1993년부터 2002년까지의 한국증권거래소에 상장된 기업을 대상으로 Fama & MacBeth(1973) 횡단면 회귀분석을 실시한다.

고주파 해저면 반사손실의 주파수 종속성 측정

박순식,최지웅,윤관섭,나정열 한양대학교 이학기술연구소 2002 이학기술연구지 Vol.5 No.-

During the last several decades, although there have been lots of efforts to develope the high-frequency bottom reflection loss model, the frequency dependence of bottom loss was not considered in most cases because the sea bottom was assumed to be generally much smoother and lower gradient than the sea surface. However, if the sea bottom is rougher than acoustic wavelength, the scattered field will be increased and the reflected field will be decreased. In this paper, the high-frequency bottom reflection losses were obtained through the measurement of reflected waves from the artificially-made-flat sandy bottom. The experimental data were compared with the values calculated by the forward loss model of Mourad & Jackson. Conseouently, we suggest the frequency dependence of bottom reflection loss. 기존 해저면 반사손실 모델들은 해저면을 해수면에 비해 거칠기와 경사도가 매우 평탄하거나 완만한 경계면으로 가정하므로 주파수에 따른변화를 고려하지 않거나 미약하다고 가정하였다. 그러나 고주파를 사용하는 소오나 시스템의 경우, 음파의 파장에 비해 해저면이 거칠다면 음파는 산란 영향이 증가하게 되므로 상대적으로 반사손실 또한 증가하게 된다. 따라서 본 논문에서는 임의로 모의된 사질 성분의 해저면에서 수십 ㎑ 이상의 고주파들을 사용하여 주파수별 반사손실을 계산하고, 이를 기존의 해저면 반사손실 모델과 비교하였으며, 해저면 반사손실의 주파수 종속성을 제시하고자 한다.

MM과 MM 以後의 資本構造理論에 관한 考察

朴筍植 대구효성가톨릭 대학교 1983 연구논문집 Vol.27 No.1

According to E. Solom's view of traditional optmal capital structure, weighted average cost of capital(K0) declines and the value of the firm increases by the increase of leverage up to a certain judicious use of leverage because of the tax-deductable effect of interest. And over that appropriate limit K0 increases with the rapid increase of cost of debt due to its financial risk. Accordingly, there does exist a clearly definable optimal capital structure. MM theorem consists of three basic proposition which illustrate their ground through the so-called arbitrage process under the assumption of the perfect capital market, MM demonstrated the irrelevance of capital structure to the value of the firm in a taxless world and K0 is constant throughout all degree of leverage However, MM corrected in their later revised article that if tax effect is considered, K0 is decreasing endlessly even though extreme leverage level. Accordingly, the value of the firm is increasing continuously by the increase of leverage. If capital market is efficient if the CAPM is valid, then in equilibrium every risky asset must be priced so that it falls exactly on the security market line. The cost of equity capital for a levered fir is K0=Rf+[E(Rm)-Rf]βi. From the CAPM we know that all assets are priced so that lie on the security market line. Therefore they all have the same slope, and also exactly the same as the MM definition of the cost of equity capital. The theory of option pricing has undergone rapid advances in recent years. F.Black and M. Scholes recognized that given the assumption of frictionless markets and continuous trading opportunities, it is possible to form a risk-free hedge portfolio consisting of a long position in the stock and a short position in the call. This result is exactly the same as the MM proposition that in a world of without taxes the weighted average cost of capital is invariant to change in the capital structure of the firm. Also simply by rearranging terms, we have Ke=ρ+(ρ-Kd)B/S. This is exactly the same as the MM definition of the cost of equity capital in a taxless world. To reap more of tax deductable gains, however, the stockholders must incur increasing risks of bankruptcy and the costs, direct and indirect, of falling into that unhappy state. The balancing of these bankruptcy costs against the tax gains of debt finance gives rise to an optimal capital structure, just as the traditional view has always maintained, though for somewhat different reasons. Agency costs (monitoring costs, bonding costs, residual loss) will be increased by the increase of leverage of the firm. Under the consideration of agency costs, the optimal capital structure is determined at the point which the marginal benefits from the diversification of financing sources and the marginal agency cost is crossed. M.H. Miller, one of MM, finally argues market value of the firm is independent of leverage because the bankruptcy cost and tax effect influence little on the value of the firm. As there will be determined an equilibrium level of aggregate corporate debt through equilibrium in bond market, there would be no optimal debt ratio for individual firm.

상장제조기업의 유동자산 보유에 영향을 미치는 요인에 관한 연구

박순식 한국기업경영학회 2008 기업경영연구 Vol.15 No.2

The purpose of this study is to investigate the empirical determinants of corporate liquidity as measured cash and marketable securities in Korea. For analysis, the data is based on the 393 listed manufacturing companies in Korea Exchange over the period from 1999 to 2007. I find that firms with larger market-to-book value ratios(MV/BV) have significantly larger positions in liquid assets. In addition, fixed asset ratio tends to be negatively related to liquidity. I also find a negative and significant relationship between corporate liquidity and leverage. So high leveraged firms tend to hold less liquid assets in their balance sheets. I find operating risk as measured volatility of operating income has significantly positive relationship with liquid asset holdings. Firms with high operating risk hold more liquid assets as precautionary motive of cash holdings. R&D investment is negative and significant relationship with liquidity. Firm size is negatively related to corporate liquidity, but it is not significant relationship. I do not find a significant and consistent relation between return on asset and corporate liquidity. The cash flow also does not affect to the determination of liquid asset holdings in Korea. 본 연구는 기업의 유동성과 유동성 결정요인의 관련성에 대한 이론적 논거를 제시하고 우리나라 상장제조기업을 대상으로 유동성자산 보유에 영향을 미치는 요인을 실증적으로 규명하고자 하였다. 실증적 분석대상 기간은 1999년 1월부터 2007년 12월까지 9개년이며 분석기간 자료가 이용 가능한 상장제조기업 393개 기업을 표본으로 선정하여 분석하였다. 연구결과, 성장기회, 레버리지, 고정자산비율, 영업위험, R&D 투자비율이 우리나라 상장제조기업의 유동성자산 보유에 중요한 영향을 미치는 요인으로 판명되었다. 기업의 성장기회와 유동성은 정(+)의 관련성을 나타내어 MV/BV가 높은 기업이 유동성자산을 많이 보유하였으며 레버리지가 높은 기업은 유동성자산을 적게 보유하였다. 고정자산비율이 높을수록 유동성자산을 적게 보유하였으며 영업위험이 클수록 유동성자산을 많이 보유하고 있어 영업활동위험과 관련한 예비적 동기에 의한 유동성자산 보유가 증가하는 것으로 나타났다. R&D 투자비율이 높은 기업이 유동성자산을 적게 보유하였다. 선행연구와 달리 외환위기 이후 기업규모는 유동성자산 보유에 의미 있는 영향을 미치지 못하였으며 투자수익률과 현금흐름비율도 우리나라 상장제조기업의 유동성자산 보유에 별다른 영향을 미치지 못하였다

産業間 資本構造差異에 관한 實證的 分析

朴筍植,趙成子 효성여자대학교 산업경영연구소 1990 경영경제 Vol.7 No.-

There are two perspectives about the affecting of capital structure of the value of the firm. One is irrelevancy theorem, the other is optimal capital structure theory. In irrlevancy theorem, capital structure has no effect on the value of the firm. In optimal capital structure, however, the value of the firm depends on the capital structure. In general, it is accepted that the latter is more valid under more realistic assumptions about the existence of bankruptcy costs and agency costs due to uncertainty in capital market. If optimal capital structure of individual firm exists, firms in the same industry have the same capital structure. If it is true, each industry has different capital structure by examing inter-industry differences in capital structure. For this purpose, cross-sectional analysis and time series analysis are used. The hypotheses tested in this study can be summarized as follows: <hypothesis> 1. H∧O : Firms in different industries have the same capital structure. H∧A : Firms in different industries have systematically different capital structure. 2. H∧O : The relative rankings of mean industry capital structure across time are random. H∧A : The relative rankings of mean industry capital structures across time are stable. 3. H∧O : The movement of a firm's leverage with respect to the industry mean is random. H∧A : The leverage of firms within an industry tends to converge to the mean industry leverage. For analysis, this thesis examined the capital structure of 9 industries covering 118 firms from1980 to 1987. For each industry in a given research term, the ratio of debt in the capital structure was calculated. Statistical tests methods, One-Way Analysis of Variance, Correlation Analysis, and Fisher Exact Probability test, is employed. We draw three major conclusions from these test results. First, capital structure of different industries in korea is highly significant at least between two industries, but pairwise tests which analyze the differences among various industries represent that differences between two industries is not statistically significant. Second, to analysis that the relative rankings of mean industry of capital structures across time are stable, correlation analysis is employed. As a result, the relative rankings of capital structures across time are not stable. For the third of this study, Fisher Exact Probability test is employed. The results show that the movement of capital structure of firms within an industry with respect to the industry mean is random

企業의 財務構造決定要因과 財務構造決定要因의 國際間 比較

朴荀植 대구효성가톨릭대학교 1996 연구논문집 Vol.53 No.1

The objectives of this study are to investigate the articles regarding financial structure determinants of company and to establish whether financial structure in other countries including Korea is related to factors similar to these apearing to influence the financial structure of U.S firms. We find that the extent to which firms are levered is fairly similar across G-7 countries, with only the United Kingdom and Germany being relatively less levered. But, mamufacturing companiesof our country are highly levered comparing to G-7 countries. Tangibility is always positively correlated with leverage in all G-7 countries (both for the book leverage and market leverage regressions). But, Tangibility is significantly negatively correlated with leverage in Korea. The market-to-book ratio enters with a negative coefficient in all G-7 countries, and is always significant at conventional levels in the market leverage regressions. Size is positively correlated with leverage except in Germany where it is negatively correlated. The largest Quintile of firms in Germany had lower median leverage than the smallest quintile. Profitability is negatively correlated with leverage in all coutries except Germany. it is statistically insignificant in France and Italy. In Korea, leverage is negatively correlated with profitabillity, tangibility and payout ratio, but is positively correlated with growth, firm size and R&D expenditures. Among these variables, profiability, R&D expenditures and tangibility are statistically significantly correlated with leverage at 1% significance level. So, the determinants of financial structure in manufacturing companies of our country are profitability, R&D expenditures and tangibility. Overall, the factors found to be correlated with leverage in the U.S. appear to be similarly correlated in other G-7 countries as well. But there is found some differences in Korea. These fators which are tangibility, market-to-book ratio, size and profitability explain, on average, about 19 percent of the cross-sectional variation in G-7 countries. The explanatory power of the determinants of leverage is about 17 percent in our country.

上場建設業의 財務構造決定要因에 관한 硏究

朴荀植,李淳牧 효성여자대학교 산업경영연구소 1995 경영경제 Vol.13 No.-

남보다 내가 먼저 앞장 선다는 생각으로

박순식 한국낙농육우협회 1999 낙농·육우 Vol.19 No.12

낙농자조금 조성과 자조금 자체에는 찬성하면서도 타유업체나 이웃 낙농가들의 불참이 없어야 자신도 동참하겠다고 하고, 또한 자조금을 내면 그 돈이 제대로 사용될 수 있는지에 대한 불신도 없지 않았다. 그러나 우리 낙농가는 똘똘 뭉쳐서 유업체가 부도로 유대마저도 밀린 상태에서도 자조금 조성에 앞장서 이 위기를 극복할 수 있었다.

EVA 재무관리시스템에 관한 연구

朴荀植 효성여자대학교 산업경영연구소 1998 경영경제 Vol.15 No.-

The NPV of a project, strategy, or acquisition candidate, and what accounts to the same thing, the contribution to the MVA of the company, is by definition equal to the present value of EVA it can be expected to generate in the future. EVA(economic value added) is likely to be the most sensible basis for evaluating and rewarding the periodic performance of empowered line people. When fully implemented, EVA is the centerpiece of an integrated financial management system that encompasses the full range of corporate financial decision making - everything from capital budgeting, acquisition pricing, and the setting of corporate goals to shareholder and management incentive compensation. EVA is the internal measure management can decentralize throughout the company and use as the basis for a completely integrated financial management system. It allows all key management decisions to be clearly modelled, monitored, communicated, and rewarded according to how much value they add to shareholders' investment. Whether reviewing a capital budgeting project, value an acquisition, considering strategic plan alternatives, assessing performance, or determing bonuses, the goal of increasing EVA over time offers a clear financial mission for management and means of improving accountability and incentives. Analysis of Stern Stewart Performance 1,000 indicates that the changes in their EVAs over a five-year period account for nearly 50% of changes in their MVAs recorded over that same time. By comparison, growth in sales explained 10% of MVA changers, growth in EPS just 15% to 20%, and retern on equity only 35%. Thus, EVA is almost 50% better than its closest accounting-based competitor in explaining changers in shareholder wealth, a significant improvement.

代理人費用을 考慮한 資本構造理論에 관한 考察

朴筍植 효성여자대학교 산업경영연구소 1989 경영경제 Vol.6 No.-

Agency problems derive from conflicts of interest between individuals (principals and agents) associated with the firm. Many of these conflicts can be resolved in a spontaneous and costless fashion by the markets for financial and human capital. If frictions exist in these markets, however, the agency problems may give rise to potential costs. Financial contracts which differ in terms of their inherent ability to resolve agency problems may sell at differential equlibrium prices or yields in the market place. The financial manager reaches an optimal structure when, at the margin for each class of contract, the costs associated with agency problems are balanced by the benefits associated with existing yield differentials and tax exposure. This paper has generalized the analysis of bond market equilibrium by specifying an explicit agency cost function for corporate debt financing. This function materially affect the demand and supply curves for corporate debt and lead to an equilibrium in which (1) corporate capital structure affects market value, (2) agency costs of debt shared by all firms are shifted to bondholders in the form of lower interest rates, and (3) the observable spread between yields on taxable and nontaxable bond is explained. A significant property of the equilibrium is that interior optimal capital structures obtain at the level of indivedual firms as well as at the aggregate level of the corporate sector. It is also neteworthy that the differential agency costs of debt financing are shifted to the bondholders.