연구논문 : 애널리스트의 이익예측에 대한 의견불일치와 주가수익률간의 관계

김성신 ( Sung Sin Kim ),손판도 ( Pan Do Sohn ) 한국재무관리학회 2010 財務管理硏究 Vol.27 No.3

KOSPI 200 지수 편입과 퇴출에 대한 시장의 비대칭적 반응

김성신(Sung Sin Kim) 한국경영학회 2010 經營學硏究 Vol.39 No.1

This study empirically examines asymmetric market response following additions and deletions of KOSPI 200 index revision for the sample period of 2001-2008. A prior possible explanation for increase in abnormal return following additions of index drives pressure hypothesis if stocks have a short term downward sloping demand curve, the price should be temporary affected by demand shock. Another prior explanation for price response drives liquidity effect by means of improvement in liquidity (i.e., association with decrease effective spread, decrease in the direct cost of trading). Finally, a third explanation for price response drives form increased awareness in Merton`s (1987) model of market segmentation. In his model, if some investors know only subset of all stocks, and hold and buy trade portfolio they are aware of, those investors will be fully undiversified and require risk premium-shadow cost-for idiosyncratic risk. In this paper, consistent with prior work, using cumulative abnormal return from first trading day following announcement to first trading day before effective day, we find temporary increase and reversal in the price of added stocks but no permanent decrease in the price of deleted stocks. This fact support the price pressure hypothesis that is provided Harris and Gurel(1986), who find reversal of the initial price increase. Further, using alternative measure liquidity costs, such as post-change illiquidity ratio(30, 60-days average illiquidity ratio), post-change turnover ratio(30, 60-days average trading turnover), we find no evidence that because of the improvement in the liquidity of added stock be due to decrease in the direct cost of transacting and smaller decline in the asymmetric information, stock price increase. A possible explanation for asymmetric market response following additions and deletions of KOSPI 200 index revision derives from Merton`s market segmentation model. In market segmentation model, investor awareness can increase following a stock`s addition to the KOSPI 200, but awareness does not easily diminish when a stock is deleted from KOSPI 200. Also, we find interesting fact that market response of KOSPI 200 index additions are significantly associated with Merton`s investor recognition hypothesis for firms realized positive cumulative abnormal return from first trading day following announcement to first trading day before effective day. When 2sls(two stage least squares) method is considered for the purpose of controlling endogenous independent variable, the shadow cost(risk premium) has significantly negative relation with cumulative abnormal return. Thus, the increase in the number of shareholders and decrease in idiosyncratic risk around KOSPI 200 additions appears to be the main reason for the relationship between change in shadow cost and abnormal returns. In robust analysis, we check whether post-additions abnormal returns may be a result of price momentum rather than the Merton`s investor recognition change. The observed result suggests that the post-additions abnormal returns are not attributable no momentum.

기업의 현금보유와 회계정보의 질 간의 관계

김성신(Sung Sin Kim),손판도(Pan Do Sohnn) 한국경영학회 2011 經營學硏究 Vol.40 No.2

This paper investigates the relation between financial reporting quality and corporate cash holdings on a sample of 6,832 firm-year observations between 1980 and 2008. Financial reporting quality has been posited to reduce asymmetric information, agency cost, and capital cost and in turn improve investment efficiency. As a result, firm with higher accrual quality(financial reporting quality) leads corporate manager to reduce corporate cash holdings. Prior many papers have studied the determinants of cash holding motivation. However, the relationship between cash holdings and financial reporting quality was not investigated yet exception some abroad papers. Therefore, we have the motivation of investigating the relationship between the financial reporting quality and corporate cash holdings. Additionally, we examine the this relation under controlling for Chaebol-nonChaebol due to the characteristics of Korean firms. In many studies of the relationship between the quality of accounting information and asymmetric information, the asymmetric information affects a cost of capital(Easely and O`Hara, 2004). The capital cost, in turn, is affected by the quality of accounting information quality proxied for accrual quality(Lambert et al., 2007). Based on these results and evidences, finally as the quality of accounting information increases, the extent of the asymmetric information decreases and also the debt cost will be reduced (Bhattacharya et. al., 2003; Francis et. al., 2004). In addition, the quality of accounting information reduces the asymmetric information and also mitigates the conflict of agency problem between insider and outsider of firms. As a result, monitoring cost to watch managers will be down and finally makes rational decision making of new project in increasing the value of firm(Verdi, 2006). Actually, information asymmetry and the conflict of agency make fund inflow from outside of firm difficult and in turn, they are main factors for increasing the cost of capital. Thus, firms have incentive in stocking the more liquidity asset to reduce the cost from outside financing. As mentioned above results, we have the opportunity to investigate Korean firms whether there is this relation between the quality of accounting information and cash holdings of firm. In this paper, we have portfolio approach and regression analysis method to identify this relation. We use accrual quality as proxy for reporting quality and find whether there is consistent result with above papers. The evidences from this study are as follows: First, according to portfolio approach, small firm has lower accrual quality, implying poor accounting information quality, and also this evidence is consistent with what small firm has higher asymmetric information rather than large firm. Second, the accrual quality(inverse measure of AQDD) as proxy for accounting information quality affects significantly negative on cash holdings statistically, economically, and financially. Third, after separating before and after Korean Financial Crisis time, we find that the coefficient sensitive on change in accrual quality is more elasticity before Korean Financial Crisis rather than after Korean Financial Crisis. To check the robustness of these results, alternative accrual qualities are used and after all, these results are consistent and robust regardless of any alternative proxies and models. Additionally, this paper investigates that our results are due to the characteristic factors of Chaebol-nonChaebol. As a result, this analysis finds that our results are also robust under controlling for the characteristic factors of Chaebol-nonChaebol. Therefore, the evidences of this paper provide the existence of the strong relation between the quality of accounting information and cash holdings of form.

펀드운용성과의 단기 지속성에 대한 실증분석

김성신(Kim Sung-Sin) 대한경영학회 2012 大韓經營學會誌 Vol.25 No.5

애널리스트의 투자의견 변경에 의한 펀드의 운용성과 연구

김성신(Kim, Sung-Sin) 대한경영학회 2010 大韓經營學會誌 Vol.23 No.3

기업은 왜 배당을 지급하는가?

김성신(Sung Sin Kim) 한국경영학회 2013 經營學硏究 Vol.42 No.3

This study investigates whether there is a relationship between life-cycle of firms and dividend policy in a sample taken from the KOSPI market over the period 1982-2010. In life-cycle theory, dividend policy of firms differs across the need to distribute the firm`s free cash flow by means of investment opportunity set. Specifically, mature firms with current high-profitability and low-growth rate tend to pay dividends because they have fewer attractive investment opportunities, while established firms with low-profitability and high-growth rate become more likely to retain profits because they have abundant positive NPV investment opportunities. We predict a positive and highly significant relation between the probability that a firm pays dividend and life-cycle. We use RTE (retained earning to book equity) variable as proxy of life-cycle of firms. The main empirical results are as follows: First, when comparing paying and non-paying firms, paying firms have higher profitability and larger cash balance than non-paying firms. However, paying firms have less investment opportunities than non-paying firms. After IMF, proportions of payers have steadily decreased over time. We calculate firm`s propensity to pay dividends (CP) as difference between actual percent that pay them and expected percent of firms that pay dividends in a estimated logit regression model. Over a period excluding the IMF period, 2001, and global financial risk period, CP shows negative value and it indicates that many firms pay more dividend than expected. Second, we find that in a logit regression, controlling for cash balances and dividend premium, there is a positive relation between RTE and the probability that a firmpays dividend. Furthermore, these results offer that there is a weak negative relation between dividend premium and dividend policy. Thus, our evidence indicates that dividend policy of Korean firms doesn`t support dividend premium theory. Third, we examine the impact of RTE vs profitability/growth on the probability of paying dividends by means of portfolio approach. Firms with high profitability and low growth rate exhibit a substantially higher probability of paying dividends than firms with low profitability and high growth rate, despite controlling firm size. Also, differences in the probability of paying dividends are associated with firmssize differences. Fourth, RTE and the propensity to pay dividend (CP) have some predictive power for the second year ahead and the third year ahead stock return. Fifth, Whenwe divide the study period into before IMF period and after IMF period, RTE plays an important role in dividend policy. It indicated that these findings support life-cycle theory.

사채발행과 투자형태간의 시장반응에 관한 연구

김성신 ( Sung Sin Kim ),손판도 ( Pan Do Sohn ) 한국금융공학회 2010 금융공학연구 Vol.9 No.1

본 논문에서는 2000년부터 2007년까지 한국 거래소시장에 상장된 제조업에 대한 과잉(과소)투자기업의 사채발행 공시가 시장에 어떻게 반응하는지를 검증 한다. 이론적 관점에서 기업이 사채(부채)를 발행할 경우 대리인이론과 잉여현금가설 및 성장기회에 따른 과잉 및 과소투자문제에 대한 시장에서 시장 참가자들의 반응은 다르게 나타난다는 것이 기존 연구에서 제시되었다. 특히 과거 많은 연구에서 부채에 대한 부정적인 측면만이 강조 되었지만, 최근 긍정적인 측면에 대한 연구가 활발하게 이루어지고 있으며, 이중에서 과잉투자문제는 부채 발행 시 채권자의 감독기능에 의해 완화될 수 있기 때문에 기업 가치에 긍정적인 역할을 한다는 증거가 제시되었다. 따라서 이러한 외국 연구의 결과를 기초로 과잉투자기업의 부채발행공시는 시장에서 호의적인 반응을 줄 것이며, 과소투자기업의 부채 발행 공시는 시장에서 비호의적인 반응을 보일것이다라는 두 가지 가설을 기초로 실증분석 한 결과는 다음과 같다. 첫째, 다양한 사건 기간 중에서 (-30, -2)기간에서 과잉투자기업의 경우, 사채발행 시에 채권자의 감독기능에 의해 과잉투자문제가 감소하여 시장에서 정(+)의 영향을 주었으며 따라서 첫 번째 가설을 지지하였고, 또한 과소투자 기업의 경우, 채권자와 주주간의 자산대체문제가 심화하여 시장에서 부(-)의 결과를 보여 두 번째 가설도 지지되었다. 이러한 결과는 기존 연구와 일치하고 있으며 추가적인 변수 즉 기업의 위험, 연구개발, 기업규모, 레버리지, 신용등급 및 만기수익률 등을 통제한 후 강건성 검증에서도 기존 결과와 일관성을 보였으며 통계적으로 유의한 결과를 보였다. This paper examines market reaction to debt issue announcements conditioned on overinvestment, and underinvestment via event study using data of publicly traded non-financial firms listed on KOSPI market from 2000 to 2007. It is known that in theory, when firm issues bond, the market reaction has been mixed result in terms of agency theory, free cash flow hypothesis, and growth opportunity, which are regard to overinvestment and underinvestment. The major empirical findings from this study are as follows. First, we find the evidence that debt financing is more valuable because of a significantly positive relation between overinvestment firm and its stock price, but a significantly negative relation between underinvestment firm and its stock price in response to announcements of debt issues. Thus this result implies that there are different response to announcement of issuing debt.

펀드매니저의 포트폴리오 펌핑행위가 존재하는가?

김성신(Sung Sin Kim),손판도(Pan Do Sohn) 한국증권학회 2012 한국증권학회지 Vol.41 No.2

본 논문에서는 2001년 11월부터 2008년 12월까지 우리나라 펀드자료를 이용하여 펀드매니저의 성과평가 시점에 인위적으로 성과를 부풀리기 위해 포트폴리오 펌핑 현상이 존재하는 지를 실증검증한다. 국외 몇몇 논문에서 펀드매니저들이 포트폴리오 펌핑행위를 통하여 높은 보상을 위해그들의 성과를 조작 및 부풀린다는 실증적 및 이론적 결과가 제시되고 있다. 이러한 결과를 기초로본 논문의 실증 분석 결과는 다음과 같다. 첫째, 분기 초 및 말, 연초 및 말 시점에서 펀드매니저의 포트폴리오 펌핑행위가 존재하는 지를 검증한 결과 분기 말 및 연말 시점에 강한 포트폴리오 펌핑행위가 존재하며, 특히 연말 시점에서 펀드매니저들이 그들의 성과를 강하게 부풀리는 포트폴리오 펌핑행위가 존재한다는 증거가 발견되었다. 둘째, 과거 운용성과가 낮은 펀드와 좋은 펀드 중에 펀드의 어떤 특성이 포트폴리오 펌핑행위에 관련되었는 가를 검증한 결과 과거 성과가 좋은 펀드의 매니저들이 그들의 성과를 보다 부풀리는 포트폴리오 펌핑행위가 많다는 증거가 발견되었다. 이러한 것은 Carhart, Kaniel, Musto, and Reed(2002) 등이 주장한 Leaning-for-the tape 가설이 성립되고 있음을알 수 있다. 셋째, 펀드 내 포트폴리오 종목의 보유지분은 포트폴리오 펌핑행위와 비선형적 관계를 갖는다. 즉 일정 수준의 보유지분까지는 포트폴리오 펌핑행위가 선형적으로 증가하지만, 보유지분이 특정 수준 이상으로 과도하게 높을 경우는 오히려 포트폴리오 펌핑행위가 감소하는 현상이 발견되었다. 펀드의 포트폴리오 펌핑행위의 결정요인을 로짓 분석을 통해 실증분석 한 결과에 의하면, 과거 운용성과가 좋은 상위 그룹의 펀드가 연말 시점에 유동성이 적은 종목, 보유지분이 높은 종목을 편입함으로써 인위적으로 펀드 수익률 조작 즉 펀드 포트폴리오 펌핑행위를 유인하는 것으로 확인되었다. This paper investigates whether the fund managers manipulate their performance using portfolio pumping on the time of their performance evaluation. Previous studies suggest that fund managers tend to inflate and manipulate to increase their compensation in theories and empirical tests. We test the existence of this evidence and provide the first direct evidence about portfolio pumping behavior in Korean fund market. We present the evidence that active fund managers tend to pump their performance on the end of quarter and year. Especially there is a strong pumping behavior on the end of year. We also find that the past high-performing actively equity fund managers have more incentive to inflate their performance rather than the poor-performing fund managers. This evidence supports the leaning-for-the tap hypothesis and is consistent with the result of Carhart, Kaniel, Musto and Reed (2002). Additionally, we show the nonlinear relation between the share ownership in fund portfolio and pumping behavior of fund manager. That is, we find that pumping behavior increases up to specific level of ownership in fund portfolio, however, it even decreases after critical point share ownership. In identifying the determinants on the pumping behavior, we confirm that funds in top 20% of past performing have an incentive to pump up their performance by including stocks with more illiquidity, high ownership.

치근 분리술 및 절제술의 다양한 임상증례

송현종 ( Hyun Jong Song ) , 김성신 ( Sung Sin Kim ) , 안신영 ( Shin Young An ) 조선대학교 구강생물학연구소 2006 Oral Biology Research (Oral Biol Res) Vol.30 No.3

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Nd:YAG 레이저를 이용한 치은 착색 제거술: 임상증례

정민구 ( Min Gu Jung ) , 김성신 ( Sung Sin Kim ) , 윤상준 ( Sang Joon Youn ) 조선대학교 구강생물학연구소 2006 Oral Biology Research (Oral Biol Res) Vol.30 No.3

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