미래성과에 대한 예측지표로서의 과잉투자의 시장이상 현상에 관한 실증연구 = An Empirical Study on Over-Investment Anomaly as the Predictive Index of the Future Performance

다국어 초록 (Multilingual Abstract)

This paper investigates the implications of over-investment as the predictive index of the future performances, which are consisted of both future profitability(that is, future accounting performance)and future return(that is, future stock performance). Also, this paper investigates investors' responses of the implications of over-investment on the future stock performance through the Mishkin(1983)'methodology. This study also tests whether the negative relation between over-investment(or over-investment) and future profitability is existed, and examines whether over-investment anomaly is existed in Korean Stock Markets as in foreign prior literatures. Here is, over-investment anomaly means that the negative relation between over-investment and the next stock performance is existed.
If the negative relation between over-investment and the next stock performance is systematically existed, the measure of over-investment can be used as the predictive index of the future stock return in stock market.
Therefore, this study basically examines whether over-investment anomaly is driven by the inefficiency of stock markets in Korean stock markets as in prior literatures, and tests whether over(or capital)-investment anomaly is significantly different from accruals anomaly. In empirical analyses, this study is consisted of the samples of 5,410 firm-year companies listed in the Korea Stock Exchange during the period of 2000-2009. Empirical results are as follows; Firstly, empirical results show that the systematic negative association between over-investment and next stock performance is significantly different from accruals reversals. Also, this paper suggests evidences that both capital investment and over-investment are negatively associated with next profitability.
The negative association between capital investment and next profitability is exclusively driven by the sample of positive-discretionary-investment(that is, over-investment) firms.
Secondly, the negative association is applied to the future returns. Especially, the results of multivariate-regression test which based on the scaled decile rank for capital investment(), size, beta(), E/P ratio, C/P ratio, accruals(), and past 11 months returns() are the same as the prior literatures. Above all, the negative association between over-investment and next stock return is very robust to various factors and other potentially associated anomalies. But, these results can only generate persistent abnormal one-year-ahead stock returns even after controlling for factors and other potentially confounding variables.
Lastly, the investors' responses of the implications of over-investment for the future stock performance through the Mishkin(1983)'methodology are as follows; That is, the stock market overestimates the negative implications of over-investments for future(next) profitability. And, all empirical evidence shows that over-investment may be responsible for the investment-associated abnormal returns. Therefore, the measure of over(or capital)-investment can be used as the predictive index of the next stock return in stock market. This study is contributed that the first empirical test of the negative relation between over-investment and future(next) performance is performed. This study may be contributed in the development of capital market.

국문 초록 (Abstract)

본 논문은 과잉투자가 미래성과에 대한 예측지표로서의 역할을 할 수 있는지?, 즉 과잉투자가 미래성과에 대하여 기본적인 신호(signals)를 제시할 수 있는지?를 시장이상 현상(market anomaly)에 기초하여 체계적으로 분석함으로써, 예측(혹은 선행)지표로서의 과잉투자 척도에 대한 회계정보로서의 유용성도 함께 검증하였다. 이를 위해서, 먼저 선행연구와 같이, 과잉투자와 기업의 미래성과사이에 체계적인 음(-)의 관계가 존재하는지를 검증하였다. 그 다음으로는 음(-)의 관계가 실증된다면, 시장에서 과연 투자자는 이러한 과잉투자의 함의를 합리적으로 평가하고 있는지를 살펴보았다. 과잉투자는 적정수준을 초과한 투자로서, 선행연구에서는 자본투자가 미래주식수익률에 음(-)의 영향을 미치는 동인중의 하나로써 이러한 과잉투자를 보고하고 있다.
이에 근거하여, 본 논문에서도 과잉투자의 시장이상 현상을 중심으로 하여 헤지 포트폴리오매매를 이용한 주식매매전략과 Mishkin(1983)의 검정방법을 이용하여 실증하였다. 실증결과, 유의적인 양(+)의 초과수익률이 획득되어 선행연구의 결과와 일치하였다. 아울러 Mishkin(1983)검정에서도, 시장에서 투자자들은 이러한 과잉투자를 과대평가하고 있었다. 특히, 추가분석에서 과잉투자와 미래주식수익률간의 음(-)의 관계에 영향을 미칠 수 있는 시장이상 현상과 관련한 변수들을 통제한 후에도 과잉투자와 미래주식수익률간의 음(-)의 관계는 유지되었다.
따라서 국내에서도 외국의 경우와 마찬가지로 과잉투자의 시장이상 현상이 존재함을 알 수 있었다. 한편 본 논문은 선행연구 등에서 나타난 자본투자의 시장이상 현상이 회계발생액의 시장이상 현상과는 별개로 과잉투자에서 나타난다는 사실을 체계화하였다는 점에서 의의가 있다. 또한 이러한 실증결과는 과잉투자의 척도가 미래주식수익률에 대한 예측지표로서 주식시장 등에서 활용이 가능함에 따라, 회계정보의 유용성을 제고시키는 직접적인 계기가 될 수도 있다.

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