자본투자 시장이상현상 연구

Abstract

자본투자는 기업의 전략적 투자의사결정의 결과로서 기업의 영업특성과 미래수익성에 결정적인 영향을 미치게 된다. 경영진의 도덕적 해이와 마찰적 요인이 없다면, 기업은 양의 순현재가치(NPV)를 지닌 효율적인 자본투자를 수행하게 될 것이다. 그러나, 투자에 따른 한계수익률의 감소, 주주의 이익보다 경영자 자신의 세력확장을 도모하는 과잉투자, 그리고 자본시장에서 해당기업의 주가가 고평가된 시점을 선택하여 자금을 조달할 경우 이를 합리화하기 위한 투자확대 등으로 비효율적 투자가 진행된다. Sloan(1996) 연구 이후, 발생액과 후속기간 주가수익률의 음의 관계는 다양한 연구들이 진행되어 왔으나, 자본투자가 후속기간 주가수익률에 미치는 효과는 Titman et al.(2004)의 연구에서 제기된 이후 국내자본시장에서는 거의 다루어지지 않았다. 따라서 본 연구는 자본투자가 클수록 후속기간 주가수익률이 감소하는 자본투자 이상현상을 검증한다. 토빈의 Q와 현금흐름제약요건을 바탕으로 적정투자의 정도를 추정하고 이를 실제자본투자에서 공제하는 방식으로 자본투자를 기대요소와 비기대요소로 구분하여 검증작업을 진행함으로써 자본투자 이상현상이 주로 비기대 과잉투자에 의해서 발생하는지를 검증한다. 또한 기업규모가 작을수록 자본투자를 감시하는 재무적 엄격성(financial discipline)이 낮아지고 경영진의 재량에 의한 과잉투자 가능성이 높아져 시장이상현상을 해소하고자하는 차익거래에 대한 제약은 커질 것으로 예상된다. 따라서 본 연구는 기업규모특성이 자본투자 이상현상에 의미 있는 차이를 가져오는지를 검증한다. 자본투자가 지니는 경제적 가치는 투자수익률과 함께 조달자본비용에 의해 영향을 받기 때문에 자금조달수단에 따라 자본투자 이상현상이 다르게 나타날 것으로 예상된다. 당해연도 잉여현금흐름이 음의 값을 갖는 순조달기업의 자본투자는 영업활동 현금흐름을 넘어서는 투자이기 때문에 과잉투자일 가능성이 있고 성장지향적인 신규투자일 가능성이 높다. 그러므로 순조달 기업의 자본투자는 잉여현금흐름이 양의 값을 갖는 순분배 기업의 자본투자와는 구별되는 특성을 지닐 것으로 예상할 수 있다. 따라서, 본 연구에서는 자본투자에 대한 지원이 순조달에 의해서 진행되는 경우와 자본투자에 의한 지원이 재투자이익에 의한 내부조달에 의해 진행되는 경우에 자본투자 이상현상이 차이가 있는지를 검증한다. 또한, 순조달 기업만을 대상으로 파악했을 경우 자기자본조달 기업의 자본투자는 부채조달 기업의 자본투자에 비해 정보의 비대칭성이 크고 재무적 엄격성이 낮을 가능성이 있다. 따라서 본 연구는 자기자본조달 기업과 부채조달 기업간에 자본투자 이상현상이 다르게 나타나는지를 검증한다. 본 논문의 연구결과는 다음과 같다. 첫째, 자본투자와 후속기간 주가수익률은 유의한 음의 관계가 있음을 확인하였다. 이러한 관계는 주로 비기대자본투자에 의해 형성되었으며 적정투자를 넘어서는 과잉투자가 자본투자 이상현상의 주된 요인임을 확인하였다. 둘째, 과잉투자를 야기하는 기업의 특성상, 경영진의 재량이 크고 차익거래에 대한 제약조건이 큰 소규모 기업집단에서 자본투자 이상현상이 클 것으로 예상하였으나, 규모기준 하위 25%에 속하는 소규모 기업집단뿐만 아니라 상위 25%에 속하는 대규모 기업집단에서도 확인되었다. 셋째, 자본투자 시장이상현상은 순조달 기업집단에서, 그리고 자기자본조달집단에서 더 크게 나타났다. 특히, 부채조달 기업집단에서는 자본투자 이상현상은 물론 발생액 이상현상도 확인되지 않았다. 따라서 현금흐름표에서 확인되는 잉여현금흐름 정보와 자금조달수 단정보를 통해 후속기간 주가수익률에 미치는 자본투자의 정보효과를 차별적으로 파악할 수 있음이 검증되었다. 본 논문의 공헌점은 다음과 같다. 첫째, 자본투자에 대한 종합적인 시장효율성을 검증하였다는 점이다. 외국연구에서는 최근 들어 활발한 연구가 진행되었으나 국내에서는 최초로 시도되었다는 점에서 의의가 있다. 둘째, 발생액을 통제변수로 포함시키고 수익률 회귀분석과 포트폴리오 분석을 동시에 실시함으로써 발생액 이상현상과 자본투자 이상현상이 독립적으로 존재하는 현상임을 확인했다는 점이다. 외국의 선행연구들의 모형들이 발생액을 통제변수로 직접 사용하지 않고 주로 포트폴리오분석에만 의존한 점과는 달리 검증의 강건성을 시도한 점에서 차별된다. 셋째, 자본투자 이상현상을 자금조달수단과 연결하여 자본투자의 정보적 특성이 투자를 지원하는 조달자금의 성격에 따라 구별된다는 점을 확인했다는 점이다. 현금흐름표상의 잉여현금흐름 정보와 재무활동현금흐름 정보를 사용할 경우 자본투자가 미래 주가수익률에 미치는 영향에 대한 예측능력을 크게 높일 수 있음을 확인했다는 점에 그 의의가 있다.|As a consequence of strategic investment decision making, capital investments have a critical effect on the business characteristics and future profitability of the company. Without moral hazard of management and market imperfections, companies invest efficiently with positive NPV projects. But, companies tend to proceed inefficient capital investments due to the decreasing marginal rate of return, investment for management own benefits rather than the benefits of the firm’s shareholders, and investment raising capital during times when their stock prices are overpriced. After Sloan(1996) first documents the accrual anomaly or negative relation between high accruals and subsequent stock returns, many studies extent the accrual anomaly. Furthermore, the existing literature offers a number of explanations for the negative relationship between capital investment and subsequent stock returns, or capital investment anomaly, following the study of Titman et al. (2004). But, to our best knowledge, there is no study about capital investment anomaly in Korean capital market. This study examines the negative relation between current capital investment and subsequent stock returns in Korean capital market. Excessive or unexpected capital investments are defined to capture any residual investment after controlling for investment opportunities based on Tobin’s Q and financial constraints. We investigate whether capital investment anomaly is driven by unexpected capital investment. Furthermore, we anticipate that as the smaller of the company size, the lower of the financial discipline monitoring the capital investment and the more severe limits to arbitrage due to the high discretion of the management. This study investigates whether this size effect drives the capital investment anomaly differently. We anticipate that the capital investment anomaly may be significantly different with the financing choices because the economic value implied in capital investment is determined not only by the expected rate of return but also by the cost of capital. The capital investments of net raising group of companies which have negative free cash flows may be overinvestments and growth-oriented new investments. Therefore, capital investment of net raising group of companies may have different characteristics from the investment of net distributing group of companies. This study tests whether capital investment proceeded by net raising companies has significantly different characteristics of anomaly from those of net distributing companies. A situation of asymmetric information raises the possibility that the source of raising capital may affect the subsequent stock prices because they may convey different information about the capital investment. This study examines whether capital investment anomaly is different between external equity financing groups of companies and external debt financing groups of companies. The results of this study summarized as follows. First, the empirical results show that there are negative relations between current year’s capital investments and subsequent year’s stock returns in Korean capital market. This relationship is mainly driven by unexpected investment and we find that overinvestment is major explanation for capital investment anomaly. Second, contrary to our hypothesis and prior literature, capital investment anomaly is found in both first quartile small-size groups of companies and last quartile large-size groups of companies. Third, capital investment anomaly is stronger for net raising capital groups of companies and external equity financing groups of companies. Our findings are interesting because they suggest that there is neither accrual anomaly and nor capital investment anomaly in external debt financing groups of companies. These results suggest that free cash flow information and financing cash flow information found in cash flow statement have a useful predictiveness for the future profitability of capital investment. The contributions of this study are summarized as follows. First, this paper proceeds comprehensive study about the market efficiency of capital investment. Although there are many literatures about this topic in foreign developed capital market, this is the first study of this kind in Korean capital market. Second, this study investigates whether market pricing of capital investment documented by Titman et al. (2004) is distinct from the accrual based anomaly documented by Sloan(1996). Including accruals as independent variables with other various risk factors explicitly in our empirical model is different from prior studies. Third, this study documents informational characteristics of capital investment linking the investments with their financial choices. This study suggests that the analysis of free cash flow and financing cash flow in the cash flow statement may enhancing the ability of predicting the negative relation between capital investment and subsequent stock returns.; As a consequence of strategic investment decision making, capital investments have a critical effect on the business characteristics and future profitability of the company. Without moral hazard of management and market imperfections, companies invest efficiently with positive NPV projects. But, companies tend to proceed inefficient capital investments due to the decreasing marginal rate of return, investment for management own benefits rather than the benefits of the firm’s shareholders, and investment raising capital during times when their stock prices are overpriced. After Sloan(1996) first documents the accrual anomaly or negative relation between high accruals and subsequent stock returns, many studies extent the accrual anomaly. Furthermore, the existing literature offers a number of explanations for the negative relationship between capital investment and subsequent stock returns, or capital investment anomaly, following the study of Titman et al. (2004). But, to our best knowledge, there is no study about capital investment anomaly in Korean capital market. This study examines the negative relation between current capital investment and subsequent stock returns in Korean capital market. Excessive or unexpected capital investments are defined to capture any residual investment after controlling for investment opportunities based on Tobin’s Q and financial constraints. We investigate whether capital investment anomaly is driven by unexpected capital investment. Furthermore, we anticipate that as the smaller of the company size, the lower of the financial discipline monitoring the capital investment and the more severe limits to arbitrage due to the high discretion of the management. This study investigates whether this size effect drives the capital investment anomaly differently. We anticipate that the capital investment anomaly may be significantly different with the financing choices because the economic value implied in capital investment is determined not only by the expected rate of return but also by the cost of capital. The capital investments of net raising group of companies which have negative free cash flows may be overinvestments and growth-oriented new investments. Therefore, capital investment of net raising group of companies may have different characteristics from the investment of net distributing group of companies. This study tests whether capital investment proceeded by net raising companies has significantly different characteristics of anomaly from those of net distributing companies. A situation of asymmetric information raises the possibility that the source of raising capital may affect the subsequent stock prices because they may convey different information about the capital investment. This study examines whether capital investment anomaly is different between external equity financing groups of companies and external debt financing groups of companies. The results of this study summarized as follows. First, the empirical results show that there are negative relations between current year’s capital investments and subsequent year’s stock returns in Korean capital market. This relationship is mainly driven by unexpected investment and we find that overinvestment is major explanation for capital investment anomaly. Second, contrary to our hypothesis and prior literature, capital investment anomaly is found in both first quartile small-size groups of companies and last quartile large-size groups of companies. Third, capital investment anomaly is stronger for net raising capital groups of companies and external equity financing groups of companies. Our findings are interesting because they suggest that there is neither accrual anomaly and nor capital investment anomaly in external debt financing groups of companies. These results suggest that free cash flow information and financing cash flow information found in cash flow statement have a useful predictiveness for the future profitability of capital investment. The contributions of this study are summarized as follows. First, this paper proceeds comprehensive study about the market efficiency of capital investment. Although there are many literatures about this topic in foreign developed capital market, this is the first study of this kind in Korean capital market. Second, this study investigates whether market pricing of capital investment documented by Titman et al. (2004) is distinct from the accrual based anomaly documented by Sloan(1996). Including accruals as independent variables with other various risk factors explicitly in our empirical model is different from prior studies. Third, this study documents informational characteristics of capital investment linking the investments with their financial choices. This study suggests that the analysis of free cash flow and financing cash flow in the cash flow statement may enhancing the ability of predicting the negative relation between capital investment and subsequent stock returns.