국내 기업의 환위험노출과 외국인 투자비중

Abstract

본 연구는 환율변화, 기업가치, 외국인투자의 관계를 세 가지 측면에서 살펴보았다. 첫째는 환노출여부에 있어서 동기(同期)의 환율변동과 주가수익률과의 관계, 둘째는 환노출분석에 있어서 후행환율움직임과 주가수익률과의 관계, 마지막으로는 환노출과 외국인투자비중과의 관계 규명을 시도하였다. 분석결과, 전반적으로 국내기업의 환노출이 유의하며, 그 크기와 방향이 기업 간에 서로 상이하고 시변(time-varying)하고 있는 것으로 나타났다. 또한 후행환율의 움직임이 주식수익률에 유의한 영향을 미치고 있는 것으로도 드러났다. 이러한 환노출이 외국인투자자의 투자활동에 의해 영향을 받는 가를 살펴본 결과, 즉 외국인투자비중이 클수록 환노출이 더 크게 나타난다는 것을 발견하였다.Any changes in foreign exchange (FX) rates influence nations, firms as well as individuals in everyday life. Especially, we've experienced the impact of FX changes on firms' financial decision making and profitability through 1997 financial crisis and recent KIKO(Knock-in and Knock-out) scandal. It is generally known that the main purpose of advent of the Euro currency is to remove price instability and manage a stable economy in EU countries. Because of such importance of FX, many studies have been done on the FX impact on firms' value. These studies follow one of the two research strains. One is to investigate the existence of FX exposure, in which firm value is influenced by FX changes, and then the determinants of FX exposure if FX exposure exists. (for example, Jorion(1990), Amihud(1994), Bartov and Bodnar(1994), Oxelheim and Wihlborg(1995), He and Ng(1998), Nydahl(1999), Dominguez and Tesar(2001, 2006), Griffin and Stulz(2001)). The other is to see whether the FX exposure is compensated properly, in other words, whether FX risk premium is reflected in the capital asset pricing model. (for example, Hamao(1998), Jorion(1991), Dumas and Solnik(1995), De Santis and Gerard(1998), Choi et al.(1998), Doukas, Hall and Lang(1999), Vassalou(2000), Carrieri(2001), Carrieri and Majerbi(2006), etc.) Taking the same vein, we look at both of such aspects in this study. First we investigate whether firm value changes due to FX rates changes and, if it does, then identify firm specific characteristics which determine FX exposure. For this purpose, this study investigates the relationship among FX rates changes, firm value and foreign investors'' investment. Three relationships we attempt to find are as follows. First, relationship between concurrent FX rates changes and stock returns, secondly, relationship between lagged FX rates changes and stock returns and finally the relationship between FX exposure and foreign investors'' investment. We found that the FX exposures of domestic companies are in general statistically significant and time-varying and its sizes and directions of the changes vary among firms in Korea. Also, the lagged FX rates changes influenced stock returns significantly. Finally, we found that the FX exposure is influenced by foreign investors'' investment, that is, the larger the foreign investors'' investment in a firm, the larger the FX exposure of the firm.