기업의 사회적 책임과 기업가치

김누리(Kim, Noolee),권경민(Kwon, Kyoung-Min) 한국산학기술학회 2015 한국산학기술학회논문지 Vol.16 No.9

본 연구는 CSR활동의 성과가 기업의 가치에 미치는 영향을 공급계약 공시라는 주요 이해관계자와의 사건을 통하여 실증적으로 연구 분석하였다. 경제정의실천연구소에서 제공하는 CSR성과지표인 KEJI Index와 한국거래소의 공급계약 공시 를 이용한 연구결과, CSR의 성과가 높을수록 공급계약을 맺을 확률이 낮았으며 공시일의 누적비정상수익률도 낮았다. 동 결과는 기업의 CSR활동이 주주의 부를 감소시킨다는 CSR에 대한 부정적인 견해를 지지한다. 그러나 이러한 CSR활동의 부정적인 영향은 CSR성과의 수준별로 차이가 있으며, 최상위의 성과를 낸 경우에는 이러한 부정적인 영향이 없고, 차상위의 성과를 낸 경우에 이러한 부정적인 영향의 대부분이 집중되어 있었다. 이는 최상위의 성과를 내는데 실패한 CSR활동은 기업 가치에 부정적인 영향을 줌을 암시한다. We examine the effect of Corporate Social Responsibility activities on the value of corporations through the supply contracts with customers, one of important stakeholders. The analyses using KEJI index and supply contract announcements show that the likelihood of involving in a supply contract is lower and the announcement return is lower when CSR performance is higher. However, this negative effect of CSR is different across the level of CSR performance. The negative effects of CSR do not exist in the firms with highest level of CSR performance while most of the negative effects are concentrated in the firms with mediocre performance in CSR. These results indicate that market recognizes not best CSR activities but mediocre CSR activities as sacrifice of shareholder value.

뮤추얼 펀드 시장의 이례현상: 캘린더 효과를 중심으로

김누리 ( Noolee Kim ) 아시아.유럽미래학회 2013 유라시아연구 Vol.10 No.1

Anomalies are empirical results that are observed with high degree of consistency in various empirical analyses of asset returns but seem to be inconsistent with existing theories of asset price behavior. They are exceptional and interesting phenomena in that they are consistently observed in different time periods, instruments, markets, and countries but can not be explained with maintained theories. As Fama(1970) points out, anomalies indicate either market inefficiency or inappropriateness of the underlying asset pricing model because they can be defined only compared to ‘normal phenomenon’ suggested by asset pricing theories. Therefore, anomalies imply that there might be some factors which the current theories of asset price behavior fail to incorporate. On the other hand, anomalies are important phenomenon for the practitioners in the financial industries because the existence of anomalies might mean that there are profit opportunities through investment strategies exploiting the anomalous price behavior (Jensen, 1978). Anomalies consist of seasonal anomaly which is cyclical or seasonal anomaly in return behaviors, where the cycle is based on the calendar and firm characteristic anomaly which is anomalous behavior of returns based on the specific characteristics of firms. For seasonal anomaly, aka calendar effects, various anomalous return behaviors has been emerged through extensive researches. Weekend effects mean the tendency of returns to exhibit relatively lower returns on Mondays. Intramonth effects refer to the positive returns mainly in the first half of the month. Turn-of-the-month effects state that the last day of a month and the first three days of the next month exhibit relatively higher returns. January effects indicate that the returns in January are much higher than returns in other months, and this effects are concentrated in the first half of January. Holiday effects mean the relatively higher returns on days right before a holiday. Lunar new year Effects refer to the tendency of relatively higher returns on days right before lunar new year holiday periods. Meanwhile, there are several studies of the calendar effects in Korean capital market. They, however, deal with only stock index returns and the sample periods are before 1990s when the Korean capital market are not fully functional yet. This study examine the mutual funds in Korean market which are important instruments for investments and have shown significant growth since middle of 2000s. Specifically, we look into whether widely known six calendar effects are observed in the mutual fund returns in Korean market. For the analysis, using mutual fund data for the period from July 2002 to April 2010, we construct six different type of mutual fund portfolios and calculate the daily fund portfolio returns using the daily returns of each individual fund in the portfolio. In order to check the existence of calendar effects in mutual fund returns, we examine whether the specific distribution of daily fund returns are consistent with various calendar effects and test the statistical significance using regression analyses with dummy variables. Empirical findings are as follows. First, there are no evidence of weekend effects. On the contrary, absolute return fund, bond fund and MMF exhibit significantly higher returns in Monday. Second, a return behavior consistent with intramonth effects are observed but they are not statistically significant. Third, statistically significant turn-of-the-month effects exist for all types of funds except bond fund. Fourth, January effects do not exist. Instead, for all fund types except bond fund and MMF, returns in second half of January are significantly lower. Fifth, a return pattern consistent with holiday effect are detected but it is with no statistical significance. Last, returns right before and after lunar new year holiday are higher than those of other days. In sum, the validity of calendar effects in Korean mutual funds market varies across each calendar anomaly type and also this patterns are different across fund types. This indicates that the specific form of calendar effects in Korean market might be different across the type of financial assets.

코스닥 신규상장종목의 상장직후 주가행태

김누리 ( Noolee Kim ) 아시아.유럽미래학회 2016 유라시아연구 Vol.13 No.2

Initial public offering (IPO) is considered as a highly decent investment opportunity by stock market investors due to its significant initial returns at the day of listing. However, the literature reports long-run underperformance of IPOs which contradict the substantial level of initial returns. From investors` point of view, the price behaviors of IPOs after the listing day determine their investment returns and therefore are their first interests. Even though the stock performance of IPOs have been examined extensively, the focus of previous studies has been on the issue of initial returns at the day of listing and long-run performance during three of five year after listing, which leaves the stock performance of IPOs right after listing unexamined. This study examine the stock performance of KOSDAQ IPOs right after listing. Specifically, we examine the stock price behaviors of KOSDAQ IPOs during 20 trading day after the day of listing (i.e. around one calendar month) and draw several implications for stock market investors from the empirical results. For our empirical analyses, we employ the sample of 600 initial public offerings in KOSDAQ market for the period from April 2000 to November 2011. We find the followings. First, while the initial returns of IPOs at the day of listing are huge and significant (average 47.2%), their returns over the offer prices exhibit consistently decreasing trend during one month after listing. After one month, around 40% of the sample IPOs show negative returns over the offer prices. For the whole sample, the mean return over the offer price after one month is 36.4%, however, for the sub-sample of IPOs with market price under the offer price, the mean return is -20%. Second, the return distribution of the IPOs which achieve the possibile maximum initial returns at the day of listing, diffuses as time goes on not only to upward but also to downward. However, one month after listing, the return over the offer price averages 99.7%, which is significantly higher than that of the whole sample and the most of the IPOs have market prices above their offer prices. Third, When we assume a case where investors invest their money into the IPOs with maximum initial returns at the closing price of the day of listing, the distribution of the return over the closing price of the listing day exhibit more diffusion to downward than to upward as time passes. In this scenario, the mean return during one month period after listing is -5% and 67.3% of the IPOs with maximum initial returns have negative returns over the closing price of the listing day. For the IPOs with market price under the offer price in spite of their maximum initial returns, the mean return during one month is -28% Fourth, most of the changes in the distribution shape of returns over the offer prices during one month period after the listing is concentrated in the one week period right after the listing. These empirical findings provide the following practical implications for stock market investors. First, Even though IPOs are decent investment opportunities on average, investments into IPOs do not guarantee high (even positive) investment returns. In some cases, investors can realize significant loss during a relatively short period of time. Second, even IPOs with maximum initial returns have substantial possibility of price decreases, which makes sufficient cautions in investment decisions necessary.

소유구조와 기업성과

이상욱(Lee, Sang Wook),김누리(Kim, Noolee) 대한경영학회 2012 大韓經營學會誌 Vol.25 No.4

한국시장에서의 뮤추얼펀드의 성과와 현금흐름 간의 중기적 관계

권경민(Kwon, Kyoung-Min),김누리(Kim, Noolee) 한국산학기술학회 2015 한국산학기술학회논문지 Vol.16 No.10

본 연구에서는 4개 뮤추얼펀드 유형을 대상으로 한국시장에서의 펀드 성과와 펀드 현금흐름 간의 관계를 분석하였다. 주별 및 월별 자료를 사용한 분석결과는 다음과 같다. 첫 번째, 양자 간의 관계는 펀드의 유형에 따라 다르게 나타나고 있으 며, 같은 주식형 펀드인 일반주식형 펀드와 인덱스형 펀드 역시 다른 결과를 보여주고 있다. 두 번째, 양자 간의 관계는 펀드 시장의 구조변화 이전/이후 기간에서 다른 양상을 보여 시장의 구조변화가 동 관계에 무시할 수 없는 영향을 미쳤음을 보여 주었다. 세 번째, 수익률을 추구하는 현금흐름(return chasing flow)은 채권형 펀드에서 가장 강하게 나타났으며, 일반주식형 펀드 및 MMF에서는 구조변화 이후 기간에서만 나타났다. 그러나 인덱스형 펀드에서는 전혀 관측되지 않았다. 네 번째, 펀드 현금흐름이 향후의 펀드 성과에 미치는 영향은 오직 MMF에서만, 그리고 구조변화 이후의 기간에서만 관측되었다. This study examines the relation between mutual fund performance and fund flows in Korean market using weekly and monthly data. The results are as follows. First, the relation between the two variables varies across fund types. Even the relations in equity fund and index fund are different from each other. Second, the structural change in the mutual fund market affect significantly the relation between the two variables. Third, return chasing flow is observed constantly in bond fund and it is observed only after the structural change for equity fund and MMF. However, no return chasing flow is observed for index fund. Fourth, mutual fund flows affect subsequent fund returns only in MMF after the structural change.

ALM 관점에서의 비은행금융기관 해외투자와 외환시장 안정성

오지열 ( Ji Yeol Jimmy Oh ),김누리 ( Noolee Kim ) 한국금융정보학회 2022 금융정보연구 Vol.11 No.2

최근 비은행 금융기관의 해외투자가 급증하고 있다. 특히 국민연금기금의 경우 2025년까지 전체 해외투자 비중을 55% 수준까지 늘릴 것을 의결한 상황이다. 그러나 국내 대부분 비은행 금융기관의 경우 부채의 연금성 성격으로 인해 우리나라의 인구구성에 매우 큰 영향을 받을 수밖에 없다. 특히 대부분 연금성 기금의 경우 적립금이 증가하다가 급격하게 감소세로 돌아서는 명확한 재정수지 생애주기를 지니고 있다. 이에 본 연구에서는 비은행 금융기관의 해외투자 동향과 환위험관리 방식에 대해 살펴보고, 향후 재정수지 변화에 따라 이들의 해외투자 및 외환관리가 어떻게 변화할지에 대해 전망하였다. 특히 기금 생애주기에 걸친 비은행 금융기관의 해외투자 추이가 국내 외환시장에 미칠 영향에 대해서도 살펴보았다. 주요 연구 결과는 다음과 같다. 국내 비은행 금융기관 해외투자 규모를 살펴보면, 국민연금기금이 압도적으로 큰 비중을 차지하고 있으며, 기타 기관으로는 연금성 기금, 공제회와 생명보험사를 들 수 있는데, 이들 모두 향후 우리나라의 초고령화 사회 진입 문제로부터 자유롭지 않은 것으로 보인다. 특히 2040년 전후로부터 재정수지 적자로 인한 국민연금기금의 해외자산 매각 규모는 매년 상당할 것으로 추정되는데, 이와 같은 자산 매각 과정에서 외환시장, 특히 외환 파생상품 시장에 미치는 영향이 적지 않을 것으로 보인다. 따라서 외환시장의 안정성을 제고하기 위해 정책당국 간의 긴밀한 상호 협조가 중요할 것으로 보이며, 기금의 자산 매각 속도의 전략적 조절, 전략적인 환헤지 비중의 모호성 유지, 통화 스왑, 그리고 외환보유고 매입 시 국민연금의 기 보유 해외채권 활용 등 다양한 정책적 수단을 모색해야 할 것으로 보인다. There has been a notable recent increase in overseas investment by nonbank financial institutions. National Pension Fund of Korea, for example, has voted to expand its overseas investment up to 55% of its portfolio by 2025. However, given the pension-like nature of liabilities in most Korean nonbank financial institutions, they are highly exposed to the aging population trends. Most pension funds, for example, are projected to have their surplus reserves increase for a time, followed by its rapid decline, resulting in a clear funding life-cycle. In this study, we explore into the overseas investment trends of nonbank financial institutions as well as their currency risk management. We further provide predictions on how their investment and risk management would likely change over their funding life-cycle, and how this would affect the Korean foreign exchange market. Our main results are as follows. National Pension Fund holds a dominant position on overseas investment among Korean nonbank financial institutions. Others with active investment in overseas assets include pension funds, mutual aid associations, and life insurances. These institutions all share a common problem, namely that their funding health is highly dependent on Korea’s ultra-aging population problem. In particular, from around 2040, National Pension Fund is projected to liquidate a substantial proportion of its overseas assets to meet the liability demands, and during the liquidation process, we expect a sizable impact on the foreign exchange and currency derivative markets. Consequently, we highlight the importance of mutual cooperation and communication between relevant regulatory authorities to minimize the market impact at the time of the National Pension Fund’s liquidation and the need to search for a diverse set of policy solutions including strategic management on the speed of asset liquidation, maintaining a layer of ambiguity over the National Pension Fund’s currency hedging policies, the use of currency swaps, and/or direct purchasing of the National Pension Fund’s existing overseas bonds to manage the foreign reserves.

기업간 신용거래에 대한 실증연구

박무정(Mujeong Park),한상전(Sangjeon Han),김누리(Noolee Kim) 한국증권학회 2018 한국증권학회지 Vol.47 No.3

본 연구는 한국거래소의 유가증권시장 상장기업을 대상으로 신용거래의 결정요인과 동 거래가 기업가치에 미치는 영향을 신용거래를 제공하는 판매기업의 입장에서 실증 분석하였다. 분석결과에서는 신용거래의 제공능력이 클수록, 그리고 신용거래의 비용이 낮을수록 신용거래를 더 적극적으로 활용하고 있는 것으로 나타나 재무적 동기 이론을 지지하고 있는 것으로 나타났다. 여기서 외부자금 조달능력, 특히 해당기업의 판매처로부터 제공 받는 거래신용이 물품 판매시 신용거래 제공에 활용되고 있는 것으로 나타났다. 또한 시장점유율이 낮은 기업에서 매출촉진을 위한 신용거래가 많이 활용되는 반면, 생산주기가 길어 제품의 품질에 대한 정보비대칭이 큰 기업에서는 신용거래가 많이 활용되지 않아 영업적 동기 이론은 부분적으로만 지지되었다. 한편 가격차별화 이론 및 거래적 동기 이론은 지지되지 않는 것으로 나타났다. 기업 신용거래가 기업가치에 미치는 영향에 대한 실증분석 결과에서는, 신용거래가 일정수준까지는 기업가치와 양의 관계를 가지지만 일정수준 이상에서는 음의 관계를 가지는 역U자형의 비선형관계를 가지는 것으로 나타났다. 이러한 결과는 기업가치를 극대화하는 최적 신용거래 수준이 존재함을 보여주며, 판매기업 입장에서 신용거래 공급이 과소한 경우에는 신용거래를 증가시킴으로써, 과다한 경우에는 신용거래를 감소시킴으로써 기업가치를 제고할 수 있음을 시사한다. This study examines the trade credit in the Korean market. Specifically we conduct research on the determinants of trade credit and its effects on firm value using Korean firm level data from the supplier firms’ perspective. The empirical results show that supplier firms with higher capacity for and lower costs of trade credit provision provide more trade credit, which support the financing motives of trade credit. Also, we find that firms with lower market share provide more trade credit in order to promote sales as conjectured by the operating motive. However, firms with longer production cycle tend to provide less trade credit, which contradict the operating motive theory’s implication. On the other hand, the price discrimination motive and transaction costs reduction motive of trade credit are not supported by the empirical results. For the effects of trade credit on firm value, we find non-linear relation between the two. Specifically, empirical results show that there is an inverse-U-shape relation between trade credit and firm value, which states a positive relation to a certain point and a negative relation beyond it. These results suggest that an optimal level of trade credit maximizing firm value exists and firm value can be improved by increasing the supply of trade credit in case of underinvestment in trade credit.