지속적인 세무전략이 투자효율성에 미치는 영향

박종일 한국세무사회 부설 한국조세연구소 2020 세무와 회계 연구 Vol.9 No.4

This study examines how sustainable tax strategies relates to firm-level investment efficiency. “Sustainable tax strategies” is the dimension of a firm’s tax strategy that focuses on maintaining consistent tax outcomes over time (McGuire et al. 2013). Prior research indicates that firms with sustainable tax strategies experience more persistent, hence more predictable, earnings (McGuire et al. 2013). Neuman et al. (2013) provide preliminary evidence that firms with sustainable tax strategies have more transparent information environments as well as corporate transparency. Shin and Park (2019) shows that firms with sustainable tax strategies is positively associated with firms’ credit rating. In addition, prior studies suggest that higher-quality financial reporting should increase investment efficiency (e.g., Biddle and Hilary 2006;Biddle et al. 2009). Therefore, I link and extend this line of two research, this study investigates whether firms with sustainable tax strategies improves investment efficiency. For comparison, I also investigate whether the firms with minimization tax strategies is associated with investment efficiency. For analysis, I construct a measure of sustainable tax strategy (hereafter STS) using the coefficient of variation for cash (GAAP) ETRs over a five-year period (i.e., t to t-4) following McGuire et al. (2013). Firms with low variability report a narrow range of cash (GAAP) ETRs over time, which suggests they emphasize a sustainable tax strategy. To measure minimization tax strategies (i.e., tax avoidance), I use long-term the cash (GAAP) ETR measured as the five-year period following Dyreng et al. (2008). The dependent variable of this study is investment efficiency. I measure this variable following Biddle et al. (2009). This is, the primary dependent variable in my analysis is the absolute value of the abnormal investment (hereafter INV, CAPEX and R&D), so a higher value will indicate a higher investment inefficiency. I construct a sample of firm-year observations from 2004~2017 with data in both KOSPI and KOSDAQ listed firms, final sample is 9,148 firm-year observations. Empirical results reveal the following. First, the dependent variable is total investment, I find that the negative and significant coefficients on STS at the 1% level in all specifications of the model. This results lend support to hypothesis that firms with sustainability tax strategies is positively associated with firms’ investment efficiency. Second, as a additional test, I further examine the effects of firms with sustainable tax strategies on each of capital investment (CAPEX) and research and development investment (R&D), and evaluate whether this paper conclusions are driven by either or both types of investment. when the dependent variable is R&D investment, I find that firms with sustainable tax strategies is positively associated with investment efficiency at the 1% level. However, I do not find a significant association between firms with sustainable tax strategies and investment efficiency. In other words, the results for R&D is consistent with what I find for the total investment. Therefore, earlier my results is driven by R&D investment efficiency. These results are robust to alternative measures of cash ETR and GAAP ETR. Furthermore, my results is robust when I divided the sample into KOSPI and KOSDAQ firms are quantitatively similar. Meanwhile, when the dependent variable is R&D investment, I find that firms with minimization tax strategies is positively associated with investment inefficiency at the 1% level. In summary, my results show that the sustainability of a firm’s tax strategy over time increases a firm’s R&D investment efficiency, whereas firms with minimization tax strategies increases a firm’s R&D investment inefficiency. Therefore, my results suggest that the sustainability of firms’ tax strategies are associated with lower over- or under-investment. My findings provi... 본 연구는 지속적인 세무전략의 기업일수록 투자효율성이 증가하는지를 실증적으로 규명하는 데 있다. 이전 연구에서는 높은 품질의 재무보고가 투자효율성을 증가시킨다는 증거를 제시하였다(Biddle et al. 2009). 또한 이전 연구들은 현금유효세율에 대한 변동성을 낮추는 지속적인 세무전략의 기업은 이익의 지속성이 높고(McGuire et al. 2013), 더 투명한 정보환경에 있어 기업투명성이 높으며(Neuman et al. 2013), 기업신용등급이 더 높다는 결과를 보고하였다(신상이․박종일 2019). 따라서 본 연구는 선행연구의 범위를 확장시켜 지속적인 세무전략의 기업일수록 투자효율성이 증가하는지를 알아보고자 한다. 이를 알아보기 위해 본 연구는 관심변수인 지속적인 세무전략을 McGuire et al.(2013)의 방법인 과거 5년간으로 측정되는 Cash ETR 또는 GAAP ETR의 변이계수를 이용하고, 종속변수는 Biddle et al.(2009)의 방법에 따라 비정상 투자수준에 대한 개별기업의 잔차를 추정한 후, 절댓값을 취하여 분석에 이용하였다. 또한 본 연구는 총투자를 설비투자(또는 자본적 지출)와 연구개발비 투자로 나누어 살펴보았다. 분석기간은 2004년부터 2017년까지이고, 유가증권과 코스닥기업을 대상으로 최종표본 9,148개 기업/연 자료가 이용되었다. 실증분석 결과는 일정 통제변수를 고려한 후에도 지속적인 세무전략과 투자효율성 간에 양(+)의 관계로 나타났다. 특히 앞서의 결과는 주로 설비투자보다는 연구개발비 투자에 기인한 것으로 나타났다. 또한 앞서의 관계는 변이계수의 측정방법(예로, Cash ETR, GAAP ETR)에 상관없이 일치된 결과로 나타났고, 전체표본을 KOSPI와 KOSDAQ 표본으로 나누어 분석해도 모두 일관된 증거를 보였다. 이와 달리, 법인세를 최소화하는 조세회피 전략은 투자효율성과 음(-)의 관계로 나타났고, 주로 설비투자보다는 연구개발비에서 나타났다. 이상을 요약하면, 본 연구는 유효세율에 대한 변동성을 낮추는 지속적인 세무전략의 기업은 연구개발비의 투자효율성이 증가하는 반면에, 법인세를 최소화하는 조세회피 전략의 기업은 연구개발비의 투자비효율성이 증가한다는 결과를 비교해 보여 주었다는 데 의의가 있다. 또한 본 연구는 선행연구와 달리 세무 측면의 지속적인 세무전략과 투자효율성 간의 관계를 처음으로 탐구한 연구라는 점에서도 의미가 있다. 특히 본 연구의 발견에서는 지속적인 세무전략이 투자효율성과 양(+)의 관계로 나타나 지속적인 세무전략 정보는 높은 재무보고의 질을 나타내는 신뢰할 만한 지표임을 시사해 주고 있다.

경영전략과 투자부동산 그리고 기업가치

홍난희 대한경영학회 2024 大韓經營學會誌 Vol.37 No.4

IFRS 도입 이후에는 기업이 보유하는 부동산을 자가사용부동산과 투자부동산으로 구분하여 보고하도록 하고있다. 이는 투자부동산의 보유 목적이 임대수익이나 시세차익 또는 둘 다를 얻기 위한 것이며 기업이 보유하는 다른 자산과 거의 독립적으로 현금흐름을 창출하기 때문이다. 본 연구는 기업의 투자부동산 보유 유인과 기업가치에 미치는 영향에 대한 연구로서 기업 운영 전반에 관련한 특성이자 ‘최고경영진의 성향’을 구체화한 개념인 경영전략을 중요한 요인으로 보았다. 기업의 경영전략 유형은 위험 또는 불확실성 하에서 어떠한 투자의사결정 행태를 보이는지 확인할 수 있는 대용치가 될 수 있으므로 경영자의 기업 자원 통제력과 의사결정과정을 분석함에 있어 경영전략에 따른 특성을 반영할 필요가 있다. 이에 기업이 투자부동산을 취득하고 보유하는 동기에 경영전략이 중요한 역할을 할 것으로 보고 경영전략 유형에 따른 투자부동산 보유 수준과 그러한 관계가 기업가치에 미치는 영향을 살펴보았다. 선도형 전략의 경우 조직구조가 분권화되어 있고 복잡성이 크기 때문에 의사결정 관련 통제시스템이 균형적이지 않고 상대적으로 감시가 약하다. 반면 방어형 전략의 경우 기업의 불확실성이나 위험을 최소화하는데 중점을 두고 비교적 효율적인 조직구조 체제 하에서 의사결정을 내리기 때문에 상대적으로 자산 매입을 위한 자금사용 결정의 의사결정 과정에 적절한 통제가 이루어지는 경향이 있다고 보았다. 또한 투자부동산의 취득목적이 시세차익을 얻기 위한 목적이라면 그러한 부동산 취득은 결과적으로 기업가치를 증대시켜야 함에도 불구하고 선행 연구에서는 투자부동산이 기업가치에 미치는 영향에 대해 혼재된 결과를 보고하였다. 이에 경영전략에 따른 투자부동산 보유가 서로 다른 영향력을 미칠 수 있다는 가능성을 제시하고 그러한 영향력을 검증하였다. 본 연구는 상장기업이 IFRS를 의무적용하기 시작한 2011년부터 2021년까지의 기간을 대상으로 경영전략과 투자부동산 보유 수준의 관계를 분석하였다. 분석결과, 경영전략이 선도형에 가까울수록 투자부동산 보유 비중이 높았다. 또한 선도형 전략에 가까운 표본이 투자부동산 보유수준이 높을수록 기업가치에는 부정적인 영향을 미친다는 것을 보고하였다. 본 연구는 실증분석을 통해 경영전략이 투자부동산에 관한 경영자의 의사결정에 영향을 미칠 수 있으며, 경영전략이 투자부동산 보유와 기업가치의 관계에 추가적인 영향을 미칠 수 있다는 증거를 제시하여 선행연구를 확장하였다는 데 의미가 있다. This study reports whether the holding of investment property varies depending on the business strategy and examines the impact on firm value. International Financial Reporting Standards(IFRS) require companies to report their properties separately into owner-occupied properties and investment properties. This is because the investment property held to obtain rental income or capital gains generates cash flow almost independently of other assets held by the company. Management’s control of corporate resources and decision-making authority may vary depending on business strategies. In the case of a leading strategy, the organizational structure is complex and decentralized, so the control system related to decision-making is relatively unbalanced and weak. On the other hand, defensive strategies have incentives to minimize reputational risk because they focus on minimizing corporate uncertainty or risk. Since defensive strategies make decisions under a relatively efficient organizational structure, they tend to have appropriate control to the decision-making process of using financial resources for asset purchases. Therefore, this study predicts that the leading strategy is more likely to have more investment property than the defensive strategy. If the acquisition of investment property is for the purpose of obtaining capital gains, the acquisition of such investment property will consequently have to increase firm value. Nevertheless, previous studies report mixed results on the effect of investment property on firm value. Therefore, this study presents the possibility that holding investment property can difference effects depending on the business strategy and verifies whether such interaction factors have an additional effect on firm value. This study studies a firm-year sample of firms listed on the Korea Exchange from 2011 to 2021 after IFRS was adopted. The analysis shows that they have more investment property in leading strategies that lead to finding new products or new markets, seeks innovation, has a complex business structure, and makes investment decisions relatively unbalanced. In addition, the analysis results report that the impact of the investment property holdings ratio on firm value varies according to the business strategy, suggesting that the business strategy is an additional factor in such influence. It is reported that the closer to the leading strategy and the higher the ratio of investment property holdings, the more negatively the firm value is. The contribution of this study is to examine the incentives to hold investment property according to business strategies using disclosure information after the adoption of IFRS. It also examines the relationship between business strategies and the level of investment property holding and suggests that the impact of such relationships on firm value may vary. Therefore, this study presents additional explanatory power for previous studies that reported a mixed relationship between investment property and corporate value.

소비자의 긍정 감정조절 전략 유형과 긍정감정이 성과에 미치는 영향: 금융상품을 중심으로

임미자 한국소비자학회 2012 소비자학연구 Vol.23 No.2

본 연구는 소비자 행동에서 중요한 주제인 감정, 특히 긍정 감정의 영향을 다룬다. 금융 상품 투자는 소비자의 재 무 상태와 직결되는 중요한 의사결정 영역이며, 다른 영역에 비해 의사결정 결과에서 소비자들은 더 극명한 감정 경험을 하게 된다. 따라서 투자 영역에서의 감정의 영향에 관한 연구는 감정에 관한 기존 연구를 확장하고 더 풍부 하게 하며, 다른 영역에 비해 감정이 성과에 미치는 영향을 보다 분명하게 밝힐 수 있다. 본 연구는 이익 후 긍정 감정 경험과 의사결정 성과 간의 관계를 조사하였다. 일반적으로 사람들은 긍정 감정을 유지하거나 증가시키고 싶어 한다. 그러나 본 연구결과, 복잡하고 어려우며 감정의 영향이 클 수 있는 투자 영역에 서는 손실의 부정 감정에서와 마찬가지로, 긍정 감정을 안정적으로 줄일 수(downward regulation) 있을 때 성과 를 개선시키는 것으로 나타났다. 또한 본 연구는 금융 상품 소비자들이 긍정 감정에 대해 어떤 감정조절 전략 유형 들을 사용하는 지, 긍정 감정을 보다 안정적으로 감소시킬 수 있는 조절 전략은 무엇인지, 그리고 긍정 감정조절 전 략 유형들은 부정 감정조절 전략 유형들과 어떻게 다른 지를 제시하였다. 긍정 감정조절 전략 유형이 조사되면 실 무의 관리자들은 소비자들로 하여금 투자 과정에서 감정을 보다 효율적으로 조절할 수 있는 감정조절 전략을 사용 하도록 유도할 수 있을 것이다. 본 연구의 공헌은 긍정 감정이 의사결정 및 성과에 미치는 영향에 관한 기존 연구를 확장하였으며, 투자 상품에서 의 긍정 감정의 영향을 새롭게 밝혔다는 점이다. 그리고 성과의 목적이 앞설 때 긍정 감정을 하향 조절(downward regulation)하는 조건적 헤도니즘의 이론적 폭을 확장시켰다. 또한 소비자들의 이익 경험 후의 긍정 감정조절 전략 유형을 새로이 제시하였다는 점에서도 그 이론적 공헌이 있다. As the financial industry becomes increasingly important in a service economy, individual investment behavior attracts a great deal of attention from researchers in the fields of economics, psychology, and marketing. Consumers have stronger emotional experience in financial investment compared to other areas because it is an important decision-making area that can have crucial consequences for investor welfare. Therefore, research on emotions in investment will expand and enrich prior studies on emotion and will shed light on the influence of emotion on performance. This study examines the influence of positive emotions on performance. In addition, it evaluates what investors think after gain, how they regulate positive emotions, what types of positive emotion regulation strategies are used, how each positive emotion regulation strategy influences the intensity of positive emotion, and the differences in positive emotion regulation strategies versus negative strategies. In spite of the important role of emotion in economic decision making (Summers and Duxbury 2007), there have been few studies on the influence of emotions on investments. Previous studies showed a smaller negative affect after loss results in more superior investment performance (Chu et al. 2011; Salovey 2001). Similarly, the result of the current study shows that a smaller positive affect leads to better investment performance. Regarding negative emotion regulation, prior studies revealed that cognitive reappraisal (e.g., ``thinking about the negative situation from a different perspective,`` ``reasoning about why the objective negative situation isn`t so bad) and counterfactual thinking (e.g., ``things could have been so much worse and I could have lost more) reduces negative emotions (Gross 2008; Loewenstein 2007), while external attribution after loss, in other words, blaming others for self-failure, is believed to exacerbate negative emotions (Chu et al. 2011). Prior research also showed that even though suppression strategy helps to express less negative emotions, it actually leads to greater negative emotions(Gross 1998, 2008; Gross and John 2003). Meanwhile, the results of this study show that internal attribution (i.e., ascribing one`s success to their own ability) and external attribution (i.e., ascribing the gain to other external market situation or good luck) increase the intensity of positive emotions, while counterfactual thinking (i.e., thinking that I should have greater gain) and suppression strategy reduce the intensity of positive emotions. However, reappraisal strategy in gain did not significantly lessen positive emotions. Gross and John (2003) demonstrated that individuals who habitually use the reappraisal strategy in real life experience greater positive emotions and less negative emotions compared with individuals who rarely use reappraisal. Judging from this, we can infer that since reappraisal is the cognitive tendency to think positively in any situation, it reduces negative emotion but does not lessen positive emotion even though it encourages thinking objectively after gain. Counterfactual thinking was identified as the regulation strategy to reduce not only negative emotions, but also positive emotions. On the other hand, suppression strategy reduces positive emotional experience, even though it proved not to effectively lessen negative emotional experience. Consequently, investors need to avoid attributing the success to one`s capability after gain, make an effort for the next decision with the thought that he/she should have greater gain, and control positive feelings in order to protect the self from positive emotional whims, thus leading to more reasonable decision making. The theoretical contribution of this research is the discovery of the influence of positive emotion on performance in investment. With this, the study expanded the prior research on conditional hedonism, which implies that if a performance goal overcomes a short-term hedonistic goal, the former may be preferred (e.g., Cohen and Andrade 2004). Furthermore, this study newly presented the types of positive emotion regulation strategies and what kind of strategies among them can effectively reduce positive emotion in the investment area. The managerial implications are as follows. Marketers in the financial service area must educate investors to control emotions even after gain, since successful gain regulation can boost investment performance. Prior studies demonstrated that encouraging participants to scrutinize the relevance of emotion used in decision making or to attribute their present feelings to judgment-irrelevant situational factors attenuate the impact of emotions on judgment and choice (e.g., Keltner et al. 1993; Lerner and Tetlock 1999; Schwarz and Clore 1983). Managers in the field should encourage investors to realize the impact of emotion and help them improve emotional intelligence for efficient regulation of emotional whim.

기업의 투자성향과 외국시장진입전략 - 통화파생상품을 이용한 환위험관리를 중심으로

한국무역학회 2011 貿易學會誌 Vol.36 No.5

<P>&nbsp;&nbsp;This paper examines the relationship between investment propensity and foreign market entry strategies in a sample of korean companies. I also examine whether foreign exchange risk management affects the association between investment propensity and foreign market entry strategies. This study proposes that a active foreign exchange risk management with derivatives enhances the positive relationship between investment propensity and foreign market entry strategies in a international diversified firm. </P><P>&nbsp;&nbsp;I perform the logistic regression analysis and the moderated regression analysis to test hypotheses of this paper and find the results as follows. Results show firms with aggressive investment propensity perform more active foreign market entry strategies. Results also show that for firms with high foreign exchange risk, more aggressive investment propensity results in higher foreign investment ownership if companies use derivatives to manage their foreign exchange risk. Implementing active foreign exchange risk management through derivatives is effective in reducing foreign exchange risk, so inducing the more positive association between investment propensity and foreign market entry strategies. </P><P>&nbsp;&nbsp;I expect that an extension of this study including sophisticated measurement of variables with full data of recent year would be induce more important implication for the foreign market investment strategies and foreign exchange risk management through derivatives. </P>

노르웨이 국부펀드의 투자전략 분석: 국제적 자금 유통의 관점에서

노수현,정진섭 한국유통경영학회 2020 유통경영학회지 Vol.23 No.1

Purpose: The sovereign wealth fund (SWF) has been in the spotlight since the 2000s due to concerns over a drop in foreign exchange reserves in emerging countries, and both the size of its assets and their investment performance have grown to a level that cannot be ignored as of 2019. In particular, the Norwegian SWF, which has the largest asset value among the SWFs, has grown to be the No. 1 asset value among the world's SWFs based on stable investment. This study seeks to explore ways to contribute to financing in the distribution market by analyzing the investment strategy of the Norwegian SWF and seeking investment strategies. Research design, date, and methodology: In this study, we compared and analyzed Government Pension Fund Global (GPFG) and Korea Investment Corporation (KIC)’s return through annual report that published by each institution. Through the pre-research for SWFs, we identified governance model and investment principles of GPFG. Results: This study analyzed these strategies through analysis of the Norwegian SWF’s annual report and other analyses, and also confirmed stability of GPFG through comparing return with KIC. Through these analyses, we proved the Norwegian SWF is earning long-term returns by assets (Equities, bonds and real estate). Based on this analysis, the conclusion presented strategic implications such as the sustainability of passive investment strategies, the validity of alternative investments, and the sustainability of investment strategies. Conclusions: The conclusions of the study are presented as follows: GPFG is a savings fund and type1 (or the source of money is the export of raw materials) of Stephen's classification. This means that GPFG is expected to have aggressive investment tendencies. However, as a SWFs, GPFG uses a passive strategy in the stock market because it operates assets for stable returns. Bond investments centered on advanced industrialized countries contributed to GPFG generating stable return on investment, while expanding investment in alternative assets boosted return on investment. Comparing standard deviation and variance of annual yield between GPFG and KIC, it was found that uncertainty of return of GPFG was lower, and thus it can be assessed that stability is higher.

스타일 투자와의 결합을 통한 ESG 투자전략 개선에 대한 연구

김솔,이우혁,한민연 한국재무학회 2023 財務硏究 Vol.36 No.3

ESG investing has gained significant traction among institutional investors worldwide. For example, large asset owners such as National Pension Service, CPP Investments, and CalPERS are considering ESG factors in their investment decisions, and this trend is expanding to other institutional investors. In fact, according to Morningstar, ESG fund inflows reached $1.921 trillion in 2021, bringing the global ESG fund universe to $2.744 trillion at the end of 2021. Therefore, from the perspective of institutional investors and asset managers, the question of ‘how’ to enhance their investment portfolios has become a more important agenda than the question of ‘why’ ESG investing should be made. ESG investing strategies will only be sustainable if they can do what they are supposed to do: generate returns. To improve the performance of ESG investing strategies that invest in companies with high ESG scores, we propose an "ESG Integration" strategy that combines style investing based on market anomalies reported in the academic literature. Our results are summarized as followings. Through ESG Integration, which amalgamates style investing strategies with ESG, such as company size (small-cap) and accruals strategies, we find that greater excess returns can be achieved compared to existing ESG-only strategies. For example, compared to the High ESG-only strategy, the High ESG integrated small-cap style strategy outperforms1.136% per month on average. When we integrate the style based on the accrual anomaly into the ESG, we verify the ESG integration strategy has an excess return of 0.386% per month to the ESG-only strategy. This result pertains to absolute performance and risk-adjusted excess returns, as confirmed using the Carhart (1997) four-factor model. Someone can argue that we could get a loss for ESG scores when we undertake ESG integration than ESG-only strategies. However, we confirm there is a little loss to ESG scores even if we integrate ESG into various style investments. Therefore, by integrating ESG and profitable style strategies based on market anomalies reported by academic literature, investors could enhance the performance of ESG-only strategy without suffering a loss of the very purpose of ESG investing. ESG scores vary a lot by industry's specific characteristics. In Korea, for instance, the banking industry averages the highest ESG score among other industries. Meanwhile, the medical device and service industry shows the lowest ESG score. If we do not consider the industry-specific variations in ESG scores when conducting ESG investments, we could construct a portfolio that is overly tilted to specific industries with high ESG scores on average. Therefore, we employ industry-adjusted ESG scores to construct the ESG Integration strategy. Our result shows that the ESG Integration strategy based on industry-adjusted ESG scores also surpasses the performance of an ESG-only approach. How to handle the risk in their asset management is essential to institutional investors, such as public pension plan sponsors. Even a strategy can deliver enormous profits, but if it is very risky to the level of the risk appetite of institutional investors, investors cannot accept undertaking the strategy. From a risk management standpoint, we present that combining ESG with style strategies results in more favorable risk indicators than pure style strategies. Thus, we confirm that integrating ESG and style strategies can yield superior excess returns over existing ESG-only strategies while mitigating risks compared to conventional style strategies. The direction toward sustainable development through ESG has already garnered agreement and perceived necessity among many international participants. Nonetheless, for companies to sustain their ESG activities, ESG investing in the market must be concurrent. For investors, generating profits through ESG investment is paramount. Presently, consensus on ESG investing predominantly...

FTA를 활용한 대구경북지역의 외국인직접투자 유치 전략에 관한 연구

손수석(Soo-Suk Sohn) 한국무역연구원 2013 무역연구 Vol.9 No.7

This paper aims to analyze the effects of the FTAs on the foreign direct investment(FDI) and U-turn investment from foreign countries and establish the effective FDI and U-tum investment attracting strategies in Daegu and Gyeongbuk. First, to achieve this aim, the effects of the FT As on FDI was considered theoretically by their effects on investment creation, investment diversion and U-tum investment. The FDI and U-tum investment attracting strategies were then formed under the circumstance of Korea signing multiple FTAs simultaneously and building up a global FTA network. According to these analyzed results, the investment creation effect is induced to overcome the trade diversion effect by the firms from FTA non-member countries. The investment diversion effect is induced to transfer existing investment to the more effective country within the FTA In addition, the FTAs allow Korean FDI firms in China to make U-tum investments in their home country. Therefore, local governments and authorities need to prepare comprehensive and effective investment attracting strategies to attract as many FDIs and U-turn investment firms as possible within their own regions and revive their local economies. In order to achieve this, nothing is more important than making their regions a good place for doing business.

모멘텀 효과를 이용한 투자전략의 성과에 관한 연구

감형규,신용재 한국기업경영학회 2011 기업경영연구 Vol.18 No.1

The phenomenon that stock returns relate to their own lagged cumulative stock return is called momentum effect. If the momentum effect is positive, investors can gain abnormal profits by employing a momentum strategy of buying past winner portfolio and selling past loser portfolio. On the other hand, if the momentum effect is negative, investors can earn profits through a contrarian strategy of selling past winner portfolio and buying past loser portfolio. Market efficiency theorists argue that profits of momentum or contrarian strategies are the rational compensation for systematic risk. In sharp contrast, behavioral economists take a different view. They attribute profits of those strategies to systematic errors in investors’ expectation, underreaction or overreaction, observed in capital markets in terms of psychology. Evidences found in prior studies suggest momentum or contrarian strategies generate significant abnormal returns. In spite of such results, the fundamental reason for their profits remains a matter to the debate in both academic and practitioner groups. This study examines the profitability of investment strategies which are based on momentum effect in Korea stock market. The data for this empirical analysis are obtained form KIS-value and TS 2000 database. We classify individual stocks into winner portfolio and loser portfolio by using price momentum and then evaluate the performance of winner portfolio, loser portfolio, and momentum or contrarian investment strategies over various holding periods. We employ the size-based and book- to-market ratio (B/M)-based portfolio approach and Fama and French three-factor model to identify the source of abnormal profits of those investment strategies. We find that (i) returns of winer portfolio are higher than that of loser portfolio in all portfolio formed on the basis of momentum horizons (J = 3, 6, 9, 12-month) and holding periods (K = 3, 6, 9, 12 , 24, 36-month) and returns of portfolio based on all kinds of price momentums are statistically significant over 12-month to 36-month holding periods. (ii) all arbitrage returns of contrarian investment strategies by using price momentums are positive though some of them are statistically significant (iii) the profits of contrarian investment strategy is partially related to systematic risks. 본 연구는 한국주식시장을 대상으로 모멘텀 효과를 이용한 투자전략의 성과를 확인하고, 이러한 성과가 체계적 위험에 근거한 것인지를 살펴보았다. 포트폴리오 및 투자전략의 성과분석은 Jegadeesh and Titman(1993)에서 사용된 방법을 기초로 다양한 조합의 포트폴리오 구성기간과 보유기간에 따라 이루어졌다. 아울러 투자전략의 성과의 원천을 규명하고자 기업규모(size), 장부가치/시장가치 비율(B/M) 등으로 통제된 포트폴리오 및 Fama and French(1993)의 3요인 모형에 의한 분석을 실시하였다. 연구결과를 요약하면 다음과 같다. 첫째, 주가모멘텀에 따라 구성된 포트폴리오의 성과 분석결과, 전반적으로 패자포트폴리오의 수익률이 승자포트폴리오보다 높게 나타났다. 그리고 이에 기초한 역행투자전략(contrarian investment strategy)의 성과는 포트폴리오 구성기간과 보유기간별로 다소 차이는 있으나 대체로 유의한 양(+)의 값으로 확인되었다. 둘째, B/M의 효과를 통제한 포트폴리오를 대상으로 역행투자전략의 성과를 분석한 결과, 앞서 확인된 역행투자의 성과가 거의 나타나지 않았다. 이는 과거 수익률을 이용한 역행투자의 성과가 B/M 등의 체계적 위험에 근거할 수 있음을 보여준다. 셋째, Fama and French 3요인 모형을 이용하여 역행투자전략의 성과를 분석한 결과, 패자포트폴리오를 제외한 승자포트폴리오와 역행투자전략의 성과는 베타, 기업규모, B/M 등의 3요인에 의하여 설명 가능한 것으로 나타났다. 이상의 결과는 역행투자전략의 성과가 존재하더라도 자본시장의 효율성을 기각할 수 없음을 시사한다.

과거 거래량과 수익률에 기초한 포트폴리오 투자성과 분석

감형규,신용재 한국기업경영학회 2012 기업경영연구 Vol.19 No.1

Many studies including DeBondt and Thaler (1985), Jegadeesh (1990) report that contrarian investment strategy buying loser stocks and selling winner stocks produce long-horizon returns that exceed market average returns. In the literature, the profitability of such contrarian investment strategy is often linked to well-documented phenomenon of asymmetric time-varying risk in stock market returns. There is the long-running debate that centers on whether the contrarian profitability is related to astute investors or compensation for great risk inherent in contrarian the investment strategy. We study the long-term overreaction phenomenon with trading volume as the key analytical variable. We examine the difference in time-varying risk-return characteristics of the profitability of winner, loser, and contrarian protfolio among stocks with different levels of trading volume. Portfolios are formed annually based on the three-year trading volume and returns under overlapping six-year study method. And we estimate average excess return and cumulative excess return for winner and loser portfolio, and contrarian investment strategy. We also evaluate time-varying risk and return relation found in the portfolios against the market. The data for this empirical analysis are obtained form KIS-value and FnGuide database. We show that (i) high-trading volume contrarian investment strategy earns a much higher cumulative excess returns than low-trading volume contrarian investment strategy, (ii) high-trading volume contrarian investment strategy earns a much higher market-adjusted excess return than the low-trading volume contrarian investment strategy, (iii) excess returns from high-volume contrarian investment strategy are significant and can not explained by the time-varying risk and return framework. 본 연구는 한국주식시장을 대상으로 과거 거래량과 수익률 정보를 이용한 포트폴리오 및 투자전략의 성과를 분석하고, 이러한 성과가 시간가변 위험(time-varying risk)에 근거한 것인지를 살펴보았다. 연구기간은 1993년부터 2011년 10월까지로 약 19년간이며, 분석의 목적상 중복기간(overlapping period) 산정방식에 따라 전체 연구기간을 매 6년씩 나누어 총 14개의 하위 연구기간을 설정하였다. 각 하위 연구기간에서 과거 3년간의 거래량과 수익률에 기초하여 포트폴리오를 구성한 뒤, 구성시점 이후 3년간을 투자성과 측정을 위한 보유기간(holding period)으로 삼았다. 포트폴리오 및 투자전략의 성과는 누적초과수익률(cumulative excess return)과 월평균초과수익률(average excess return)을 이용하여 측정하였다. 그리고 시간가변 위험-수익률 모형을 이용하여 투자성과가 체계적 위험으로 설명될 수 있는지 살펴보았다. 본 연구에서의 주요 결과는 다음과 같다. 첫째, 거래량이 많은 패자포트폴리오와 승자포트폴리오는 보유기간에 걸쳐 양(+)의 누적초과수익률을 보였고, 수익률의 추세는 지속적으로 상승하는 형태로 나타났다. 반면, 거래량이 적은 패자포트폴리오와 승자포트폴리오는 보유기간 동안 모두 음(-)의 누적초과수익률을 기록하였다. 둘째, 거래량이 많은 역행투자전략의 성과는 거래량이 적은 역행투자전략에 비해 높게 나타났다. 특히, 거래량이 많은 역행투자전략의 성과는 패자포트폴리오에서 발견된 수익률 반전현상에 기인한 것으로 평가되었다. 셋째, 시간가변 위험-수익률 모형에 의한 투자성과의 분석결과, 승자와 패자 그리고 거래량이 많은 역행투자전략에서 모두 유의한 양(+)의 비정상수익률이 발견되었다. 이는 과거 거래량과 수익률에 기초한 포트폴리오 및 투자전략의 성과가 시간가변 위험을 고려한 체계적 위험에 의하여 충분히 설명될 수 없음을 보여주는 증거가 된다. 본 연구는 거래량이 포트폴리오 및 역행투자전략의 성과를 예측하는 데 추가적인 정보를 제공할 수 있다는 측면에서 시사점을 제공한다

Analysis of Real Estate Investment Strategies of Foreign Corporations in Danang City, Vietnam

Minh Quy Tran(전민귀),Pan Do Son(손판도) 한국산업경제학회 2018 산업경제연구 Vol.31 No.6

본 논문은 베트남 다낭시의 외국인 투자를 위한 성공적인 전략으로서 경제적 요소, 정치적 요소, 문화적 요소를 조사하였다. 위의 요소들을 분석한 결과, 우리는 투자가들이 다낭의 부동산에 투자할 때 바람직한 투자 기회를 제시하고, 성공적인 투자 전략을 제안한다. 이 연구의 결과는 다음과 같다. 첫째, 베트남의 부동산 관련법은 소유권과 부동산 구매 권리에 따라 다르지만, 다낭시에서 투자 과정의 행정 절차를 간소화하고 단축하기 위하여 노력하고 있으며, 많은 다양한 정책들이 외국인 투자를 유치하기 위해 승인되었다. 둘째, 호텔, 리조트 등 관광 관련 부동산의 경우 다낭의 가까운 미래에 관광개발에 중점을 두는 정책으로 인하여 주택유형의 부동산보다 개발가능성이 더 높다고 판단된다. 셋째, 외국인 투자자는 다낭의 고객 취향뿐만 아니라 비즈니스 문화도 이해할 필요가 있을 것으로 보인다. 전반적으로 이 논문을 통해서 외국 기업들에게 투자와 관련된 도움을 줄 수 있고, 다낭의 부동산 투자법과 투자유치 제도를 더 잘 이해할 수 있다는 것으로 판단된다. 더욱이 본 연구 결과는 다낭 부동산 시장의 미래 발전을 예측하고 적절한 투자전략을 제공하는데 기여할 것이다. This paper investigates economic factors, political factors, and cultural factors as successful investment strategies for investment strategies of foreign investors in Danang city, Vietnam. After analyzing the above factors, we point out the opportunities and challenges investors face when investing in real estate in Danang, and eventually, a successful investment strategy is proposed. The results of this study are as follows: First, although Vietnamese real estate law is different in terms of ownership and the rights related to purchasing real estate, we find that the Danang authorities are making efforts to simplify and shorten administrative procedures during the investment process, and many other policies are being approved to attract foreign investment. Second, some types of tourism-related properties such as hotels and resorts, are considered to have more potential for development than some types of housing due to the policy of focusing on tourism development in the near future in Danang. Third, it is necessary for foreign investors to comprehend business culture as well as the taste of customers in Danang. Overall, this paper implies that this could help foreign companies and create better understanding around the real estate investment law and the regime of investment attraction in Danang. Moreover, our result predicts the future development of Danang real estate market and provides appropriate investment strategies.