주가위험요인이 환위험프리미엄에 미치는 영향에 관한 연구

강호상(Ho Sang Kang),고경일(Kyung II Khoe) 한국경영학회 2005 經營學硏究 Vol.34 No.1

The notion of exchange risk premium has derived from the study to test the efficiency of foreign exchange market. By replacing the risk-neutral hypothesis to the risk-averted hypothesis, exchange risk premium is considered as compensation for the market participants in return for bearing the risk of future spot exchange rate uncertainty. Under this hypothesis, forward rate has a systematic difference with the future spot rate. On the other hand, exchange risk premium is derived from developing the portfolio balance model of the determination of the equilibrium exchange rate. The portfolio balance model postulates that domestic and foreign bonds are imperfect substitutes, such that ‘International Fisher Effect(IFE)’does not hold. Therefore, exchange risk premium is related to the relative share of that country’s assets which make up the overall portfolio. That is, exchange risk premium is the value subtracting the differences of nominal interest rate between domestic and foreign bonds from exchange rate change. Considering interest rate parity theorem, two different approach on exchange risk premium explained above produce the same value.Three approach have been developed to explain exchange risk premium. First, there is the international portfolio balance approach proposed by Dornbusch(1983) and Frankel (1982, 1986). This approach has its roots in the imperfect bond substitution and recognizes exchange risk premium as a compensation for holding a greater share of a particular country’s assets. However, testing the model in several major foreign exchange markets found that the risk-neutral hypothesis cannot be rejected by the data. The second approach was to invoke a time-varying parameter methodology. Fama(1984), for example, tries to explain time varying risk premium in the foreign exchange market. However, no concrete evidence has been given that a significant relationship exists between exchange risk premium and risk factors and the results was limited to relying on econometrical approach. The third approach, due to Robicheck and Eaker(1978), Giovannini and Jorion(1987) and most recently, Chiang(1991) has been to relate the foreign exchange market risk premium to the stock market excess returns. This approach assumes that the foreign exchange markets and equity markets are interrelated such that the risk premium identified in one market may be related to the risk or excess return in another. For example, Chiang(1991) used International Asset Parity(IAP) Condition to theoretically derive the equation explaining exchange risk premium with domestic and foreign equity risk premia.This paper addresses whether domestic and foreign equity risk premia, based on the IAP equation, are the decision factors to explain the exchange risk premium. and how the foreign exchange market risk premium and the stock market risk premia are interrelated. Behavioral relationships between exchange risk premium and equity risk premia and additional empirical analysis on the validity of IAP will be discussed.First of all, APT model was applied to IAP equation in place of the equity return to explain exchange risk premium with domestic and foreign equity risk premia. Efforts have been made to test whether the exchange risk premium of the 5 developed countries(US, UK, Japan, Canada, Germany) can be actually explained by domestic and foreign equity risk premia. As a result of the empirical test using factor analysis and regression analysis, exchange risk premium is explained by several domestic and foreign equity risk premia, which are statistically significant. Additional results about exchange risk premium revealed from the test were, firstly, the domestic and foreign equity risk premia do not always influence exchange risk premium simultaneously. Secondly, each domestic equity risk premium that is statistically significant displays identical sign as the domestic currency dominated exchange risk premia in all case. A further study on the validity of In

국제 자본비용 모형을 이용한 한국기업의 자본비용 추정

이영주,안성필 한국기업경영학회 2013 기업경영연구 Vol.20 No.1

Using International Cost of Capital Models (ICCM), we examine the method to estimate the cost of capital for Korean firms. A firm’s cost of capital is critical element in the process of long-term investment decision makings. It also serves as discount rate in estimating firm value. Investment companies and financial departments of Korean firms however use the traditional method which is based on ad-hoc approach to estimate the cost of capital. We show that ICCM can improve the accuracy of the estimation. Thereby, we demonstrate that ICCM provides a consistent and practical approach to estimate the cost of capital for Korean firms. ICCM estimates the cost of capital for Korean firms as if they are located in the developed countries and then adds the equity country risk premium associated with Korean country risk. Specifically, we use the historical average return on US treasury bonds as risk-free rate for Korean firms. The historical average US market risk premium is used as market risk premium for Korean firms. To accommodate the difference in country specific risk, we introduce Country Equity Risk Premium (CERP), which captures the additional risk premium for firms located in countries exposed to country default risk. There are diverse versions of ICCMs to calculate the equity country risk premium. We compute the equity country risk premium using the method in Damodaran (2006). Following his method, CERP is calculated by multiplying country default spread with the relative standard deviation between stock market volatility and bond market volatility. For an individual Korean firm, this equity country risk premium is adjusted with lambda, which represents the return sensitivity of individual company to the country risk premium. Finally, beta is estimated with industry average beta to avoid non-stationary nature of regression beta. Next, we also estimate the cost of debt using ICCM. The procedure is similar to the estimation of the cost of equity. Our initial estimation is based on the historical average data from the US capital market. Then, we adjust the number by incorporating country specific risk premium. Finally, the weighted average cost of capital for Korean firms can be estimated by utilizing market value weighted ratio of debt-to-capital and equity-to-capital. Using ICCM, we illustrate the procedure to calculate the cost of capital for an individual Korean firm. Using data of SK Telecom, which is one of the largest corporations in Korea, we compare the cost of capital estimated by the company with that of ICCM. We note that SK Telecom estimates the cost of capital with crude method that relies on recent date. While this practice is simple and thereby easy to compute the cost of capital, it may render biased estimates. We show that ICCM provides practically applicable and logical approach to estimate the cost of capital. Compared to the cost of capital estimated with ICCM, we find that SK Telecom underestimates the cost of debt and overestimates the cost of equity. For the weighted average cost of capital, it turns out that SK Telecom overestimates the cost of capital as compared to that estimated with ICCM. This suggests that the cost of capital used for internal decision makings may differ from what is perceived in the outside capital market. Nonetheless, the cost of capital estimated with ICCM provides valuable benchmark for the internal cost of capital. Given that the cost of capital is an important element for the company’s internal decision makings and valuation models, we show that ICCM approach has practical implication for a firm’s decision makers, investment companies and financial information service providers. 본 연구는 국제 자본비용 모형을 이용하여 한국 기업의 자본비용을 합리적으로 추정하는 방법을 제시한다. 기업의 자본비용은 내부적으로 실물 투자 의사결정에 있어 기준이 되는 최소 요구수익률로 사용되며 또한 기업의 본질적 가치를 산출하는데 있어 할인율로 사용되는 매우 중요한 요소이다. 그럼에도 불구하고 한국 기업들의 자본비용을 합리적으로 추정하는 방법이 명확하지 않아 증권회사 및 기업에서 임의적으로 자본 비용을 추정하고 있다. 더욱이 한국과 같은 신흥 시장에 속한 기업들의 경우, 신흥시장의 추가적인 위험도를 고려해서 자본비용을 결정하여야 하나 과거의 시계열 자료가 제한적이므로 선진국 시장을 중심으로 개발된 모형을 적용하기에는 문제점이 많다고 볼 수 있다. 이에 우리는 국제 자본비용 모형(international cost of capital models)을 통해 보다 합리적이고 실무적으로 한국 기업의 자본비용을 추정하는 방법을 제시한다. 국제 자본비용 모형은 한국 기업을 선진국 시장에 있는 기업과 동일하게 취급하여 자본비용을 계산한 후 한국의 추가적인 국가위험에 대한 노출 정도에 따라 국가 위험 프리미엄을 가산하는 방식으로 신흥 시장 기업들의 자본비용을 추정한다. 우리는 이러한 방법을 통해 한국 기업의 자본비용을 합리적으로 산출하는 구체적인 방법과 절차를 예시함으로서 실무적으로 자본비용을 추정할 수 있는 방법을 제시한다.

분산프리미엄의 수익률 예측에 대한 연구: S&P500 및 KOSPI200 지수에 대한 증거

윤선중 ( Sun Joong Yoon ),김준식 ( Jun Sik Kim ) 한국파생상품학회(구 한국선물학회) 2014 선물연구 Vol.22 No.1

본 연구는 S&P500 지수옵션과 KOSPI200 지수옵션에서 추정된 분산프리미엄 (variance premium)이 미래 수익률에 대한 예측력을 가지고 있는지 검증하는 것을 목적으로 한다. 앞선 연구들은 U.S. 금융시장에서 분산프리미엄이 미래 수익률에 대해 예측력을 가지고 있다는 결과를 보여주었으나, 기타 금융시장에 대해서는 일관된 결론을 제공하지 못하고 있다. 본 연구 결과에 의하면, KOSPI200 분산프리미엄의 예측력이 유의하지 않았으나, S&P500 분산프리미엄은 S&P500 지수수익률뿐만 아니라 KOSPI200 지수수익률을 예측하는 것으로 나타났다. 이는 미국, 독일, 일본, 영국 등에 대해 VIX 지수로 검정한 London(2012)와 Bollerslev, Marrone, Xu, and Zhou(2013)의 연구결과와 일치한다. S&P500 분산프리미엄이 KOSPI200 지수수익률을 예측하는 현상은 두 시장의 종속성에 의해 설명될 수 있다. S&P500 시장을 선도시장으로 KOSPI200 시장을 선도시장을 추종하는 추종경제로 가정할 경우, 선도시장의 분산프리미엄은 추종경제의 수익률을 예측할 수 있다. 이를 검증하기 위하여 양국의 분산프리미엄에 대한 VAR분석을 수행하였다. 양국의 분산프리미엄은 양방향의 선도-지연 관계를 가지고 있는 것으로 관찰되었으나, 미래에 대한 수익률을 예측에 있어서는 S&P500 분산프리미엄의 정보효과가 우수한 것으로 나타났다. This study aims to examine the return predictability of variance risk premium, which is defined as the difference between risk-neutral variance and expected realized variance, on KOSPI 200 index returns. Although extant literature shows that variance risk premium estimated from U.S. index options has a predictive power in underlying returns, little study has been conducted in KOSPI 200 index returns. In addition, there is no conclusion for the predictive power of variance risk premium in other financial markets. In this paper, we can find the predictive power of S&P500 variance risk premium on KOSPI200 index returns as well as on S&P500 index returns, but cannot find the predictive power of KOSPI200 variance risk premium on both indices. These results are consistent to Londono (2012) and Bollerslev et al. (2013). The poor performance of KOSPI200 variance risk premium is explained by the assumption that U.S. economy is a leader economy, while Korea economy is a follower economy. To support this conclusion, we conduct Vector Auto-Regression (VAR) using two variance risk premiums. Two premiums are bi-directional lead-lag relationship but S&P500 variance risk premium is informationally superior to KOSPI200 variance risk premium re-garding return predictions.

보험료감액청구권에 관한 고찰 - 상법 제647조 개정안을 중심으로 -

이보미 (사)한국보험법학회 2019 보험법연구 Vol.13 No.1

Premiums are determined by the mathematical and statistical techniques to reflect the risks. The sum of premiums paid by the risk group and the total amount of insurance paid by the insurer shall be equivalent in accordance with the principle of compensating benefits and the principle of equivalence. But, After the contract has been concluded, if the alteration or decrease of risks happen, the balance between the premium and magnitude of risk is upset. The Commercial Law stipulates that if there is a alteration in the risk, the premium change can be claimed. However, it is only possible if the party to the insurance contract determines the amount of the insurance premium in anticipation of the special risk, the policyholder may request the reduction of the insurance premium after the expected risk of the insurance expires. Recently, the 20th National Assembly initiated a new amendment on the right to claim for premium reduction. The amendment extends not only to the disappearance of specific risks but also to the reduction of risks. In this paper, I will especially review about decrease of risk and §647 of the Commercial Law revisions. 현행 상법에는 ‘특별한 위험을 예기하여 보험료의 액을 정한 경우 보험기간 중 그 예기한 위험이 소멸한 때에는 보험계약자는 그 후의 보험료의 감액을 청구할 수 있다’고 규정하고 있다(상법 제647조). 보험료 감액청구권을 활성화 시켜 보험계약자의 권리를 강화하자는 취지로, 20대 국회에서 위험의 소멸 또는 감소로 인한 경우 보험료의 감액을 청구할 수 있도록 하는 내용을 골자로 한 상법 개정안이 발의되었다. 본고에서는 이런 상법 개정안의 타당성을 살펴보기 위해 보험료 감액청구권에 대한 법안의 개정 내용을 우선적으로 살펴보고 감액청구의 전제가 되는 보험료와 감액청구권에 대한 상법의 해석을 연구한 다음, 해외 입법례와 보험료 감액청구권 관련 문제를 살펴보았다.

Risk Premium and Convexity Premium in the Stock Return

Keehwan Park,Saekwon Kim 한국재무학회 2011 한국재무학회 학술대회 Vol.2011 No.05

We model and estimate equity premium in a general equilibrium setting. It is done by reframing the Merton's model (1974) in the context of the general equilibrium models such as Ahn and Thompson (1988) and Bates (1991). A novelty of our approach is to derive equity premium by evaluating the equity returns dynamics at equilibrium and to thereby allow a non-risk convexity premium for equity as well as its risk premium. While risk premium is generally due to systematic risk, convexity premium is due to the option-like feature of equity, and exists under returns discontinuity and risk neutrality. We model equity premium such that the convexity premium pays for the liquidity cost of equity. We calibrate our equity premium model and report that the convexity premium counts for about 50 percent of our predicted equity premium. We find relevance of our non-risk convexity premium on the premium puzzle and anomalies in the stock market.

Risk Premium and Convexity Premium in the Stock Return

박기환,최필선,김세권 한국증권학회 2012 Asia-Pacific Journal of Financial Studies Vol.41 No.6

We model and estimate equity premium in a general equilibrium setting. It is done by reframing the Merton’s model (1974) in the context of general equilibrium models such as Ahn and Thompson (1988) and Bates (1991). Our approach is novel in its attempt to derive equity premium by evaluating the equity returns dynamics in equilibrium and to thereby estimate non-risk convexity premium for equity as well as its risk premium. While risk premium is generally due to systematic risk, convexity premium is due to the option-like feature of equity, and exists under returns discontinuity and risk neutrality. We model equity premium such that the convexity premium pays for the liquidity and information costs of equity. We calibrate our equity premium model and report that the convexity premium counts for about one third of our predicted equity premium. We find relevance for our nonrisk convexity premium in relation to the premium puzzle and anomalies in the stock market.

감사인영업위험에 대한 위험프레미엄이 존재하는가? 감리지적기업을 사용한 분석

최승욱 ( Seung Uk Choi ),배길수 ( Gil S. Bae ) 한국회계학회 2016 會計學硏究 Vol.41 No.1

본 연구는 감사인이 감사인영업위험에 대해 어떻게 대처하는지를 조사한다. 구체적으로 감사인은 영업위험에 대해 두 가지 서로 다른 방법으로 대처할 수 있다. 첫째, 감사인은 높은 영업위험을 수반하는 고객에 대해 적발위험을 낮추려는 노력의 일환으로 감사노력수준(감사시간)을 높일 수 있다. 둘째, 감사인은 이들 고객에 대해 추가 위험프레미엄(높은 시간당감사보수)을 요구할 수 있다. 국내자료를 사용하여 감사인이 감사인영업위험에 대해이 두 대안 중 어떤 선택을 하는지를 동시에 조사하여 결과를 제시한 연구는 찾기 어렵다. 감사보수를 감사시간과 위험프레미엄을 반영하는 시간당임율의 곱으로 본다면, 높은 감사시간과 추가위험 프레미엄이 모두 높은 감사보수로 이어진다. 경제이론에 의하면 감사인은 감사인영업위험에 대처하기 위해 이 두 대안의 한계가격-한계성과가 일치하는 점에서 선택이 이루어질 것으로 예측할 수 있다. 그러나 실무가 과연 이 예측과 일치하는지는 명확하지 않다. 감리지적은 재무제표에 중대한 오류가 포함되어 있다는 것을 의미한다. 재무제표에 중대한 오류가 포함된 이유는 다양한데 원인이 무엇이든 이 원인 자체를 제거하여 향후 다시 재무제표에 오류가 포함되는 것을 방지하는 것은 쉽지 않을 뿐만 아니라 상당한 시간 소요를 필요로 하는 것이 보통이다. 이렇게 볼 때 기업이 감리지적을 당했다는 사실은 이 기업의 재무제표의 신뢰성을 낮추며 따라서 감사인영업위험을 높이는 요소로 작용한다. 또한 기업이 금융감독기관으로부터 감리지적을 당했다는 사실은 이 기업이 감사인에 대해 높은 감사인영업위험을 전가한다는 일종의 “객관적”인 증거로 작용할 수가 있다. 본 연구에서는 감리지적을 감사인영업위험에 대한 대용치로 사용하여 감사인영업위험에 대한 감사인의 대처를 조사한다. 2003년부터 2011년 사이에 감리지적을 당한 167 기업-년도와 감리지적을 당하지 않은 통제기업을 사용하여 분석한 결과 본 연구는 감사인이 감리지적을 당한 기업에 대해 감리지적 직전에 비해 감리지적직후 보다 높은 시간을 투입하며 또한 높은 시간당감사보수의 형태로 추가 위험프레미엄을 부과한다는 것을 발견하였다. 본 연구는 국내자료를 사용하여 감사인이 영업위험에 대해 어떻게 대처하는지를 체계적으로 조사하고 감사인의 반응이 경제이론에 의거한 위험모형의 예측과 일치한다는 유의한 결과를 제시한 최초 연구의 하나라는 점에 그 가장 큰 의의가 있다. In this study, we examine auditors’ response to the perceived control risk. Auditors could respond to the increased audit risk in two ways. First, when auditor business risk is perceived to be high, auditors might attempt to reduce detection risk by increasing substantive testing to maintain overall audit risk at an acceptable level. This suggests that perceived higher auditor business risk will create significant additional work for auditors (i.e.,higher audit effort from additional testing and making changes in the audit program). Second, although increased audit effort can reduce auditor business risk, audit effort alone is unlikely to eliminate the increased auditor business risk. Alternatively, it may not be cost efficient to increase audit effort above a certain level. This suggests that there remains “residual” risk associated with auditor business risk after increasing the audit effort to a certain level. One way for the auditor to cover the cost arising from the residual risk could be charging a risk premium in the form of higher fees per unit of audit service. However, little evidence is currently available on the auditors’ response to the increased auditor business risk. Total audit fees can be viewed as the product of the amount of total audit hours and the fee per audit hour. The number of total audit hours and the fee per audit hour, respectively, will reflect the increased audit effort and the risk premium, both of which will lead to the increased total audit fees. Under the Act on External Audit of Stock Companies, the Financial Supervisory Service (FSS) performs regulatory reviews on the financial statements included in the annual reports of public companies. If the FSS finds material misstatements in the financial statements, it evaluates the nature and the quantitative materiality of the misstatements. Depending on the severity of the violation, an appropriate sanction against the company will be imposed. Therefore, receiving a sanction from the FSS regulatory reviews constitutes strong objective evidence that the client’s financial statements contain material misstatements and errors. Hence, material misstatements and errors relate to higher audit risk for auditors. Using the sanctions from the FSS regulatory reviews during the period of 2003-2011 as a proxy of auditor business risk, we examine auditors’ reponses to the perceived auditor business risk. We expect that both the quantity of audit hours and the unit audit price increase in auditor business risk. Consistent with our prediction, we find that the number of audit hours for the sanctioned clients in the post-sanction period is significantly higher than that for either the non-sanctioned clients or the pre-sanction period for the sanctioned clients. Importantly, we also find that the fee per hour of the sanctioned clients in the post-sanction period is significantly higher than that of either the non-sanctioned clients or the pre-sanction period of the sanctioned clients. These findings provide evidence that auditors respond to the increased auditor business risk by increasing audit effort and also charging an additional risk premium. Our findings are generally robust to several additional tests, including a score-matched analysis and a subsample analysis by partitioning the sample by auditor size. Our study contributes to the literature in two ways. First, our study contributes to the research on auditors’ responses to perceived business risk by providing evidence that auditors increase not only audit effort but also risk premium when faced with increased auditor business risk. Thus, our work complements previous studies that examine the relationship between audit risk and the auditor’s behavior. Broadly, our paper suggests that auditor business risk is a significant factor that auditors consider in planning audit effort and setting a risk premium. Second, our finding also provides evidence that regulatory reviews and sanctions matter in that they alter auditors’ behavior with respect to audit fees and the components of audit fees.

지식자산위험을 고려한 기술가치평가 할인율 적산모형에 관한 연구

성웅현(Sung Oong-Hyun) 한국기술혁신학회 2008 기술혁신학회지 Vol.11 No.2

기술가치평가에서 적절한 할인율의 적용은 가치평가의 신뢰성을 확보하는데 중요한 요소이다. 개별 기술가치평가 할인율은 개별 지식자산에 내재된 위험과 기회를 반영하는 것이기 때문에, 기업가치평가 표준 할인율인 WACC과 상당히 다르다고 판단된다. 본 연구의 목적은 기술가치평가 할인율 적산모형의 위험구조와 위험프리미엄 추정방법을 제안하는 것이다. 적산모형의 성분은 무위험이자율, 전반적 시장위험프리미엄과 베타, 지식자산위험프리미엄 등 세 가지로 구성하였다. 특히, 본 연구에서 할인율 구성의 핵심인 지식자산위험 수준을 평가할 수 있는 10개 항목을 제안하였고, 위험수준 결과를 위험프리미엄으로 변환하기 위한 추정함수인 선형함수, 자연로그함수, 지수함수 등을 적용하였다. 상기 논리와 결과는 기술가치평가 할인율 추정의 객관성을 개선할 수 있는 실무적 대안이 될 수 있을 것이다. Within any income approach, a discount rate is used to convert some projected free cash flow to its presented value. In case of valuing companies, the most frequently used discount rate is the weighted average cost of capital(WACC) at the aggregate level. But technology valuation is different to discounting aggregate corporate cash flow since it is concerned about individual Intellectual property. Therefore, blindly applying standard discount rate such as WACC in technology valuation is unlikely to lead to the right result. The primary focus of this paper is to establish the structure of discount rate for technology valuation and to suggest the method of estimation. To determine an appropriate discount rate for technology valuation, the level of technology risk, market risk and competitive risk should be included in the structure of discount rate. This paper suggests the build-up model which consists of three components as a expansion of the CAPM. It includes (1) a risk-free rate of return, (2) general market risk premium and beta and (3) intellectual property risk premium related to technology risk and specific target market risk. However, there is no specific check list for examining the intellectual property risk until now and no specific method for quantifying its risk into risk premium. This paper developed the 10 element to determine the level of the intellectual property risk and applied estimation function such as linear function, natural log function and exponential function to transform the level of risk into risk premium. The limitation of this paper is that the range of intellectual property risk premium is inferred based on the information of foreign and domestic valuation agency. Finally, this paper explored the development of an intellectual property discount rate for technology valuation and presented the method in order to quantify the intellectual property risk premium.

기업 특유 위험프리미엄의 할인율 적용에 관한 실태연구:규모위험을 중심으로

김종일,정남철,정준희 한국세무학회 2022 세무와 회계저널 Vol.23 No.4

This study investigates the process of reflecting the firm specific risk premium (FSRP) in the discount rate in valuation practice, and especially focuses on the size risk premium (SRP). Through this, this study intends to identify the current situation and problems in the application of discount rates used in valuation, and to suggest reasonable improvements. For the purpose of this study, in-depth interviews are conducted on valuation expert groups. The interview items mainly consisted of ① the discount rate used in valuation and general application procedure, ② whether and not SRP is applied and the procedures, ③ whether SRP is applied differentially according to the purpose of valuation, ④ factors to be considered when calculating SRP using Korean data, ⑤ consideration of FSRP in the discount rate. As a result of the interview, valuation experts at all interviewed institutions used the Market Risk Premium (MRP) provided by Bloomberg as a MRP of discount rate for valuation. Of the 7 interviewed institutions (4 BIG4 accounting firms and 3 Non BIG4 accounting firms), 4 were applying SRP normally, 2 did not, and 1 applied it depending on the situation. Experts from all interviewed placed importance on the request for submission of data from supervisory agencies and the presentation of evidence in the future. Non BIG4 accounting firms, which perform relatively large number of valuations for financial reporting purposes, mainly consider the consistency of SRP application. Most of them agreed on the need to calculate SRP using domestic data, but various opinions were presented on detailed matters such as consideration of the listed market to which they belong and whether or not delisted companies were included. On the other hand, various opinions and practical examples such as liquidity, control, and initial business risk application were presented for FSRP other than SRP. This study suggests that practical diversity is high in applying the discount rate of FSRP, including SRP, suggesting that differences in valuation results depending on valuation institutions may be important. Accordingly, public institutions need to distribute research data for quantifiable SRP and FSRP to reduce practical diversity. 현금흐름할인법을 활용한 가치평가 실무에서는 시장위험 등 공통위험 외에도, 평가대상 회사나 기술에 내재한 다양한 고유 위험프리미엄을 반영한다. 본 연구는 가치평가 실무에서 기업 특유 위험프리미엄(Firm Specific Risk Premium, FSRP)을 할인율에 반영하는 과정을 조사하며, 특히 실무에서 FSRP를 대표하는 규모 위험프리미엄(Size Risk Premium, SRP)에 집중한다. 이를 통하여 본 연구는 가치평가 시 사용되는 할인율 적용에 대한 실무 현황과 문제점을 파악하고, 합리적인 개선책을 제시하고자 한다. 이와 같은 연구목적을 위하여 국내 가치평가 전문가그룹에 대한 심층인터뷰를 실시한다. 인터뷰 항목은 크게 ① 가치평가 시 사용하는 할인율 및 이에 대한 개괄적인 적용절차, ② SRP의 적용 여부 및 절차, ③ 가치평가 목적에 따른 SRP의 차별적 적용 여부, ④ 국내 자료를 이용한 SRP 산정 시 고려요소, ⑤ SRP 외 다른 기업 특유 위험프리미엄(FSRP)의 할인율 적용절차 등 5가지이다. 전문가 심층인터뷰 결과, 모든 인터뷰 대상기관의 가치평가 전문가들은 Bloomberg가 제공하는 시장 위험프리미엄(Market Risk Premium, MRP)을 가치평가 시 할인율의 시장위험 요소로 활용하고 있었다. 총 7곳(BIG4 회계법인 4곳 및 Non BIG4 회계법인 3곳)의 인터뷰 대상기관 중 4곳은 통상적으로 SRP를 적용하고 있었고, 2곳은 적용하지 않았으며 1곳은 상황에 따라 이를 적용하였다. 모든 인터뷰 대상기관 전문가들이 추후 감독기관 등의 자료제출 요구나 근거 제시 등을 중요시하였으며, 상대적으로 재무보고 목적의 가치평가를 많이 수행하는 Non BIG4 회계법인은 SRP 적용의 일관성(비교가능성)을 주로 고려하였다. 국내 자료를 이용한 SRP를 산정할 필요성은 대부분 공감하였으나, 소속 상장시장의 고려, 상장폐지 회사의 포함 여부 등 세부적인 사항에 대해서는 다양한 의견이 제시되었다. 한편, SRP 외 FSRP는 유동성, 지배력, 초기사업 위험 적용 등 다양한 의견과 실무적 사례가 제시되었다. 본 연구는 SRP를 포함한 FSRP의 할인율 적용 상 실무적 다양성이 높게 나타남을 제시하여, 평가기관에 따른 가치평가 결과의 차이가 중요할 수 있음을 시사한다. 이에 따라 FSRP 중 SRP 등 계량화가 가능한 측정치에 대해서, 공적 기관에 의한 조사자료 배포 등을 통하여 실무적인 다양성을 줄이는 노력이 계속될 필요가 있다.

Foreign Exchange Risk, Global Financial Crisis, and Loan Risk Premium: Analysis of International Lending by US Banks

박형래,정병욱,장유식 한국무역학회 2011 Journal of Korea trade Vol.15 No.1

This paper investigates the determinants of the risk premium of international syndicated corporate loans utilizing extensive syndicate deal database, DealScan, and provides a unique empirical analysis over the test duration from January 2000 to December 2008, including the period of the global financial crisis in 2007-2008. This paper not only examines the macroeconomic and microeconomic determinants of loan risk premiums, but also inspects how exchange rate volatility and the global financial crisis affected the loan risk premium in international lending. The findings of this paper are summarized as following: (i) foreign exchange risk increased loan risk premium of international syndicated corporate loans, (ii) the global financial crisis increased loan risk premiums, (iii) country and macroeconomic factors had appropriate effects on loan risk premiums based on their characteristics, and (iv) borrowing firm and contract factors such as loan size, loan maturity, loan purposes, and borrower’s business sector also had appropriate effects on the risk premium based on their characteristics.