한국주식시장에 사후적 지배구조 프리미엄이 존재하는가?

국문 초록 (Abstract)

본 연구는 국내주식시장에서 좋은 지배구조를 가진 기업의 주식을 매수하는 전략이 초과수익률을 제공하는 가를 살펴본다. 또한 지배구조가 좋은 기업의 경우 주주가치를 제고하는 방향으로 재무적의사결정이 이루어지는 가를 확인함으로써 좋은 지배구조가 기업가치를 제고하는 주요한 경로 channel)임을 확인한다. 마지막으로 기업지배구조를 구성하는 다양한 메커니즘 가운데 어떤 메커니즘이 기업가치를 제고하는 의사결정을 유도하는 가를 분석한다. 실증분석결과 지배구조가 좋은 기업의 주식을 매수하고 지배구조가 취약한 기업의 주식을 매도하는 투자전략이 초과수익을 발생시키는 것으로 나타났으며 이러한 결과는 현재의 주가가 기업지배구조에 관한 정보를 완벽하게 반영하고 있지 못하다는 것을 시사한다. 이를 설명하기 위한 실증분석으로 기업지배구조 차이에 따라 배당공시효과가 달라지는 가를 확인한 결과 좋은 지배구조를 가진 기업의 배당공시에 따른 누적초과수익률이 상대적으로 더 높은 것으로 나타났다. 이는 사전적으로 좋은 지배구조가 높은 주가를 형성하는 배경이 될 뿐만 아니라 사후적으로도 좋은 지배구조가 보다 합리적인 재무의사결정을 통해 기업가치를 제고하는데 기여한다는 실증적 증거로 해석된다. 다양한 기업지배구조메카니즘 가운데에서는 보다 독립적인 이사회와 주주중심의 배당정책이 주가에 긍정적인 영향을 미치는 것으로 나타났다.

다국어 초록 (Multilingual Abstract)

This paper analyzes whether an investment strategy where firms with good corporate governance are purchased and firms with bad corporate governance are sold would result in abnormal returns in the Korean stock market. We also check how good corporate governance can lead to a better financial decision in corporate management by checking the effect of corporate governance on the cumulative abnormal returns on dividend announcements. We finally identify those corporate governance mechanisms that contribute more to the enhancement of firm values through value increasing financial decisions. Empirical analyses using cross-sectional and time series models show that purchasing the stocks of the firms with good corporate governance and selling those stocks with bad corporate governance results in abnormal returns. The positive and significant abnormal return on corporate governance based investment strategy suggests that the current stock prices do not fully reflect the value of good corporate governance and warrants our second stage analysis. Accordingly, we find that good corporate governance is positively correlated with the abnormal returns on dividend announcements, confirming our conjecture that better corporate governance leads to better financial decisions ex post. Among corporate governance mechanisms, independent board of directors and higher payout policy are found to contribute to higher firm values.

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