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재무적 제약이 주가수익률에 미치는 영향

  • 이병주 고려대학교 경영대학 박사과정
  • 김동철 고려대학교 경영대학 교수
본 연구는 국내 주식시장에서 재무적 제약과 주가수익률의 관계를 분석하였다. 외국 문헌에서는 재무적 제약이 주가수익률에 미치는 영향에 대한 상당수의 연구가 이루어졌지만 일치된 결론을 얻지 못하고 있다. 국내에서는 재무적 제약과 주가수익률의 관계를 실증적으로 밝히는 연구가 없다. 이에 본 연구는 국내 주식시장을 대상으로 재무적 제약이 주가에 체계적으로 반영이 되는 위험요인 인지를 실증적으로 분석하였다. 분석 결과, 국내 주식시장에서 기업의 재무적 제약이 강할수록 향후 주가수익률이 상승하였으며, 재무적 제약이 강한 기업과 재무적 제약이 약한 기업 간의 수익률의 차이가 통계적으로 유의한 양(+)의 값을 보였다. 특히 과거 KOSPI의 수익률을 통해 시장 호황 국면과 시장하강국면으로 나누어 분석한 결과, 시장호황국면에서 재무적 제약이 강한 기업과 약한 기업 간의 수익률 차이가 통계적으로 유의한 양(+)의 값을 보이는 것으로 나타났다. 이에 대해 CAPM과 Fama-French 3요인 모형에 대한 초과수익률을 살펴본 결과, 재무적 제약이 가장 강한 포트폴리오와 재무적 제약이 가장 약한 포트폴리오의 월 평균수익률의 차이가 CAPM에 의해서 설명되지 않지만, Fama-French 3요인 모형에 의해서는 설명되었다. 따라서, 재무적 제약 요인이 기존의 위험요인과 차별되는 새로운 위험요인은 아닌 것으로 나타났다.
재무적 제약, 체계적 위험, 주가수익률, 요인포트폴리오, 초과수익률

The Effect of Financial Constraints on Stock Returns in Korea

  • Byeung-Joo Lee
  • Dongcheol Kim
This study examines the effect of financial constraints on stock returns in the Korean stock market from April 2002 to March 2016. Several studies have examined the relation between financial constraints and stock returns. The main issue in these studies is whether financial constraints are an undiversifiable risk and, if so, whether this risk is priced. However, the results have been inconsistent, and there is no consensus on this issue in the literature. Moreover, only a few studies have examined this issue specifically with respect to the Korean stock market. In this study, we thoroughly examine the relation between financial constraints and stock returns in the Korean stock market. Financial constraints arise due to frictions in the process of raising funds from capital markets. If firms have difficulty raising enough funds to invest in profitable projects or are financially constrained, they lose profitable investment opportunities, and then the value of such financially constrained firms declines. Thus, investors perceive financial constraints as risk and demand a premium for such risk. Lamont, Polk, and Saa-Requejo (2001) test whether financial constraints can be a common risk factor that affects stock prices. These authors construct a factor based on the degree of financial constraint by buying long financially constrained firms and selling short financially unconstrained firms. They find a negative relation between financial constraints and stock return. That is, financially constrained firms earn lower stock returns than do financially unconstrained firms. By decomposing the sample period into expansion and contraction periods, Campello and Chen (2010) find that the stock price of financially constrained firms rises more than that of financially unconstrained firms during expansion periods, whereas it falls more than that of financially unconstrained firms during contraction periods. They thus conclude that financial constraints can affect stock prices. To measure financial constraints, previous studies use an index, such as the Kaplan and Zingales (1997) (KZ) index, or individual proxy variables. Those researchers that use the KZ index use the estimated coefficients listed in it to directly compute the index value and in turn use this index value to measure the degree of financial constraint. However, Farre-Mensa and Ljungqvist (2016) argue that this method is problematic. Almeida, Campello, and Weisbach (2004) therefore suggest an approach to determine whether a given measure, such as the KZ index, precisely represents the degree of financial constraint. This approach is to use the sensitivity of cash flows to cash holdings. We use this approach to select the variables to be included in the index that we then use to measure the degree of financial constraint in the Korean stock market. We select the following variables for the index: R&D growth rate, cash and cash equivalents ratio, and sales growth rate. To our knowledge, this index is the first to measure financial constraints in the Korean literature. We construct five portfolios by sorting all Korean firms based on our index values, and we find that average stock returns tend to increase across the portfolios. In other words, more (less) financially constrained firms tend to earn higher (lower) returns. This result is somewhat different from those of Lamont et al. (2001), who examine the U.S. market. Furthermore, the difference in average return between the most and least financially constrained portfolios is positive and statistically significant. However, this significant difference is observable only during up-markets and not during down-markets. To examine whether financial constraints are a priced factor, we use two kinds of test: time-series and cross-sectional. To conduct time-series tests, we regress the financial constraint factor on the factors included in the well-known factor models, such as the CAPM and Fama and French (1993) three-factor model. We construct the financial constraint factor using a zero-investment strategy based on the degree of financial constraint. The time-series regression results show that the CAPM factor does not explain the financial constraint factor, although it is satisfactorily explained by the three-factor model. This indicates that financial constraints are subsumed by the factors related to size and especially the book-to-market ratio. In the cross-sectional regression tests, we find that the coefficient estimates on the financial constraint variable are statistically insignificant. In other words, financial constraints are not priced into stock returns in Korea. In summary, we find a positive relation between financial constraints and stock returns in Korea. However, it is hard to claim that financial constraints are a priced risk. This study contributes to the literature as follows. First, we provide an alternative way to construct the financial constraints index to measure the degree of financial constraint for Korean firms. Second, this study is the first in the Korea literature to test whether financial constraints are a priced risk in Korea.
Financial Constraints, Systematic Risk, Stock Returns In The Korean Stock Market, Factor Portfolios, Abnormal Returns