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자본비용과 투자의사결정 : 자기자본비용 추정방식과 내부자본시장을 고려한 분석

  • 윤주영 연세대학교 경영대학 박사과정
  • 신현한 연세대학교 경영대학 교수
기업투자를 설명하는 이론에 따르면 미래수익성과 위험조정할인율을 투자의사결정에 영향을 미치는 주요한 요인으로 고려할 수 있다. 본 연구는 Frank and Shen(2016)의 방법론을 이용하여 국내 기업의 자본비용과 투자의 관계를 실증적으로 분석하였다. 가중평균자본비용이 투자에 음(-)의 방향으로 영향을 미칠 것을 예상하였으나, CAPM과 같은 전통적인 방식을 이용할 경우 자본비용이 투자와 유의한 관계를 가지지 않는 것으로 나타났고, 경기상승기로 구분되는 기간에는 유의한 양(+)의 관련성을 보이기도 하였다. 반면 내재자기자본비용을 활용할 경우 자본비용이 투자에 미치는 음(-)의 효과를 확인할 수 있었다. 본 연구는 이에 대한 해석의 근거를 내재자기자본비용의 특성에서 찾고 있다. 기업투자와 관련된 위험에는 비체계적인 요인이 포함되는데 이러한 고유위험에 대한 정보는 주가로부터 도출되는 내재자기자본비용에 더 많이 반영된다고 볼 수 있다. 또한 국내 기업집단에 존재하는 내부자본시장을 고려하여 기업군을 구분하고 분석한 결과 기업집단에 속한 기업의 투자는 독립기업과 달리 가중평균자본비용에 유의하게 반응하지 않는 것으로 나타났다. 이와 같은 결과는 내부자본시장이 기업집단 소속기업의 자본제약 정도를 완화할 수 있음을 시사한다.

Implied Cost of Capital and Corporate Investment Decisions : An Empirical Study of the Internal Capital Market Effect

  • Jooyoung Yoon
  • Hyun-Han Shin
The cost of capital is one of the key determinants of corporate investment, and according to the q theory framework, it has a negative effect on investment. However, there has been relatively little research on the relation between the cost of capital and corporate investment. Frank and Shen (2016) report the following findings: (1) the cost of capital estimated by asset pricing models such as the CAPM have a positive effect on investment; and (2) the implied cost of capital is negatively related to investment. They provide considerable insight into methods for estimating the cost of equity, but do not give a convincing explanation for their unexpected results. Building on their insight, we use a dataset of listed Korean firms to estimate a firm’s expected return using different measurement methods, and investigate whether the empirical result depends on how the cost of equity capital is measured. The most common approach to estimating a firm’s cost of equity is to calculate the expected return based on the CAPM. The implied cost of equity derived from stock prices and analyst forecasts could be an alternative measure of the expected return for a firm’s stock. In this study, we estimate the implied cost of equity by applying two different valuation models: the Gordon growth model and the abnormal earnings growth model developed by Ohlson and Juettner-Nauroth (2005). The sample dataset covers the 2002 to 2016 period. Following Frank and Shen (2016), we use a g-decomposed model in which investment is formulated as a function of marginal profitability and discount rate for a firm’s capital budgeting decision. According to the model based on the q theory, investment should be negatively related to the weighted average cost of capital, which represents the discount rate. Our findings, however, show that the CAPM-based estimate does not confirm the validity of the theoretical prediction. We consider the effect of macroeconomic factor such as the business cycle on the association between the CAPM-based estimates and corporate investment, as it is possible that firms make different investment decisions at different stages of the business cycle. We divide our sample period into an expansion period and a contraction period, and conduct the same analysis on the subsamples. We find that the positive impact of the CAPM estimate is only significant in the expansion period. We also find that the positive effect is large for the subset of relatively small firms that are listed on the Kosdaq market. The implied cost of capital-based analysis produces different results. We find that the implied cost of capital is negatively linked to investment, perhaps because the implied cost of equity capital (i.e., the return required by shareholders) better reflects investors’ expectations about the riskiness of firm-specific investments, and the information imbedded in the estimate can be useful for managers’ capital budgeting decisions. Next, we focus on the internal capital market effect, which occurs in the Korean business group. Following previous studies, we assume that firms that belong to business groups have easier access to internal capital markets. To examine whether the internal capital market plays a significant role in firms’ investment decisions, we categorize our sample firms into two subsamples: independent firms and group-affiliated firms. Our analyses of the subsamples suggest that the cost of capital can have different effects on firms’ investment expenditures depending on their business group affiliation. More specifically, we find that the negative relation between the weighted average cost of capital and investment is statistically insignificant for group-affiliated firms, whereas for independent firms, we find that investment is negatively affected by the weighted average cost of capital. This evidence is consistent with the notion that the investments of group-affiliated firms with easier access to internal capital markets are less affected by external financing cost than independent firms. In a further analysis, we also find that the investment of group-affiliated firms is negatively correlated with the debt component of the WACC, but not with its equity component. This implies that the internal capital market relieves the financing constraints of firms belonging to business groups, but it does not completely substitute for the external capital market. Finally, we use the expected return estimated by the Fama?French three-factor model as a proxy for the cost of equity. We find that the FF3-based estimate has a negative effect on investment, but the effect is not statistically significant for the whole sample, suggesting that the factor loadings of the Fama-French model can measure firm-specific risk more accurately than the CAPM beta, but they are insufficient to represent the unsystematic risk that individual firms are likely to face with respect to their investment decisions.
CAPM,Investment Decision,Weighted Average Cost of Capital,CAPM,Implied Cost of Equity Capital,Internal Capital Market