기업 유형과 동태적 자본구조결정요인
Firm Categories and Determinants of Dynamic Capital Structure
손판도(고려대학교 동북아경제경영연구소); 손승태(부산외국어대학교)
21권 5호, 1979~2014쪽
초록
본 논문은 우리나라 상장기업의 자본구조 결정요인의 동태성을 연구하였다. 자본구조의 동태성이란 기업의 목표자본구조가 어떤 요인들에 의해서 결정되고 변화하며, 기업은 그 목표자본구조에 얼마나 빨리 조정해 가는가를 말한다. 1990-2003년의 우리나라 상장기업의 시계열 패널자료를 가지고 2단계 GMM-SYS 방법을 이용해 실증분석을 실시한 결과 다음과 같은 몇 가지 흥미로운 결과를 얻게 되었다. 우리나라 상장기업은 목표자본구조를 갖고 있었으며, 그 자본구조의 결정요인과 자본구조에로의 조정속도는 기업의 특성과 레버리지의 종류에 따라 차이가 있는 것으로 나타났다. 기업의 특성에 따라 재벌과 비재벌, 대기업과 소기업으로 표본을 나누어 분석한 결과, 재벌기업에서 수익성, 이익변동성은 장부레버리지에 음(-)의, 유효세율과 주가성과는 장부레버리지에 양(+)의 유의적인 영향을 주었지만, 비재벌기업에서는 유의성이 없었다. 또, 대기업에서 이익변동성은 장부레버리지에 음(-)의 유의적인 영향을 주었으며, 기업규모는 소기업에서 장부레버리지에 음(-)의 유의적인 영향을 주었다. 우리나라 상장기업은 목표자본구조를 가지고 있었고, 목표자본구조로의 조정속도는 장부레버리지보다 시장가치레버리지의 조정속도가 빨랐으며, 비재벌기업보다는 재벌기업, 대기업보다는 소기업의 조정속도가 빠른 것으로 나타났다.
Abstract
This study analyzes the dynamism of the determinants of the capital structure for panel data of 407 Korean firms listed from 1990 to 2003 in KRX based on two-step GMM system methodology suggested by Blundell & Bond(1998). Based on the dynamic model of capital structure, we find that the Korean firms have the target capital structure and the adjustment cost also exists. The adjustment speed of the book leverage is 0.174, which means very low because there are high cost of adjustment toward the target leverage and low cost of being in disequilibrium from the target leverage. For market leverage, the adjustment speed is 0.48, which is more higher than the adjustment speed of the book leverage. Also we find that Chaebol firm depends heavily on debt level than non-Chaebol firm. In the dynamic model of capital structure, since profit has negative effect on the book leverage, which means supporting pecking order theory and there is significant in Chaebol firm. Tangible asset affects negatively to the book leverage and is more important variable in Chaebol firm. For the determinants of market leverage, Profit and MBR which are related to growth opportunity have significantly negative effect and firm size affects positively and is significant on only Chaebol firm. The adjustment speed for Chaebol firm with the speed of 0.234 on the book leverage is faster than for non-Chaebol firm which is 0.163 on the book leverage. The adjustment speed of the market leverage is 0.626 for Chaebol firm and 0.450 for non-Chaebol firm because there are different costs of adjustment.. For large and small firm, earning volatility influences negative impact to the book leverage and there is significant on only large firm. Firm size has negative impact to the book leverage for only small firm and positive effect significantly on the market leverage. Profit has negative effect to the both leverages, which means that the firm with high profitability reduces debt and supports pecking order theory and also is significant in only small firm for the market leverage. Stock performance has significantly positive effect to the book leverage, which means supporting the market timing theory. Liquidity influences negatively to the market leverage. Additionally Free cash flow has negative effect on the market leverage. The speed of adjustment of large firm in the book leverage is 0.197 and slower than small firm with 0.264 and it of large firm in the market leverage is 0.502 and also slower than small firm with 0.626. Overall, the empirical results of this paper reveal the presence of dynamism in the capital structure decision of Korean firms and they tend to dynamic trade-off between cost of speed adjustment and cost of delay in achieving the target leverage level. In conclusion, based on the all sample firms for the book leverage, profit, Market-to Book ratio, tangibility of assets, liquidity, free cash flow, nondebt tax shield, market risk premium and prior changes in share price seem to play important role in determining the capital structure of Korean firms. However, the strength and the nature of the effect of these factors are different on different subsamples which are large and small firm, Chaebol and non-Chaebol firm.
- 발행기관:
- 한국산업경제학회
- 분류:
- 경제학