한국 대규모기업집단에서 내부자본시장과 대리인 문제 : 그룹 현금보유의 역할

Corporate cash holdings in major developed countries have increased sharply because of the heightened economic uncertainty since the 2008 global financial crisis. In Korea, corporate cash holdings increased rapidly after the country went through two major crises in 1997 and 2008. In 2010, cash and cash equivalents (hereafter, ‘cash assets’) held by non-financial listed firms exceeded 100 trillion won (9.2% of total assets). The level of cash assets held by listed firms of the top 10 chaebol groups is especially noteworthy as it increased rapidly from 28 trillion won in 2006 to 124 trillion won in 2012. In the first quarter of 2014, the top 10 chaebols’ cash assets accounted for about 75% of the top 500 firms of Korea. It is clear that most of the cash assets in Korea are held by chaebols. However, media reports often raise the problem that chaebols do not invest as much as their cash holdings increase. This paper investigates the trade-off and effects that a group’ cash holdings has towards making internal capital markets more efficient or deepening agency problems. The high level of a group’s cash holdings can facilitate internal capital markets operations through cross-subsidization. On the other hand, it can trigger agency problems such as tunneling and propping if it is misused for the private benefit of controlling shareholders. Group-level cash holdings are meaningful and have important implications in terms of internal capital markets and agency problems. If a firm within a group is financially constrained, the group’s abundant cash holdings can help the firm overcome financial constraints. However, if a group’s cash is limited, the firm will be constrained. Following the free cash flow hypothesis of Jensen (1986), agency problems in the business group also can be more likely to appear when the group’s cash is abundant. Although many existing literature have focused on firm-level cash holdings and the difference in the functioning of internal capital markets between chaebols and non-chaebols, they do not consider group-level cash holdings. To the best of our knowledge, this is the first paper to directly intro-duce group-level cash holdings. This study intends to answer the following questions. First, are a group’s high cash holdings helpful to financially constrained firms within the group that have higher funding needs? Second, are the internal capital markets of business groups efficient? Third, do high cash assets cause agency problems such as tunneling and propping? Our sample firms are all affiliates of Korean large business groups (chaebols) in which a family is the controlling shareholder over the period of 2001 to 2010. Financially constrained firms are defined as firms below the median age within a group or unlisted firms that have low accessibility to capital markets. We use cash flow rights (hereafter, ‘CFR’) of controlling shareholders as a proxy of agency problem. The main results of this paper are as follows. First, controlling for other factors to explain firms’ profitability, financially constrained firms in a group have higher profitability than financially unconstrained firms as the level of the group’s cash holdings is higher. This result supports the claim that internal capital markets operate well in groups with high cash holdings. Second, a group’s high cash holdings lower financially constrained firms’ investment efficiency, which is estimated as the positive effect of investments on performance. In turn, this means a group’s abundant surplus resources can lead to agency problems such as overinvestment and also supports Jensen (1986)’s free cash flow hypothesis in the group-level. Third, only when the level of a group’s cash holdings is high is the investment-cash flow sensitivity of financially constrained firms lower than the sensitivity of financially unconstrained firms. This result shows that a group’s cash holdings can be a means for firms to overcome financial constraints. However, we do not find any evidence that fast-growing firms invest more actively. This means that internal capital markets within Korean business groups are not efficient. Fourth, when the level of a group’s cash holdings is clearly excessive, the investment-cash flow sensitivity of financially constrained firms is insignificant but the sensitivity of firms with low CFR is significantly positive. This implies that when a group holds too much cash assets, internal capital markets do not function well and agency problems based on ownership structure can occur. Fifth, before the 2008 financial crisis, the investment-cash flow sensitivity of financially constrained firms was significantly lower than the sensitivity of financially unconstrained firms when the level of the group’s cash holdings was high. However, this difference between financially constrained firms and unconstrained firms disappeared after the crisis. This means that the functioning of internal capital markets in chaebols has weakened after the crisis and supports Lee et al.(2009). Overall, the results of this paper suggest that the high level of groups’ cash holdings can be helpful to financially constrained firms but the functioning of internal capital markets contains inefficiency due to agency problems.