국내 회사채 발행 기업의 위험이 전효과에 대한 실증연구

The problem of risk shifting happens due to a conflict of interests between a firm’s bondholders and its shareholders. Shareholders have an incentive to take a highly risky project even when it has negative net present value. Financial researchers have recognized that the risk shifting problem could be exacerbated due to the debt issuances. This paper focuses on the risk shifting behavior of the firms in Korea. More specifically, we try to investigate to determine if the problem actually exists in Korean firms, and then to empirically identify the determinants which explain the degree of risk shifting behavior of the firms. As far as we know, this paper is the first one to study the risk shifting behavior of the firms in Korea by comparing the operating risks based on the earnings volatility before and after a debt issue. In the similar context in measuring the degree of the risk shifting of the firms, Danielova, Sarkar & Hong (2013) adopted the volatility of earnings as a risk measurement of firm’s operating activities. As argued in Danielova et al. (2013), the use of earnings volatility has the advantage in empirical studies in that earnings can be directly observed, thus the volatility can be directly computed without any specific valuation model. The main empirical results are consistent with those obtained in the previous study such as Danielova et al. (2013) and the test hypotheses proposed in the study. We find that the operating risk rises substantially, on average, and the difference before and after a bond issue is both economically and statistically significant. Our findings represent that the firms in Korea, on average, show the risk-shifting behavior, and it does not disappear even after the operating earnings of the firms are adjusted for those of corresponding industries.