국민연금 투자와 주가폭락위험 사이의 관련성

Recent studies argue that managers conceal and accumulate bad news from investors because of seeking personal gains, such as compensation contract, career concerns. When the accumulated bad news reaches a threshold, it will be suddenly release to stock market, all at once, resulting a stock price crash. Because National Pension Service(NPS) is sophisticated institution with large shareholdings, it has distinguished ability to collect information and monitor manager. Therefore we believe that NPS can lead to invested firms disclose negative information in a timely manner, which may alleviate the stock price crash. However, if the NPS’s independence and expertise are low, there may be a insignificant relation between NPS investment and the stock price crash risk. In addition, considering corporate governance structure in Korea, where the authority is concentrated on controlling shareholders, even if the NPS aggressively exercises shareholder rights, the crash risk may not be significantly reduced. Meanwhile, if NPS investment lead to herding effect, NPS investment could experience higher volatility of the stock and short-term stock price crash risk. From t hese p ersp ectives, we examine the relation b etween N PS investment a nd f irm-sp ecific s tock price c rash r isk. To attain these p urpose, we examine the effect NPS investment on stock price c rash risk through regression analysis. Futhermore, to explore the link between NPS investment and the stock price crash risk, we e xamine t he e ffect of N PS’s selection and monitoring f unction on t he s tock p rice c rash risk through regression analysis. In addition, we investigate that herding effect caused by NPS’s investment affect on stock price crash risk. As results, we find that the firms with higher investment of the NPS are likely to increase the stock price crash risk. As regards, we find evidence that NPS can effectively choice firms with higher accounting quality, but we do not find evidence the NPS effectively monitor their investees. But, we indirectly confirm that herding effect exists for NPS’s investments. We suggest that in order to the NPS effectively monitor the invested firms, it must be preceded by seeking a method of establishing a corporate governance structure that can decentralize the authority of the controlling shareholders. It also suggest the necessity to consider various improvement methods to enhance the independence and expertise of NPS. In addition, We suggest that individual investors should invest in firms invested by NPS in consideration of the herding effect.