상품시장의 경쟁정도가 기업의 고유변동성에 미치는 영향

The purpose of this study is to empirically analyze the hypothesis that the higher the degree of competition in the product market, the lower the firm’s idiosyncratic volatility, and to investigate whether the degree of competition in the product market is differentiated by the size of the firm’s capital structure stability and financial risk ratio. In other words, it is intended to analyze whether the idiosyncratic risk determined by firm characteristics, not the market situation differs according to the degree of competition in the product market. The hypothesis of this study is based on previous studies that the degree of competition in the product market acts as a mechanism of external corporate governance with the effect of market discipline to alleviate the opportunistic profit management, agent problem, and information asymmetry problem of managers. In addition, the hypothesis the debt ratio, which is a financial risk characteristic of a firm, has a discriminatory effect on the relationship between competition in the product market and idiosyncratic volatility was established based on a study by Yu-jin Shin and Jeon-ok Kim(2016). The empirical analysis measured product market competition by using the Herfindahl-Hirschman Index(HHI) based on the studies of Shin Il-Hang et al. (2014) and Son Seong-Gyu et al. (2014). The sales of individual firms in the same industry were divided by the sales of the entire industry and squared, and then measured by adding them by industry. The firm’s idiosyncratic volatility, a dependent variable of this study, was measured by subtracting the market return from the actual return using the market-adjusted return model and analyzed as the variance of monthly and daily market-adjusted returns for the robustness of the study results. The results of an empirical analysis of non-financial firms listed on the securities market in December during the period from 2001 to 2020 are as follows. First, the degree of competition regression coefficient(HHI) of the product market shows a statistically significant negative (-) value, which is consistent with the hypothesis suggested in this study, indicating that he higher the degree of competition in the product market, the lower the firm’s idiosyncratic volatility. Second, in the case of firms with a high deb ration, there is a significant negative (-) relationship between the degree of competition in the product market and idiosyncratic volatility. These results can be interpreted as the higher the degree of competition in he product market, the lower the idiosyncratic volatility. However, for firms with low debt rations, the relationship between the degree of competition in the product market and idiosyncratic volatility was no statistically significant, which can be interpreted as a factor that investors do not recognize as a factor affecting idiosyncratic risk. There have been many studies done on idiosyncratic volatility, due to growing interest by investors, there has never been a study as it is an investment risk that can be reduced by proper portfolio structure management. However, there has been little to no studies that have examined the effect of external corporate governance on idiosyncratic volatility. In this respect, the verification results of this study are meaningful in that the study on firm’s idiosyncratic volatility is further embodied and expanded, and are expected to provide practical implications to financial statement writers by empirically analyzing that the degree of competition in the product market provides usefulness for accounting information users; decision-making.