국민연금의 주주행동주의 강화가 투자지분율과 자기자본비용의 관계에 미치는 영향

[Purpose] This study examines the impact of the introduction of the stewardship code of the National Pension Fund (hereinafter ‘NPF’) in 2018 and the strengthening of shareholder activism thereafter on the relationship between the investment share ratio of the NPF and the cost of equity capital of investee companies. [Methodology] This study uses 623 listed firm samples which NPF holds a 5% or more from 2017 to 2020. we use the indicator variables of the years after 2019, the period when the NPF strengthened its shareholder activism, and the NPF’s investment share ratio and its interaction variables. The dependent variable is the arithmetic average value of the cost of equity capital measurements according Claus and Thomas (2001), Ohlson and Juettner (2005), and Easton (2004). [Findings] We found that the interaction effect of the period when shareholder activism of the NPF was strengthened and the share ratio of the NPF showed a significant positive (＋) relationship with the cost of equity capital of the investee company. These results suggest that the NPF policy to strengthen shareholder activism should be perceived in the capital market as a negative aspect, such as information uncertainty due to the lack of professionalism and independence of the NPF, rather than a positive aspect such as improved accounting transparency and monitoring function. [Policy Implications] The results of this study imply that institutional design as well as institutional investor trust recovery must be preceded in order for the strengthening of institutional investors’ role to be recognized as a positive signal in the capital market.