한국 주식시장에서의 조직자본과 주식 수익률의 관계

This study examines the asset pricing implications of organization capital, a type of intangible asset, in the Korean stock market. We measure firms’ organization capital by accumulated selling, general and administrative expenses, and we additionally consider an alternative measure based on the accumulated expenses on wages and R&D activities. When forming quintile portfolios based on the ratio of organization capital to total assets (OA), we find that the highest quintile OA portfolio earns higher mean and risk-adjusted returns than the lowest quintile OA portfolio, consistent with the previous finding in the US stock market. More importantly, the positive OA–return relation is stronger for the OA measure based on wages and R&D activities, both of which are closely related to human capital. Finally, we find that while high-OA firms are less exposed to market risk than low-OA firms, the former are more negatively exposed to technology shocks than the latter. This result suggests that a technology shock—a systematic risk distinguished from the market risk—is the driving factor for the positive relation between OA and stock returns. Furthermore, our results imply that a technology shock can play a significant role in asset pricing in the Korean stock market.