코리아 디스카운트의 잠재적 원인들에 대한 실증분석

Using extensive firm-level data, this study evaluates the explanatory power of shareholder rights and payout ratios, factors commonly cited as contributing to the “Korea Discount.” Our analysis of a sample of 58 countries from 2002 to 2018 reveals that shareholder rights or protection in Korea's market are not inferior to those in other markets. Conversely, Korea’s market ranks lower on the Economic Policy and World Uncertainty Indices, suggesting that these factors are potential causes of the Korea Discount. Meanwhile, compared with companies in other countries, Korean companies make larger payouts (i.e., the sum of dividends and share repurchases). Notably, firm value plummeted over the long term in markets where payouts increased the most. Therefore, there is no empirical evidence that "low payouts cause the Korea Discount" or "higher payouts can resolve the Korea Discount." Finally, South Korea’s market shows a significant turnover, indicating short-term investment behavior, and very low value-relevance, suggesting that short-term investors dominate the Korean market and do not consider corporate fundamentals. The study also found that low value-relevance and high turnover are associated with low firm value in our sample countries, indicating a relation between excessive short-term trading and the Korea Discount.