부채비율과 주식수익률에 관한 연구

• 영문명: A Study on the Relationship between Debt-Ratio and Stock-Return
• 발행기관: 대한경영교육학회
• 저자명: 박정미(Park, Jung Mi)
• 간행물 정보: 『경영교육저널』제5호, 83~115쪽, 전체 32쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2004.12.31

국문 초록

본 연구의 목적은 한국상장기업들에 있어서 부채비율이 주식수익률에 유의한 영향을 미치는지를 알아보는 것이다. 특히 부채비율 중 어떠한 요인이 주식수익률에 유의한 영향을 미치는지 판단하는 것이다.. 또한 5대재벌에 대하여 1999년까지 부채비율200%이하로 낮추라는 정부 정책이 적절한 지에 대해서 검증하는 것이다. 결과 아래와 같이 요약할 수 있다. 첫째, 한국기업에 있어 부채비율은 보통주의 주식수익률을 설명하는 위험요소로 적절하였다. 둘째, 시장에서 투자자들은 고정부채보다 유동부채를 보다 더 위험한 것으로 인식하고 이를 자신의 투자의사결정에 반영한다는 것이다. 셋째, 금융위기 이후 부채비율을 이용한 규제가 타당하지 않았다고 보며, 전체 부채비율에 대한 규제보다는 향후 부채비율을 이용한 규제가 장ㆍ단기 차입구조를 고려한 규제로 전환되어야 할 것이라고 본다. 일률적인 부채비율을 적용하는 규제는 어느 정도의 타당성을 지니지만, 단순한 부채비율보다는 차입구조에 따라 금융비용 부담 능력에 차이가 있으므로 이를 고려한 규제가 타당할 것으로 보인다.

영문 초록

The purpose of this study is to test whether or not Debt-ratio effects significantly to Stock-Return on the listed firms in the Korean Stock Exchange, specifically to identify which factor of determinants of Debt-Ratio have significant effects on the Stock-Return. Also, it is to test whether the Korean Government's Debt-Ratio restriction that the Chaebol, top 5 corporations are required to lower Debt-Ratio to 200% until 1999 is relevant. The results of finding can be summarized as follows. First, this paper found evidence of a strong association between DER and the Stock Return. The coefficient of DER was signigicant negative value in the samples. Second, in the regression analysis when DER was divided into DER1 and DER2, it showed that only the coefficient of DER2 was significant negative value. Third, the data was segregated into two part, the less then norm group and the extra group, by DER norm (each 200%～600%). The same procedures as in the first part and in the second part was carried out, and then the result of each group was compared. When DER≤200%, DER〉200%, DER〉300% or DER〉600%, each portfolio group's coefficient was not statistically signigicant. But when DER is from 300% to 600%, the coefficient of DER of the less then norm group was significant negative value. Also ER is from 300% to 500%, the coefficient of DER of the more then norm group was significant positive value. It could be viewed as investors perceive decrease of firm value if DER increase in Korean capital market. As compared with previous studies, the characteristics of this study can be summarized as follows: First, the relationship of DER and Stock Return was significant negative value over the period from 1991 to 1999. In the regression analysis when the test period was divided into "the curve of sloping upward(1995-1997)" and "the curve of sloping downward(1998-1999)", during "the curve of sloping upward", the relationship of DER and Stock Return was significant negative value, but during "the curve of sloping downward," the relationship of DER and Stock Return was significant positive value. Second, as the relationship of DER and Stock Return, DER2 also was significant negative value. Third, portfolio formation method is different from previous studies. Fourth, this study pooled cross-section and time series data.

목차

국문초록

Ⅰ. 서론

Ⅱ. 선행연구 및 가설설정

Ⅲ. 표본 및 연구방법

Ⅳ. 검증결과

Ⅴ. 요약 및 결론

참고문헌

ABSTRACT

키워드

부채비율 자본구조 주식수익률 Debt-ratio. Capital structure Stock-return