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Idiosyncratic Risk and Ownership Structure: Evidence from the South Korean Market

김지원|장승욱
한국금융공학회 (Korean Association of Financial Engineering)|2022.03|金融工學硏究 (Korean Journal of Financial Engineering)|제21권 제1호|pp. 127-159|DOI 10.35527/kfedoi.2022.21.1.006

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참고문헌

키워드

재벌Corporate GovernanceChaebol소유구조주식수익률Ownership Structure기업위험Firm RiskIdiosyncratic RiskOwnership Concentration.고유위험1대주주고유변동성소유집중도
주제분류경영학

초록

This paper analyses whether different ownership structures influence the firm risk in the South Korean markets. To investigate the hypotheses, idiosyncratic volatility was used as a proxy of firm risk. The results present a fixed-effects model to analyse the relation between firm risk and ownership structure. This paper analyses that the subjects of the first largest shareholder were divided into individuals, institutions, foreigners, and companies. This research found that foreigners were at higher risk than the other ownership foam. Dividing chaebol and non-chaebol companies, it was confirmed in the second hypothesis that chaebol companies own lower corporate risks than non-chaebol companies. Furthermore, comparing chaebol and non-chaebol companies by the first largest shareholder, if a foreigner owns a chaebol company as the largest shareholder, the corporate risk is higher than that of individuals or institutions, and the corporate risk is lower than that of other companies. Therefore, this study expects that it will enhance the understanding of idiosyncratic volatility and impact investors' investment decisions through identifying the ownership structure, resulting in a high practical contribution.

Abstract

This paper analyses whether different ownership structures influence the firm risk in the South Korean markets. To investigate the hypotheses, idiosyncratic volatility was used as a proxy of firm risk. The results present a fixed-effects model to analyse the relation between firm risk and ownership structure. This paper analyses that the subjects of the first largest shareholder were divided into individuals, institutions, foreigners, and companies. This research found that foreigners were at higher risk than the other ownership foam. Dividing chaebol and non-chaebol companies, it was confirmed in the second hypothesis that chaebol companies own lower corporate risks than non-chaebol companies. Furthermore, comparing chaebol and non-chaebol companies by the first largest shareholder, if a foreigner owns a chaebol company as the largest shareholder, the corporate risk is higher than that of individuals or institutions, and the corporate risk is lower than that of other companies. Therefore, this study expects that it will enhance the understanding of idiosyncratic volatility and impact investors' investment decisions through identifying the ownership structure, resulting in a high practical contribution.

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