자본구조 결정변수들의 지속성 효과
Does the Determinants of Capital Structure have Persistence?
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초록
본 논문은 거래소시장(KOSPI)에 상장된 제조기업을 대상으로 Kayhan and Titman (2007)에 의해 제시된 순수마켓타이밍(YT)과 재무적자, 수익성, 주가수익률 등의 전통적인 자본구조결정요인 및 레버리지적자, 목표레버리지변동 요인들이 장기적으로 자본구조변동에 얼마나 지속성을 가지고 있는지를 비교 분석한다. 본 논문의 실증분석 결과는 다음과 같다. 첫째, 순수마켓타이밍 효과에 대한 지속성은 동태적 절충이론 및 순위이론의 변수들에 비하여 미미하였다. 둘째, 특히 동태적 절충이론의 변수 인 레버리지 적자, 레버리지적자 더미 및 목표레버리지 변동은 YT 보다 매우 큰 효과를 주었고, 이에 따른 지속성 효과도 높았다. 셋째, Welch(2004)에 의해 제시된 주가수익률 효과는 마켓 타이밍 효과와 비교 시 상대적으로 높았으며, 수익성도 레버리지 변동에 매우 많은 영향을 주었고 재무적자변수도 매우 지속성을 가지고 있음이 증명되었다. 넷째, 장기효과의 역전현상을 분석한 결과, YT, 주가수익률(부분적), 수익성 등이 역전현상을 보였으며 목표레버리지로 가려는 움직임은 기존 연구결과와 달리 매우 느리게 움직이는 경향이 있음이 발견되었다. 이러한 결과는 시간에 따라 자본구조가 절충이론의 결과를 지지하고 있음을 알 수 있다.
Abstract
This paper investigates how the determinants of capital structure affect debt ratio persistently using non-financial firms listed in Korean Stock Market (KOSPI). The result of this paper is as follows: First, it finds that the persistent effect in long-term and short-term is weaker rather than the effect of trade-off and pecking order. Second, it provides that especially leverage deficit, leverage deficit dummy, and target leverage change as the variable of dynamic trade-off theory have much impact on change in capital structure relative to YT impact. Stock price change effect suggested by Welch (2004) also has much impact on change in capital structure and additionally it is revealed that profitability and financial deficit effect have a substantial influence on changes in capital structure when comparing to YT impact. Third, consistent with Kayhan & Titman(2007), but contrast to previous conclusions, this paper shows that their effects which are YT, stock price change and profitability are partially reversed over long horizons. In addition, these results suggest that although the variables of trade-off and pecking order theory strongly influence their capital structure, over time their capital structures also tend to move towards target debt ratios, implying consistent with the trade-off theories of capital structure. Finally, the speed of adjustment for moving towards target debt ratio is slow in contrast to previous results. As matter of fact, we conclude that the persistent of market timing effect seems to be exaggerated in comparing prior results.
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