손해보험회사의 비상위험준비금에 대한 자본시장의 평가
The Capital Market’s Response to the Catastrophe Provisions of the Non-life Insurance Firms
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초록
본 연구에서는 손해보험회사가 적립해 온 비상위험준비금이 그 동안 자본시장에서 어떻게 평가되어 왔는지를 실증 분석한다. 이를 위하여 다음과 같은 두가지 분석방법으로 비상위험준비금의 성격을 규명한다. 첫째, 비상위험준비금과 보통주 베타의 관계를 분석한다. 둘째, 비상위험준비금의 주가관련성을 분석한다. 첫 번째 분석에 의하면 비상위험준비금은 보통주 베타와 유의한 음의 관계를 나타낸다. 이것은 자본시장에서 비상위험준비금을 자본요소의 일부로 인식하고 있음을 나타낸다. 두 번째 분석에 의하면 비상위험준비금은 주가수익률과 유의한 양의 관계를 나타낸다. 이 결과에서도 자본시장은 비상위험준비금을 자본요소로 인식하고 있음을 나타낸다.
Abstract
The purpose of this study is to examine whether catastrophe provisions of non-life insurance firm, those which have been reclassified from liabilities to equity with applications of K-IFRS affect systematic risk of the common stock. This research question was addressed using two methodologies. First, we examine the partial regression coefficient of catastrophe provisions in regression models in which the common stock beta is dependant variable and financial leverage is explanatory variable. Second, we examine the partial regression coefficient of catastrophe provisions in regression model in which the stock price is dependant variable and book value of equity is explanatory variable. Empirical results from the two methodologies suggest that catastrophe provisions of non-life insurance firm do affect systematic risk of the common stock and was positively related with firms' stock price. These results mean the catastrophe provisions are recognized as equity in the capital market.
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