협동조합의 체계적 위험 추정에 관한 연구: 소비자생활협동조합을 중심으로
The Estimation of Systematic Risk in Consumer Co-operatives
0
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
본 연구는 협동조합 자기자본의 체계적 위험을 추정하고자 한다. 자기자본비용 추정과 관련한 주요한 이론은 자본자산가격결정모형으로, 자기자본비용 추정에 있어 중요한 변수는 체계적 위험(베타)이다. 협동조합의 출자증권은 상장될 수 없기 때문에 주가자료를 얻을 수 없다. 그래서 본 연구는 상장기업의 재무변수와 베타의 관계를 사용하여 협동조합의 베타를 추정한다. 상장기업 분석결과, 베타는 재무레버리지, 성장성, 이익변동성과 유의한 양(+)의 관계를, 기업규모와 유의한 음(-)의 관계를 보여주었다. 이렇게 도출된 회귀계수를 표본생협의 재무변수에 적용하여 표본생협의 베타를 추정한다. 추정결과, 표본생협의 베타는 1.19-1.40으로, 표본기업의 베타와 시장포트폴리오의 베타 1보다 높은 것으로 나타났다. 이는 표본생협은 상장기업에 비해 더 높은 재무레버리지, 성장성과 이익변동성, 그리고 더 작은 기업규모를 가지기 때문이다. 본 연구는 협동조합의 체계적 위험 적용가능성을 보여준 것에 의의가 있다.
Abstract
This study aims at estimating the systematic risk of equity in co-operatives. A major theory for the estimation of costs of capital is a capital asset pricing model where systematic risk (beta) is a very important variable. Member shares of co-operatives cannot be listed in markets, and thus betas of their shares cannot be estimated by using stock price data. This study uses an alternative method. According to prior studies, a beta is related to financial leverage, firm size, growth, liquidity and earnings variability. As the results of this study, betas have significantly positive relation to financial leverage, growth and earnings variability, and negative relation to firm size in listed firms. By applying the coefficients from regression analyses to financial variables of consumer co-operatives, their betas can be estimated. This study presents that their betas are between 1.19-1.40 during sample periods, which results from the facts that they have higher financial leverage, growth and earnings variability, and the smaller firm size compared to listed companies. This research has significance in that systematic risk is applied to co-operatives. Also, estimated betas can be used to estimate costs of capital, which are criteria of capital budgeting and performance evaluation.
참고문헌 (37)
- 김권중, "회계변수를 이용한 베타계수 추정과 기간통신 사업자의 자본비용 측정", 경제연구, 15, pp.101~132 (1999)
- 김종대, "연결재무구조와 체계적 위험간의 상관관계분석 -연결정책수립을 위한 실증연구", 경영학연구, 30(3), pp.855~876 (2001), 한국경영학회
- 민인식, "STATA 패널데이터 분석" (2016), ㈜지필미디어
- 박순식, "회계위험변수 베타예측모형과 위험수준별 예측오차분석", 재무관리연구, 16, pp.215~241 (1999)
- 사회적경제 활성화 방안, "일자리위원회", ~ (2017)
- 장지인, "비상장 통신사업자의 자본비용 추정에 관한 연구: 한국통신의 경우", 정보통신정책연구, 6, pp.35~57 (1999)
- 정유경, "비상장 외식기업의 가중평균자본비용 추정에 관한 연구 - 썬앳푸드와 아모제를 중심으로 -", 관광학연구, 34(2), pp.411~432 (2010), 한국관광학회
- 최우석, "부채의 사용이 소비자생활협동조합의 재무성과에미치는 영향", 사회적가치와 기업연구, 7(1), pp.91~116 (2014), 사단법인 사회적기업학회
- Rediscovering the Cooperative Advantage-Poverty Reduction through Self-help, "Birchall, J.", International Labour Organisation, ~ (2003)
- Ball, R., "Portfolio theory and accounting", Journal of Accounting Research, 7, pp.300~323 (1969)
- Beaver, W., "The association between market determined and accounting determined risk measures", Accounting Review, 45, pp.654~682 (1970)
- Ben-Zion, U., "Size, leverage, and dividend record as determinants of equity risk", Journal of Finance, 30, pp.1015~1026 (1975)
- Bildersee, J. S., "The association between a market-determined measure of risk and alternative measures of risk", Accounting Review, 50, pp.81~98 (1975)
- Bowman, R. G., "The theoretical relationship between systematic risk and financial (accounting) variables", Journal of Finance, 34, pp.617~630 (1979)
- Bowman, R. G., "The theoretical relationship between systematic risk and financial (accounting) variables: Reply", Journal of Finance, 363, pp.749~750 (1981)
- Brimble, M., "Assessing the risk relevance of accounting variables in diverse economic conditions", Managerial Finance, 33, pp.553~573 (2007)
- Brotherson, W. T., "'Best practices'in estimating the cost of capital: An update", Journal of Applied Finance, 23, pp.1~19 (2013)
- Bruner, R. F., "Best practices in estimating the cost of capital : Survey and synthesis", Journal of Applied Finance, 8, pp.13~28 (1998)
- Callahan, C. M., "The determinants of systematic risk: A synthesis", Financial Review, 24, pp.157~181 (1989)
- Capstaff, J., "The usefulness of UK accounting and market data for predicting the perceived risk class of securities", Accounting and Business Research, 22, pp.219~228 (1992)
- Castagna, A. D., "The relationship between accounting variables and systematic risk and the prediction of systematic risk", Australian Journal of Management, 3, pp.113~126 (1978)
- Clark, T. S., "Should I use fixed or random effects?", Political Science Research and Methods, 3, pp.399~408 (2015)
- Copeland, T. E., "Financial theory and corporate policy" (2014), Pearson Education Limited
- Damodaran, A., "Investment valuation: Tools and techniques for determining the value of any asset" (2012), John Wiley & Sons
- Elgers, P. T., "Accounting-based risk predictions: A re-examination", Accounting Review, 55, pp.389~408 (1980)
- Elgers, P. T., "The impact of the choice of market index on the empirical evaluation of accounting risk measures", Accounting Review, 57, pp.358~375 (1982)
- Fama, E. F., "The cross‐section of expected stock returns", Journal of Finance, 47, pp.427~465 (1992)
- Eskew, R. K., "The forecasting ability of accounting risk measures: Some additional evidence", Accounting Review, 54, pp.107~118 (1979)
- Hamada, R. S., "Portfolio analysis, market equilibrium and corporation finance", Journal of Finance, 24, pp.13~31 (1969)
- Hansmann, H., "The Ownership of Enterprise" (1996), Havard University Press
- Jensen, M. C., "Agency costs of free cash flow, corporate finance, and takeovers", American Economic Review, 76, pp.323~329 (1986)
- Logue, D. E., "Financial policy and market expectations", Financial Management, 1, pp.37~44 (1972)
- López-Espinosa, G., "Equity-liabilities distinction:The case for co-operatives", Journal of International Financial Management and Accounting, 20, pp.274~306 (2009)
- Ryan, S. G., "A survey of research relating accounting numbers to systematic equity risk, with implications for risk disclosure policy and future research", Accounting Horizons, 11, pp.82~95 (1997)
- Spear, R., "The co-operative advantage", Annals of Public and Cooperative Economics, 71, pp.507~523 (2000)
- Palliam, R., "Estimating the cost of capital : Considerations for small business", Journal of Risk Finance, 6, pp.335~340 (2005)
- Pettit, J., "Corporate capital costs : A practitioner’s guide", Journal of Applied Corporate Finance, 12, pp.113~120 (1999)