Modigliani and Miller(1958)의 자본조달결정과 투자결정의 무관련설에 의하면 효율적인 투자는 투자기회에 의해서만 영향을 받아야 한다. 그러나 많은 선행연구에서 기업의 투자가 정보비대칭이나 대리인 문제에 의하여 영향을 받는다는 것은 이미 검증되었다. 본 연구에서는 한국 기업을 대상으로 특정 분기(4/4)에 투자가 집중되는 것을 검증하였고, 그 원인을 분석한 결과 대리인 문제가 4/4분기 투자 집중에 영향을 미치고 있음을 발견하였다. 즉, 잉여현금흐름이 풍부하거나 기업지배구조 점수가 낮아, 대리인 문제가 클 것으로 예상되는 기업에서 다른 분기에 비하여 4/4분기 투자 집중이 더욱 심하였다. 또한 4/4분기에 초과적으로 발생하는 투자는 기업의 장기 성과와 기업가치에 부정적인 영향을 미치는 것을 발견하였다. 따라서 4/4분기의 투자집중은 대리인 문제에 의한 과잉투자로 볼 수 있으며, 본 연구의 결과는 기업지배구조의 개선을 통하여 이와 같은 점이 완화될 수 있음을 시사한다.

According to the irrelevance theorem of Modigliani and Miller (1958), in a perfect and complete market, investment decisions of a firm should be determined by investment opportunities of the firm. Various types of market frictions (e.g information asymmetry, and agency costs), however, make the firm`s financial structure be relevant (Stiglitz and Weiss, 1981; Stulz, 1990; Fazzari, Hubbard, and Petersen 1988; Kaplan and Zingales, 1997; Cleary, 1999). Pawlina and Renneboog (2005) show that the suboptimal investment policy is the result of agency problem when managers with high discretion overinvest, and also show that effective monitoring system could mitigate this suboptimal investment problem. Shin and Kim (2002) find that quarterly capital expenditures are inefficiently allocated and the degree of inefficiency is explained by agency costs. In this paper, we try to find out the relationship between inefficient quarterly capital expenditures and agency costs, and show the effects of that relationship on the firm`s value. Using the quarterly financial data of the Korea listed firms (2003~2008), we find that capital expendituresare significantly higher in the 4th quarter than in other quarters even after controlling for business capital investment determinants. First, we use the following model to investigate whether fourth quarter capital expenditures are different from other quarters: Capital Expenditures(i,t)=β0+β1* cash flows(i,t)+β2* cash holdings(i,t)+β3* sales growth(i,t)+β4* Tobin`s Q(i,t-1)+β5* 4th quarter(i,t)+β6* year dummy+β7* industry dummy. We find that β5 is positive and statistically significantly different from zero. Therefore, we conclude that there is abnormal 4th quarter capital expenditures in Korean listed firms. Next, in order to investigate whether the abnormal 4th quarter capital expenditures are due to agency costs of firm, we try to capture the relationship between the abnormal 4th quarter capital expenditures and free cash flow/cash holdings using them as proxy for agency costs. We also include an analysis with Corporate Governance Index from Korea Corporate Governance Service which is a more direct measurement for agency costs. We divide the sample into two groups based on agency costs and see if the coefficient of the 4th quarter dummy is different between groups. The following is the null hypothesis: Test H0:β5(for firms with larger agency costs)=β5(for firms with smaller agency costs). Through cross sectional analysis and parallelism test, the abnormal 4th quarter capital expenditures are more evident for firms with greater agency costs (larger free cash flows, larger cash holdings, lower corporate governance index) than for firms with smaller agency costs (smaller free cash flows, smaller cash holdings, higher corporate governance index). Finally, using the following regression models, we investigate whether the abnormal 4th quarter capital expenditures have negative impact on future firm performance: EBIT (or ROA)i,t+1=α0+α1* leverage(i,t)+α2* log(sales)i,t+α3* sales growth(i,t,)+α4* Q Abnormal Investment(i,t)+α5* year dummy+α6* industry dummy. We compute the abnormal 4th quarter capital expenditures as the difference between the actual 4th quarter capital expenditures and theestimated(theoretical) 4th quarter capital expenditures from an investment model. 4Q Abnormal Investment = 4Q Real Investment-4Q Estimated Investment. We confirm that the abnormal 4th quarter capital expenditure-shave a statistically significant and negative effect on firm`s future operating performance measured by ROA and EBIT over assets, and value measured by change in market to book ratio. Our findings are consistent with the notion that the abnormal 4th quarter capital expenditures are inefficient overinvestment caused by agency costs. Furthermore, our findings suggest that improvement incorporate governance system may be a possible solution for this over-investment and poor performance.