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한국재무학회> 재무연구> Testing the Conditional CAPM Using Short-Window Regressions : A Critique

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Testing the Conditional CAPM Using Short-Window Regressions : A Critique

Jaewon Choi
  • : 한국재무학회
  • : 재무연구 34권3호
  • : 연속간행물
  • : 2021년 08월
  • : 155-170(16pages)
재무연구

DOI


목차

Ⅰ. Introduction
Ⅱ. A Brief Summary of the Empirical Results in LN
Ⅲ. The Effect of Portfolio Formation on Autocorrelation Estimates
Ⅳ. The Effect of Persistence in Conditional Betas on Conditional Alpha Estimates
Ⅴ. Estimation Errors in cov(βt, γt)
Ⅵ. Conclusion
References

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Using short-window regressions, prior studies have shown that the conditional CAPM performs as poorly as the unconditional CAPM and that unconditional alphas are too large to be explained by the covariance between conditional betas and market risk premium. I examine the extent to which these results are driven by estimation biases in short-window regressions. Even when the true time-varying beta has highly transient components, beta estimates from these short-window regressions can be estimated to highly persistent because of yearly portfolio reformulations that are commonly employed in empirical studies. I show that, under these circumstances, large non-zero alpha estimates from short-window regressions are consistent with the conditional CAPM and the covariance estimates between conditional betas and market risk premium are biased downward and can have large estimation errors.

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  • : 1229-0351
  • : 2713-6531
  • : 학술지
  • : 연속간행물
  • : 1988-2021
  • : 531


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1Exploring Nonlinear Effects of CEO Power on Stock Price Crash Risk

저자 : Chaehyun Kim

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 1-23 (23 pages)

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This study investigates the role of powerful CEOs on future stock price crashes. Our results reveal an inverted U-shaped relationship between CEO power and stock price crash risk. Specifically, powerful CEOs tend to conceal more negative news, increasing stock price crash risk, which indicates the presence of incentives to take private benefits. However, extremely powerful CEOs decrease stock price crash risk, suggesting that sufficient entrenchment may mitigate further private benefits from concealing negative news. Additionally, the nonlinear relationship is observed only in competitive industries. This fact implies that strong external monitoring mitigates CEOs' incentives to pursue private benefits, but raises extremely powerful CEOs' career concerns, which encourages them to conceal more negative news.

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2CEO Inside Debt and CSR: The Impact of CEO Retirement and Product Market Competition

저자 : Kyumin Cho , Seung Hun Han , Hyeong Joon Kim , Sangsoo Kim

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 25-63 (39 pages)

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Previous literature posits that CEOs with inside debt holdings are more likely to engage in corporate social responsibility (CSR) since they respond to bondholders' demands as their appetite for risk decreases. This study examines whether a CEO's risk concerns moderate the effect of CEO inside debt holdings on the firm's CSR performance. We find that the positive relationship between CEO inside debt and CSR is weakened when CEOs are close to retirement, or when firms face less product market competition within their respective industries. Our results also suggest that the effect of CEO inside debt, as well as the moderating effect of CEO retirement and low competition, differs between internal and external stakeholder CSR. Furthermore, we find that the moderating effect of CEO retirement is strongly supported in propensity score matching analysis and alternative model specification, whereas that of low competition is weakly supported. Overall, this study has important policy implications for board members, managers, investors, and regulators as it highlights that CEOs' compensation structure and risk concerns can be determinants of corporate sustainability policies.

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3국내은행의 비이자수익 비중이 수익성에 미치는 영향

저자 : 김경훈 ( Kyounghun Kim ) , 김남현 ( Namhyun Kim )

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 65-91 (27 pages)

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본 연구에서는 국내은행들의 비이자수익 비중과 수익성 간의 관계를 분석하였다. 기존 연구들과 달리 비이자수익과 수익성 간 비선형(non-linear)관계가 존재하는지를 확인하기 위해 Lind and Mehlum(2010)의 U-Shaped 검정 방법을 이용하였다. 15개 국내은행들의 2008년~2019년까지의 재무제표를 활용하여 분석한 결과, 국내은행 수익성과 비이자수익이 역U자형 관계를 가지는 것으로 나타난다. 이는 비이자수익 비중이 낮은 수준에서 높은 수준으로 높아질수록 수익성이 개선되나, 일정수준에 이르러서는 비이자수익 비중이 높아질수록 오히려 수익성이 떨어지게 된다는 것을 의미한다. 따라서 국내은행들이 비이자수익 비중을 과도하게 늘리는 경우 오히려 은행 수익성을 낮추는 결과를 야기할 가능성이 있다. 반면, 시중은행과 달리 지방은행의 경우에는 비이자수익 비중이 매우 낮아 비이자수익과 수익성 간 유의미한 역U자형 관계를 보이지 않는 것으로 나타난다. 대신에 지방은행의 경우 일부 결과에서 비이자수익과 수익성이 통계적으로 유의미한 양(+) 관계만을 가져, 비이자수익 비중이 커질수록 수익성이 개선되는 것으로 해석할 수 있다.


In the current low-interest rates environment, Korean banks' profitability is expected to weaken significantly because of the large proportion of interest revenue in total revenue. For instance, Korean banks' interest revenue accounted for 84 percent of total revenues in 2019. As a results, Korean banks need to accelerate their strategy for revenue diversification, such as increasing non-interest revenue in total revenue. In general, revenue diversification, such as increasing a non-interest revenue, is expected to stabilize or improve banks' profitability. However, previous empirical studies show inconsistent results on the relationship between non-interest revenue and total profitability in banks. For instance, Smith et al. (2003) argue that banks' profitability is stabilized by diversifying revenue if the non-interest revenue increases. In contrast, De Young and Roland (2001), Stiroh and Rumble (2006) show that the high volatility of non-interest revenue offsets revenue diversification. Stiroh (2004) argues that the increase in non-interest income does not lead to risk diversification because of the the high correlation between interest revenue and non-interest revenue in analysis for U.S. banks. Thus, unlike previous studies, the paper analyzes the relationship between the proportion of non-interest revenue and profitability in Korean banks using the U-shaped test method of Lind and Mehlum (2010) to determine a nonlinear relationship between the proportion of non-interest revenue and profitability. Empirical results using the financial statements of 15 Korean banks from 2008 to 2019 show that Korean banks' profitability and the proportion of non-interest revenue have an inverted U-shaped relationship. Here, the maximum point of an inverted U-shape represents the optimal proportion level of non-interest revenue that generates the highest banks' profitability. It means that profitability improves as the proportion of non-interest revenue increases until the optimal proportion level of non-interest revenue. However, exceeded an optimal proportion level of non-interest revenue, the profitability decreases as the proportion of non-interest revenue increases. This inverted U-shape relationship is interpreted as follows. In a positive relationship between non-interest revenue and profitability, an increase in non-interest revenue obtains an additional profit channel and generates a revenue diversification effect. On the other hand, when non-interest revenue and profitability have a negative relationship, the increasing non-interest revenue causes a reduction in the opportunity profit of interest revenue and amplifies revenue uncertainty by the high volatility of non-interest revenue. The results indicate that Korean banks' excessive concentration of the management capabilities on non-interest operations may decrease the total profitability. In particular, the study also has found that Korean banks have a high correlation between commission revenue, which accounts for the largest proportion of non-interest revenue, and interest revenue. Thus, the result implies that Korean banks' increasing non-interest revenue strategy, although it increases non-interest revenue, has inefficient to achieve revenue diversification effects because of the high correlation between interest revenue and non-interest revenue. For instance, Korean banks often sell products based on non-interest to customers who buy products based on interest; this sales strategy weak the risk diversification effects by overlapping the customer groups between interest and non-interest products. This paper also conducts an empirical analysis by dividing banks into commercial and regional banks. The results show that commercial banks' profitability and the proportion of non-interest revenue have an inverted U-shape relationship. We also empirical test for commercial banks by classifying the observation based on the optimal proportion of non-interest revenue. The results show that the commercial bank's relationship between the proportion of non-interest revenue and profitability is significantly positive in the case of below the optimal proportion level. On the other hand, the commercial bank's relationship between non-interest revenue and profitability is insignificantly negative in the case of above the optimal proportion level, which is attributable to a small number of samples for banks with a proportion of non-interest revenue above the optimal proportion level. That is, the result implies the Korean banks' high reliance on interest revenue. Similarly, local banks have statistically only positive relationships between non-interest revenue and profitability due to the deficient proportion of non-interest revenue. In the current low-interest rate environment, it is inevitable for Korean banks to accelerate expanding non-interest revenue. However, as the results in this paper, excessive non-interest revenue expansion strategies may occur a negative impact on profitability according to an inverted U-shaped relationship between the proportion of non-interest revenue and profitability. Thus, Korean banks should first set up sophisticated and systematic strategies for expanding non-interest revenue to achieve an advantage of increasing non-interest revenue. To do so, banks need to differentiate their sale strategy by customer characteristics and develop their risk management capabilities to manage volatility in non-interest revenue. In addition, it is necessary to derive the optimal proportion of non-interest income for the individual bank by considering the characteristics of an individual bank in the future study.

KCI등재

4기업지배구조와 혁신성과에 관한 연구 : 특허를 중심으로

저자 : 박지영 ( Jiyoung Park )

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 93-124 (32 pages)

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2005년부터 2016년까지 한국기업지배구조원의 기업지배구조점수가 존재하는 상장 기업을 대상으로 기업지배구조가 기업의 혁신성과에 미치는 영향을 분석하였다. 혁신성과는 연구개발비(R&D)와 더불어 혁신활동의 산출물로 표현되는 특허권 취득수와 피인용수를 활용하였다. 실증분석 결과, 건전한 지배구조 기업일수록 연구개발(R&D)활동에 적극적인 것으로 나타났으며, 기업지배구조와 특허권 취득 사이에서도 역시 양(+)의 관계를 보여주었다. 이는 지배구조가 좋은 기업일수록 연구개발(R&D)투자가 활발하며, 혁신의 보호수단인 특허도 많이 보유하는 것으로 해석할 수 있다. 또한 특허의 피인용은 혁신활동의 질(quality)로 대변되며, 지배구조와 피인용건수 간에는 양(+)의 관계를 보였다. 이를 통해 높은 지배구조점수를 받은 기업일수록 파급력 있는 독창적인 기술을 보유하고 있다고 할 수 있다. 모든 결과를 정리하면 건전하고 투명한 지배구조 기업일수록 혁신활동에 적극적인 경향이 있으며, 파급력이 큰 기술에 대한 특허를 보유하고 있음을 시사한다.


This study analyses the effect of corporate governance on corporate innovation. Specifically, I investigate firms that are given corporate governance scores from the Korea Corporate Governance Service (KCGS) in the Korean market from 2005 to 2016. These governance scores have four categories: shareholders' rights, board of directors, market disclosure, and auditing body. For the purposes of this study, I primarily consider the total governance score, which is the comprehensive index of a firm's governance status. In addition, the corporate innovation output is measured by R&D expenditures, the total number of granted patents, and the total number of citations received.
R&D activity, in general, is a long-term investment that causes uncertainty and information asymmetry. It also generates an agency problem, which is a conflict of interest between shareholders and managers (Miozzo and Dewick, 2002; Finkelstein and Boyd, 1998; Coff, 2003). While shareholders prefer R&D investment to pursue the long-term growth and profit of their firm, managers are more likely to prefer short-term investments. As corporate governance aligns the interests of managers and shareholders, governance can positively affect to corporate innovation. Therefore, the hypothesis in this study is that a firm with good governance is likely to demonstrate high innovation (R&D, grated patent, forward citation). Previous studies mainly focus on the relationship between corporate governance and R&D investments, while demonstrating a positive relationship between governance score and R&D investment (Kim, 2003; Kim, 2015; Kim and Lee, 2012; Lee and Cho, 2001). However, there are a few studies that show the relationship between corporate governance and patents. Seok (2018) reports that firms with a high governance score hold more patents using KOSPI firms from 2011 to 2016. He, however, analyzes the total number of granted patents, which represents the quantity of innovative activities. Like Seok (2018), Choi, Chung, and Wang (2020) examine the effect of governance quality on firm innovation using the total number of granted patents. In this study, I analyze forward citations, which represent the quality of corporate innovation, in addition to granted patents.
The crucial contribution of this study is the use of a novel innovation measurement. Unlike, in the US, Korean patent information has not been consolidated in a single database. Since researchers need to hand-collect patent data, previous studies have only analyzed data for short periods or specific industries. Moreover, most research on this topic in Korea uses the total number of granted patents each year to measure firm innovation. To overcome this limitation, I retrieve patent data using a Python program from KIPRISplus (Korea Intellectual Property Rights Information Service), which is a patent information service providing real-time access to KIPO's database with Open API. This allows for the use of forward citation information in order to investigate the quality of the patent. Thus, I extend the prior literature by examining both the quality and quantity of innovative activities using various measurements.
The main findings are as follows. I find a positive association between a firm's governance score and the level of corporate innovation. Firms that have a higher governance score spend more on R&D, which is consistent with the previous literature. Additionally, firms with a strong governance score are likely to grant more patents than firms with weak governance. Moreover, I introduce forward citations as a measure of the quality of innovation, which is calculated by the total number of citations received in subsequent years. The result indicates a positive association between governance score and forward citations. Firms with a strong governance index tend to achieve highly-cited patents. There also exists a significant difference in the coefficient estimates between granted patents and forward citations. These results are robust when compared to alternative approaches. Governance and innovation activities are likely endogenously determined. To alleviate this endogeneity problem, I use the t-1 value for the governance score as well as the two-year sum from t+1 to t+2 for innovation variables, which allow me to find qualitatively similar results. Next, I employ 2SLS analysis with instrument variables. The listed firms, with over two trillion won of total assets, have an obligation regarding the appointment of an outside director, auditor, and audit committee. Thus, this method can be an appropriate instrument to eliminate endogeneity between governance and innovation (Ko, Baik, and Ahn, 2012; Kim and Eum, 2008; Sohn, 2010). In summary, all the results imply that corporate governance is an important factor for explaining corporate innovation activities, especially forward citations.

KCI등재

5국내 확정급여형 퇴직연금 수급권 보장 방안

저자 : 박희진 ( Heejin Park )

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 125-154 (30 pages)

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근로자의 안정적인 노후생활 보장을 위해서는 퇴직연금제도에서 근로자 수급권 보장이 중요함에도 불구하고 2005년 퇴직연금제도 도입 이후 수급권 보장에 대한 제도개선은 거의 이루어지지 않았다. 퇴직연금에서 근로자의 수급권 보장을 위해서는 특히 퇴직연금 지급에 대한 보호가 선제 과제이며 퇴직연금 유형에 따라서 퇴직연금 지급보장방안은 달리 설계되어야 한다. 본 연구는 국내 확정급여형 퇴직연금제도의 수급권 보장체계를 “퇴직연금 지급보장”에 초점을 맞추어서 살펴봄으로써 현 제도상의 문제를 진단한다. 이를 위해 현행 『근로자퇴직급여보장법』에 근거해서 운영되는 퇴직연금 수급권 보호체계인 “재무건전성 규제”, “임금채권우선변제제도”, “임금채권보장제도” 등을 살펴본다. 이후 퇴직연금제도에서 근로자 수급권 보호를 위한 퇴직연금 지급보장제도의 필요성을 제시하고 국내 실정에 맞는 퇴직연금 지급보장제도 설계방안을 제시한다.


In order to ensure stable retirement life for employees, their rights to receive retirement pension benefits must be guaranteed. The claim that guaranteeing the entitlement to pension benefit is important and that ways to protect entitlement are necessary have been continued, there has been little improvement in this regard since the introduction of the “Retirement Benefit Guarantee Act”. Although this act implements the “Minimum External Funding Ratio Regulation”, the “Wage Bonds Priority Repayment System”, and the “Wage Bonds Guarantee System”, it is insufficient to protect the entitlement to pension benefits. First of all, the “Minimum External Funding Ratio Regulation” has a limitation in that a significant number of companies do not meet the minimum funding ratio, however there is no compulsory punishment for this. Next, the “Wage Bonds Priority Repayment System” and the “Wage Bonds Guarantee System” serves to guarantee workers' retirement benefit ex-post when employers fail to pay retirement benefit due to bankruptcy or financial difficulty. However, due to the limited coverage, it serves only as a function of guaranteeing the minimum cost of living for employees.
In this study, we present a plan to guarantee retirement pension benefit of employees belonging to defined benefit entitlement according to the pension governance structure. In particular, we propose that the retirement benefits of employees under the current contract-based governance structure are guaranteed by the “Retirement Benefit Guarantee Fund,” which separates the retirement benefits from the current “Wage Bonds Guarantee Fund”. In addition, we propose to establish “Pension Benefit Guarantee Fund” operated by Pension Benefit Guarantee Institution to guarantee retirement benefits for members under the funded pension governance structure to be introduced in the near future. However, prior to the introduction of these benefit guarantee systems, it should be implemented on strengthening the regulation of the “Minimum External Funding Ratio Regulation” first. Meanwhile, in order to guarantee the payment of retirement benefit, workers' right to receive benefits must be protected at a reasonable level. In particular, it is necessary to legally establish eligibility criteria for payment guarantees and prohibit guarantees over a certain amount to prevent from moral hazard of employers and financial institutions. In addition, the “Retirement Benefit Guarantee Fund” and the Pension Benefit Guarantee Fund” should be operated under the government's agency along with compulsory subscription rather than voluntary subscription by the choice of the employer or trustee. This is because the government's initiative is needed to alleviate the problems of the payment guarantee mechanism that the aforementioned adverse selection and systematic risk cannot be controlled to some extent.
Recently, there has been continuous argument that asset management behavior of retirement pensions should be improved as a way to increase the return on retirement pension assets. The most worrying part about the introduction of default options and fund-type retirement pensions under discussion for this purpose is the fact that the current retirement pension system does not have a practical mechanism to guarantee workers' entitlements. Therefore, in order to increase the subscription rate of the retirement pension and to eliminate blind spots, it is necessary to present a more practical plan to strengthen the right to receive retirement benefits prior to the mandatory introduction of the retirement pension. Although compulsory retirement pension system has the effect of expanding the introduction of retirement pensions in small and medium-sized businesses with relatively weak financial conditions, considering that survival is a priority for companies with poor financial conditions, it may be practically impossible to accumulate retirement benefits outside the company. Therefore, in order to guarantee workers' right to receive retirement pensions, in particular, guarantee and protection of the payment of retirement benefits is a pre-emptive task.

KCI등재

6Testing the Conditional CAPM Using Short-Window Regressions : A Critique

저자 : Jaewon Choi

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 155-170 (16 pages)

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Using short-window regressions, prior studies have shown that the conditional CAPM performs as poorly as the unconditional CAPM and that unconditional alphas are too large to be explained by the covariance between conditional betas and market risk premium. I examine the extent to which these results are driven by estimation biases in short-window regressions. Even when the true time-varying beta has highly transient components, beta estimates from these short-window regressions can be estimated to highly persistent because of yearly portfolio reformulations that are commonly employed in empirical studies. I show that, under these circumstances, large non-zero alpha estimates from short-window regressions are consistent with the conditional CAPM and the covariance estimates between conditional betas and market risk premium are biased downward and can have large estimation errors.

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1Exploring Nonlinear Effects of CEO Power on Stock Price Crash Risk

저자 : Chaehyun Kim

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 1-23 (23 pages)

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This study investigates the role of powerful CEOs on future stock price crashes. Our results reveal an inverted U-shaped relationship between CEO power and stock price crash risk. Specifically, powerful CEOs tend to conceal more negative news, increasing stock price crash risk, which indicates the presence of incentives to take private benefits. However, extremely powerful CEOs decrease stock price crash risk, suggesting that sufficient entrenchment may mitigate further private benefits from concealing negative news. Additionally, the nonlinear relationship is observed only in competitive industries. This fact implies that strong external monitoring mitigates CEOs' incentives to pursue private benefits, but raises extremely powerful CEOs' career concerns, which encourages them to conceal more negative news.

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2CEO Inside Debt and CSR: The Impact of CEO Retirement and Product Market Competition

저자 : Kyumin Cho , Seung Hun Han , Hyeong Joon Kim , Sangsoo Kim

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 25-63 (39 pages)

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Previous literature posits that CEOs with inside debt holdings are more likely to engage in corporate social responsibility (CSR) since they respond to bondholders' demands as their appetite for risk decreases. This study examines whether a CEO's risk concerns moderate the effect of CEO inside debt holdings on the firm's CSR performance. We find that the positive relationship between CEO inside debt and CSR is weakened when CEOs are close to retirement, or when firms face less product market competition within their respective industries. Our results also suggest that the effect of CEO inside debt, as well as the moderating effect of CEO retirement and low competition, differs between internal and external stakeholder CSR. Furthermore, we find that the moderating effect of CEO retirement is strongly supported in propensity score matching analysis and alternative model specification, whereas that of low competition is weakly supported. Overall, this study has important policy implications for board members, managers, investors, and regulators as it highlights that CEOs' compensation structure and risk concerns can be determinants of corporate sustainability policies.

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3국내은행의 비이자수익 비중이 수익성에 미치는 영향

저자 : 김경훈 ( Kyounghun Kim ) , 김남현 ( Namhyun Kim )

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 65-91 (27 pages)

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본 연구에서는 국내은행들의 비이자수익 비중과 수익성 간의 관계를 분석하였다. 기존 연구들과 달리 비이자수익과 수익성 간 비선형(non-linear)관계가 존재하는지를 확인하기 위해 Lind and Mehlum(2010)의 U-Shaped 검정 방법을 이용하였다. 15개 국내은행들의 2008년~2019년까지의 재무제표를 활용하여 분석한 결과, 국내은행 수익성과 비이자수익이 역U자형 관계를 가지는 것으로 나타난다. 이는 비이자수익 비중이 낮은 수준에서 높은 수준으로 높아질수록 수익성이 개선되나, 일정수준에 이르러서는 비이자수익 비중이 높아질수록 오히려 수익성이 떨어지게 된다는 것을 의미한다. 따라서 국내은행들이 비이자수익 비중을 과도하게 늘리는 경우 오히려 은행 수익성을 낮추는 결과를 야기할 가능성이 있다. 반면, 시중은행과 달리 지방은행의 경우에는 비이자수익 비중이 매우 낮아 비이자수익과 수익성 간 유의미한 역U자형 관계를 보이지 않는 것으로 나타난다. 대신에 지방은행의 경우 일부 결과에서 비이자수익과 수익성이 통계적으로 유의미한 양(+) 관계만을 가져, 비이자수익 비중이 커질수록 수익성이 개선되는 것으로 해석할 수 있다.

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4기업지배구조와 혁신성과에 관한 연구 : 특허를 중심으로

저자 : 박지영 ( Jiyoung Park )

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 93-124 (32 pages)

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2005년부터 2016년까지 한국기업지배구조원의 기업지배구조점수가 존재하는 상장 기업을 대상으로 기업지배구조가 기업의 혁신성과에 미치는 영향을 분석하였다. 혁신성과는 연구개발비(R&D)와 더불어 혁신활동의 산출물로 표현되는 특허권 취득수와 피인용수를 활용하였다. 실증분석 결과, 건전한 지배구조 기업일수록 연구개발(R&D)활동에 적극적인 것으로 나타났으며, 기업지배구조와 특허권 취득 사이에서도 역시 양(+)의 관계를 보여주었다. 이는 지배구조가 좋은 기업일수록 연구개발(R&D)투자가 활발하며, 혁신의 보호수단인 특허도 많이 보유하는 것으로 해석할 수 있다. 또한 특허의 피인용은 혁신활동의 질(quality)로 대변되며, 지배구조와 피인용건수 간에는 양(+)의 관계를 보였다. 이를 통해 높은 지배구조점수를 받은 기업일수록 파급력 있는 독창적인 기술을 보유하고 있다고 할 수 있다. 모든 결과를 정리하면 건전하고 투명한 지배구조 기업일수록 혁신활동에 적극적인 경향이 있으며, 파급력이 큰 기술에 대한 특허를 보유하고 있음을 시사한다.

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5국내 확정급여형 퇴직연금 수급권 보장 방안

저자 : 박희진 ( Heejin Park )

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 125-154 (30 pages)

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근로자의 안정적인 노후생활 보장을 위해서는 퇴직연금제도에서 근로자 수급권 보장이 중요함에도 불구하고 2005년 퇴직연금제도 도입 이후 수급권 보장에 대한 제도개선은 거의 이루어지지 않았다. 퇴직연금에서 근로자의 수급권 보장을 위해서는 특히 퇴직연금 지급에 대한 보호가 선제 과제이며 퇴직연금 유형에 따라서 퇴직연금 지급보장방안은 달리 설계되어야 한다. 본 연구는 국내 확정급여형 퇴직연금제도의 수급권 보장체계를 “퇴직연금 지급보장”에 초점을 맞추어서 살펴봄으로써 현 제도상의 문제를 진단한다. 이를 위해 현행 『근로자퇴직급여보장법』에 근거해서 운영되는 퇴직연금 수급권 보호체계인 “재무건전성 규제”, “임금채권우선변제제도”, “임금채권보장제도” 등을 살펴본다. 이후 퇴직연금제도에서 근로자 수급권 보호를 위한 퇴직연금 지급보장제도의 필요성을 제시하고 국내 실정에 맞는 퇴직연금 지급보장제도 설계방안을 제시한다.

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6Testing the Conditional CAPM Using Short-Window Regressions : A Critique

저자 : Jaewon Choi

발행기관 : 한국재무학회 간행물 : 재무연구 34권 3호 발행 연도 : 2021 페이지 : pp. 155-170 (16 pages)

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Using short-window regressions, prior studies have shown that the conditional CAPM performs as poorly as the unconditional CAPM and that unconditional alphas are too large to be explained by the covariance between conditional betas and market risk premium. I examine the extent to which these results are driven by estimation biases in short-window regressions. Even when the true time-varying beta has highly transient components, beta estimates from these short-window regressions can be estimated to highly persistent because of yearly portfolio reformulations that are commonly employed in empirical studies. I show that, under these circumstances, large non-zero alpha estimates from short-window regressions are consistent with the conditional CAPM and the covariance estimates between conditional betas and market risk premium are biased downward and can have large estimation errors.

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