earticle

영어

We examined in this paper whether the impact of liquidity on the expected stock return varies according to a firm’s payout policy. We used the daily relative spread as the proxy for illiquidity and treated it by the means of linear spline functions in order to measure the change of its impact on the expected return in each sub-range specified by those functions. KRX market data excluding the financial sector were used for the analysis during the sample period from 1999 to 2008. We had the following results. First, we found clear convexity for the stock-repurchasing portfolios when we checked the influence of liquidity on the expected return using the 2SLS regression including instrumental variables to control the potential endogeneity of the dummy variables indicating payout choice. The slope of the relative spread jumped precipitously to the sub-range [0.0044, 0.0070). On the other hand, mere concavity existed for the cash-dividend portfolios. The slope of the relative spread was nearly horizontal, and its statistical significance was also pretty low. This result supports the proposition that the relationship between the relative spread and the expected return could be convex for the repurchasing firms. If so, this would be due to the tax effect, proposed by Gottesman and Jacoby (2006) who modify the Amihud and Mendelson (1986) proposition that the relationship between them is concave piecewise- linear. Second, the robustness test using Heckman’s (1976) two-step estimation also confirmed the result above. The slope of the relative spread soared sharply in the same sub-range as above for the stock-repurchasing portfolios, although its statistical significance somewhat decreased overall. Therefore, we found the relationship between the relative spread and the expected return convex irrespective of the estimation methods; one method stresses the control of the endogeneity while the other emphasizes sample selection correction. Third, we also carried out a probit regression analysis to examine which of the stock’s attributes influences payout decisions. As a result, we found that the more liquid the stock is, the more likely stock repurchases are preferred over cash dividends. Further, the smaller the share of the largest shareholder is, the larger the share of foreign investors become, or the younger the age of the firm, the more likely stock repurchases are adopted as the firm’s payout policy. This conclusion was robust when i) we divided the sample into 4 groups according to the possible combinations of whether each payout policy was chosen or not; and ii) we retested the result using the multinomial logit regression model in which we controlled for the additional financial variables. Thus, we found liquidity is a critical factor in deciding payout policy, and every exogenous variable (the share of the largest stockholder, that of foreign investors, and the age of the firm) influences the choice of the payout policy. These variables were used to control for endogeneity and to correct sample selection. Existing studies thus far have focused on the overall positive relation between the relative spread and the expected return. For instance, recent studies like Park and Eom (2008) and Yun, Ku, Eom, and Hahn (2009) merely confirmed that liquidity is an additional pricing factor in explaining the excess return of the stock. This paper differs from these in that it explores the curvature as well as the direction of the coefficient of the relative spread by applying the spline regression function in examining the relationship between them, which has turned out to vary according to the payout policy, the typical financial decision making initiated by the management of the firm. Thus, we attempted to make an integrated approach that combines payout policy as a corporate finance issue with asset pricing as the essence of investments. This paper’s finding is unique in the respect that it is internationally the first confirmation of Gottesman and Jacoby (2006)’s proposition. From the results, we can also expect that firms may exert more efforts to enhance the liquidity of their stocks when they adopt stock repurchases as their payout policy. As stocks are very sensitive to liquidity change, they can improve the market value by reducing the required rate of return of their stocks. In this context our results can be extended to the study under the market microstructure framework in which we can discuss how the market mechanism should be constructed to boost the liquidity so as to help stock-repurchasing firms level up their firm value. To follow up, it will be very interesting to see whether those repurchasing firms indeed take actions to increase the liquidity of their stocks and what measures they actually use to accomplish that aim. This will require more research.

한국어

본 논문은 자사주매입(stock repurchase)과 현금배당(cash dividend) 각각에 대해 스프레드율로 측정한 비유동성과 주식수익률의 관계를 분석하였다. 스프레드율을 분 포에 따라 구간별로 분할하고 각각의 구간에서 수익률에 대한 스프레드율의 영향을 측정함으로써 지급정책 선택에 따른 차이를 식별하였다. 분석결과는 다음과 같다. 첫 째, 지급정책 더미변수의 잠재적 내생성을 통제한 분석에서 자사주매입 주식은 현금 배당 주식과 달리 스프레드율-수익률 관계의 볼록성(convexity)이 명확하였다. 이 는 Amihud and Mendelson(1986)의 가설과 달리 자사주매입 주식에서는 두 관계가 볼록할 수 있다는 Gottesman and Jacoby(2006)의 가설을 입증한다. 또한 스프레드 율-수익률 관계의 볼록성은 유동성 변화에 따른 수익률 변동이 매우 크다는 의미로 서, 유동성 강화를 통해 요구수익률을 낮춤으로써 기업가치를 제고할 수 있다는 것을 시사한다. 둘째, 지급정책의 결정요인 분석에서 유동성과 자사주매입 가능성은 비례 하며, 최대주주지분율이 낮거나 외국인지분율이 높은 주식, 업력이 짧은 주식은 자사 주매입 가능성이 큰 것으로 나타났다. 유동성은 자사주매입을 선택하는 데 중요한 고 려사항이며, 도구변수 산출을 위해 사용된 세 외생변수가 각기 지급정책의 선택에 유 의미한 영향을 미치고 있음을 의미한다.