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자산매각의 목적과 정보비대칭 : 일본기업의 실증연구

  • 이상래 전북대학교 경영학부 강의전담교수
일본에서는 1990년대 후반부터 상법개정과 주식교환제도 및 주식이전제도의 도입 등에 의해 자산매각의 방법이 다양화되어 자발적인 자산매각이 활발하게 이루어지게 되었다. 이에 본 연구는 기업환경 변화 이후 일본기업의 자발적 자산매각 공시효과를 분석하고 공시효과에 영향을 미치는 요인을 실증분석 하였다. 특히, 정보비대칭을 완화시키기 위하여 자산매각이 이루어지는 가를 검증하였다. 먼저, 자산매각의 공시효과는 통계 적으로 유의한 양(+)으로 나타났다. 이 후 매각자금의 사용목적과 재집 중 목적, 자원의 효율성 증대목적 그리고 정보비대칭 완화목적 등의 하위 표본으로 분류하여 분석하였다. 결과는 다음과 같다. 첫째, 매각자금의 사용목적에 따른 유의한 차이를 발견할 수 없었다. 둘째, 재집중 목적과 그 외의 목적으로 분류한 표본에서도 유의한 차이가 나타나지 않았다. 셋째, 자산매각의 공시효과는 매각기업에서만 존재하는 것으로 나타났다. 넷째, 자산매각을 실시한 기업은 실시하지 않은 대응기업보다 매각실시 전 정보비대칭이 유의하게 높았고 자산매각 후 정보비대칭 정도가 줄어들었다. 횡단면회귀분석 결과에서도 누적초과수익률은 정보비대칭 정도가 크고, 매각 전 주식성과가 나쁠수록 높은 것으로 나타났다. 또한 기업의 투자와 자산매각 대금의 관계에서도 통계적으로 유의한 양(+)의 결과를 얻었다. 이상의 결과는 기업의 자산매각이 정보비대칭과 관련이 있음을 시사하고 있다.
자산매각; 기업가치; 매각동기; 정보비대칭; 자금조달; Assets Sales; Firm Value; Information Asymmetry; Investment; Funding

The Information Content of Japanese Asset Sales

  • Sanglae Lee
This study examines the voluntary asset sales that took place in Japan from 2000 to 2007. Asset sales increased rapidly after the introduction of a new stock swap and transfer scheme under the Commercial Code Revision in the late 1990s. The unwinding of cross shareholding also forced managers to sell underperforming divisions to maximize shareholder wealth. The study investigates the effect of asset sales announcements and analyzes the motivation for asset sales. In particular, it verifies that information asymmetry influences asset sales. Based on asymmetric information, management can observe the performance of each division, but markets can only observe the total performance of a diversified firm. Hence, markets are likely to underestimate a firm’s value. When firms are undervalued, they not only resort to selling overvalued assets for funds, but they also receive a proper evaluation by providing clearer financial information on undervalued assets. This suggests that the announcement of asset sales is positively related to the stockholder’s wealth and mitigates the information gap. The results are as follows. This study uses 262 voluntary asset sales and a market model to investigate the announcement effects. We find that the announcement of asset sales is significantly positive for abnormal returns of 1.09% per day (-, +1). This suggests that asset sales convey information on corporate fundamental values if the management has access to complete information and attempts to evaluate the wealth of existing shareholders. In addition, we analyze the relationship between the cumulative abnormal return (CAR) and motivation of asset sales. Hite et al. (1987) suggest that management only operates assets for which they have a comparative advantage and sells inefficient assets. This is the so-called efficient hypothesis of asset sales. John and Ofek (1995) report that returns are higher, and the firm experiences increased operating performance, when asset sales lead to a more focused firm. This is called the focus hypothesis. However, Lang et al. (1995) argue that asset sales are used to raise capital and show that announcement returns depend on the use of the proceeds, and positive returns only occur when proceeds are paid out to creditors or shareholders. They call this the financing hypothesis. The main empirical results are not consistent with the above three hypotheses. First, to test the financing hypothesis, the entire sample is classified into two subsamples: the payout sample (54 asset sales) and there investment sample (146 asset sales). The abnormal returns of payout firms are not significantly different than those of reinvestment firms. This result is not consistent with the financing hypothesis, which asserts that an agency problem, through management’s discretion, affects asset sales return. Second, we find that the sample has 118 focused asset sales and 82 non-focused asset sales. The CAR (-1, 1) of focused firms is 0.17%, which is 1.35% lower than that of the other firms, but the difference is not significant. This result also does not support the focus hypothesis. Third, according to the efficient hypothesis, management who inefficiently operate their assets will transfer it to others who may operate it more efficiently. We use Tobin’s q as a proxy variable representing firm efficiency. Tobin’s q for sellers is not lower than that of buyers. In addition, the median CAR of the buyer is significantly negative. These results are not consistent with the hypothesis that the positive effect of asset sales is due to improved efficiency. Fourth, we find that the degree of information asymmetry of asset sales firms is significantly higher than that of matching firms. We identify matching firms using the methodology developed by Barber and Lyon (1996). The degree of information asymmetry significantly decreases after asset sales. This suggests that information asymmetry is related to asset sales. Furthermore, in cross-sectional regressions of CAR (-3, +3), the coefficient of information asymmetry is significantly positive, whereas the coefficients of the debt-pay dummy and focus dummy are non-significantly negative. This also supports the notion that information asymmetry influences asset sales. The results of the other control variables are as follows. Firm size is not related to the announcement effect. Tobin’s q is significantly positive and market return is significantly negative, suggesting that positive market response is due to the availability of information on which firms are undervalued. The coefficients of ROA and leverage are statistically insignificant, which does not support the findings of Hite et al. (1987) and Lang et al. (1995). Finally, we analyze whether asset sales are associated with investments and find that the sensitivity of investments and the proceeds of asset sales are positive and statistically significant. This is consistent with the view that firms improve their market value using asset sales that reduce information asymmetry.