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제품시장경쟁이 주식수익률에 미치는 영향 : 한-미 FTA를 통한 증거

  • 류두원 고려대학교 경영학과 박사과정
  • 류두진 성균관대학교 경제학과 교수
  • 황준호 고려대학교 경영학과 교수
본 연구는 한-미 FTA를 통한 관세변화를 시장경쟁정도에 미치는 외생적 충격으로 고려하여, 기존연구와는 차별화된 특수한 자료를 구성하고 분석하여 한국 시장에서 시장경쟁정도가 주식수익률에 어떠한 영향을 미치는 지에 대하여 실증분석을 하였다. 시장경쟁정도가 주식수익률에 미치는 순수효과를 알아보기 위하여 기존의 HHI와 같은 시장경쟁의 대용변수를 사용하여 생길 수 있는 문제를 통제하고, 이중차분법을 활용한 실증분석 결과, 관세가 유지(소폭 하락)된 제품을 생산하는 기업에 비하여, 관세철폐 또는 하향 변경(대폭 하락)된 제품을 생산하는 기업의 주식수익률이 유의하게 낮아지는 변화를 관찰할 수 있었다. 이러한 결과는 시장경쟁이 증가함에 따라 기업의 주식수익률이 감소된다는 것으로, 기존 연구들이 시장경쟁이 주식수익률에 미치는 영향에 대하여 각 국가마다, 각 연구에서 상이한 연구결과들과 상반된 주장이 제시되고 있는 가운데, 한국시장에서는 외부경쟁자의 유입으로 인한 제품시장경쟁 심화가 기존 국내 경쟁기업 들의 주식수익률을 감소시킨다는 증거를 제시한다.
제품시장경쟁; 주식수익률; 이중차분법; 관세철폐; FTA; Product Market Competition; FTA; Stock Market Returns; Difference-in-Difference (DiD); Tariff Elimination

Product Market Competition and Stock Market Returns : Evidence from the Korea-US Free Trade Agreement

  • Doowon Ryu
  • Doojin Ryu
  • Joonho Hwang
This study examines how product market competition affects stock market returns by treating the advent of the Free Trade Agreement (FTA) between the United States and South Korea as an external shock. The relationship between product market competition and stock returns is unclear. For firms subject to strong product market competition, investors may demand higher rates of return to compensate for greater business risk or bankruptcy risk. For firms that face less market competition, investors may require lower returns because the business risk and risk of bankruptcy are correspondingly lower. However, the actual realized returns may not be as expected. Firms subject to strong market competition may earn low returns because of the stiff competition in the product market, and firms that face lower product market competition may earn higher returns because the lower market competition allows them to generate a steady cash flow. We are motivated by the limitations of previous studies that measure the degree of product market competition by market share to construct a CR (concentration ratio) or HHI (Hirschman-Herfindahl Index). These studies ignore the possibility that firms in the same industry may have vertical relationships; some firms in the industry may not be competitors, but rather cooperators. We take a new approach by considering how the Korea-US FTA increases market competition for products supplied by individual companies. We hypothesize that the decreased tariff resulting from the FTA induces a more competitive market environment and that the degree of tariff reduction is related to the degree of competition. We use the effective date of the FTA, March 15, 2012. By matching the degree of tariff reduction resulting from the FTA with product market sales, we construct a dataset for measuring product market competition. Specifically, we choose firms in the manufacturing industry that were listed on the Korea Stock Exchange between 2011 and 2013. We then match the firms’ two highest-selling products with the tariff change resulting from the FTA. The final sample comprises 714 firms. This unique data design reduces the biases that have often produced confounding effects and inconsistent empirical results in previous studies. We classify firms into a high-tariff-change group (the treatment group) and a low-tariff-change group (the control group). We use two different cutoff points for the change in tariff . The first is a tariff reduction of 1.6%, which places a similar number of firms in each group. Our results are robust when cutoff points for the change in tariff of 2%, 3%, and 4% are used. As an alternative way of dividing our sample, we group the firms based on whether they are subject to a tariff change (the positive-tariff-change group) or not (the no-tariff-change group). We then use controlled difference-in-difference (DiD) analysis to mitigate the possible endogeneity problem. First, we use the annual returns of firms as the dependent variable and run a DiD regression. Second, we examine the periods surrounding the effective date of the FTA and test whether there are significant differences in the monthly stock returns of firms that are subject to different tariff changes. The DiD estimation results indicate that both the monthly and yearly stock returns of the high-tariff-change group (and positive-tariff-change group) are significantly lower than those of the low-tariff-change group (and no-tariff-change group). This is clear empirical evidence that tougher product market competition lowers stock returns. Our results differ from those of previous studies, such as Hou and Robinson (2006) who examine the US market, Gallagher, Ignatieva, and McCulloch (2014) who examine the Australian market, and Ryu, Ryu, and Baek (2014) who examine the Korean market. Our results do support the argument of Bustamante and Donangelo (2014), who find that tougher product market competition reduces exposure to systematic risk and thus lowers stock market returns, rather than reducing profit margins and thus increasing exposure to systematic risk. When we examine a subgroup of firms that experienced the elimination of tariffs, we find that a greater increase in US imports is associated with a lower stock return. Our study makes the following contributions to the literature. First, we use an external shock to mitigate the methodological problems that have plagued previous studies. Second, for a country which relies heavily on foreign trade and is in the process of negotiating FTAs, we show how such agreements affect market competition and the financial performance of local firms. Third, whereas previous studies on this topic have inconsistent or mixed results, our results are strong and robust to different model specifications and empirical methodologies.