파생상품을 이용한 헤징과 부채조달간의 상호관련성

초록

The main purpose of this paper is to investigate the simultaneous relationship between corporate hedging and debt policy in Korean listed companies. There are two tax incentives for corporations to hedge: to increase debt capacity and interest tax deductions, and to reduce expected tax liability if the tax function is convex. We test whether these incentives affect the extent of corporate hedging with derivatives. In addition, we analyze and extend the prior research by investigating whether the debt usage conservatism in Korean companies after the foreign currency crisis in 1997 affects the relationship between corporate hedging and debt policy. To investigate the simultaneous relationship, we use a two-stage estimation procedure in the simultaneous equations model. In the first stage, two separate regressions are performed using derivatives hedging and the debt ratio, respectively as dependent variables. For the first-stage hedging model, we estimate a Tobit regression using net derivatives as the dependent variable. The first-stage debt model is estimated with ordinary least squares. In the second stage, structural equations are estimated using predicted values from the first-stage regression as explanatory variables. Using a pooled sample of Korean non-financial listed companies covering the periods of 2000-2009, we find evidence that corporate hedging and debt policies are simultaneously determined. The main results are summarized as follows. First, in the second-stage net derivatives Tobit regression, the result shows that debt ratios contribute to the incentive to hedge using derivatives. Second, in the second-stage debt regression, the result shows that the extent of derivatives hedging increases the debt ratios. These results corresponds to the prediction that firms hedge to increase debt capacity and interest deduction, but simultaneously the usage of debt increase financial distress costs and motivate firms to hedge. These results also have important implication for capital structure research because they imply that a complete modeling of capital structure decisions needs to consider hedging policy or it risks omitting an important explanatory variable. Third, we find that the incentive to hedge is positively related to the corporate marginal tax rate. To further investigate the relative importance of tax and nontax incentives in the positive relationship between corporate hedging and debt policy, we include a variable that interacts that the net derivatives with the marginal tax rates. The result, in contrast to the prior research, indicates that the firms' incentive to hedge to increase debt capacity is not only driven by tax incentives but also driven by non-tax factors. Fourth, we also find that the incentive to hedge is positively related to the debt usage conservatism in Korean companies which is typical after the foreign currency crisis. To further investigate the interaction effect of marginal tax rate and debt usage conservatism, we include a variable that interacts that the net derivatives with the marginal tax rates and with the debt usage conservatism. Debt usage conservatism is proxied by the kink which is developed by Graham(2000), and by the firms' bond credit grade. Using ridge regression to mitigate the multicollinearity problem arising from the interaction variables, we find that the incentive to hedge is positively related to the marginal tax rate and debt usage conservatism. Fifth, in the second-stage net derivatives Tobit regression, in contrast to the prior research, the coefficients on the tax convexity variable is positive and significant in some specifications. This result indicates the possibility of Korean firms' hedging in response to the tax function convexity. Sixth, we estimate that the tax benefits resulting from hedging add approximately 2.20% to firm value on average. This paper contributes to corporate hedging and debt policy study by providing an additional evidence of the simultaneous relationship between corporate hedging and debt policy in Korean listed companies. The result that there is positive simultaneous relationship between corporate hedging and debt policy can explain the low leverage phenomenon prevalent in Korean companies after the 1997 Asian financial crisis. If firms hedge to lessen financial distress risk due to debt financing, even though firms’ debt ratios are decreased on average after the 1997 Asian financial crisis, the result in this paper also implies that firms rationally adjust their debt ratios considering hedging decision using derivatives. The findings that Korean firms' incentive to hedge is not only driven by tax incentives but also driven by non-tax factors, and that Korean firms' incentive to hedge is also affected by the firms' debt usage conservatism is especially interesting and noteworthy.

키워드