재무적 제약과 시장경쟁구조의 상호작용이 고유 변동성에 미치는 영향

초록

Gaspar and Massa(2006) show that the lower market power a firm has, the higher the idiosyncratic volatility, with two hypotheses, the natural hedge hypothesis, and the information uncertainty hypothesis. However, they do not consider ‘financial constraints’ in natural hedge hypothesis. Therefore, we show some empirical evidence that we should consider financial constraints when we test natural hedge hypotheses. Our empirical results are summarized as follows. First, as Gaspar and Massa(2006) show, also in Korea, the firm’s market power are negatively associated with the idiosyncratic volatility. Second, however, when we consider the interaction effect of financial constraints on product market competition, this negative relationship weakens. In other words, even though a firm has the market power to transfer an exogenous shock to customers, it is hard to hedge a shock when a firm has financial constraints. Thus, we should consider ‘financial constraints’ when we analyze the relationship between idiosyncratic volatility and product market competition.

키워드