기존연구들은 좋은 지배구조를 가진 기업일수록 높은 주식수익률을 실현한다는 연구와 좋은 지배구조를 가진 기업일수록 높은 기업가치를 갖는다는 연구가 공존하고 있는데, 이는 자본비용의 측면에서 상충되는 연구결과들이다. 현실적으로 기업지배구조 정보는 여타의 재무관련 정보와는 달리 일반투자자들이 쉽게 접근하기 어려우며, 본질을 파악하기 어려운 측면이 있으므로 투자자들이 특정 기업의 지배구조에 관한 정보를 인지할 경우에만 자본비용의 감소효과를 기대할 수 있을 것이다. 그러므로 본 연구는 주식시장에서 기업의 자본비용을 낮추는 지배구조 개선의 효과가 기업 전반에 대한 정보비대칭 수준에 따라 달라질 수 있음을 확인함으로써 기존연구들의 결과가 충분히 양립할 수 있음을 보여준다.
실증분석결과, 기업에 대한 정보비대칭 수준이 낮은 경우에만 투자자들이 기업의 좋은 지배구조를 충분히 인지함에 따라 자본비용이 하락할 수 있음을 확인하였다. 또한 정보비대칭 수준이 낮은 경우 좋은 기업지배구조가 기업가치를 상승시키는 효과가 있는 것으로 나타났지만, 정보비대칭 문제가 심각한 경우 이러한 효과는 나타나지 않는 것으로 확인되었다. 본 연구의 결과는 정책적 측면에서 기업과 투자자 간 정보비대칭 해소가 선행되어야만 기업지배구조가 효율적으로 작동할 것임을 시사한다.
The previous literature on the effect of corporate governance on firm values raises a question on the efficiency of the stock market. One line of research involves many papers supporting that good corporate governance leads to higher firm values as measured by the Tobin’s Q. Papers by Ashbaugh et al. (2004), and Byun et al. (2008) among others belong to this group claiming that reduction in agency costs helps to increase firm value by reducing the cost of capital. On the other hand, there are papers showing that the information on corporate governance is not fully reflected in the stock prices; therefore, investors may still realize abnormal returns by investing in firms with good corporate governance (Gompers et al., 2003; Bebchuk et al., 2009).
These two results are not consistent in terms of market efficiency since the first group of papers implies that information on corporate governance is already reflected on the stock price of the firms while the second group of papers implies that the information is not fully reflected on the stock prices.
In this paper, we attempt to reconcile these two contradictory findings by providing evidence that the realization of the effect of good corporate governance is contingent on the level of firms’ information asymmetry. We empirically show that good corporate governance of a firm reduces the cost of equity capital only when the information asymmetry of the firm is relatively at a low level. Practically, the information on corporate governance such as ownership structure, board of directors, shareholder right protection, and audit committee is abstruse as well as hard to access. In Korea for example, the Corporate Governance Service evaluates the governance level of the firms listed on the Korea Exchange, but does not disclose corporate governance scores to investors except for the best and second-best firms. Because of the incomprehensibility of corporate governance level, stock investors may not fully reflect the information on the corporate governance of a firm on its stock price, so that reduction in the cost of equity capital of the firm may not be attained. Investors’ perception of corporate governance, therefore, is an important issue for the efficiency of a stock market and the financing costs of related firms. We hypothesize that the level of information asymmetry of a firm affects the level of the investors’ understanding of the corporate governance of the firm and, accordingly, the value of the firm.
To the authors’ knowledge, this is the first study ever conducted to show that the effect of good corporate governance on the firm value depends on the level of information asymmetry of a firm. Previous studies have investigated the relation between corporate governance and firm value without taking into account investors’ perception of corporate governance. This paper, however, complements the existing results by considering the impact of investors’ understanding of their firms’ corporate governance.
For the analysis, we divide the sample firms into two groups based on their level of information asymmetry. The number of analyst coverage is used as a proxy for information asymmetry. Then, we construct a hedge portfolio which is long in good governance firms and short in weak governance firms by each group, and estimate the abnormal return of the hedge portfolio of each group using CAPM and Fama-French (1993) three-factor model. The results show that the abnormal return of the hedge portfolio is statistically not different from zero for the low information asymmetry group, which implies that information on corporate governance is efficiently reflected on stock prices for the group. On the other hand, the abnormal return is significantly positive for the high information asymmetry group, which suggests that information on corporate governance of those firms is not fully understood by the investors and, therefore, is not fully reflected on the stock prices. We also regress Tobin’s q on corporate governance scores and find that corporate governance has significantly positive effect on Tobin’s q only for the low information asymmetry group. The effect of corporate governance on Tobin’s q is insignificant for the high information asymmetry group.
In summary, we find that investors do not really reflect the information on the corporate governance of firms on their stock prices and their financing costs in case of higher information asymmetry. On the contrary, we show that good corporate governance positively affects firm values with lower level of information asymmetry.
