기업의 독점력과 이익반응계수 : 계열기업과 비계열기업의 비교 Comparison Between Affiliated and Non-affiliated Firms = Monopoly Power and Earnings Response Coefficient

다국어 초록 (Multilingual Abstract)

The purpose of this study is to examine the effect a firm's monopoly power on the coefficient relating unexpected earnings and abnormal stock returns(i.e., earnings response coefficient : ERC). This study is an extension of recently growing literature on the cross-sectional and intertemporal variation in ERCs. Using a firm valuation model, which considers explicitly the demand function for the firm's products, we demonstrate that the ERC is a function of, among others, the firm's monoploy power (i.e., the inverse of the elasticity of demand for the firm's products). Specifically, we develop a hypothesis that the ERC is an increasing function of the firm's monopoly power.
We test this hypothesis by comparing the ERCs between the affiliated firms and the non-affiliated firms. Our empircal results, based on 179 sample firms over 5-year period(1986~1990), are generally consistent with theoretical predictions. Specifically, the affiliated firms exhibit larger ERCs than the non-affiliated firms even after controlling for such factors as the systematic risk and persistence coefficient, and the differencec is statistically significant at 10% level. Overall, our findings suggest that the firm's monoploy power is an important determinant of ERCs.

목차 (Table of Contents)

• Ⅰ. 서 론
• Ⅱ. 독점력과 이익반응계수
• Ⅲ. 연구의 방법
• 1. 연구가설의 설정
• 2. 표본의 설정
• 3. 변수의 측정
• 4. 실증적 검증모형
• Ⅳ. 실증분석의 결과
• Ⅴ. 결 론