은행산업의 경영성과 분석 : 자본비용과 총요소생산성의 격차를 중심으로

The Estimation of the Cost of Capital and Analysis on the Productivity Gap and the Determinant of Productivity Gap in the Bank Industry

We estimate the cost of capital and efficiency of bank in the process of restructuring of banking industry. These analysis can give some intuition about the way to more effective restructuring of banking industry. First of all, using financial data of 14 korean commercial bank during the period between 1991 and 1999 we estimate bank cost of capital. In order to obtain the cost of equity three methods that have been used widely in the literature are applied. The first method is the one developed by Gordon(1962), which hinges on stock price and dividend. Given these quantities, Gordon method Implies that the cost of capital of a firm increases with its growth rate. The second method is based on Sharpe-Lintner's capital asset pricing model(CAPM). According to the method, the cost of capital of a firm is the sum of two components; the risk free rate of return and the firm-specific risk factor. The third method is based on price earnings ratio (PER). In this case, the cost of capital of a firm is the inverse of its PER. Accordmg to the estimates, CAPM method produces the most appropriate numbers. The results of weighted average of its cost of equity and cost of debt are as follows. The cost of capital of Hanmi, Boram, Hana, Daegu, Kyungnam, and Jeju bank are relatively lower than that of Seoul, Cheil, Junbuk, and Busan bank. Based on random effect panel model we also empirically studied whether the cost of capital is important in explaining ROA. we find that the cost of capital is statistically significant and has negative effect on ROA. In the analysis of productive efficiency, we also find the difference of productivity wIth the most efficient bank get smaller until 1997 in total, but get larger in 1998. In the level of individual bank, the difference of productivity of Cheil and Chohung bank get larger, but that of Sangup, Hanil, Seoul get smaller. We can categorize the bank to 3 group with their productivity growth. The one is high productivity growth rate-Large bank, and Chungcheung, Kangwon bank. Another is worked out small banks-Kyungki, Chungbuk bank. The other is rest banks that have lax growth rate. Finally, the variables like number of labor per each branch, manager ratio, trust loan ratio, government and public loan ratio, corporate loan ratio, liquidity asset ratio, cost of equity financing give the effect on the productivity in total period or in some period.