기업의 고유위험이 투자의사결정에 미치는 영향

In frictionless capital markets, only the systematic risk is relevant for investment decisions. Thus, idiosyncratic risk (unsystematic risk) should not affect the valuation of investment projects, as long as firm owners are diversified and managers maximize shareholder value. But many researches show that there is a significant negative relation between idiosyncratic risk and investment for publicly traded firms. In this paper, we find that the negative relation between them is stronger when managers own a larger fraction of the firm. High-powered incentives may expose managers to idiosyncratic risk. Also, if managers are risk averse, they might under-invest when firm-specific uncertainty increases. The negative effect of managerial risk aversion on investment is mitigated if executives are compensated with options rather than with shares or if institutional investors from a large part of the shareholder base.