글로벌 금융위기 하에서의 주가 변화와 기업 특성

Economic Shock and Firm Value: Case of Global Financial Crisis

Numerous studies have examined the relationship between firm performance and financial measures adopted by firms and find that generally there is a specific relationships relationship between financial ratios and firm values. In this paper, I have examined (i) the effect of firm characteristics such as firm size, leverage, liquidity, ownership structure on the firm value and (ii) the determinants of the changes in firm value during Global Financial Crisis in 2008. I show that during the 2008 global financial crisis, firms with smaller size, higher level of leverage, lower cash flow, and internal affiliation to business group experience larger drop in their share values. To the extent that firm value goes down during the crisis period due to the fall in expected return on investment, my results are consistent with the view that financial characteristics can derives a link between economic shock and firm value changes.