경영자능력과 기업의 환노출간 관계 연구 : 상해증권거래소 상장기업을 중심으로

This paper examines the relationship between managerial ability and foreign exchange exposure for the companies listed on the Shanghai Stock Exchange in China. In addition, we analyze how the ownership of the Chinese government, which is a major investor in a company in China, affects a company's foreign exchange exposure and how foreign investors as major external investors affect the relationship between managerial ability and foreign exchange exposure. Using firms listed on the Shanghai Stock Exchange A share whose settlement month is December from 2007 to 2019, regression analysis was performed by measuring managerial ability at the company level and estimating currency exposure coefficients using stock returns, market portfolio returns, and nominal exchange rates. In addition to this, the currency exposure is divided into positive (+) currency exposure, negative (-) currency exposure, and absolute value of the currency exposure coefficient, and additionally, the relationship between them is analyzed using the real exchange rate.
As a result of empirical analysis, there was no significant relationship between managerial ability and currency exposure coefficient. However, as a result of examining the currency exposure coefficient by dividing it into positive (+) and negative (-) currency exposure coefficient, a significant negative relationship was found between managerial ability and positive (+) currency exposure. And there was a significant positive (+) relationship between managerial ability and negative (-) currency exposure. In addition, there was a significant negative relationship between managerial ability and the absolute value of the currency exposure coefficient. This confirmed that as the managerial ability increases, the absolute magnitude of foreign exchange exposure, which is the sensitivity that exists between exchange rate and corporate value fluctuations, is to be reduced. In the corporate ownership structure, there was no significant relationship between state-owned enterprises and managerial ability, and the intersection between them, indicating that state-owned enterprises have more systematic management ability in managing currency exposure than private enterprises. The foreign investor's equity ratio showed a significant negative (-) relationship with the positive (+) exchange rate exposure coefficient when the nominal exchange rate was used. It also shows that foreign investors invests in companies whose value is increasing. In addition, when the real exchange rate was used, there was a significant positive (+) relationship with the negative exchange exposure coefficient, and a significant negative (-) relationship with the absolute value of foreign exchange exposure. This results showed that foreign investors can mitigate negative foreign exchange exposure by investing in companies having negative (-) exposure. As for the control variable, the larger the company, the more the exposure was managed, and when the growth potential of the company was high and this growth potential was based on debt, it was found that the exposure to currency increased through the company's growth.
These results show that managerial ability has a significant effect on corporate foreign exchange exposure even in China, which has not yet adopted a fully floating exchange rate system. It was confirmed that foreign investors have different investments in companies with positive and negative currency exposure.