아태비즈니스연구 (Asia-Pacific Journal of Business)

  • 제12권1호
  • /
  • Pages.135-149
  • /
  • 2021
  • /
  • 2233-5900(pISSN)
  • /
  • 2384-3934(eISSN)
강원대학교 경영경제연구소 (KNU The Institute of Management & Economy Research)
권호 표지
DOI QR코드

DOI QR Code

매도후임대의 리스크 대비 성과의 비교분석: 선박투자회사 출자 및 선박 인수 사례를 중심으로

A Comparative Analysis of Risk-to-Performance of Sale and Lease Back: Based on the cases of ship investment company investment and ship acquisition

  • 장욱 (덕성여자대학교 경영학과)
  • Chang, Wook (Department of Business and Administration, Duksung Women's University)
  • 투고 : 2021.02.28
  • 심사 : 2021.03.25
  • 발행 : 2021.03.31
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

Purpose - I analyzes risk-to-performance evaluated in the market using data from sale and lease back. Specifically, I analyze from the perspective of financial institutions that purchase sale and lease back based on the cases of investment by ship investment companies and acquisition of ships. Design/methodology/approach - I use 49 sale and lease back data from 2017 to 2019 for empirical analysis. Findings - The main results of this paper are as follows. First, after sale and lease back of domestic ships, the average amount of sales by the leased shipping company is 25.1 billion won, the average amount of investment by the purchased financial institution is 14.6 billion won (60%) and the average length of the ship is nine years. In ship finance, sale and lease back is deemed to be appropriately used as a means of restructuring for a large amount of money. Second, the main risk factor for sale and lease back of domestic ships is credit risk and can be measured in VaR in practice. As a result of the empirical analysis, the average credit risk burden ratio is 9%. As a major risk factor, low creditworthiness of restructuring companies is the key. Third, as a result of measuring the profitability of financial institutions that purchase sale and lease back of domestic ships at a net current price, it has an average value of 300 million won, but the deviation by case is very large. Fourth, the risk adjusted performance of sale and lease back of domestic ships is 0.54 on average compared to the total risk capital, and 0.52 compared to the stock-risk capital, and as with profitability earlier, the deviation of each case is very large and misaligned. In order to boost the sale and lease back market for large and long-term assets, in order to overcome low profitability as a prerequisite for future participation of commercial purchased financial institutions, it is expected that purchase decisions based on expectations versus risk will be necessary. Research implications or Originality - The results of this paper are expected to broaden the understanding of sale and lease back and foster the ability to assess long-term risk and performance. Based on this, it is believed that rapid restructuring of companies through sale and lease back of large amounts of long-term assets will greatly increase the utility of the domestic financial market.

키워드

참고문헌

  1. 구종순 (2013). "우리나라 선박투자회사의 위험조정 성과 평가에 관한 연구", 해운물류연구, 29(1), 83-103. https://doi.org/10.37059/TJOSAL.2013.29.1.83
  2. 김대진 (2019), "한.중 .일 선박금융 시장 비교를 통한 국내 선박금융 활성화 방안", 해운물류연구, 35(3), 387-406. https://doi.org/10.37059/TJOSAL.2019.35.3.387
  3. 김대진, 김주현 (2019), "중국 선박금융 시장 연구를 통한 국내 선박금융 활성화", Journal of Korea Port Economic Association, 35(2), 01-20.
  4. 김대진, 안영균 (2019), "일본 선박금융 사례 연구를 통한 국내 선박금융 활성화 방안 연구", 해운물류연구, 35(1), 111-132. https://doi.org/10.37059/TJOSAL.2019.35.1.111
  5. 빈기범, 위정범 (2017), "VaR의 실용적 활용: 사후검증의 표본기간과 측정주기 선택 중심으로", 재무관리연구, 34(3), 161-191.
  6. 윤효중, 정찬식, 김순호 (2019), "세일앤리스백을 통한 중소기업 구조조정에 관한 사례 연구", 경영컨설팅연구, 19(2), 235-243.
  7. 이경래 (2017), "우리나라 선박금융 활성화를 위한 국내외 선박금융시장 비교 연구", 해운물류연구, 33(3), 599-622.
  8. 이근영 (2006), "VaR 모형의 예측성과 비교", 금융학회지, 11(4), 127-168.
  9. 이준행 (2000), "VaR 측정치의 백테스트와 VaR 모형의 적정성 평가", 선물연구, 8, 81-106.
  10. 최민이, 김명희, 이기환 (2020), "선박금융 신용리스크 결정요인에 관한 연구", 금융공학연구, 19(2), 23-47. (DOI: http://dx.doi.org/10.35527/kfedoi.2020.19.2.002)
  11. Adams, A. T., and R. T. Oarke (1996), "Stock Market Reaction to Sale and Leaseback Announcements in the UK," Journal of Property Research, 13(1), 31-46. https://doi.org/10.1080/095999196368862
  12. Alvayay, J. R., R. C. Rutherford, and W. S. Smith (1995), "Tax Rules and the Sale and Leaseback of Corporate Real Estate," Real Estate Economics, 23(2), 207-238. https://doi.org/10.1111/1540-6229.00664
  13. Gavalas, D. and T. Syriopoulos (2014), "An integrated credit rating and loan quality model: application to bank shipping finance", Maritime Policy & Management, 42(6), 533-554. (DOI: https://doi.org/10.1080/03088839.2014.904948)
  14. Grant Thornton (2019), Insights into IFRS 16: Sale and leaseback accounting.
  15. Jarrow, R. A., and M. T. Stuart (1995). "Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, 50(1), 53-85. (DOI: https://doi.org/10.2307/2329239)
  16. Jarrow, R. A., D. Lando, and S. M. Turnbull (1997), "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, 10(1), 411-453. (DOI: https://doi.org/10.1142/9789812819222_0018)
  17. Kavussanos, M. G. and D. A. Tsouknidis (2016), "Default risk drivers in shipping bank loans", Transportation Research Part E, 94, 71-94. (DOI: https://doi.org/10.1016/j.tre.2016.07.008)
  18. Kim, E. H., W. G. Le wellen, and J. J. McConnell (1978), "Sale-and-Leaseback Agreements and Enterprise Valuation", Journal of Financial and Quantitative Analysis, 13(5),871-883. https://doi.org/10.2307/2330632
  19. Lozinskaia, A., A.Merikas, A. Merika and H. Penikas(2017), "Determinants of the probability of default: the case of the internationally listed shipping corporations", Maritime Policy & Management, 44(7), 837-858. (DOI: https://doi.org/10.1080/03088839.2017.1345018)
  20. Mitroussi, K., W. Abouarghoub, J.J.Haider, S.J. Pettit and N. Tigka(2016), "Performance drivers of shipping loans: An empirical investigation", International Journal of Production Economics, 171(3), 438-452. (DOI: https://doi.org/10.1016/j.ijpe.2015.09.041)
  21. RiskMetrics Group (2007), CreditMetrics, Technical Document.
  22. Slovin, M. B., M. E. Sushka, and J. A. Polonchek (1990), "Corporate Sale-and-Leasebacks and Shareholder Wealth," Journal of finance, 45(1), 289-299. https://doi.org/10.1111/j.1540-6261.1990.tb05094.x