국내상장기업의 기업수준 총요소생산성 측정

초록

The total factor productivity of a company, which can be one of the core characteristics of a company, is a very interesting research topic with a wide range of potential applications not only in economics but also in finance and investment. Previous research on total factor productivity has mainly focused on macro aspect that aggregated at the level of each industry/region where individual companies cannot be identified. On the other hand, this study is a micro study, using an individual firm’s accounting data listed on KOSPI and KOSDAQ markets to estimate total factor productivity at the firm level in various ways. Most of the previous research on total factor productivity in Korea use the Mining and Manufacturing Survey' provided by the National Statistical Office. Although company-specific data are provided based on survey data, it is not possible to confirm of which company the data is and whether it is listed in the stock market. In this study, total factor productivity is estimated at the level of individual companies by using accounting data of listed companies provided by market data providers such as KISVALUE and DataGuide. Since the labor income data required for calculating value added has been available since 2003, the total sample period for this study is 16 years from 2003 to 2018. The data necessary for estimating the total factor productivity of an individual company are the time series data of individual company’s output, labor input and capital input. The output is value-added, which is adjusted into real value with the producer price index (the Bank of Korea), and the number of employees including board members is used for labor input. Capital input is used by adding up individual assets excluding assets under construction in tangible fixed assets after realizing them using different appropriate deflators. The Cobb-Douglas production function is used to estimate the elasticity of labor and capital input variables for value added, which is an output, and using this to estimate the total factor productivity level of individual companies. System GMM, Olley and Pakes (1992) model, Levishon and Petrin (2003) model and stochastic frontier analysis are used to estimate elasticity, and pooled OLS and fixed effect model are used to compare results. As a result of the analysis, the mean and variance of the total factor productivity levels of individual companies measured by each method are different. The mean and variance of the total factor productivity level is consistently the lowest with the pooled OLS, and the one obtained with the fixed-effect model is consistently the largest. The mean and variance of the total factor productivity levels obtained by other methods are located between the values obtained by the polled OLS, which has an endogenous problem between variables, and the fixed-effects model, which makes the unrealistic assumption that productivity of individual companies is constant. On the other hand, according to the order of the magnitude of the total factor productivity level of individual companies obtained by each method, individual companies are divided into 5 or 10 quartiles, and the correlation between these quartiles is examined, yielding values between 0.8 and 1.0. This implies that some of the companies in the portfolio may vary depending on the estimation method when conducting a financial/investment study in which a portfolio is organized into several groups based on the size of the total factor productivity of an individual company. This paper is the first study to estimate total factor productivity for identifiable individual companies in Korea. And this research result is expected to be actively applied in the financial field beyond the economics field.

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