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수록정보
32권4호(2019) |수록논문 수 : 5
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32권4호(2019년) 수록논문
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KCI등재

1A Firm-Level Analysis of the Cross-Sectional Relation between Expected Returns and Expected Idiosyncratic Volatility in the Korean Stock Market

저자 : Sangkyu Lee , Young Sik Kim

발행기관 : 한국재무학회 간행물 : 재무연구 32권 4호 발행 연도 : 2019 페이지 : pp. 513-561 (49 pages)

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Using monthly firm-level data from the Korean stock market from January 1992 to June 2016, we examine the cross-sectional relation between expected returns and expected idiosyncratic volatility. Considering the time varying property of idiosyncratic volatility, we use EGARCH model to estimate the conditional out-of-sample expected idiosyncratic volatility to avoid the problem of look-ahead-bias. Our main results are as follows. Our equal-weighted portfolio analysis that exclude any control variables exhibits that as conditional out-of-sample expected idiosyncratic volatility increase, expected returns tend to decrease. According to the equal-weighted Fama-MacBeth cross-sectional regression that includes systematic beta, size, book-to-market ratio factor, momentum, liquidity, return reversal and asset growth on the firm level, conditional out-of-sample expected idiosyncratic volatility consistently have a significantly negative relation with expected returns. This relation is also observed in the periods after the currency crisis and the global financial crisis, in the non-January sample, and in both up-phases and down-phases. Interestingly, we observe a spurious positive relation induced by look-ahead bias between contemporaneous conditional in-sample expected idiosyncratic volatility and expected returns. Our empirical findings suggest that the significantly negative relation between conditional out-of-sample expected idiosyncratic volatility and expected returns observed in the Korean stock market may be an idiosyncratic volatility anomaly.

KCI등재

2자산운용사와 혼합형 펀드의 교차자산보유에 관한 실증 연구

저자 : 신현한 ( Hyun-han Shin ) , 어준경 ( Jun Kyung Auh ) , 최병호 ( Byoungho Choi )

발행기관 : 한국재무학회 간행물 : 재무연구 32권 4호 발행 연도 : 2019 페이지 : pp. 563-605 (43 pages)

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본 연구는 우리나라 자산운용사가 운용하는 펀드의 자산 데이터를 이용하여 운용사내에서 주식형과 채권형 펀드 간 가치 관련 정보의 교류가 있는지 실증 분석하였다. 분석 결과, 동일한 운용사에 속해 있는 펀드라도 같은 발행사의 주식과 채권 보유 결정에서 뚜렷한 상관관계를 찾을 수 없었다. 반면 주식과 채권이 같은 펀드 매니저에 의해서 운용되는 혼합형 펀드 내에서는 동일한 발행사의 주식과 채권 보유 변화량 간 유의미한 양의 상관관계를 발견하였다. 하지만 이러한 상관관계는 정보의 교류에서 비롯된 것이 아닌, 펀드에 유·출입되는 현금흐름에 따라 포트폴리오의 비중을 비례적으로 조정하는 스케일링(scaling) 효과에서 발생한 것으로 나타났으며, 이러한 스케일링에 기반한 투자는 미래 수익률 관점에서 부정적인 영향을 미칠 수 있음을 밝혔다. 본 논문은 같은 자산운용사 내에서도 주식과 채권의 투자결정 동조화가 일어나지 않을 정도로 주식과 채권 운용의 분리 정도가 상당함을 시사하며, 정보의 교류가 아닌 비 정보적 편의(non-information-driven convenience)로 인한 투자의사결정은 부정적인 수익률을 초래할 수 있음을 보였다는 점에서 의의가 있다.


It is commonly known that investors in equity and bond markets are significantly different in terms of risk tolerance, information focus, and institutional composition. In the presence of such asset market segmentation, do better-integrated investors exhibit atypical investment decisions using equity and bond mutual funds within the same fund family (sister funds)? Auh and Bai (2019) document that investors' holding decisions co-move on equity and bonds of the same issuer (cross-held asset), indicating that there is information spillover. They also show that fund families provide superior investment returns for cross-held assets. This result suggests that information content in the two asset markets is not redundant, and that combining information from both markets provides more complete information for firms.
In this paper, we test whether the same phenomenon can be observed in Korea. In contrast to the strong co-movement reported in Auh and Bai (2019), we do not find any meaningful correlation in the holding decisions on cross-held assets. This insignificant correlation remains unaffected even after we consider several possibilities that may obscure the true nature of trading behavior.
This stark contrast can be driven by several factors. First, asset market segmentation is particularly severe in Korea, as reported by Yang (2013) and Yoon and Ohk (2014), such that even investors in the same institution are not exposed to any information spillover. Second, the corporate bond market in Korea could be too illiquid for any subsequent holding changes to occur regardless of information spillover.
To explore these two explanations, we exploit investment decisions on cross-held assets within a set of mixed funds whose asset class mandatorily covers both equity and bonds. It is reasonable to argue that information spillover is more feasible within an individual fund, and it is therefore a test of the degree of asset market segmentation. We find a strong positive correlation with cross-asset holding change from mixed funds. This result immediately rules out the illiquidity-based explanation because sister funds and a mixed fund face the same level of bond market illiquidity.
We further examine whether bond sister funds and mixed funds hold bonds that are significantly different from each other in terms of liquidity-related characteristics (e.g., credit rating). However, we do not find any meaningful differences, and we thus confirm that the differences in the results cannot be attributed to heterogeneous bond holdings between the two types of funds. We further investigate the main driver of co-movement. If co-movement is mainly motivated by information spillover, then the investment performance of the cross-held asset must be at least similar to or better than the same asset holding of standalone funds (non-sister-funds). Surprisingly, our results show that cross-held assets are subject to inferior investment decisions from the perspective of ex-post performance evaluation. This finding suggests that the co-movement is not driven by price-relevant information sharing. In particular, the degree of co-movement is strongly affected by the fund flow: it is only significant when funds experience a large degree of fund flow (more than ±5% flow to the assets under management). The mixed funds therefore appear to scale the whole portfolio up or down in response to the fund flow, mechanically generating co-movement of the cross-held assets.
As a final test, we examine the effect of mechanical adjustment of fund flow fluctuations on return predictability. The significance of inferior investment decisions disappears when the co-movement is not driven by scaling behavior (i.e., with a small degree of change in fund flow). However, the investment performance of the cross-held assets becomes worse when decisions are associated with a larger variation in fund flow. These results indicate that scaling adjustment is a dominant factor driving ex-post negative fund returns.
Previous research on mutual funds in Korea has mainly focused on equity mutual funds. Our paper provides a natural expansion of the research domain given the recent study of cross-asset holding. In particular, we show that there is no meaningful interaction across different asset markets within a mutual fund family in Korea. Even within a mixed fund, it appears that information from both markets is not actively used beyond what is caused by a mechanical scaling adjustment. These findings provide strong support for substantial segmentation between the equity and bond markets in Korea. Finally, we demonstrate that such non-information-driven holding changes are, on average, associated with worse future returns.

KCI등재

3고빈도 경쟁시장에서 시장조성자제도의 의무·보상기준 개선방향

저자 : 강태훈 ( Tae-hun Kang )

발행기관 : 한국재무학회 간행물 : 재무연구 32권 4호 발행 연도 : 2019 페이지 : pp. 607-650 (44 pages)

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A market making scheme can be a direct solution for the imbalance in domestic derivatives market liquidity. To achieve such a scheme, it is necessary to expand the sphere of activity of designated market makers, which is currently limited to the nearest expiration contract of low-liquidity products and Korea Exchange (KRX) members. Introducing a request for quote can replenish a liquidity trap in the market in which the provision of continuous quotes of the designated market maker has been occasionally interrupted. However, despite improvements, if market making schemes do not motivate designated market makers to improve liquidity and price efficiency, it may be difficult to materially improve the quality of a domestic derivatives market. Technological developments, which have made it possible to trade automatically using algorithms at ever-increasing speeds, have eroded the relative value of the privileges that designated market makers have traditionally enjoyed. Therefore, this study reconsiders the obligation of designated market makers in a high-frequency trading environment and examines the direction of improvements of detailed standards in market making schemes.
The major conclusions drawn from the empirical results are summarized as follows. The behavior of designated market makers is more conservative than that of endogenous liquidity providers that supply liquidity as a profitable activity.
Designated market makers may provide liquidity conservatively because current obligations and incentive schemes of market making motivate market makers to focus more on their quote obligation duty than on active trading profits. A detailed standard of contractual obligations can explain the specific passive behaviors of market makers for continuous quotes. Because committed quotation times are based on seconds for an average of 80 percent of the trading period, designated maker makers are hesitant to cancel orders after submitting them and tend to avoid submitting orders matched in less than 1 second. In contrast, high-frequency traders have a tendency to cancel many orders, and most of the trading volumes are matched in less than 1 second in high-frequency trading environments.
Therefore, market makers' potential responses to the increased challenges that they face are to ease their obligations in markets where high-frequency traders act as informed active traders or informal market makers, and to improve the benefits through market making compensation. This can be achieved by aligning and coordinating designated market makers' obligations and benefits with the specific microstructural features of the market in which they operate. The incentives for the liquidity provider and the general requirements that need to be fulfilled to receive these incentives can be differentiated by a liquidity provider agreement. For example, market makers of the equity index options of Eurex can choose between three types of market making obligation schemes: regular market making, permanent market making and advanced market making. Regular market making focuses only on responses to quote requests by request for quote functionality, which allows market participants to request a one- or two-sided quote to the central order book of a specified instrument. Permanent market making consists of continuous quotation of a set of strikes for a predefined set of expirations and responses to quote requests for all strikes and expirations of a given product.
The benefits and risks of implementing new fee structures in the presence of high frequency traders can be reviewed to attract higher frequency and other trading volume. The most common new fee structures use maker-taker fee models that charge asymmetric fees to participants who demand and supply liquidity. Markets offer a rebate to participants who supply liquidity and charge a fee to those who demand liquidity. However, these new fee structures have led to concerns that high-frequency traders are the prime beneficiaries of these fee rebates due to their ability to (almost) always place their orders at the top of the queue.

KCI등재

4국민연금 거래의 단기 정보력에 대한 연구

저자 : 우민철 ( Min-cheol Woo ) , 양철원 ( Cheol-won Yang )

발행기관 : 한국재무학회 간행물 : 재무연구 32권 4호 발행 연도 : 2019 페이지 : pp. 651-689 (39 pages)

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본 연구는 국민연금 거래와 이후 주가수익률과의 관계를 분석함으로써 국민연금 거래가 지닌 단기 정보력을 검증하였다. 실증분석을 위해 국민연금의 일별 순매수금액 자료를 사용하였으며, 방법론으로 재무에서 전통적으로 사용하는 포트폴리오 접근법과 회귀분석을 사용하였다. 1일 보유수익률 분석 결과, 포트폴리오 방법과 회귀분석 모두에서 국민연금 순매수금액비율이 높은 포트폴리오가 더 높은 수익률을 보여주었다. 순매수금액 비율이 가장 낮은 포트폴리오를 공매도하고 가장 높은 포트폴리오를 매입하는 헤지포트 폴리오의 수익률이 일평균 1.24%로 유의미하였다. CAPM과 Fama and French(1993)의 3요인 모형을 사용하여 위험을 조정한 후의 수익률을 살펴보았을 때도 동일한 결과를 확인하였다. 하지만 보유기간을 늘렸을 때, 3일 이후의 보유수익률부터는 헤지포트 폴리오의 수익률이 유의미하지 않았으며, 4~5일에는 음(-)의 수익률로 반전되었다. 위의 결과들을 설명할 수 있는 여러 가설들을 검토하였을 때, 본 연구결과가 국민연금이 단기적 사적정보(private information)를 가지고 있음을 의미하기 보다는 국민연금의 대규모 거래로 인한 일시적인 가격압박(price pressure)이 존재함을 지지하는 결과로 해석하였다.


This study verifies the short-term informativeness of the National Pension Fund transaction. It also tests whether the National Pension Fund is an informed trader with meaningful private information. There may be contradictory views on this. The National Pension Fund has specialized management personnel with analytical and investment skills that go beyond ordinary people in stock investment in connection with stock management. In addition, the National Pension Fund has a special status with companies in the Korean stock market, which makes it easier for the fund to access insider information than it is for other investors. Because of this, transactions in the National Pension Fund can have information power. However, the National Pension Fund is constrained by various regulations governing active investment in risky assets and is exposed to political influences that may hinder investment efficiency. These factors may make the trading of the National Pension Fund less informative. This problem is examined through empirical analysis.
We calculate the daily net purchase of the National Pension Fund using the transaction data provided by the Korea Exchange (KRX). Empirical analysis of stock price predictability is based on the portfolio approach and regression analysis, which are traditionally used in finance. The empirical analysis uses the daily net purchase amount of the National Pension Fund scaled by daily trading volume 1 to 5 days after the trading day. The results of monthly observations are also analyzed through the robustness analysis.
The main results of the study are as follows. First, the stock price predictability of National Pension Fund transactions is verified using the portfolio sorting method. When one day's holdings of returns are calculated, portfolios with a higher net purchase of the National Pension Fund have higher returns than those with a lower portfolio [Check whether this should be “lower net purchase.”]. The return on hedged portfolios, which buy the portfolio with the highest net buying value and sell the lowest portfolio, is 1.24% per day with statistical significance. The same results are obtained when we examine the returns after adjusting the risk using the CAPM (capital asset pricing model) and the three-factor model of Fama and French (1993). When the holding period is increased, the statistical significance disappears after 3 days, and the return becomes negative after 4 days.
Second, we examine the short-term informativeness of the National Pension Fund transaction according to the characteristics of firms. Empirical results show that stock price predictability is more concentrated on small stocks.
A robustness test using regression analysis shows the same results. The regression coefficient is significant when regression analysis is performed using the stock returns as a dependent variable and the net purchase of National Pension Fund as an independent variable. The significance is maintained when other control variables are added.
The above results show that National Pension Fund transactions are informative but short-term. The results can be interpreted in two ways. First, the stock price prediction power may be due to short-term (about 1-2 days) private information of the National Pension Fund. There are two ways the National Pension Fund can acquire information. First, it is possible that the National Pension Fund will acquire the inside information of the company using its dominant position as a major shareholder and then deal with it one to two days before the public announcement. However, it is difficult to accept that the National Pension Fund is continuously carrying out such risky illegal insider trading. Another possibility is that the National Pension Fund has an excellent ability to interpret short-term stock price trends. Previous studies report that the National Pension Fund takes a contrarian strategy for the market and individual stock conditions. When the stock price is excessively lower than its fundamental value, the National Pension Fund can buy stocks, and the price may rise afterward. In the same way, when the stock price has risen excessively, the National Pension Fund can sell stocks and make a profit. However, the National Pension Fund has introduced a long-term method of allocating assets rather than investing in a daily portfolio adjustment scheme. In light of these points, the explanation based on short-term private information of the National Pension Fund is not appropriate.
The second interpretation is that the predictive power of stock prices is due to the temporary increase in price due to National Pension Fund transactions. There may be price pressures if other traders follow the transactions of the National Pension Fund. Woo and Kim (2018) analyze the possibility that the National Pension Fund transaction could indirectly affect the market by influencing other investors. They find that institutional investors, especially investment trusts and other financial institutions, trade in line with the net buying of the National Pension Fund. Based on these results, it seems reasonable to interpret the empirical findings in this paper as a result of temporary price pressure.

KCI등재

5사기업 인수합병 효과의 재검증

저자 : 최봉균 ( Bongkyun Choi ) , 김도성 ( Doseong Kim ) , 이영주 ( Youngjoo Lee )

발행기관 : 한국재무학회 간행물 : 재무연구 32권 4호 발행 연도 : 2019 페이지 : pp. 691-722 (32 pages)

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사기업 인수합병 효과는 상장기업을 인수합병할 때 보다 비상장기업을 인수합병할 때 인수기업의 합병공시 효과가 더 긍정적으로 나타나는 현상을 지칭한다. 본 연구의 목적은 선행 연구에 비해 최근의 합병 사례를 이용하는 한편 표본의 구성에 있어 선행연구들의 단점을 보완하여 국내 인수합병 시장에 사기업 인수합병 효과가 존재하는가를 재검증하는 것이다. 사기업 인수합병 효과에 대한 선행 연구는 대부분 비상장기업 합병 사례에서 우회상장을 어떻게 처리하였는지 명확히 밝히지 않고 있는데 우회상장이 표본에 포함되었다면 사기업 인수합병 효과가 왜곡될 수 있다. 분석 결과 사기업 인수합병 효과가 존재한다는 선행연구의 주장은 비상장기업 합병 사례에 우회상장이 포함될 경우에만 지지되는 것으로 나타난다. 비상장기업 합병 사례에서 우회상장을 제거할 경우에는 피합병기업의 상장 여부는 합병기업의 합병공시 효과에 유의한 차이를 초래하지 않는다. 반면 우회상장의 대상이 된 상장기업은 공시일 전후에 다른 형태의 합병 사례에 비해 월등히 높은 초과수익률을 기록한다. 인수합병 기업의 합병 공시효과에 영향을 미치는 제반 요인을 통제한 다변량 회귀분석에서도 피합병기업의 상장여부는 유의한 영향을 미치지 못하지만 우회상장 여부는 유의한 영향을 미치는 것으로 나타난다. 이러한 결과는 국내 인수합병 시장에 사기업 인수합병 효과는 존재하지 않는다는 점을 시사한다.


The literature presents evidence that bidding firms acquiring privately held targets earn positive and higher abnormal returns on M&A announcements than those acquiring publicly traded firms (Chang, 1998; Hansen and Lott, 1996; Fuller, Netter, and Stegemoller, 2002; Moeller, Schlingemann, and Stulz, 2004; Faccio, McConnell, and Stolin, 2006). Faccio et al. (2006) refer to this phenomenon as the “listing effect” in acquirers' announcement period stock returns. Some literature on the Korean data claims that the listing effect on acquirers' returns is also found in the Korean stock market (Kim and Seo, 2000; Oh and Song, 2008; Jung, 2010). For example, using the sample of merger announcements in the Korean stock market over the 1980 to 2007 period, Jung (2010) examines the cumulative abnormal returns (CAR) of acquirers' stocks for 10 days from -5 to 5 surrounding announcements of merger deals and finds that bidders acquiring a publicly traded company have an average CAR of 0.13%, which is not statistically different from zero, whereas bidders acquiring a privately held company have an average CAR of 3.71%, which is significantly different from zero. Jung (2010) also shows that the average CARs of the two groups are significantly different from each other at the 1% level. Chang (1998) provides three explanations for the listing effect on acquirers' returns: the limited competition hypothesis, the monitoring hypothesis, and the information hypothesis. The limited competition hypothesis states that if the competition for private firms in the takeover market is limited, bidders can experience positive abnormal stock returns because the likelihood of underpayment is high. The monitoring hypothesis is related to the concentrated ownership of private firms. Private firms are typically held by a small number of shareholders. Therefore, when a bidder acquires a private firm through common stock exchange, the shareholders of the private target firm can become outside blockholders after the merger and may then become active monitors who contribute positively to firm value. Lastly, the information hypothesis explains the listing effect on acquirers' returns through the mitigation of information asymmetry. The relatively few shareholders of a private target firm have incentives to actively assess the prospect of a bidding company, and their willingness to hold the shares of the bidder conveys favorable information about the bidder to the market.
The main purpose of this paper is to revisit the listing effect on acquirers' returns in the Korean stock market because prior studies on this issue do not explicitly separate the effect of backdoor listing (reverse takeover) from the listing effect on acquirers' returns. Backdoor listing means that a private firm merges with a listed firm and becomes public without going through an official IPO process. Many papers report that listed firms engaging in backdoor listing experience positive abnormal returns upon the announcement of the deal (Gleason, Rosenthal, and Wiggins, 2005: Park, Park and Bae, 2009; Kang, 2009; Kang and Kim, 2009). We refer to this phenomenon as the backdoor listing effect. In addition, Gleason et al. (2005) and Park et al. (2009) find that listed firms in backdoor listing are typically small and poor performers. Even though a private firm essentially acquires a listed firm in the backdoor listing process, on the surface, the listed firm survives and maintains its listing status throughout the merger process. When Korean listed firms file disclosure documents regarding backdoor listings with the Korean financial supervisory [Please check whether this should be “Korean financial supervisory.”], they classify themselves as acquirers and the essentially acquiring private firms as targets. Therefore, unless researchers pay particular attention, it is likely that backdoor listings are mistakenly treated as the mergers of private firms with public firms. If the sample of mergers of private firms includes backdoor listings, the results on the listing effect on acquirers' returns can be misleading. To address this concern, our study manually identifies backdoor listings among merger announcements and investigates the listing effect on acquirers' returns with and without the backdoor listing effect. We find that the cumulative abnormal returns are higher for acquirers of private targets than for acquirers of public targets only when we include backdoor listings in the sample of mergers of private firms. Excluding backdoor listings, we do not find that the listing status of target firms plays a significant role in acquirers' returns in merger announcements. Using multivariate tests to control various firm and deal characteristics, we also find that a target firm's listing status does not affect acquirers' returns, whereas backdoor listing has a significant impact on acquirers' returns. We perform robustness tests, considering the change in the regulation on the disclosure of backdoor listing and the monitoring effect of new blockholders, and find that the result of the non-existence of the listing effect remains the same. Therefore, the findings of our study suggest that the backdoor listing effect may have resulted in the erroneous conclusion by prior studies that a listing effect on acquirers' returns exists in the Korean stock market.

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