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THE KOREAN JOURNAL OF FINANCE ASSOCIATION

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수록정보
수록범위 : 1권0호(1988)~34권2호(2021) |수록논문 수 : 525
재무연구
34권2호(2021년 05월) 수록논문
최근 권호 논문
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KCI등재

1New Measures of Herding Behavior and Cross-sectional Time Dispersion (CSTD) by IPO Firms in Chinese IPO Markets

저자 : Sunghwan Kim , Dongmin Lim , Jihyun Kim

발행기관 : 한국재무학회 간행물 : 재무연구 34권 2호 발행 연도 : 2021 페이지 : pp. 1-29 (29 pages)

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In this paper, we develop a new way of measuring the herding behavior of market participants and test herding behavior among investors in Chinese IPO firms, compared with prior methods of herding measure developed by Christie and Huang (1995), Chang, Chen, and Khorana (2000), and Hwang and Salmon (2009). Our proposed new non-parametric herding measure, cross sectional time dispersion (CSTD), is defined differently as dispersion in IPO issuance timing, compared with traditional definitions of herding as dispersion in IPO returns or risk measure. Traditional CSSD, CSAD and beta herding measures do not provide statistically significant or consistent relationship between the herding measures and the IPO firms' initial or long-term returns. In contrast, the new measure of time herding, CSTD clearly and consistently indicates that investors are affected more by the herding behaviors of IPO firms than by those of investors in the IPO markets in China.

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2ESG Factors as a Determinant on Credit Ratings

저자 : Jin Q Jeon

발행기관 : 한국재무학회 간행물 : 재무연구 34권 2호 발행 연도 : 2021 페이지 : pp. 31-65 (35 pages)

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This study examines how ESG (Environmental, Social, Governance) factors are incorporated in credit ratings in Korea. The empirical results show that ESG scores have, in general, a positive effect on credit ratings, suggesting that corporate ESG is reflected to some extent in credit ratings. Among the factors of ESG, the governance factor has a significant relationship with credit ratings. The result is obvious in that some important governance elements such as internal control devices, disclosure and transparency, and ethical management are included in the aspect of business management risk during credit evaluation. On the other hand, social and environmental factors have a partial or insignificant relationship with credit rating. As social interest in ESG increases, it is highly likely that ESG itself becomes one of the most important determinants on credit ratings in the near future. In such a case, the results of this study can be used as a reference for the decision logic of credit rating reflecting ESG.

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3위험프리미엄과 위험 간의 시간가변적 관계에 대한 검정

저자 : 엄영호 ( Young Ho Eom ) , 한재훈 ( Jaehoon Hahn ) , 박도준 ( Dojoon Park )

발행기관 : 한국재무학회 간행물 : 재무연구 34권 2호 발행 연도 : 2021 페이지 : pp. 67-104 (38 pages)

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본 연구의 목적은 우리나라 주식시장 투자자의 시간가변적인 위험회피계수를 소비관련 거시변수를 사용하여 측정하고, 이러한 실증분석을 통해 위험프리미엄과 위험 간의 시간가변적인 관계(time-varying risk-return trade-off)를 검증하는데 있다. 구체적으로 본 연구에서는 위험회피계수를 추정하기 위해 Campbell and Cochrane (1999), Santos and Veronesi(2006), Lettau and Ludvigson(2001, 2005) 등이 제시한 잉여소비비율, 소비 대비 소득비율 그리고 총자산 대비 소비비율을 위험회피계수의 변화를 포착하는 상태변수로 사용하였다. 세가지 소비관련 거시변수는 이론적 근거와 함께 실증분석에서도 위험프리미엄에 대한 유의한 설명력을 가지고 있어 위험 회피계수의 상태변수로 사용하기에 적합하다. 분석결과에서 잉여소비비율의 시간가변적 위험회피계수에 대한 설명력이 통계적으로 유의하였다. 실증분석의 결과는 분기 및 월 초과수익률 자료를 사용한 경우와 GARCH(1,1)-M과 EGARCH(1,1)-M 모형을 사용한 경우 그리고 경기변동 관련 변수를 통제변수로 포함한 경우 모두에서 일관성이 있었다. 소비 대비 소득비율의 설명력은 일부 실증분석에서 유의하였지만, 총자산 대비 소비비율의 설명력은 유의하지 않았다. 이러한 분석 결과는 Campbell and Cochrane(1999)의 모형을 지지하는 결과로 해석할 수 있으며, 위험회피계수의 변화로 위험프리미엄과 위험 간의 시간가변적 관계를 설명할 수 있음을 의미한다.


Finance theory suggests that there should be a positive relationship between risk and the risk premium. Investors demand compensation for holding risky assets, and how much compensation they demand is related to both the degree of risk aversion and the amount of risk. Extensive empirical evidence in the past several decades also suggests that risk premium varies over time with strong association with business cycle, which implies that the relation between risk and the risk premium is also likely to vary over time. Motivated by these theory and empirical evidence, we examine time-varying risk-return relationship by estimating the relative risk aversion coefficient using consumption-based measures as state variables, aiming to capture the conditional relation between risk and the risk premium.
A number of consumption-based measures have been proposed as forecasting variables for asset returns such as the surplus consumption ratio (Campbell and Cochrane, 1999; Wachter 2006), the labor income to consumption ratio (Santos and Veronesi, 2006), and the consumption-aggregate wealth ratio (Lettau and Ludvgison, 2001). Campbell and Cochrane (1999) introduce habit persistence to their asset pricing model and use the surplus consumption ratio as a proxy for time-varying relative risk aversion and Wachter (2006) uses a proxy for the surplus consumption ratio to extend the model to the bond market. The model of Santos and Veronesi (2003) implies that the ratio of labor income to consumption is inversely related to the conditional covariance between asset return and consumption. Therefore, the ratio is also inversely related to the risk premium. Lettau and Ludvigson (2001, 2005) introduce CAY, which measures deviation of consumption from its stable relationship with wealth. As consumers' trading of financial assets is motivated by a desire to smooth consumption both over time and across states, CAY has the predictive power for the risk premium. Park, Eom, and Hahn (2019) constructs three consumption-based measures using Korean data and shows that these measures have predictive ability for the equity, bond, and housing risk premia in Korea. Their findings suggest that the consumption-based measures capture the information relevant for time-varying risk premium in Korea and can be used as state variables for empirical analysis.
We estimate the relative risk aversion coefficient in the framework of Merton (1973)'s ICAPM by using three consumption-based measures as state-variables for the risk aversion. In constructing four proxies for the surplus consumption ratio, we use two estimation procedures based on Campbell and Cochrane (1999) and Wachter (2006) with two persistency parameter estimates. We follow Park, Eom, and Hahn (2019) to calculate the labor income to consumption ratio and CAY. We use both monthly and quarterly excess return data from April 1988 to March 2016. Two conditional variance models (GARCH(1,1)-M and EGARCH(1,1)-M) are estimated by the overlapping data inference (ODIN) method suggested by Hedegaard and Hodrick (2016). We also include five control variables which are the relative risk free rate, term premium, default premium, business cycle indicator, and industrial production.
The main findings are as follows. First, when we use the proxy for the surplus consumption ratio as a state variable, we find a positive relationship between risk and the risk premium. The surplus consumption ratio has the statistically significant explanatory power of the relative risk aversion coefficient. Second, the main results are consistent across various cases of using monthly and quarterly excess return data, using GARCH(1,1)-M and EGARCH(1,1)-M models, and including control variables which are related to business cycle. Third, the explanatory power of the surplus consumption ratio is robust to using four alternative proxies used in this study. Finally, when we use the labor income to consumption ratio by Santos and Veronesi (2003) as a state variable, we also obtain some significantly positive time-varying risk-return relationship. However, we fail to obtain significant results when we use the consumption-aggregate wealth ratio by Lettau and Ludvigson (2001, 2005) as a state variable. Taken together, our empirical findings suggest that the relationship between risk and the risk premium should be investigated in a conditional setting, one of which is the model of Campbell and Cochrane (1999) with time-varying risk aversion.

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4기업혁신과 타인자본비용의 관계: 첨단·비첨단산업 및 경영진-종업원 보상평등

저자 : 하성수 ( Sungsoo Ha ) , 김학건 ( Hakkon Kim )

발행기관 : 한국재무학회 간행물 : 재무연구 34권 2호 발행 연도 : 2021 페이지 : pp. 105-131 (27 pages)

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본 연구는 기업의 혁신과 타인자본비용의 관계를 살펴보는데 목적을 두고 있다. 또한 본고는 첨단산업과 비첨단산업에서 이들 관계가 상이하게 나타나는지 분석한다. 이외에도 본 연구는 혁신과 보상평등의 교차변수를 활용해 동 변수와 타인자본비용의 관련성을 검증한다. 이를 위해 본고는 특허청의 특허정보검색서비스를 통해 유가증권시장 상장기업의 특허자료를 수집하여 분석에 사용하였다. 분석결과 첫째, 혁신의 대용변수로 사용된 등록 특허건수와 타인자본비용 사이에는 유의한 부(-)의 관련성이 조사되었다. 이러한 결과는 혁신활동이 활발한 기업일수록 타인자본비용이 낮게 나타남을 보여주며, 이는 타인자본 제공자인 채권자들이 기업의 혁신을 긍정적으로 인식하고 있음을 시사한다. 둘째, 혁신에 따른 타인자본비용 감소효과는 첨단산업에서 유의하게 나타난 반면, 비첨단산업에서는 동 효과가 확인되지 않았다. 셋째, 보상평등 변수의 부호는 첨단 및 비첨단산업에서 모두 정(+)으로 나타났으나, 혁신과 보상평등의 교차항은 첨단산업에서만 유의미한 부(-)의 값을 가졌다. 이러한 결과는 경영진-종업원의 낮은 보상차이가 타인자본비용 상승을 초래할 수 있으나, 혁신활동이 활발한 첨단기업의 경우 이러한 부정적 영향이 감소될 수 있음을 보여준다.


The importance of a firm's innovation is emphasized because the innovation can promote not only a firm's competitiveness but also viability(Park, Park, and Cho, 2006; Jeon and Lee, 2015). However, in Korea, little literature has been explored the relationship between firms' innovation and cost of debt capital. Therefore, we investigate the effects of innovation on the cost of debt capital by using KOSPI-listed companies. In addition, we examine if there are any differences in the relationships between innovation and cost of debt capital when companies belong to the high-tech or non-high-tech industries. We also analyze how the interaction term between innovation and pay equality can affect the cost of debt. This paper proxies the level of a firm's innovation by using the number of granted patents. For this, we collect patent data from KIPRIS(Korea Intellectual Property Rights Information Service) of the Korean Intellectual Property Office. As a proxy of firm's innovation level, the patent data could be more suitable than research and development expenditure data because the granted patents can be recognized as the output of innovation activities(Choi, 2018). The main results can be summarized into three parts. First, in our regression, the number of granted patents as a proxy of innovation has a negative effect on the debt cost which shows that more innovative company has a lower cost of debt. It also implies that a firm's innovation activities could be recognized positively by creditors. These findings are also robust when we use a two-stage least squares regression model, pooled OLS regression model, and random effects model. Our results are consistent with Hsu, Lee, Liu, and Zhang(2015) which investigates the effect of innovation on the cost of capital using the United States data. Second, in high-tech industry, the acquiring patent rights is one of the key factors for surviving. Thus, we split the sample into high and non-high-tech industry groups. The results show that the coefficient of innovation is significant in the high-tech industry, but not in the non-high-tech industry. These findings imply that bond investors may think that the innovation is more important for high-tech firms than non-high-tech firms. Third, in high-tech industry, the coefficient of pay equality is positive and the coefficient of interaction term between innovation and pay equality is significantly negative. The pay equality variable takes the value of one if manager-employee pay gap ratio is equal or less than the median, and zero otherwise. In summary, this study finds that the firm's innovation has a positive effect on the cost of debt capital and this relation is significant when the firms belong to high-tech industry, not in non-high tech industry. We also find that, in high-tech industry, the pay equality of manager-employee may increase the cost of debt capital but a firm's innovation activities can reduce the negative effects of pay equality. These findings provide useful information and make contributions not only for high-tech firms' managers but also for innovation policy makers.

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5안전자산과 포트폴리오 성과에 관한 연구

저자 : 염명훈 ( Myeonghoon Yeom ) , 윤주영 ( Jooyoung Yun ) , 김지훈 ( Jihun Kim )

발행기관 : 한국재무학회 간행물 : 재무연구 34권 2호 발행 연도 : 2021 페이지 : pp. 133-165 (33 pages)

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Baur & Lucey(2010)는 안전자산(safe haven property)을 시장이 불안할 때 다른 위험자산과 음(-)의 상관관계를 갖거나 거의 상관관계가 없는 자산으로 정의하였으며 금이 이러한 성질을 가지고 있음을 보여주었다. 본 연구에서는 KRX금시장 데이터를 중심으로 한국시장에서 금시장이 주식시장에 대한 안전자산 역할을 할 수 있는지 분석하였다. KRX금시장이 개장한 2014년 3월 24일부터 2020년 4월 29일까지의 표본을 사용하여 실증분석을 한 결과, 금과 원달러환율은 주식시장과 유의한 음(-)의 상관관계를 보여 안전자산 역할을 하는 것을 확인하였으며, 특히 KRX금시장의 금가격은 주식 하락기에 높은 수익률을 보이는 것을 확인할 수 있었다. 안전자산을 활용한 포트폴리오 성과를 분석하기 위해 최소분산 포트폴리오와 동일가중 포트폴리오의 역사적 표준편차와 샤프지수를 분석하였다. 실증분석 결과, 금은 주가 하락기에서 포트폴리오 수익률 하락폭을 만회하여 성과를 높인다는 측면에서 전통적인 안전자산인 채권과 유사한 역할을 함을 확인할 수 있었다. 특히 금이 포함된 포트폴리오는 최소분산 포트폴리오보다 동일가중 포트폴리오로 구성되었을 때 주가 하락기에서의 성과가 우수함을 확인하였다. 이는 채권과 다르게 금은 주식과의 상관계수가 안정적이지 않기에 동일가중 포트폴리오가 분산행렬 추정 오류에 대해 강건하게 작용하기 때문으로 보인다. 또한 금과 미국달러 그리고 주식시장의 시차에 따른 영향을 VAR 모형을 통해 분석한 결과, 한국 주식시장 수익률과 금 수익률 간에는 동태적으로도 유의한 음(-)의 관계가 있음을 확인하였다.


During the economic downturn, the demand for safe haven properties increases, which is known as the flight-to-quality phenomenon. Thereafter, the global financial crisis increase demand for safe assets. Interest in safe haven property and flight-to-quality phenomenon has increased not only in practice but also in academic circles. Baur & Luecy(2010) defined a safe haven property as an asset that has a negative correlation or little correlation with other risky assets when the market is unstable. This study analyzed whether the gold market can function as a safe haven property to the Korean stock market, focusing on KRX gold market data. Gold traditionally has the nature of a safe asset because of its physical scarcity and the historical facts that itself served as currency. Studies investigating the gold market and stock market after the financial crisis confirm that the gold market serves as a sure safe haven for advanced countries especially with key currencies. Baur and Lucy (2010) showed that gold serves as a safe haven for the stock markets of the United States and major European countries, and studies such as Ciner et al. (2013), Baur and McDermott (2010), and Liu (2010) also show that gold serves as a safe haven in developed countries. However, several studies investigate whether gold plays a role as a safe asset in emerging markets, while no consistent consensus has yet been achieved. Emerging markets are well known to have different characteristics from advanced countries during the financial crisis while emerging central banks and others increase the weight of gold to hedge the depreciation of the U.S. dollar during the financial crisis, and demand for gold will be different from advanced countries. For this reason, the results of gold serving as a safe haven for the stock market in emerging markets vary depending on the sample period. Many studies on the gold market in emerging markets, including Korea, does not directly use the domestic gold market, so there is a time difference when using daily data. As a result, they do not reflect properly the price information of gold. For this reason, it is necessary to study using domestic gold market data. The KRX gold market which is corresponding to the Koran stock markets in opening time and has relatively low investment costs. We analyze the correlation between KOSPI and the safe haven assets and compare the performance of the portfolios including KOSPI and the safe haven assets. We also include analyzing the dollar and bonds, which is a traditional risk-free asset. We employ daily returns of gold prices in the KRX Gold Market from March 24, 2014, which is the opening day of the KRX Gold Market, to April 29, 2020. We also use daily returns of the bond ETF, which underlying asset is the 3-year Korean Treasury-Bond, and use daily returns of KRW-USD exchange rate during the same sample period to the KRX Gold Market. As a result of empirical analysis gold and USD shows a significant negative correlation with the Korean stock market, respectively, which implies both gold and USD paly role of a safe asset against the Korean stock market. In particular, the KRX gold market shows high returns during the periods when stock markets fell down. Furthermore, we analyzed the effects of the properties of safe assets such as gold and the US dollar on portfolio performance, through the historical standard deviation and the Sharpe ratio index of the minimum variance portfolio and the equal-weighted portfolio. In terms of portfolio performance, gold plays a similar role as a traditional safe asset such as Treasury bonds improving performance by recouping the decline in stock returns within the stock price down turns. Gold price increases could further enhance portfolio performance than Treasury bonds. Whereas the KRX gold market, unlike treasury bonds, is not stable in correlation with KOSPI. When constructing the equal-weighted portfolio, performance is better on the basis of excess returns and Sharpe ratio indices rather than constructing minimum variance portfolios that change the proportion of gold. Furthermore, we analyze the dynamics among gold, stock, and USD employing an analysis of the vector autoregression (VAR) model, and find that there is a significant negative (-) response between gold and the Korean stock market. However, there was no significant negative reaction between the U.S. dollar and the Korean stock market. In conclusion, the empirical analysis of the stock market, including gold, shows that the gold market serves as a safe haven for Korean stock investors and that it can increase performance when incorporated in the investing portfolio. Characteristics of gold as a safe asset is also expected to provide new insights to stock investors. In general, safe assets are only known to hedge risk, but it would be helpful research in practice and academia to improve returns if they were operated with risky assets.

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6무위험지표금리(RFR) 선물의 상장과 활성화 방안

저자 : 김진엽 ( Jin Yeop Kim ) , 임지훈 ( Ji Hun Lim ) , 정일교 ( Il Gyo Jeong ) , 함문규 ( Moon Kyu Ham ) , 윤선중 ( Sun-joong Yoon )

발행기관 : 한국재무학회 간행물 : 재무연구 34권 2호 발행 연도 : 2021 페이지 : pp. 167-203 (37 pages)

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LIBOR 금리의 산출 중단이 예정됨에 따라 최근 미국, 영국, 일본 등 주요국의 금융당국은 기존 IBOR금리를 대체할 무위험지표금리(Risk Free Rate, RFR)의 개발을 완료하고, RFR 파생상품을 상장하고 있다. 상대적으로 지표금리의 개발이 늦은 우리나라도 2021년 3월 무위험지표금리를 최종 선정하였으며, 구체적인 산정방식을 2021년 내에 완료할 것으로 발표하였다. 그러나 신규 선정된 RFR금리가 시장에 정착하기 위해서는 RFR 파생상품의 상장을 비롯하여, 관련 금융상품의 풍부한 유동성이 마련되어야 한다. 본 연구는 Cash Product 등에 사용될 수 있는 신뢰성 있는 기간물 RFR을 산출하기 위해 RFR 선물 상장 방법에 대해서 논의한다. 미국, 영국의 주요국뿐만 아니라 국제통화를 사용하지 않는 호주, 캐나다 등의 RFR 선물사례를 함께 소개함으로써 국내 RFR 선물의 성공을 위한 방안을 제시한다. 또한 RFR 선물이 상장되었을 경우, 시장 활성화를 위해 필요한 정책적 과제를 정리한다.


The uncertainty surrounding the continuing availability of LIBOR after 2022 requires financial authorities and financial institutions in major countries to be thoroughly prepared. In this regard, financial authorities in major countries such as the U.S., the U.K., and Japan have recently completed the development of a new risk-free rate (RFR) to replace the existing IBOR and have been listing the RFR derivatives. The working group of Korea, which has been relatively late in developing a RFR, has also selected the overnight repo rate of government bonds and monetary stabilization bonds as the RFR in March 2021 after a series of discussions and votes, and announced that the development of detailed calculation method will be finalized in the third quarter of 2021. The repo market's sufficient liquidity and use in derivatives markets were the main reasons for this selection. However, for the newly selected RFR to be settled in the market, a sufficient liquidity is required for related financial instruments or contracts, including RFR futures. Based on this circumstance, this study attempts to present policy implications for listing RFR futures in Korea Exchange by grasping the current status and structure of RFR futures listed in major countries. More specifically, we propose a plan to vitalize the domestic RFR futures market by presenting examples of major countries in which RFR futures are actively traded. In particular, the U.S.'s Secured Overnight Financing Rate (SOFR) futures and the U.K.'s Sterling Overnight Index Average (SONIA) futures have been cross-listed on CME in the U.S. and ICE in Europe, so that existing Eurodollar futures and Fed rate futures could be replaced by these products. These countries's experiences can be helpful for us to list a similar RFR product. Of course, it is unclear whether the RFR futures for Korean Won, which is not used as an international currency, can be settled down in a short period of time. The major countries already had derivatives market for short-term interest rate such as IBOR before listing RFR futures. In addition, they have sufficient demand for hedging short-term interest rate risk. Considering this domestic situation in which short-term interest rate futures are absent after the delisting of CD rate futures, the vitalizations of domestic RFR futures is difficult unless there is sufficient and institutional supports. The governments, government-related agencies and exchanges of major countries also have helped and supported RFR futures in order to improve their reliability and liquidity when they were first listed in exchanges. In the paper, we suggest the following methods to list and activate the RFR futures transaction. First, we propose diversification and centralization of RFR products that can satisfy the needs of market participants. For example, we can consider listing the Monetary Policy Board (MPB) RFR futures or spread trades between RFR futures and mid-term government bond futures. The introduction of spread trading with 3-year Treasury bond futures, which currently has sufficient liquidity, can induce existing market participants into the RFR futures market. In addition, it is necessary to design an appropriate incentive system for market makers by referring to overseas markets and past domestic cases with successful results.

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1연안해역에서 석유오염물질의 세균학적 분해에 관한 연구

(2006)홍길동 외 1명심리학41회 피인용

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2미국의 비트코인 규제

(2006)홍길동심리학41회 피인용

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(자료제공: 네이버학술정보)

가장 많이 참고한 논문

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2미국의 비트코인 규제

(2006)홍길동41회 피인용

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