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본 연구는 적립식 펀드가 본격적으로 판매되기 시작한 2005년을 국내 펀드시장 구조 적 변화의 분기점으로 파악하고 구조적 변화 전후의 펀드 매니저의 시장예측 능력과 종목선택 기술에 대해 살펴보았다. 펀드 분류기준이 새롭게 정립된 2000년 6월 이후 설정된 펀드를 대상으로 보다 체계화되고 목적 적합한 표본설정 절차와 비모수통계 법을 포함하는 다양한 성과 측정 방법론을 통해 분석을 실시했다. 연구결과 구조적 변화 이후 펀드매니저의 시장예측 능력은 큰 폭으로 개선된 것으로 밝혀졌다. 연구모형에 따라 다소 상이하지만 구조적 변화 이전 조사 대상 펀드 중 2% 에서만 관찰되었던 시장예측 능력은 변화 이후 30%가 넘는 펀드에서 관찰되었다. 반 면 구조적 변화 이후 종목선택 능력은 변화 이전보다 감소한 것으로 나타났지만 시장 예측 능력만큼 큰 폭의 변화를 보이지는 않았다. 또한 구조적 변화 이후 펀드매니저 의 시장예측 능력은 자산운용사별로 큰 차이를 보였으며 주식편입비율이 높을수록, 총 보수율이 낮을수록, 펀드 규모가 자투리펀드나 대형펀드인 경우 더 크게 향상된 것으로 조사됐다. 본 연구는 국내 펀드시장의 양적 질적 성장의 도화선 역할을 한 적립식 펀드 판매를 시대적으로 시장을 구분할 수 있는 하나의 분기점으로 인지, 펀드 관련 연구 시 펀드 시장의 구조적 변화에 대한 검증 필요성을 제기했다는 점에서 공헌점이 있다고 할 수 있다.
The sale of funds employing a dollar cost averaging strategy has allegedly started a new era in Korean fund market. In fact, Assets under management (AUMs) of equity funds have dramatically increased and investment patterns of individual investors have changed to indirect and long-term horizon investments since the dollar cost averaging funds settled down. Accordingly, investment management companies have also changed their trading strategies from frequent changes of holding stocks for higher short-term performance to buy and holding stocks, enabling them to timely react to market movement. In addition, securities companies and banks have been actively attracted to the dollar cost averaging funds, resulting in the changes of funds’ sale channel. This has profoundly influenced the overall financial industry. However, very little research has been conducted thus far on this issue in academy and practices. Most literatures have overlooked the effect of the dollar cost averaging funds on fund market, thus producing erroneous results. Since the onset of the structural changes in fund market in 2005 when the dollar cost averaging funds started to be sold in full scale, this paper benchmarks that year in examining selectivity skill and timing ability of equity fund managers during pre- and post-structural change periods. I conjecture that the investment companies are more likely to critically alter asset management strategies after the sale of the dollar cost averaging funds, which is supposed to have generated significant effects on the performance of fund managers. Therefore, I investigate the managers’ selectivity skills of purchasing (selling) appreciating (depreciating) stocks in advance and their timing ability to switch among fund asset classes in an attempt to profit from the changes in market outlook. In doing this, we use three performance estimation methodologies including combined models of Fama and French (1993) with Treynor and Mazuy (1966), Henriksson and Merton (1981), and Goetzmann, Ingersoll, and Ivkovic (2000). I also employ pooled regression for each year, non-parametric analysis, and dummy variable added regression for robustness test. The results of analyses using various methodologies to estimate performance show that the fund managers’ timing skills of fund managers strikingly improve after structural change in the fund market. For one thing, only 2% of equity funds are observed to hold statistically significant timing ability during the pre-structural change periods, while more than 30% of funds display timing ability during the post-structural change periods. I also provide evidence that fund managers present substantially different timing ability by investment management company, and that the timing skills of fund managers are much more improved after structural change in funds whose stock holding ratio is higher, total cost is lower, and size is larger (more than 100 billion won) or enormously tiny (less than 5 billion won). Meanwhile, the selectivity skills of fund managers deteriorate after structural change, but the extent of decline is not statistically significant. These results suggest that the investment companies may be able to compose holding stocks and to timely alter stocks by focusing more closely on the market movements especially those related to structural changes of fund market caused by the sale of dollar cost averaging funds. In reality, most dollar cost averaging funds are classified not as aggressive growth funds whose purpose is to achieve the highest capital gain accompanied by high share price volatility, but as value funds that primarily hold stocks that are conceived to be undervalued in price in the relatively long term horizon. This implies that trading strategy on equity funds is more likely to change the longer investment horizon and the lower turnover ratio, enlarging the opportunity of timing ability for fund managers. Another implication of the results of this study is that the impact of a rapidly growing fund market on the entire stock market has augmented since the sale of dollar cost averaging funds. Namely, as major liquidity providers, equity funds lead to entire stock market movement. For instance, the Korea Composite Stock Price Index (KOSPI) had increased for a while after the introduction of the dollar cost averaging funds, although foreign investors’ stock investments have reverted to a net selling position. This paper contributes to the existing literature in that the sale of dollar cost averaging funds bringing about tremendous structural changes is assessed as a crucial incident that marks the beginning of a new era in the Korean fund market. In addition, the paper minimizes the various biases caused by sample selection through more systematic selection procedure such as excluding master feed funds within family funds, picking one among multi- class funds, and including funds whose inception date is after June 2000 when new classification system of funds was introduced. Above all, this paper propounds salient implication that future researches associated with funds in Korean market should necessarily ponder over the impact of these structural changes on their results.
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본 논문은 한국주식시장에서 고빈도 자료(일중자료)를 통하여 구한 유동성 측정치를 벤치마크로 사용하여 저빈도 자료(일별자료)를 사용한 유동성 측정치들을 비교분석 (horserace)하였다. 이를 통하여 한국주식시장에서 고빈도 유동성 측정치를 대체할 수 있는 저빈도 측정치에 대한 지침을 제시하고자 하였다. 분석은 유동성 측정치를 스프레드 측정치와 가격충격의 측정치의 두 범주로 구분하여 실시하였으며, 비교방법 으로는 상관계수와 예측오차를 사용하였다. 실증분석 결과, 스프레드 측정치들을 비 교하였을 때, 폐장 호가스프레드율를 사용한 거래소 공표 스프레드율이 고빈도 스프 레드에 가장 근접하였다. 스프레드의 대용치(proxy)들 중에서는 Amihud(Amihud, 2002, JFM)가 상관계수에서, 예측오차에서는 LOT(Lesmond, Ogden and Trzcinka, 1999, RFS)가 가장 우수하였다. 가격충격 측정치들을 비교하였을 때, 대부분의 저빈 도 측정치들이 벤치마크와 높은 상관관계를 가졌으며, 특히 Gibbs Impact(Hasbrouck, 2009, JF)와 Amihud가 일관되게 우수한 결과를 보였다. 이러한 결과들은 전체기간 을 시장상승기와 하락기로 구분하여서 8개의 하위기간으로 분석했을 때와 전체표본 중에서 KOSPI200에 속한 종목들을 분석하였을 때도 동일하게 나타났다.
The notion of liquidity is widely used in the finance area, such as in the studies of market microstructure and asset pricing. And yet, so many liquidity measures are available with little consensus on which measure is the most appropriate that it is difficult for researchers to decide which one they should adopt for their studies. In the US, Goyenko, Holden and Trzcinka (2009) provide a comprehensive study of liquidity measures. They run horseraces of the widely used proxies of liquidity, plus new proxies they developed against the high-frequency liquidity benchmarks. Lesmond (2005) investigates the liquidity measures of 23 emerging markets using the quarterly bid-ask spread as a benchmark. His study includes the Korean stock market; however, it has a limitation in that the high-frequency measure is not employed as liquidity benchmark. This paper compares various liquidity measures in the Korean stock market to provide a guide for the use of liquidity measures by employing the high-frequency data. The paper runs horseraces of low-frequency liquidity measures derived from daily data against high-frequency liquidity benchmarks from intraday data. At first, I classify the liquidity measures into two categories: spread and price impact measures. Spread measures gauge the direct trading cost while price impact measures the indirect trading cost. Liquidity measures used in the paper are as following: (1) High-frequency spread benchmarks: Quoted spread, Effective spread, Realized spread. (2) Low-frequency spread measures: Roll, Roll2, Gibbs, LOT, Zero, Zero2, Liu, Turnover, Amihud, Pastor and Stambaugh, Amivest, KRX quoted spread. (3) High-frequency price impact benchmarks: Lambda (λ), 5-Minute Price Impact, Static Price Impact. (4) Low-frequency price impact measures: Roll Impact, Roll2 Impact, Gibbs Impact, LOT Impact, Amihud, Pastor and Stambaugh, Amivest. Next, comparisons of liquidity measures are performed on the Korean stock market. The Korean sample is comprised of 271 firms listed in the Korea Exchange for the period from April 1993 to December 2004. Monthly and annual liquidity measures are estimated and compared by using two methodologies: correlation and prediction error analysis. The first correlation metric is the average cross-sectional correlation based on individual firms between the high-frequency benchmarks and the low-frequency liquidity measures. The second correlation metric is the time-series correlation based on an equally-weighted portfolio. The third correlation metric is the pooling correlation based on all month (year)-firm observations. As prediction error metric, the mean bias and the root mean squared error (RMSE) between the benchmark and the liquidity proxy are used. The results from the prediction error are expected to be useful for market efficiency and corporate finance tests, since in these fields the correctly scaled proxy is needed. This paper provides us with important findings about liquidity measures. First, in the comparison of spread measures, the KRX quoted spread, which uses the closing quoted bid-ask spread, has the highest correlations (0.397～0.977) and the smallest prediction errors (mean bias: 0.000～0.007, RMSE: 0.001～0.008) with the high-frequency spread benchmarks. However, this measure has different property with the other low-frequency spread measures because it adopts one observation among high-frequency data rather than proxies spread. Among the spread proxies, Amihud performs the best in correlation analysis (0.12 2～0.943), and LOT in prediction errors analysis (mean bias: -0.002～0.006, RMSE: 0.005～ 0.010). LOT shows the highest accuracy: in summary statistics, the mean of monthly LOT is about 0.8% when the mean of the Quoted and Effective spread is about 1.0%. Moreover, LOT has high time-series correlations with the benchmarks and performs well in the portfolios stratified by the firm size and effective spread. Second, in the comparison of price impact measures, most low-frequency measures, except Pastor and Stambaugh, have high correlation with high-frequency benchmarks. Gibbs Impact and Amihud perform distinguishably well. Pastor and Stambaugh is likely to contain much estimation errors when it is estimated based on individual firms. Also, two robustness checks are performed. First, the sample period is divided into eight sub-periods by using the market index moving averages. Second, comparisons are also done using firms included in the KOSPI200 index. These analyses show the similar results with the previous. The result of a sub-period for 1997. 6～1998. 6, in which Korea experienced the severe financial crisis, shows lower correlations and higher prediction errors than other sub-periods.
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본 연구에서는 특별한 공개정보 없이 주가가 현저하게 급등 또는 급락하는 것에 대한 거래소의 조회공시 요구를 사건일로 하여 네 가지 조회공시 유형별(급락-미확정, 급 락-특이사항 없음, 급등-미확정, 급등-특이사항 없음)로 장단기 주가 움직임과 ±20일 동안의 거래량, 그리고 투자자별 매매패턴에 대해 실증적으로 분석하고 있다. 이를 위해 2005년 1월 1일부터 2009년 12월 31일까지 5년간 한국거래소의 유가증권 시장에 상장된 기업을 대상으로 현저한 시황변동에 대한 조회공시 요구를 받은 경우 가 실증분석 자료로 사용되고 있다. 분석결과, 현저한 시황변동에 대한 조회공시요구 가 특별한 공개정보 없이 급등 또는 급락한 주식에 대한 정보를 시장에 공급하는 역 할을 하고 있음을 알 수 있다. 하지만 거래소의 조회공시 요구에도 불구하고 이유없 이 급등 또는 급락한 주가가 단기간에 반전되는 현상은 나타나고 있지 않다. 조회공 시 전후의 거래량 추이를 살펴본 결과에서는 사건일(t = 0)을 정점으로 전후 ±5일 동 안 거래량이 증가하고 있어 특별한 공개정보 없이 주가가 급등 또는 급락하는 과정과 거래소의 조회공시 요구가 나온 이후에 투자자들의 정보반응이 민감하다는 것을 보 여주고 있다. 한편, 특별한 공개정보 없이 주가가 급등 또는 급락하는 과정에서 개인 투자자는 뚜렷한 순매수자로서 그리고 기관 투자자가 반대의 입장에서 순매도자로서 주가 급등 또는 급락을 주도하고 있음을 알 수 있다. 또한 거래소의 조회공시 이후에 도 여전히 개인은 순매수하고 기관은 순매도하는 매매패턴이 한동안 지속되고 있다.
The inquired disclosure is a system operated by the Korea Exchange (KRX) to validate the existence of material information when the price of a listed stock fluctuates substantially. It is different from other timely disclosure since KRX inquires information, and the firm confirms the information inquired by the Exchange whereas in case of other timely disclosure the firm itself mandatorily or voluntarily release information to the investors. According to the efficient market hypothesis, the stock prices react only to new fundamental information. Sometimes, the stock prices exhibit noticeable jump or plunge without any specific public information. In that case, the Exchange inquires of the firm about the reason for the noticeable price changes. In response to the inquiry from the Exchange, the firm usually provides two types of answers such as “nothing unusual” or “something undetermined.” This paper investigates how the demand for inquired disclosure from the Korea Exchange affects the movements of stock price and trading volume for the period of ±20 days surrounding the event. The event date is defined as the day when the Exchange demands the inquired disclosure related to the stock price jump or plunge occurring without any specific public information. Also, this paper investigates the trading patterns of different investors (classified as individual, institutional, and foreign investors) surrounding the day of inquiry. For this purpose this paper examines the cases of the KOSPI-listed firms which are inquired to be disclosed for the explanation of the jump or plunge of stock price for the period from 2005 to 2009. We collected a total of 497 samples which are composed of 436 cases of jump and 61 cases of plunge. Then these samples are divided into four groups depending on price changes and types of firms’ answers, such as jump/something undetermined, jump/nothing unusual, plunge/something undetermined, and plunge/nothing unusual. This paper employs typical event study methodology, and computes the abnormal return (AR) and the cumulative abnormal return (CAR) surrounding the event day using the market adjusted return model. The main results and implications drawn from the empirical analysis are as follows. First of all, we find insignificant abnormal return on the day of inquiry followed by stable price movements, suggesting that the demand for inquired disclosure from the Korea Exchange can play an effective role in calming down price jump or plunge. However, we do not find price reversals on the day of inquiry that are expected to exhibit if the past substantial price changes occurring without any specific public information were bubble. In addition, in case of something undetermined we observe 10-day CAR of -6% following the inquiry after plunge and +6% following the inquiry after jump whereas in case of nothing unusual insignificant price changes are observed following the day of inquiry. This result implies that in case of something undetermined stock price continues to reflect new information revealed in the market. Next, in the investigation of long-term stock price movements following the demand for inquired disclosure from the Exchange we find that in the case of plunge the stock prices tend to steadily increase following the day of inquiry. In particular, in case of plunge/nothing unusual the stock prices revert to the past level of stock prices. However, in the case of jump, we do not find any significant patterns of long-term price changes following the inquired disclosure. In this paper we also observe that the trading volume significantly increases during ±5 days surrounding the day of inquired disclosure. This finding suggests that investors are getting more sensitively responsive to the information of the demand for inquired disclosure from the Exchange. Finally, this paper investigates the trading patterns of three different types of investors classified as individuals, institutions, foreigners by observing the ratio of each investors' net buying (selling) position. We find that individual investors are the main driving force behind the stock price jump or plunge as net buyers while the institutions as net sellers. In particular, individual investors take net buying position on the day of inquiry and continue afterwards whereas institutional investors take net selling positions during that period only. On the other hand, foreign investors do not exhibit any notable trading patterns, suggesting that foreign investors do not respond to uncertain information in the Korean stock market. On the whole, this study is to contribute to the academic research in the area of market efficiency and informational effect. In particular, this paper can accelerate the studies on the informational effect of inquired disclosure in the Korean stock market. Also, the evidence of this research is expected to provide useful information to the investors in the stock market who frequently observe substantial price changes occurring without any specific public information. In addition, the empirical results of this study reveal important implication to the policy makers who are interested in the effectiveness of inquired disclosure system.
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본 연구는 2000년부터 2010년까지 한국 유가증권상장기업과 코스닥 상장기업을 대 상으로 성장기회가 자본구조 선택에 미치는 영향을 분석하고, 국내 상장기업의 경우 어떤 자본구조이론이 잘 부합되는지를 밝히고자 하였다. 본 연구는 첫째, 시장가 대 장부가비율이 장부가부채비율과 유의한 정(+)의 관계를 보이나, 시장가부채비율과는 유의한 부(-)의 관계를 보이고 있음을 발견하였다. 이는 성장기회와 장부가부채비율 간에는 자본조달순서이론이, 성장기회와 시장가부채비율 간에는 상충이론과 복합자 본조달순서이론이 잘 부합됨을 보이는 것이다. 둘째, 성장기회를 세 그룹으로 나누어 분석한 결과 선행연구와 달리 회귀계수의 부호는 모두 일치하였으나, 그룹별로 다른 민감도를 보였다. 셋째, 자금부족분 변수를 통해 자본조달순서이론을 검정한 결과는 부합하지 않으나 마켓타이밍이론을 검정한 결과는 시장가부채비율의 경우에만 부합 하는 것으로 나타났다. 마지막으로 성장기회와 은행차입금 간에는 유의한 부(-)의 관계가 있음을 보았는데, 이는 고성장기회기업이 자신의 정보가 은행에 독점화되고 지배될 것을 우려하는 홀드업(hold-up) 문제에 기인하는 것으로 보인다.
In corporate finance literature it is well known that how a firm chooses its capital structure depends on its growth opportunity and profitability among many financial and economic variables. According to Fama and French (2002), both growth opportunity and profitability are the main reasons for financing deficits, and the capital structure decisions by firms are closely related to these two variables. There are many competing finance theories or hypotheses that try to explain the relationships between firm’s capital structure and financial and economic variables such as trade-off theory, agency theory, simple pecking order theory, complex pecking order theory, market timing theory and hold-up hypothesis. In this paper, we consider all of the above capital structure theories and hypotheses and test which theories or hypotheses are confirmed and which are not for Korean listed manufacturing companies. In particular, we examine how growth opportunity faced by Korean listed manufacturing firms may affect their choice of capital structure and which capital structure theory best explains financial decision making behaviors of Korean listed manufacturing firms. We extract our data using KISVALUE supplied by National Information and Credit Evaluation (NICE). The sample of our paper consists of 601 Korean manufacturing companies listed both on Korean Stock Exchange (KSE) and on Kosdaq from the period of 2000 to 2010. Based on the sample, we performed panel data analyses. The empirical implications are as follows: First, growth opportunity measured by market-to-book value ratio has a statistically significant positive relationship with book leverage, which is consistent with the simple pecking order theory. However, growth opportunity has a statistically significant negative relationship with market leverage, which is in line with the trade-off theory and/or the complex pecking order theory. According to Fama and French (2002), in the complex pecking order theory, firms are concerned with future as well as current financing costs. Balancing current and future costs, it is possible that firms with large growth opportunities maintain low-risk debt capacity to avoid either foregoing future investments or financing them with new risky securities. Second, we divide the sample into three groups according to the magnitude of their growth opportunity and find the same relationship for all groups as before, which is different from prior studies (Chen and Zhao, 2006; Serrasqueiro and Nunes, 2010), but that the highest growth opportunity firms are least sensitive to debt ratio compared to their lower growth opportunity peers. Moreover, our result seems to suggest that Korean listed manufacturing companies with the highest growth opportunity recognize their financial distress risk higher in the respect that they show low profitability compared to the firms of other countries. In general, it is more effective for the high growth opportunity firms to use more debt financing because they show high profitability and low borrowing cost on average. Third, the simple pecking order theory tested by financing deficit variable is not confirmed because the relationship between debt ratio and financing deficit is significantly positive only for the lowest growth opportunity firms (the other groups have significantly negative coefficients). Furthermore, the simple pecking order theory tested by profitability variable is confirmed because both market and book leverage shows significantly negative relations with profitability. The trade-off theory tested by asset tangibility and firm size variables is confirmed because both market and book leverage shows statistically significant positive relations with them. Also, the trade-off theory tested by bigshare dummy variable is confirmed because it shows a significantly negative relationship with debt ratio, which suggests that the higher the major shareholders’ ownership firms have, the lower the firms’ debt ratios are. Fourth, to test whether the market timing theory is confirmed for Korean listed manufacturing firms, we look at the relationship between debt ratio and external finance weighted average market-to-book ratio. The result depends on whether we use market leverage or book leverage as a dependent variable. We find a significantly positive relationship for book leverage and a significantly negative relationship for market leverage, which suggests that the market timing theory holds only for market leverage in case of Korean listed manufacturing firms. Finally, growth opportunity has a statistically significant negative relationship with bank loan, reinforcing the hold-up hypothesis which claims that firms with high growth opportunity are concerned that their firm-specific information may be monopolized and utilized by banks. According to the grouping analysis based on the magnitude of growth opportunity, the highest growth opportunity firms show a significantly negative relationship between growth opportunity and bank loan, but the lowest growth opportunity firms show a statistically insignificant relationship between them. This seems to suggest that the more growth opportunity firms have, the less preferable are bank loans for them.
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