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본 연구는 2008년 글로벌 금융위기 시에 단행됐던 공매도 규제 시기에 유동성 및 매매 주문의 정보성이 어떻게 변화하였는지를 살펴보았다. 특히 주식워런트증권(ELW) 및 개별주식선물이 존재해 공매도 포지션을 합성할 수 있었던 종목군을 ‘공매도 제한 표본’으로, 그렇지 않은 종목군을 ‘공매도 금지 표본’으로 분류해, 공매도 제한과 공매도 금지가 시장의 유동성과 정보성에 어떠한 영향을 미치는지를 비교 분석하였다. 2008년 1월부터 2009년 5월까지 KOSPI200 구성종목에서 발생한 공매거래를 대상으로 실증분석을 수행한 결과, 공매도 규제 시기에 시장 전체의 유동성이 저하되고 일중변동성이 증가했으며, 공매가 갖는 부정적인 정보성이 강해진 것으로 나타났다. 특히 공매 금지 표본에 비해 공매 제한 표본에서 일별유동성이 더 나빠지고, 일중 변동성이 더 커졌으며, 공매의 부정적인 정보성이 더욱 증폭된 것으로 분석되었다. 이 같은 결과는 공매도 제한이 정보거래자와 비정보거래자의 구성을 변화시키기 때문에 공매도 금지보다 시장유동성을 더 많이 훼손하고, 부정적인 정보성을 더 증가시킨다고 한 Diamond and Verrecchia 모델의 예측과 일치한다.
We investigate how the short sales regulations temporarily enforced during the financial crisis of 2008 affected market liquidity and informativeness of short sales. In specific, we compare the effects of regulations on stocks with ELW/Futures to those on stocks without them to study the empirical implications of Diamond and Verrecchia (1987), which distinguish between short-restriction and short-prohibition. During the financial crisis of 2008, among others short sellers took a lot of blame for having caused the market confusion. Accordingly, in an attempt to appease the market uncertainty for the time being financial supervisory authorities in many countries adopted a reinforced regulatory step by temporarily prohibiting most short sales. Korea was no exception. On the 30th September, 2008, Financial Services Commission announced that the short sales of all listed stocks would be prohibited temporarily except for market making activities for ELW, ETF, individual stock Future/Option, and this provision went into effect on the 1st October, 2008. Because of these exceptions made in the prohibition of short sales, the regulatory change brought about different effects across stocks. Investors prohibited from short sales could replicate short position by trading a combination of derivatives, which were written on each stock. For instance, a speculative investor could buy put ELWs on stocks instead of shorting them directly. An ELW market-maker might sell this put ELWs and then hedge its risk by shorting the suitable amount of the underlying stocks. In other words, the stocks with derivatives were influenced by short-restriction, in which short-selling was sub-stantially possible, but the cost of short-selling increased. However, the stocks without derivatives were affected by short-prohibition, not short- restriction. Because it requires highly sophisticated expertise to implement synthetic positions with derivative trading strategy, the replications of short position are available to only informed investors. As a result, short-restriction selectively drives out uninformed traders much more than informed traders, potentially increasing the proportion of informed short sellers. However, short-prohibition eliminates short sales by informed and uninformed investors equally. This is the key difference in the effects of short-restriction from those of prohibition. On the theoretical basis, Diamond and Verrechia (1987) suggested that any changes in the short selling environment could influence the mix of informed and uninformed traders. Diamond and Verrecchia argued that as short-restriction and short-prohibition influence the composition of investors differently, the effects of short-restriction on market are different from those of prohibition. They predicted that short-restriction has stronger impacts on market liquidity and informativeness of short sales than short-prohibition does. To verify the claim, we analyzed the effects of short restriction and prohibition in the Korean market. We divide KOSPI200 index stocks into 58 stocks with ELW/Furtures, and 116 stocks without those, and compare the effects of short-restriction on market liquidity and informativeness of short sales to the effects of short-prohibition on those. We use trading data from 1st January, 2008 to 31th may, 2009 for our comparative analysis. To control for systematic differences between the two groups and to accurately identify the actual influences of regulations, we use a propensity score matching technique. Using market capitalization, trading won volume, turnover, and volatility, known as determinant factors for option listing, we obtain a propensity score for each stock with ELW/Futures and match it to two closest match stocks without ELW/Futures. The empirical results are as follows. Firstly, Amihud measure, R2 measure, and intraday quoted return volatility increased for all sample stocks during short sales regulations, and these changes were especially strong for stocks with ELW/Futures. The higher Amihud measure, R2 measure, and intraday returns volatility mean the lower market liquidity, market quality and market depth. So these results could be interpreted that the general market liquidity decreased during regulations, and market quality and market depth of stocks with ELW/Futures were more damaged. Secondly, the overall informativeness of short sales increased during short sales regulations, and the change was relatively larger for stocks with ELW/Futures than for those without. To examine the informativeness of short sales, we regressed each stock’ return on both contemporaneous and previous short selling volume. We found that coefficients of short selling volume grew stronger during the regulations and that the changes were more statistically and economically significant in those stocks with ELW/Futures. These results support Diamond and Verrecchia (1987)’s model that short-restriction has stronger impacts on market liquidity and informativeness of short sales than short-prohibition does, as short-restriction changes the composition of the remaining short-sellers. Our results are also consistent with those of Kolasinksi, Reed and Thornock (2010), which distinguishes outright prohibition and constraints by comparing stocks with listed options to stocks without in the US market. Thirdly, buyer order imbalances significantly increased, and relative bid-ask spread decreased during the short sales regulations. Limitation on non-holders’ selling activities during the regulations intensified buyer order imbalances, and forced up the trading prices over mid-quote prices, decreasing the relative bid-ask spread. Our research is the first one to empirically investigate the influences of short-sale regulations on market efficiency in the Korean stock market. Although short-sales regulations have been frequently used as emergency measures to stabilize stock markets to the outside shock, there has been no in-depth research conducted about the impacts of short sales regulations. We anticipate our research to contribute to designing short-sales institutions both academically and practically.
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외국에서는 과거 3~12개월 동안 주가가 오른 종목을 매입하고 하락한 종목을 매도하는 계속거래전략이 유의적인 수익을 얻는다는 사실이 많은 연구들에서 밝혀지고 있다. 반면 국내 선행연구들은 우리나라에서는 정반대 전략인 반대투자전략이 성과를 보인다는 매우 이해하기 어려운 결과를 제시하고 있다. 본 연구는 우리나라에서 나타난 반대투자전략의 성과는 주식시장이 개인투자자들에 의해 주도되던 외환위기 이전에 국한된 현상임을 보였다. 위기 이후로는 우리나라에서도 외국과 마찬가지로 계속투자 전략이 유의적인 수익을 내는 것으로 나타나고 있다. 거래전략의 성과가 어떤 요인에 의해 발생한 것인가를 분석한 결과 주가의 과잉반응 현상이 크고 유의적으로 나타나 우리나라에서는 투자자의 심리적인 왜곡이 거래전략 성과를 결정하는 중요 원인인 것으로 나타났다. 또한 체계적 위험을 반영한 평균 수익률의 횡단면 분산 또한 거래전략 성과에 중요한 역할을 한 것으로 나타났다. 따라서 거래전략의 성과는 개별주식의 체계적 위험요인이나 행태적인 요인 중 어느 하나에 의해 발생한 것이 아니라 두 가지 요인의 상대적 크기에 의해 나타날 수 있음을 알 수 있다. 체계적 위험을 반영한 평균 수익률의 횡단면분산과 행태적인 요인 모두가 유의적이라 하더라도 전자가 크면 계속거래전략이 수익을 나타내고 행태요인 중 과잉반응현상이 크면 반대거래전략이 수익을 보일 수 있기 때문이다.
This paper studies the profitability of the contrarian trading strategies in the Korean stock market in an attempt to provide some insights into why the trading strategies generate the abnormal profits. It has been reported in most foreign literature that the momentum strategies (i.e. buying stocks with high returns over the previous 3 to 12 months and selling stocks with poor returns over the same time period) earn significant profits for the following 3 to 12 months. Contrary to these empirical facts on foreign stock markets, many Korean academic papers reported that contrarian strategies (i.e. buying losers and selling winners) are significantly profitable in the Korean stock market. Yet no research effort has been made to explicate this strange phenomenon in the Korean market. The first objective of this paper, therefore, is to explain why this surprising phenomenon happened in Korea. Secondly we attempt to determine the sources of the expected profits of the trading strategies that use the past information. In contrast to the previous literature using the circumstantial evidence on the causes of the profitable trading, we directly look into the profits of the trading strategies as suggested by Lo and MacKinlay (1990) and Conrad and Kaul (1998). Adopting this approach we divide profits of trading strategies into two components: one that results from time-series predictability in security returns and the other component that arises due to cross-sectional variation in the mean returns of the securities contained in the portfolio. The significance of the time-series components (namely, overreaction and lead-lag effect) is interpreted to support the behavioral explanations on the trading profits, while significant cross-sectional variation in the mean returns indicates the risk-based explanations of the traditional asset pricing theory. We empirically show that contrarian strategies are able to generate profits only in the pre-crisis period. After the Asian crisis, momentum strategies earn significant profits just like in most foreign markets. At first, it may sound puzzling how the completely opposite strategies can remain significantly profitable in the consecutive periods in the same market. But these opposing outcomes in the Korean market do make sense if we consider the substantial structural changes which have taken place in the Korean investors’ behavior. It is suspected that the profitability of contrarian strategies in pre-crisis period is due to the dominant retail investors. For example, the individual investors traded more than 80 percent of the total amount in 1992. They are evidently inclined to buy cheap losers and sell high-priced winners, which leads to the profits of contrarian trading. Ever since the Korean market was opened to foreign investors in the aftermath of the 1997 crisis, the foreign investors and domestic institutional investors have quickly dominated the stock market trading. Their share of the trading amount jumped to 35 percent in 2005 and more than 45 percent in 2008. The dominance of institutional investors is suspected to be the main reason for the profitable momentum strategies. These explanations are also supported by Khil, Kim, and Sohn(2006), who report that the institutional investors and foreign investors show the positive feedback trading behavior while retail investors are chasing the negative feedback trading behavior in the Korean market. For the robustness check on the J-T strategies, we also test the profitability of contrarian trading strategy using the weighted trading approach. The trading strategy in Jegadeesh and Titman (1993) uses the stocks in the lowest past return decile and in the highest return decile to form the winners and losers. But in the weighted trading strategies, every stock in the sample is traded, with their weight measured relatively to the average return of all stocks. In the whole sample period, the weighted strategy does not generate significant profits. But the contrarian weighted trading did create profits in the pre-crisis period and significant losses in the post-crisis period. This outcome supports the previous findings on the performance of the J-T contrarian strategy. The analysis of the sources of trading strategies’ profits found that the investors’ overreaction is a significant factor, implying that the behavioral biases of the traders account for most of the trading strategies’ profits. However, the cross-sectional difference of individual stocks’ mean returns (reflecting the risk of each stock) also contributes to the profitability of trading strategies. This risk-based explanation indicates that the profit-generating trading strategies are compatible with the traditional asset pricing theory. The significance of both over-reaction and risk-based differentials in the Korean market implies that the profitability of trading strategies does not support or deny the behavioral or rational investment theories. If the former factor is larger than the latter, then the momentum strategies will generate profits, while if the over-reaction dominates, then the contrarian profits will be found significant. These results show that trading strategies’ profits can not be explained by either behavioral theory or traditional risk-return theory alone but by both of them. This conclusion is in line with that of Daniel, Hirshleifer and Subrahmanyam (2001), claiming that both investors’ irrational behavior and systematic risks determine the asset prices.
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본 연구는 2003년 10월부터 2010년 7월까지 코스닥시장에서 풋백옵션제도 폐지 전후 시기의 IPO 초기성과를 비교 분석하였다. 신규공모주 주가가 공모가 이하로 하락하는 사례가 늘어남에 따라 제기된 공모가의 적정성 문제와 공모주 시장에 영향을 미칠 수 있는 여러 요소를 분석하여 IPO 시장에 시사점을 제시하고자 하였다. 첫째, 풋백옵션제도 폐지 이후 공모가 부풀리기가 시장에 만연했다고 보기는 어려웠다. 또한 공모가 수준이 상장일 성과에 미치는 영향은 유의하지 않았다. 둘째, 상장 이전 형성된 투자자의 낙관적 기대는 상장일 성과에 유의적인 양(+)의 영향을 미치지만 그 영향이 상장 이후 단기 성과까지 지속되지 않는 것으로 나타났으며, 매매거래 개시 이후에는 상장일 이후 형성된 투자자의 낙관적 기대가 영향을 미쳤다. 마지막으로 기관투자자의 순매도 양태는 풋백옵션제도 폐지 이후 유의적으로 증가하였으며, 이는 상장 이후 단기성과에 부정적인 영향을 미치는 것으로 나타났다. 풋백옵션제도는 상장일 성과 및 상장 이후 단기성과에 유의적인 양(+)의 영향을 미치지만 제도 폐지 이후의 저가발행 정도가 여전히 높은 수준이고, 주관사의 공모가 산정 능력에 차별성이 없는 것으로 나타났다. 따라서 시장의 자율성을 존중하고 공모시장의 모든 참여자들이 보다 신중하고 차별적으로 공모시장 참여를 결정할 수 있는 방향으로의 제도 개선이 필요한 것으로 생각된다.
This paper examines the IPO short-term performance by comparing the results before and after the abolition of the putback option provision. We used KOSDAQ market listed companies over the period between October 2003 and July 2010. In addition, we study the current IPO process by examining various relevant factors on public offering markets so as to shed further insight into regulatory implications on the IPO process. It has been well supported that the stock price in general increases after the initial listing or IPO. According to Ritter (1998), the stock price increases after the listing, which averages at approximately 18.8% compared to its offer price. Empirical studies in Korea also have reported similar results of the IPO underpricing (Kang, 1990; Lee et al., 1995; Choi, 1999; Lee and Cho, 2007; Byun and Cho, 2011; Lee and Nam, 2009). Previous studies on IPO have mainly focused on the positive stock price movements after the initial listing, suggesting the winner’s curse hypothesis, the market stabilization hypothesis, and/or the information asymmetry hypothesis, among others. In Korea, there was a temporary putback option provision from December 2000 to May 2007. During that period, underwriters had to buy back their IPO shares from investors if the stock price fell below a certain level (for example, 90%) of its offering price. Therefore, the underwriters had to be careful not to set the offer price too higher or higher than their bearable price level in order to avoid the investors’ putback option. However, after May 2007, the Korean regulator (the Financial Supervisory Service) abolished the putback option in line with the global policy direction toward the deregulation of the capital markets. The rationale behind that was to improve the efficiency of the IPO process by allowing more control to market participants. Perhaps out of coincidence with the abolition, however, the stock prices of IPO shares after the listing day seemed to have fallen significantly. Some market observers in the press have argued that the underwriters intentionally inflate offer prices because they are now free from the buy back obligation even in the case of significant price drops. In order to examine the validity of this argument, several empirical studies have been subsequently conducted to compare the initial price movements of IPO shares before and after the abolition of the putback option provision (Shin et al., 2004; Kim and Lee, 2006; Lee and Cho, 2007; Lee and Nam, 2009). However, those studies have limitations in testing whether underwriters have intentionally inflated offer prices. When the stock prices continue to decrease in short-term periods compare to the offer price, there can be two explanations for that phenomenon: underwriters either intentionally inflate the offer price or simply make inaccurate valuations on the IPO shares. Therefore, neither increase nor decrease in stock prices alone cannot adequately account for the behaviors of underwriters. This paper, therefore, uses the pre-IPO price from OTC market (the PSTOCK website) to calculate the average pre-listing price level of the IPO shares. We then analyze this pre-IPO price, the offering price, and the stock prices during the short-term periods (twenty trading days after the listing day) in order to determine whether the cause of the change was due to underwriters’intentional inflation of the offer price or simple error in determining the right level of the price. In short, our test hypotheses are as follows. First, after the abolition of the putback option provision, underwriters determine the offer prices more accurately, and the accurate valuation affects the IPO underpricing negatively. Second, since the regulation change, the ratio of subscription competition has been reduced, generating positive effects on the short-term performances. As the IPOs have positive effects on short-term performance, optimistic investors’ expectations have been built. Finally, the net sale behavior of institutional investors increases when putback option provision disappears, negatively affecting the short-term performance. We obtained the following results from the empirical analyses. First, IPO underpricing has been reduced after the abolition of the putback option provision as we expected. Our study results cannot find support for the accusation that investors manipulate the offer prices on purpose; the prices were actually low relative to the pre-IPO prices formed in the OTC market before the book-building process. Second, although optimistic investors’ expectations formed before the listing day have significantly positive effects on listing day performance, the expectations do not last beyond the first twenty trading days after the listing. Also, the results show that after trading begins, optimistic investors’ expectations formed after the listing day have a greater influence on short-term performance than pre-IPO investors’ expectations do. Lastly, since the abolition of the putback option provision, the net sale of institutional investors has significantly increased, negatively affecting the short-term performance. This study shows that the putback option has significantly positive effects on the stock price at the listing day and on the short-term performance. However, IPO underpricing still exists and there is no difference in accuracy of the offer price decisions among the underwriters. Therefore, we suggest that the IPO market regulations be revised to account for market autonomy and to help market participants make more careful decisions instead of regulating with more institutional devices to deepen underpricing.
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본 연구는 한국거래소의 환경책임 투자지수 최초 공시일 현재 동 지수에 포함되지 않은 여타 기업의 주가반응과 환경경영 평가점수 간의 관계를 분석함으로써 환경경영이 기업가치에 미치는 영향을 확인한다. 실증분석결과, 환경책임 투자지수 최초 공시일을 전후로 동 지수에 포함되지 않은 기업의 경우 환경경영 평가점수와 주가수익률 간 유의적인 음(-)의 관계가 관찰되는 것으로 나타났다. 이러한 결과는 정책당국이 친환경 경영을 적극적으로 도모하는 제도적 변화를 실시함에 따라 기업의 환경경영성과가 상대적으로 부진한 기업들이 향후 이 분야에 대한 투자를 통해 기업가치를 제고하는 효과가 보다 클 것으로 투자자들이 기대하기 때문인 것으로 해석된다. 즉, 기업의 환경적 성과 개선에 대해 투자자들이 높은 가치를 부여하고 있음을 나타내므로 환경경영이 기업가치 개선에 긍정적인 영향력이 있음을 의미한다. 또한, 이러한 관계는 환경경영전략을 적극적으로 수행하기 위한 초기투자비용을 충당할 수 있는 능력이 있는 수익성이 높은 기업이나 기업가치가 높은 기업에서 주로 관찰되었다. 본 연구의 연구방법론과 결과는 기존 연구들에서 제기되었던 환경경영과 기업가치 간의 내생성 문제를 완화하고, 양자 간 관계를 보다 명확히 확인해주고 있다는 점에서 학술적 의의가 있다.
This paper examines the relationship between environmental management and firm value with a new empirical approach that can reduce the endogeneity problem observed in existing literatures. In the empirical analysis, we check the stock market response to the first announcement of the KRX SRI-ECO index with focus on the stock prices of those firms which are not included in this index. As the announcement is likely to be regarded as an unexpected event that may herald concerns among authorities and regulators, we expect that any stock price changes would be an independent reflection of investor’ perception on the relationship between environmental management and firm value. As a new initiative to strengthen the environmental management of Korean firms, the Korea Exchange has recently decided to introduce a new index, KRX SRI-ECO. The firms included in the index were chosen from the listed ones with strong environmental performance. The main purpose of the introduction of this new index is to raise stock investors’ awareness of environmental aspects of firms as potential performance factors while motivating them to improve their environmental management as a way to enhance their firm values. Since stock values of such firms do increase by being listed in the index, the announcement is expected to encourage other non-listed firms to raise their effort to improve their environmental management. Another advantage is that the development of new index can serve as a new information content in investment in stocks, effectively reminding the investors of the importance of environmental consideration. We conjecture that, given the new event, firms with poor environmental management would feel increased pressure to improve their current status so as to be qualified for the index with an ultimate aim to boost their stock prices. Then, we can expect that on the disclosure date of KRX SRI-ECO index, the level of environmental performance of firms is likely to have a negative relationship with the stock price of firms excluded from this index. Since this conjecture is fundamentally rooted in the assumption that investors do attribute value to the issues pertaining to environmental management, we can conclude that environmental performance has a positive effect on firm value. Above all, the methodology we use in our paper mitigates the endogeneity problem between environmental management and firm value observed in existing literatures. Existing literatures analyzing the relationship have shown that the improvement of the environmental management increases profitability and firm value, and contributes to the competitiveness (Hart and Ahuja, 1996; Klassen and McLaughlin, 1996). However, these researches invariably carry the endogeneity problem: they do not clearly establish whether the improvement in environmental management increases firm value or firms with already high value attain higher environmental performance (Kim, 2010). To minimize such problem, this paper analyzes the relationship between stock price response and the level of environmental performance subsequent to a policy change. Initiated by Lee and Park (2009), this research design has been further developed through a thorough analysis of the relationship between a non-target firm's stock price response and the level of corporate governance on the first target announcement date of corporate governance fund. In doing so, one of the key aims is to mitigate the endogeneity problem between corporate governance and firm value. Unlike the previous attempt, however, we try to further improve the approach by leaving out firms that are included in the KRX SRI-ECO index from our sample so as to more effectively minimize the noise effect due to firms expected of higher stock return for good environmental performance. Another prevailing criticism against existing papers on this topic has been that they would normally adopt arbitrary evaluation criteria for environment management. To correct this draw-back, this paper uses more reliable data, namely the environmental management evaluation score compiled by Korea Corporate Governance Service as a proxy for the level of environmental management of firms. Incorporating such officially accepted figures as those provided by this quasi-government organization, this paper further reinforces the result’s objectivity and reliability the data is also easily available to investors. In addition, we investigate which types of firms show stronger stock price responses vis-à-vis the new event. Empirically, we confirm that stock returns are higher for those firms with higher profitability or higher firm values since such firms can cope with the high opportunity cost of environmental management. At the same time, they are aware of the higher opportunity costs if they fail to effectively deal with the environmental management. Estimated results thus far are as follows: (1) Stock price response (CAR) of the firms excluded from the index around the disclosure date of KRX SRI-ECO index is significantly positive. (2) The environmental management score has a negative effect on the CAR. This result is consistent with our hypothesis that firms with poorer environment management history will react more to the new policy and pay more attention to their environmental management, which consequently elicits positive reaction from investors. This result also implies that the environmental management has a positive effect on firm value. On the other hand, among 5 sub-categories for the environmental management evaluation, environmental organization, environmental management, environmental performance, and activity of stakeholder have significantly negative effects on CAR. (3) When we divide the sample into two groups based on the average ROA in the past3 years and Tobin Q, and re-estimate the effect of environmental management evaluation scores on CAR in each sample, we find that firms with high profitability and firm value tend to show stronger significance.
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