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흔히 자본시장의 꽃으로 불리우는 투자은행의 육성은 우리나라에서도 중요한 과제로 제기되어 왔으나 국내 금융투자회사들은 여전히 단순중개 등에만 주력하고 있으며 기업에 대한 정보 생산을 바탕으로 하는 증권의 인수나 M&A 중개 등의 업무 비중이 매우 낮은 형편이다. 이 논문은 이론 모형을 통해 우리나라에서와 같이 산업자본 계열사 들이 지배적인 위치를 차지하는 경우 투자은행이 제대로 성장하지 못하게 되는 문제를 분석하였다. 이에 따라 도출된 주요 연구결과는 다음과 같다. 첫째, 산업자본 소속 투자은행이 계열 비금융회사의 투자안을 평가하는 경우 독립계 투자은행에 비하여 항상 좋은 투자의견을 제시하는 정보 왜곡이 발생할 가능성이 높다. 둘째, 두 산업자본이 투자은행과의 결합 여부를 결정하는 게임에서 순진한 투자자가 많을수록 그리고 평판 비용이 작을수록 (결합, 결합)의 균형이 이루어질 가능성이 커진다. 마지막으로 산업 자본과 투자은행이 결합되어 있는 경우의 사회후생 수준은 분리되어 있는 경우에 비하여 항상 낮게 된다는 것을 발견하였다.
Investment banks (IBs) are often viewed as key players in the capital markets because of their pivotal roles in securities businesses as underwriters. Mainly, they are most useful as producers of information or creators of information market place, often resorting to resolve the asymmetric information problems that exist in the market. Indeed, IBs’ role as the providers of information to the market participants is vital for active financial markets especially for IPOs and renegotiation of corporate loan payments in times of distress. In such situations, investment banks can create added value by producing information for themselves or by designing and running a market place within which information are being produced and traded. As such, the Korean government has made a major regulatory reform so as to introduce investment banking businesses. Despite the favorable regulatory environment, Korea has witnessed thus far very little success with this endeavor as only few domestic IBs can be found in the domestic market. In general, financial companies in the Korean capital market play limited roles in stock brokerage. Other complex financial services related to securities underwriting or M&A deals are mostly performed by foreign investment banks. This paper, therefore, examines to gain better understanding what obstacles exist in Korea’s capital market for securities companies to properly function as full-fledged investment banks. In particular, the paper explains theoretically that it is difficult for an investment bank, which is affiliated with non-financial firms, to produce accurate information about its non-financial affiliates or their rivals, and thus it cannot build up easily its reputation as an IB. This potential conflict of interest often gets in the way for investment banks in Korea to secure their positions in the financial market as proper IBs, or reliable information sources. The game theoretic model used in this paper is based on Bolton et al. (2012), and Chemmanur and Fulghieri (1994). The model is developed in the context of an investment bank underwriting a stock issue and there are three main participants: issuers, investment banks, and investors. Issuers approach the equity market to raise capital for their projects and market their equity either directly to potential investors or through investment banks (or underwriters). Investment banks are producers of information about the issuers. But they produce noisy evaluations of issuers’ projects, which they report to investors when marketing equity in return for a fee from the issuer. Then, investors determine the market value of the equity based on the information provided by the IBs. In this paradigm, investors believe ex-ante that the project is good with the 50% probability. This lack of certainty creates room for the investment banks to perform their role using their expertise to accurately assess whether the project in hand is actually worth the investment. Investment banks obtain fees only from those firms whose equity they market. The fees charged by the investment banks are assumed to be a fraction k of the value added by their services for the issuer firms. This value added can be determined by assessing the difference between the value of equity when the investment bank is involved and the value when it is not when the issuer approaches the equity market directly without the help of an underwriter. After reviewing the report, the issuer has the choice whether to accept or refuse the investment bank’s proposed evaluation report. When the issuer firm turns down the investment bank’s report, it does not pay fees and the report is not disclosed. Once the investment bank’s evaluation report is announced or it is known that the report has been turned down, the issuer sets a uniform price for the investment. Investors, after taking into account the evaluation report and the price, finally decide whether and how much they intend to invest. Investors are divided into two types: sophisticated and naive. Sophisticated investors observe the payoffs of the game for both the investment bank and the issuer and they understand the potential conflict of interest between the investment bank and the issuer. Yet, they are not certain whether the project is good or bad, as they only have access to the investment bank’s report without being able to directly observe the IB’s signals about the project. On the other hand, naive investors simply assume that investment banks always truthfully evaluate the project. The main findings from this model are as follows. First, an IB which is affiliated with non-financial firms is more likely to produce distorted information than an independent IB is. Second, non-financial conglomerates are more likely to integrate with IBs if there are more naive investors in capital markets, if the fraction k is greater, and if the reputation costs are lower. Last, social welfare produced in the case when IBs are affiliated with non-financial conglomerates is always lower than that in the case when the IBs are independent. These results imply that separation of investment banking and commerce could be an important pre-condition for the successful introduction of IBs and their development.
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본 연구는 주가연계증권, 주가연계예금을 포함하는 구조화 금융상품의 투자자 보호를 위하여, 구조화(structuring)에 대한 가이드라인을 제시하는 것을 목적으로 한다. 최근 주가연계증권의 헤지과정에서 발생한 비정상적인 거래행위에 대한 금융분쟁이 지속되고 있으며, 거래소와 금융당국은 투자자 보호를 위하여 구조화상품의 “헤지 가이드라인”을 발표하여 실행하고 있다. 규제 안은 중간평가일 또는 만기일에 헤지 물량을 분산하는 것을 장려함으로써 기초자산 가격이 왜곡되는 것을 막고자 하였다. 그러나 분쟁의 근본적인 이유는 효율적인 헤지를 수행할 수 없었던 구조화상품의 복잡한 구조에 있다. 본고에서는 최소가격변동폭(tick size)을 고려한 구조화상품의 최대 델타와 상품의 판매량을 고려하여 이론적으로 발생 가능한 최대헤지매도물량을 계산함으로써 구조화에 대한 가이드라인을 제시하였다. 판매량과 연동된 금융상품의 총 델타를 규제하는 것이 관련시장을 위축시킬 수 있다고 오인할 수 있으나, 만기일이 상이하도록 발행을 분산한다면, 본고에서 제안하는 구조화 가이드라인 하에서도 충분히 건전한 성장을 이룰 수 있을 것이다.
Structured financial products have gained increasing popularity in Korea over the recent years, and complaints by investors of such products have also increased. In particular, retail investors have failed some lawsuits regarding equity-linked securities (ELS) issued by brokerage companies for their hedging behaviors, calling for stronger investor protection system to be in place in structured financial product markets. Such need for regulatory reform has inspired this study. In this paper, we hope to provide some insight into more effective regulatory guidelines to better protect retail investors who invest in such products as ELS and ELD (equity-linked deposits). In 2009, in fact, Korea Exchange (KRX) and financial supervisory authorities introduced a new set of the hedge guideline for ELS for better investor protection. The key points of this guideline are as follows. The KRX hedge guideline requires the issuing entities to distribute the sell orders for underlying assets held to hedge their ELS positions at a maturity date to protect asset prices from deviating from fundamental values or fair values. In general, the ELS issuers or financial institutions dynamically execute delta-hedging based on their ELS positions according to the changes in underlying asset prices. In this case, if ELS embeds nonlinear derivatives such as digital options or barrier options, the number of shares of underlying assets that the entities should sell at a maturity date can increase infinitely, making it nearly impossible for them to implement optimal hedging for their positions. As such, ELS hedgers often exploit the sell-orders for underlying assets at a maturity date by manipulating the underlying asset prices, which is of course an unethical trading behavior. To avoid this situation, KRX has introduced the new requirement on the ELS issuing financial companies to distribute the sell orders for underlying assets at the maturity date. However, the more fundamental problems that lead to most of the lawsuits against the ELS products stems from the structural complexity of the structured products, much more than from the unethical behaviors of financial companies. Such products’ complex make-up complicates hedging, consequently making it difficult for the companies to hedge efficiently. As aforementioned, most retail structured products are embedded of nonlinear derivatives, which have infinite delta at a certain point of underlying asset prices at a maturity date under continuous price environments. According to extant literature, including Stoimenov and Wikens (2005) and Bergstresser (2008), the more complexity of structured products results in the higher margins taken by issuing entities. Because of increasing difficulty in hedging for the complex structured products, they tend to set their margins at higher levels than they would otherwise when issuing new securities. Ku et al. (2007) also support this result based on the empirical analysis in Korean ELD markets. Therefore, the regulatory reform that demands for change only in the hedging method without considering the structural complexity of the structured products will not effectively resolve the problem. When issuing entities cannot hedge their assets efficiently, no matter how strict the relevant regulations become, they will continue to engage in unethical hedging behavior to transfer their potential losses to retail investors who are net buyers of structured products. In this paper, therefore, we propose a new regulatory initiative that restricts the maximum delta of structured products at a maturity date. The delta of structured products has two components: the delta per unit and the volume of sales. More specifically, the maximum delta (maximum sell orders at maturity) is determined by the product of maximum delta per unit and the volume of sales. Here, while in continuous prices the structured products embedded with barrier options or digital options have infinite delta per unit, in the consideration of tick size they have finite delta per unit. By restricting this maximum delta (maximum delta per unit times volume) of the structured products, therefore, the newly proposed regulation reduces the possibility for the underlying prices to be distorted by ELS issuers’ self-serving hedging behaviors. In sum, the regulation on structuring is related to both maximum delta per unit and sales volume. Even for a severely structured product, its (overall) maximum delta at a maturity date can be relatively small if its sales volume remains considerably small. Similarly, a less structured product can have large maximum delta at maturity if it has a bigger sales volume, thereby more likely to result in distortion of the underlying asset prices. Hence, for the effective protection of investors in structured financial products from their issuers’ abusive hedging practices, it is important for the new regulation to focus on the structuring of such complex financial products as well as on hedging behaviors of issuing companies. In addition, we investigate the overnight risk induced by the inefficient hedging behaviors of issuing entities under the hedge guideline proposed by the KRX. The overnight risk is quantified by the VaR (Value at Risk) methodology for 6 major individual assets in Korean stock markets. These 6 individual companies are commonly used when structuring ELS and have representative nature in the country’s structured product markets. According to the results, the levels of VaR for those assets are not significantly large, but they can easily increase as the sales volume increases. To reduce the potential overnight risk for issuing entities, therefore, the regulation on structuring (deltas) is necessary. Nevertheless, some may raise a concern about our proposal’s potential risk by claiming that more restriction on the deltas of structured products may hamper the active growth of the structured product markets. However, we maintain that the markets can grow even better, once the structured products are well secured with varying maturity dates.
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본 연구는 주당순이익(EPS) 예측오차로 측정한 국내 애널리스트들의 예측성과가 이직 이후에도 유지되었는지를 분석하여 애널리스트 이직시장의 역선택 문제 내지는 효율적인 인적자원 배분의 가능성을 간단한 이론모형으로 제시하고 이를 실증분석 하였다. 사용된 국내 애널리스트들의 이직자료는 2004년부터 2010년까지 발표된 기업분석보고서를 기초로 구축하였다. 실증분석에서는 기존연구에 따라 애널리스트 경력과 분석기업의 애널리스트 수 증가가 이직 이후 예측능력에 미치는 영항을 고려하였다. 분석 결과 경력이 짧은 애널리스트들은 자신과 동일한 기업을 분석하는 경쟁 애널리스트들이 많은 경우에는 이직 이후에도 유사한 예측성과가 유지되었으나 그렇지 않은 경우에는 예측 성과가 저하되는 것으로 나타났다. 반면에 경력이 풍부한 애널리스트들의 경우 이직 이후에도 예측성과가 전반적으로 유지되거나 오히려 개선되는 것으로 나타났다. 이는 예측능력에 대한 객관적인 검증이 용이할수록 이직시장 에서 역선택 문제가 줄어들고 효율적인 인적자원 배분이 이루어지고 있음을 시사한다.
Inspired by the recent increase in the turnover among analysts, this paper examines the efficiency of matching between analysts and brokerage houses in turnover, and the possibility of adverse selection between current and prospective brokerage houses due to asymmetric information on the analyst forecasting ability. We apply the implication of adverse selection provided by Akerlof (1970) and Wilson (1979) to our analysis of the turnover ratio or job matching among analysts, current and new brokerages. By nature, the current house tends to have hidden information about the predictive accuracy of the analyst additionally as well as publicly-known information such as recent EPS forecasting errors and the contents of her past reports. On the other hand, a prospective employer has to evaluate the analysts’ forecasting ability only based on their performance with the public information. Consequently, employers have to make the hiring decision based on limited information about the analysts’ actual ability to make accurate forecasts. Several studies such as Jackofsky (1984), Greenwald (1986), and Kim (2012) have already addressed the adverse selection issues in the context of analysts’ job separation or multi-period labor market theoretically. In addition to the body of work on this topic, our study proposes a simple model that can link the turnover ratio to the change in analysts’ EPS forecast error, and then tests it. For the model, we assume that there are two different types of analysts: low-type analysts with higher EPS forecast error and higher variance; and high-type analysts with lower EPS forecast error and lower variance. Either type is tempted to accept an offer from a new brokerage house whenever the offer is better than what they are currently receiving. Note that, however, high-type analysts are more likely to reject the offer in the end since the current employer will most definitely suggest a better counter-offer to keep them. On the other hand, low-type analysts may end up moving to another house as such counteroffer is much less likely to be made by their current employers. Based on this observation, we conjecture that as long information asymmetry exists between the prospective employer and the analysts on their true forecast ability, low-type analysts are more likely to move to another brokerage house than high-type ones do when the low-type analysts achieve high performance temporarily. For the test, we examine whether a group of analysts who move to a new brokerage house (“movers”) make more EPS forecast errors at the new house than they do at the previous workplace, compared to the other controlling group of analysts who do not change their workplace (“stayers”). We also consider the efficient matching effect to account for the case in which movers perform better at their new workplace compared to how they did in their previous one, because the matching efficiency can certainly help “the movers” to commit lower EPS forecast errors at new house than they do at the old one, compared to their counterparts. In this study, we adopt two variables to indicate the degree of information asymmetry between current and prospective employers: the years of experience of the analysts, and the number of analysts that cover one stock. The greater the two variables become, the better the predictive accuracy can be expected, which means less EPS forecast errors, allowing new employers the access to more information about the ability of the turnover analysts. In particular, this allows us to test not only the presence of the adverse selection problem, but also whether the extent of information asymmetry is different across different segments of analysts’ labor market. We construct data set on the Korean analysts’ turnover based on their reports from year 2004 to 2010. This paper applies the difference-in- difference method, which estimates the change in forecast errors of movers - experimental group, relative to stayers - the control group between before and after the turnover (job separation). For the overall sample analysis, we find that the EPS forecast error of movers does not in crease significantly after the separation relative to the “stayers,” implying that the adverse selection effect is negligible or limited if there is any. As we segment the analyst turnover market according to the experienced year and the number of competing analysts within the same company, the relative change in the EPS forecast error of movers turns out to vary depending on the criteria. Concretely, the group of movers, who have 3-year or less experience as analysts and also companies that are covered by 20 or fewer analysts, tend to have higher EPS forecast errors after separation, compared to the stayers’ group. Otherwise, the change in forecast errors is not different across movers and stayers. These findings imply that adverse selection exists only in some limited analyst labor market segments. The portion of the aforementioned analyst group (with3-years or less experience and covering stocks by 20 or fewer analysts) accounts for only 9.7% of the total analysts. This implies that the adverse selection issue is not too significant in the overall analyst turnover market. From this perspective, our results indicate that efficient matching has occurred despite sharply increasing wages and the possible adverse selection problem.
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본 연구는 한국 주식시장에서 시장상황을 고려한 경우, 기대 주식수익률에 대한 시장베타, 기업규모, 장부가치/시장가치 비율의 횡단면 관계를 재조사한다. 연구 관점은 기대모형의 현실검증에 있어서 대용치인 실제치가 갖는 현실속성의 고려 유무가 결과에 중요한 영향을 미칠 수 있다는 것에 있다. 시장의 대표적 현실속성은 시장상황으로, 본 연구는 시장초과수익률이 양(+)의 값을 갖는 경우를 상승시기로, 음(-)의 값은 하락시기로 구분하였다. 검증결과는, 첫째, 시장상황을 고려하지 않은 모형들로부터는 기존연구와 같이 기대 주식수익률의 횡단면 관계에서 시장베타 유용성을 확인할 수 없었다. 둘째, 상승/하락시기로 구분한 시장베타를 이용한 모형으로부터는 기대 주식수익률의 횡단면 관계에서 기업규모, 장부가치/시장가치 비율뿐만 아니라 시장베타도 통계적 유의성을 가졌다. 셋째, 모든 변수들에 시장상황을 고려한 모형으로부터는 모든 독립변수가 기대 주식수익률의 횡단면 관계에 유용성을 갖는 것으로 확인되었다. 본 연구는 기대 주식수익률의 횡단면 재검증에서 가격결정모형의 대표적 요인인 시장베타의 유용성과 이를 통한 위험-수익 관계는 현실속성인 시장상황 변화의 고려 유무에 중요한 영향을 받을 수 있다는 실증적 증거를 발견하였다.
Research topics on the risk-return relationship and market beta have made significant contributions in the field of finance in both academia and practice. These topics, nonetheless, have continued to cause conflicting views. As pointed out in Pettengill et al. (1995, 2002), for instance, which has provided the motivation for this study, an ex-ante model has been defined by unobservable expected stock returns, whereas an ex-post model uses observable actual stock returns as a proxy. Expectedly, the difference between unobservable expected stock returns and observable actual stock returns can create confusion since the most significant property that can actually affect market beta is an actual change that becomes materialized in the market situation. In an up market, stocks with high market beta receive higher return compensation (positive risk premium) than stocks with low market beta. In a down market, on the contrary, stocks with high market beta have lower return compensation (negative risk premium) than stocks with low market beta. On the basis of Pettengill et al. (1995, 2002), therefore, this study attempts to gain more accurate understanding of this complex question by re-examining the cross-sectional relationships between the expected stock returns and the three factors associated with the Korean stock market, such as market beta, firm size, and book-to-market equity ratios. In addition, this study is to design an empirical framework on the basis of studies by Fama and French (1993) and Pettengill et al. (1995, 2002), using the three-step cross-sectional regression analysis proposed by Fama and MacBeth (1973). Specifically, this paper empirically investigates whether portfolio market beta, portfolio firm size, and portfolio book-to-market equity ratio in the past period could significantly explain the change in the portfolio’s excess return in the future period via the cross-sectional regression analysis. Data of stock, bond, and accounting during the period of January 1987 to December 2010 were obtained from the FnGuide. The sub-periods within the overall period were set according to Fama and French (1992). Here, an up market refers to a period showing a positive market excess return, whereas a down market refers to a negative market excess return. The observed results can be summarized as follows. First, as observed in the study of Fama and French (1992), the results from the models that do not reflect the real market situation have no statistical significance of portfolio market beta to account for the changes of the portfolio excess return in a future period. However, the portfolio firm size and portfolio book-to-market equity ratio are statistically significant. Second, through the results from the models that use market beta, which are classified into either up or down markets, as in the study of Pettengill et al. (1995, 2002), this study confirms that portfolio market beta, portfolio firm size, and portfolio book-to-market equity ratio in a past period can significantly explain the change of portfolio excess return in a future period. That is to say, the usefulness of market beta, firm size, and book-to-market equity ratio is confirmed in the cross-sectional relationship with the expected stock returns when considering market situation into market beta. Third, the results from the models that reflect market situation change into variables, such as market beta, company size, and book-tomarket equity ratio, evincing that all of the variables significantly account for the variation in the portfolio excess return in the future period. Finally, this study empirically confirms the robustness of the previous results mentioned, via additional test, reflecting the various influential factors in the empirical design. Simply, the results observed from the additional test show no difference from the previous results mentioned in this study. The results of this study corroborate that the cross-section of the expected stock returns in the Korean stock market might be much closer to that of Pettengill et al. (1995, 2002) than it is of Fama and French (1992), when considering the change in the market situation. On the basis of the observed evidence, this study also confirms as to whether the reflecting properties of the actual data in applications of the expected models might have an important effect on the observed results. In particular, this study finds that the pricing models in financial theories should sufficiently consider the market situation as a control factor when examining the validity of market beta as well as the risk-return relationship. To further expand this study, future researches can re-evaluate the three-factor pricing model with properties of market situation using the time series regression analysis of Black et al. (1972), as well as confirm the three-factor model’s capability to forecast the risk-return relationship.
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