재무연구 [Asian Review of Financial Research]

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  • 자료유형
  • 발행기관
    한국재무학회 [The Korean Finance Association]
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  • 간기
  • 수록기간
  • 등재여부
    KCI 등재
  • 주제분류
    사회과학 > 경영학
  • 십진분류
    KDC 325 DDC 658.46
제26권 제3호 (4건)

Study on Out-of-Sample Predictability of the Monetary Model for the Exchange Rate Using Long Span Data

Ho-Jin Lee

한국재무학회 재무연구 제26권 제3호 2013.08 pp.281-309

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To examine the common assumption that the monetary fundamentals are stationary, we test the monetary model of exchange rate determination. In specific, we test whether nominal exchange rates are cointegrated with the monetary fundamentals, using data spanning from January 1971 to March 2011. The results show that the Phillips and Ouliaris test fails to reject the null of no cointegration while we reject the null hypothesis of no cointegration with Johansen’s trace test. We also explore the out-of-sample forecasting performance of the long-horizon regression of exchange rate returns on the deviation of the log exchange rate from the monetary fundamentals. For the sample of data, the DOLS estimation does not yield cointegrating coefficient estimates that accord with the theoretical values implied by the monetary model of exchange rate determination. This may bring about critical results asserting that there is no evidence of exchange rate predictability based on the monetary fundamentals in the sample. Despite the use of long span data, no evidence is found in favor of the monetary exchange rate model using the Johansen procedures. We compare the out-of-sample forecasting performance of the monetary model and confirm that forecasting power of the monetary model is insignificant.



투자자의 권리변동을 반영한 수정주가 구축 및 활용방안에 대한 연구

강장구, 이덕현, 이창준, 최제준

한국재무학회 재무연구 제26권 제3호 2013.08 pp.311-351

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주식 데이터는 학술연구에 있어서 가장 기본적인 자료임에도 불구하고 지금까지 사용된 한국 주식 데이터는 투자자의 권리 변동을 정확하게 반영하지 못하였다. 이에 본 연구에서는 투자자의 권리변동을 보다 정확하게 반영한 보유기간수익률과 수정발행 주식수를 계산하였다. 또한, 새롭게 계산된 수정주식파일이 실증연구에 미치는 영향을 현금배당 이벤트의 고려 유무에 따라 분석하였으며 그 결과는 다음과 같다. 첫째, 모든 기업이벤트를 반영한 수정수익률로 계산된 시장초과수익률은 월평균 0.97%로 추정되어, 기업이벤트 중에서 현금배당만 반영하지 않았을 경우의 0.82%보다 높게 계산되었다. 둘째, 현금배당 기업이벤트의 포함 유무에 따라 추정된 시장초과수익률이 CAPM 테스트에 미치는 영향을 살펴보았는데, 새롭게 제안된 방법론을 통해 계산된 비정상수익률이 현금배당 이벤트를 고려하지 않은 경우에 비해 연 평균 1.70%~1.85% 낮게 추정되었다. 셋째, 펀드의 성과 측정에 미치는 영향을 살펴본 결과, 위험요인에 현금배당 기업이벤트를 포함하면 그렇지 않았을 때보다 연 평균 초과수익률이 1.32%~1.80% 만큼 낮게 추정되었다. 결과적으로, 현금배당 이벤트를 포함하지 않는 경우에는 투자자의 보유수익률이 과소평가 되어 비정상수익률은 과대평가 되는 것이 확인되었다.
Up to now, major Korean data vendors have provided financial researchers with partially adjusted stock price data. As a result, holding period returns and the number of shares outstanding are sometimes inaccurate. This is a serious problem since stock price data are the most important ingredient for financial studies. To remedy this problem, benchmarking the methodologies used in the Center for Research in Security Prices (CRSP), we construct the Korean stock price data (1999. 12~2011. 09) which fully reflect corporate actions. We then investigate how security prices affect empirical studies in financial economics, with a particular focus on the effect of cash dividends. To begin with, we compute holding period returns and the number of shares outstanding by taking into account the effect of any corporate action. Though our approach is based on the methodology of the CRSP, it is modified to reflect the Korean stock market practices. By crosschecking several corporate event data sources, we build fully adjusted stock price data. The construction procedures are as follows. First, we categorize corporate events into nine large groups: Cash dividends, liquidations and transfers of exchange, mergers and splits, paid-in capital increases, capital increases without consideration and stock dividends, capital decreases and retirements of shares, stock splits and reverse stock splits, stock conversions and stock options, and other outstanding share changes. The nine large groups are subdivided into the smaller groups. Second, we examine all corporate events during our sample period. Since all corporate events except cash dividends, and liquidations and transfers of exchange entail the change of outstanding shares, we can inversely trace the corresponding corporate event when changes in outstanding shares are discovered. Although there are a few corporate actions in which outstanding shares are unchanged, those actions can be checked by the Korea exchange (KRX) corporate action data. Examples include stock split after reduction of capital stock without any refund. Third, we investigate the corresponding effective-dates of all the corporate events. Generally, there are two-or three-week gaps between the dates in which outstanding shares actually changed and the corresponding effective-dates, and this time disparity stems from related administration processes. Yet, these time gaps cause some erratic results because investors recognize that corporate events take place at the effective date but the changes of outstanding shares happen a few weeks later. Due to this time gap, firm sizes can be miscalculated. Accordingly, we revise the stock price data so that the changes of outstanding shares occur at the corresponding effective-dates and thus the gaps are removed. Basically, we check the effective-dates in Data Analysis of the Retrieval and Transfer System (DART) of Financial Supervisory Service (FSS). Also, the excess of daily limit of price variation is helpful in detecting the effective-dates because the excess indicates that there is a corporate event such as stock split and capital reduction. Fourth, we calculate corresponding holding period returns at the effective-dates. For each event, the cash dividend amount and price adjust factor are figured out. Using the values, we calculate the accurate holding period returns at each effective-date through a simple equation. Then, we finally obtain the fully adjusted stock price data. With the accurately constructed stock price data, we study how our construction of security prices affects empirical studies in financial economics. To this end, we need a proxy for the risk-free rate. In this study, we use one month spot rate of a monetary stabilization bond as a proxy for the risk-free rate. Certificate of Depository (CD) rate, the prevailing alternative of risk-free rate in Korean financial market research, bears the default risk of banks as they are the issuers of CDs. Thus, CD rate has a serious flaw to be an alternative of risk-free rate. In contrast, monetary stabilization bonds issued by the Bank of Korea do not have default risk. Therefore, we adopt one month spot rate of the monetary stabilization bond from Korea Asset Pricing (KAP) as an alternative of risk-free rate. We then concentrate on the effect of cash dividends because researchers often overlook the effect they bring on the overall outcome when they conduct research. Instead, they usually use value-weighted index of the KOSPI and KOSDAQ as market portfolio. However, since these indices do not contain cash dividend returns, considerable biases can result from relying only them. This paper, therefore, points out that such biases indeed exist and how significant those biases are. The central empirical findings are as follows: First, while the average market excess return which reflects all corporate actions is 0.97% per month, the average market excess return which does not include cash dividends is 0.82% per month. Second, the annual CAPM alphas with security prices reflecting all corporate actions are 1.70%~1.85% lower than the ones that exclude cash dividends during our sample period. Finally, the estimated annual abnormal returns of equity funds are 1.32%~1.80% lower than the abnormal returns estimated with factors that do not include cash dividends. In sum, when the security prices that exclude the cash dividends are used in empirical studies, we find that holding period returns are underestimated, and, consequently, abnormal returns are overestimated.



금융투자회사 업무의 이해상충에 관한 실증연구 : IPO 인수주선기업에 대한 조사분석업무를 중심으로

박영석, 최운열, 이호선, 이진호

한국재무학회 재무연구 제26권 제3호 2013.08 pp.353-379

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본 연구는 IPO 인수주선업무를 수행한 금융투자회사가 해당 IPO 기업의 조사분석업무를 병행함으로써 유발할 수 있는 이해상충현상을 이들의 업무 또는 사업구조가 소속애널 리스트의 분석행태에 미치는 영향을 중심으로 실증분석하였다. 국내 금융투자회사는 겸업은행(universal bank)과 유사한 업무구조를 통해 다양한 이해관계에 있는 투자자 고객을 상대함으로써 서로 다른 고객 간 이해상충문제를 야기할 수 있기 때문에 이들의 특성 또는 사업구조를 중심으로 한 이해상충 가능성을 살펴보는 것은 중요한 의미를 지닌다. 분석결과, 첫째, 주관사애널리스트는 비주관사애널리스트에 비해 정보우위에 있어 이를 활용하여 고객 간 이해상충을 야기할 수 있음을 확인하였다. 둘째, 주관사 애널리스트는 본인이 소속된 금융투자회사가 영위하는 사업구조에 민감하게 반응하였다. 셋째, 주관사애널리스트의 분석보고서는 해당 IPO 기업의 장기성과와 무관하며, 이들의 소속 금융투자회사가 IPO 인수주선업무를 통해 얻게 된 정보우위는 IPO 기업의 이익과 상관없이 악용될 수 있음을 확인하였다. 이러한 결과를 통해 이해상충으로 인한 투자자 피해를 최소화하고 금융투자회사의 경쟁력을 제고하기 위한 겸업업무 간 방화벽 강화의 필요성을 확인할 수 있었다.
In this study we study the conflict of interests (COI) among customers of financial investment services companies (or securities firms) that operate diverse businesses in Korea as well as between the firms and their customers. Financial firms, in general, engage in diverse business activities with different customers, and each of business process has potential for COI between counter parties. For example, when a financial firm engages in a transaction with a customer, it gains valuable information about the client. Then, the possibility of COI arises because the firm has incentives to exploit the information to reap any kind of profit, perhaps to win additional deals for itself or a third party at that person’s expense. The root cause of a COI is the fact that a financial firm usually acts as an agent, and capitalizes from information asymmetry, often inherent in the firm’s transactions with individual customers. In this sense, financial investment services companies in Korea are appropriate subjects for this study for their diverse business areas for a wide array of customers, in which COI is very likely to emerge during their operations. In fact, some studies have been conducted on the COI in universal banking transactions at Korean financial investments services companies (securities firms). Those studies include Park and Shin (2007), Park, Choi, and Lee (2011). However, in general those institutions that provide universal banking services (e.g. securities firms in Korea) establish chinese walls to prevent the COI with another businesses. This creates difficulty in accessing data for COI cases. Another challenge is that many studies in this topic have produced conflicting results. In Lin and McNichls (1998), Kim and Choi (2008) and other related studies, they argue that affiliated analysts have the potential of COI. Cowen, Groysberg, and Healy (2006) and Park and Youn (2009), in contrast, insist that a possibility of that COI is lower due to maintaining their own reputation. As such, to increase objectivity of our study we select the most fundamental businesses of a financial investment services company: research analysis and underwriting. Then, we try to identify the COI in these core businesses. Specifically, we conduct an empirical analysis to verify the existence of COI in the Korean financial investment services companies, in this paper securities firms, focusing on measuring any possibility for biases that get involved in research analysis. The results of the study are as follows. First, it confirmed that analysts in Korean financial investment services companies (securities firms) working for an IPO underwriter tend to release less positive earnings outlooks and they had high accuracy in forecast. But our study results also indicate a possibility that COI in the industry could have stemmed from informational asymmetry among some analysts, resulting in their reporting not as accurately as it could otherwise be. These analysts, as opposed to third party analysts, tend to publish earnings forecasts that include smaller forecast errors and are less positive, while, nonetheless, are less accurate on the whole. Second, the same is also true among the most trusted financial analysts with solid reputations for being regarded as thorough and reliable in their reporting. The empirical analysis is made based on the assumption that an analyst’s opinion is influenced primarily by the characteristics of the financial investment services company where the analyst is working. In Korea financial investment services companies exert significant influence on their research function, and this seems to cause a COI. In other words, analysts reported more frequently if their securities firms had more brokerage business market share. That evidence was more clear when their securities firms had industrial affiliates. And in the middle-sized securities firm, their analysts reported more frequently if their securities firm had more investment banking business market share. Third, we found that the affiliated analysts could raise the COI by selecting more positive long-term IPO firms when their securities firm were affiliated with bank and asset management firms. Despite the recent move toward strengthening regulation in the financial sector, the frequent outbreaks of COI cases, within both domestic and foreign financial firms, reinforces the need for a stronger legal and institutional foundation to more effectively address the problem. Hopefully, the outcomes of this study will contribute to further improvement of financial investment services companies in their standards of work ethics in Korea, which will then raise the competitiveness of Korea’s financial industry as a whole. As domestic capital market grows and concentration and diversification of securities firms accelerate, accordingly, we conclude that strengthening the firewall among businesses of securities firms is imperative for the improvement of their competency and the prevention of investors' losses due to the COI.



온라인 개인 간(P2P) 대출의 상환 성공요인에 관한 연구

김학건, 박광우, 이병태, 최은호

한국재무학회 재무연구 제26권 제3호 2013.08 pp.381-415

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본 연구는 온라인 개인 간(Peer-to-Peer: P2P) 대출의 상환성공요인을 분석하였다. 이를 위해, 대출상환에 영향을 줄 수 있는 여러 요인들이 대출상환성공의 가능성과 어떠한 관계가 있는지 살펴보았다. 실증분석결과 첫째, 신용파산경험과 대출상환성공더미는 유의한 정(+)의 관계가 있는 것으로 나타났다. 이는 대출경매에 성공한 차입자 중 신용파산경험이 있는 차입자의 경우 대출금 상환을 통해 신용등급을 개선하여 기존 금융권으로의 복귀를 위해 노력하기 때문인 것으로 풀이된다. 둘째, 주거비용, 생활비용, 그리고 의료비용 등은 대출상환성공더미와 유의한 정(+)의 관계를 보였다. 즉, 생계를 위한 필수비용을 대출받은 차입자의 경우 대출금 상환에 더욱 적극적인 것으로 나타났다. 셋째, 활발한 사회교류활동을 한 차입자는 소극적으로 사회교류활동을 한 차입자에 비해 대출상환성공 가능성이 높았다. 이러한 결과는 사회적 교류활동이 차입자와 투자자 사이의 신뢰를 형성하고 정보교류를 가능하게 하여 대출상환에 긍정적으로 작용할 수 있음을 의미한다. 본 연구의 이러한 분석결과는 서민금융 활성화 측면에서 온라인 P2P대출이 신용등급이 매우 낮은 금융 소비자들의 필요 자금조달수단이 될 뿐만 아니라, 대출경매에 성공한 차입자 중 파산한 개인의 신용회복을 위한 수단으로도 적절히 활용될 수 있음을 시사한다.
The global banking industry has undergone a wave of mergers over the last two decades and, as a result of which, mega banks have arisen in many countries around the world including Korea. Korean banks respond to this recent trend of bank consolidation by lowering the deposit interest rate and raising the loan interest rate (Park, 2004). Another major change had taken place even before the megabank trend. After the government allowed financial intermediation services by non-bank financial institutions in the late 1990s, commercial banks had started to reduce making loans to individual consumers since the monitoring costs are relatively higher than the interest income. As a result, banks have become more conservative in making loans to borrowers with low credit. In contrast to banks that strictly adhere to credit evaluation models, investors of online P2P (Peer-to-Peer) lending use much more flexible methods to judge borrowers’ qualifications for a loan, which include ‘hard information factors,’ ‘social interaction factors,’ and ‘soft information factors.’ Naturally, borrowers with low credit ratings use online P2P lending as one of the available funding sources. In this paper, we explore factors of success in online P2P lending repayment. In particular, this study examines how each of these three most common factors- ‘hard information factors’, ‘social interaction factors’, and ‘soft information factors’-- affect the loan repayment. This paper uses data from 542 loans from a leading crowd funding company in Korea from June 2008 through November 2010. We use a number of questions and answers, pre-poll results, and a number of attempts for making loans as the proxy variables of social interaction factors. Unlike foreign online P2P lending, Korea’s internet lending takes place through the social relationship between borrowers and investors, formed by communicating via the online bulletin board. We obtained the following empirical results. Firstly, borrowers’ personal bankruptcy experience has a significantly positive impact on the success of loan repayment. This is because borrowers with experience in personal bankruptcy have an incentive to improve their credit ratings through sincere loan repayment because a typical online P2P lending system uses a savings bank account as an escrow account. Therefore, they can improve their credit ratings for loans from commercial or savings banks by maintaining good credit standing online. These results imply that people with poor credit can use online P2P lending not only for raising money but also for improving their credit quality. Secondly, the purposes of loans for housing, living, and medical expenses have a significantly positive relationship with the success of loan repayment. This means that if they get loans for essential living expenses, they would exert greater efforts to repay the loans. Thirdly, debtors, who actively share personal information and interact with lenders online through P2P auction site message boards, are more likely to repay their loans than borrowers who have less social interaction. It appears that lenders can get more access to borrowers’ personal information and thus effectively monitor their loans. Borrowers can also establish trust with lenders and make a stronger effort to repay loans. The implications of our analysis are summarized as follows: Firstly, although earlier studies on personal loans have focused on personal bankruptcy decisions, this paper examines the effects of individual peculiarities on loan repayment. In particular, we find that bankrupt borrowers make greater efforts to repay the loans through online P2P lending. This is because if borrowers repay their loans in time, they can improve their overall credit ratings for loans from commercial banks in the future. Therefore, policy makers can consider online P2P lending as one of policy tools to encourage financial consumers with low credits for credit recovery. Secondly, we show that borrowers who raise money for essential living expenses make stronger efforts to repay their loans. Thirdly, we find that close interaction between potential borrowers and lenders is an important success factor in loan repayment. We conclude that such interaction can help reduce the information asymmetry, establish trust between borrowers and lenders, and raise the possibility of loan repayment. Our paper also has an important policy implication for consumer banking and small and medium enterprise finance. Domestic online P2P lending intermediaries work in partnership with savings banks and use their bank accounts as escrow accounts. However, due to the recent insolvencies of a number of large project finance operations, many savings banks are unable to play the roles of online P2P lending firms’ escrow accounts. For example, ‘Pop Funding’, one of the biggest online P2P lending intermediaries in Korea, had been in partnership with ‘Jeil Savings Bank’. But this bank was forced to shut down the operation because of its insolvency. Therefore, in order to firmly establish online P2P lending as a way to provide financing and credit enhancement for low credit borrowers, commercial banks should also play the role of providing escrow accounts for online P2P lending companies. In fact, European banks have recently been trying to enter the online P2P lending market more aggressively.


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