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본 논문은 지수선물․옵션 만기일에 지수를 구성하는 주식의 종가 결정에 있어서 프로그램 지수차익거래를 이용한 연계시세조종행위 여부에 대해 논의한다. 연구는 두 방향으로 진행하였다. 첫째, 법률적 측면에서 연계시세조종 행위를 검토한 후 최근 쟁점이 되고 있는 연계시세조종행위 성립요건 중 ‘목적의 존재’에 대해 만기일 지수차익거래와 연관하여 논하였다. 둘째, 재무학적 측면에서 연계시세조종 목적의 존재를 입증할 수 있는 가설을 설정하고 이를 검증하였다. 이 실증분석은 선물포지션을 가진 투자자가 만기일에 현물 종가를 조작하는 연계시세조종을 통해 이익을 추구하는 전략이 시장균형 상태로 존재할 수 있음을 제시한 Kumar and Seppi(1992)의 모형을 한국시장을 통해 검증하는 의미도 있다. 만기일 종가 동시호가 시간대의 주문자료를 분석한 결과, 경제적 합리성이 결여된, 예상체결가격보다 현저히 낮은 지정가 매도주문이나 높은 매수주문이 만기일에 유의하게 증가함을 발견하였다. 지정가 주문은 종가 결정 직전 마지막 1분 시간대에 집중되었다. 또한 지수차익거래 주문은 동일 시간대의 다른 정상주문보다 예상체결가를 변화시키는 가격충격이 훨씬 컸다. 이런 결과들은 선물․옵션 만기일에 연계시세조종을 의도하는 지수차익거래가 존재함을 암시하며, Kumar and Seppi(1992)의 예측과도 일치한다.
The closing price of KOSPI200 on Nov 11, 2010, the expiration day for options, was determined at 247.51 points following a severe fall of 7.11 points, which caused great disorder in the Korean financial market. The Korean Supervisory Service and the Korea Exchange investigated the event and discovered that Deutsche Bank had submitted a huge sales order for 2.44 trillion Won of 199 stocks simultaneously, on condition of holding a large amount of KOSPI200 put options. Deutsche Bank was later indicted for the cross-market manipulation based on the Financial Investment Services and Capital Markets Act (hereafter “Capital Market Act”). In this paper, we investigate the cross-market manipulation using index arbitrage in determining stock closing prices on expiration days. We deal withtwo aspects in relation to this issue. First, in terms of law, we explain the various types of cross-market manipulation regulated by the Capital Markets Act. Specifically, we discuss the concept of “existence of purpose” to satisfy the requirement for cross-market manipulation action. Second, in terms of finance, the hypotheses to verify the “existence of purpose” on the cross-market manipulation are established and tested empirically. This empirical test is also related to Kumar and Seppi’s (1992) model, in which the manipulator earns a positive expected profit by holding a futures position and then manipulating the spot price used to compute the cash settlement on the expiration day. In empirical analysis, we identify that expiration effects exist in the Korean market, consistent with previous studies. The volatility and trading volume of the closing price on expiration days are distinctly higher than those on non-expiration days and those of non-KOSPI200 stocks. Then we establish the first hypothesis that if expiration-day effects are caused by index arbitrage activity, the effects are stronger in stocks where the trading volume for index arbitrage is higher. The results show that the portfolio with a greater transaction ratio of index arbitrage has higher volatility and trading volume on expiration days. The differences are statistically significant. The regression analysis using volatility and trading volume on expiration days as the independent variable and index arbitrage as the dependent variable also shows that volatility and trading volume on expiration days are positively correlated with index arbitrage. These results support our first hypothesis that index arbitrage are an important source of expiration-day effects. However, the positive relationship between the expiration-day effect and index arbitrage does not necessarily imply that cross-market manipulation activity exists in the market and affects the closing price on expiration days. Normal index arbitrage can also cause an increase in volatility and trading volume due to its tremendous trading size. To disentangle these two possibilities we use the order submission data of closing call auctions and establish the second hypothesis. Our second hypothesis is that a cross-market manipulator will submit a distinctly low-priced limit sale order or distinctly high-priced limit purchase order, both of which lack economic rationality, to move the closing price as much as possible on expiration days. According to the Kumar and Seppi (1992) model, the cross-market manipulator can earn a positive expected profit by manipulating the spot price used to compute the cash settlement on the expiration day because the profit from the futures position exceeds the loss from the spot position. Analysis of the index arbitrage order data in the closing call auctions on expiration days shows a significant increase in distinctly low-priced limit sale orders and distinctly high-priced limit purchase orders. The limit orders are also concentrated in the last minute of the closing call auction. Finally we test a third hypothesis to confirm the price impact of cross-market manipulation. Our third hypothesis is that orders for index arbitrage have a greater effect on price than other normal orders if there is cross-market manipulation on expiration days, because the manipulators try to maximize the price impact of their orders to maximize their profits in the futures position. The results show that the price impact of index arbitrage orders is larger than that of normal orders. Overall, these results imply that there exist index arbitrage orders issued for the purposes of cross-market manipulation on expiration days in Korea. The findings are also consistent with Kumar and Seppi’s (1992) prediction that cross-market manipulators try to manipulate the spot price used in cash settlement on the expiration day.
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주가의 급락은 부정적 정보가 공개되지 않고 축적되다가 한계점에서 일시에 노출되면서 발생한다. 부정적 정보를 은닉하려는 기업의 동기를 제시하고 주가 급락에 대한 영향력을 분석하는 것이 본 연구의 목적이다. 정보 은닉의 첫째 동기는 경영자 기회주의이다. 경영자는 경력 관리와 같은 개인적 목적을 위해 기업의 부정적 정보가 공개되는 것을 저지할 가능성이 있다. 둘째는 경영자 과신이다. 과신 성향의 경영자는 발생한 부정적 정보가 일시적이거나 실상을 오도한다고 믿기 때문에 공개를 꺼리게 된다. 경영자의 기회주의 실현 정도를 측정하기 위해서는 기업의 절세 성향(장기유효세율)을 사용하며, 경영자 과신 성향은 기업의 재무 및 투자 성향에서 추론한다. 주가 급락 위험의 변수로는 기업 고유수익률의 급락 여부와 음의 조건부 왜도값을 이용한다. 분석 결과 절세 성향이 클수록 즉, 장기유효세율이 작을수록 주가의 급락 위험은 증가하는 것으로 검증된다. 사적 이익 추구를 위한 부정적 정보의 은닉이 미래 주가의 급락으로 연계되고 있음을 의미한다. 절세 성향과 주가 급락과의 상관관계는 연도별 분석과 고정효과를 고려한 분석, 그리고 세금 회피에 대한 대안 변수를 사용한 경우에서도 강건하다. 반면 경영자 과신 더미변수는 주가의 급락과 유의적인 상관관계를 보이지 않는다. 정보비대칭의 크기에 따라 구분하여 분석하면, 장기유효세율과 주가 급락과의 상관관계는 기업과 투자자와의 정보비대칭이 큰 그룹에서 더욱 명확히 검증된다. 그러나 경영자 과신 변수와 주가 급락과의 상관관계는 정보비대칭에 따라서도 유의성의 차이를 보이지 않는다. 부정적 정보 은닉의 원인이 과신 성향이 아닌 기회주의에 있음을 의미하는 것이다. 아울러, 정보비대칭이 큰 그룹에서는 투자자 보호가 약할수록 장기유효세율과 주가 급락 위험과의 상관관계가 강하게 나타난다. 경영자 의사결정에 대한 감시가 허술하면 경영자의 사적 이익 추구에 대한 기회비용이 작으므로, 절세 거래에 기회주의적 의도가 내재될 가능성이 크기 때문인 것으로 해석된다. 이러한 결과들은 경영자의 과신 성향보다는 기회주의가 주가 급락을 야기하는 동기라는 해석을 견지케 한다.
A stock’s price crashes when bad news accumulated within the firm is released all at once. I suggest two incentives for bad news hoarding-managerial opportunism and overconfidence-and examine their effects on firm-specific stock price crash risk. In a corporate setting in which there is separation of ownership and control, managers have multiple incentives to conceal bad news, such as extracting rent, securing their jobs, maintaining reputations and meeting the conditions for extra compensation. Overconfident managers also have incentives to ignore negative news. They tend to overestimate the cash flows of investment projects and misperceive negative news as temporary or untrue. They are reluctant to disclose negative news because doing so might prompt investors to halt the projects. Thus, both opportunism and overconfidence can motivate managers to hoard bad news, which in turn can lead to stock price crashes. These two incentives are not, however, mutually exclusive. Opportunism assumes that managers are rational expected-utility maximizers, whereas overconfident managers are expected to behave according to irrational psychological traits. This suggests that overconfident managers can conceal bad news even if they are benevolent to shareholders. The difference allows them to empirically decide which incentive is the main source of the stock price crash. I use tax avoidance (long-run effective tax rate) as a proxy for opportunism because it is widely involved in managerial opportunistic decisions such as earnings management and resource diversion. As a proxy for firm-level overconfidence, I use a dummy variable constructed following Schrand and Zechman (2012). Overconfidence is a persistent trait that affects all business decisions, suggesting that the level of overconfidence can be inferred from the firm’s financial and investment decisions. Schrand and Zechman (2012) developed an overconfidence score using a list of financial and investment decisions typically conducted by overconfident managers. Following Chen, Chen, Cheng, and Shevlin (2001) and Hutton, Marcus, and Tehranian (2009), I use two measures of firm-specific stock price crash risk: the likelihood of extreme and negative firm-specific weekly returns and the negative conditional skewness of firm-specific weekly returns. Using non-financial firms listed on the Korea Stock Exchange for the 2001~2011 period, I find that while tax avoidance is positively related to stock price crash risk, overconfidence is not. The results are consistent with the hypothesis that opportunism motivates managers to hoard bad news, which leads to stock price crashes. The finding is robust when I control for firm-fixed effects and use alternative tax avoidance measures, such as the book-tax income difference and the long-term effective tax rate adjusted for earnings management. I also find that the relation between tax avoidance and crash risk is more pronounced in firms with greater information asymmetry. In contrast, information asymmetry does not help explain the relation between overconfidence and crash risk. I further examine the effect of investor protection on the relation between tax avoidance and crash risk. Investor protection variables include largest shareholder ownership, foreign ownership, proportion of outside directors, amount of external financing, big audit firm dummy, chaebol affiliation dummy and the disparity between control and cash flow rights. It appears that the effect of tax avoidance on crash risk is less pronounced for firms with greater investor protection. Specifically, firms with higher largest shareholder ownership and greater external financing, firms audited by big audit companies, non-chaebol firms and firms with lower disparity between control and cash flow rights all exhibit relatively weak relations between tax avoidance and crash risk. The results reinforce that opportunism is a more promising source of stock price crashes than overconfidence. Earlier studies have tried to find the determinants of stock price crashes, focusing on market mechanisms. Recently, related research expanded its focus to include firm-side mechanisms, but most studies have explained stock price crashes using the agency framework. This study complements those works by suggesting a managerial behavioral trait as a source of stock price crashes.
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이 논문은 한국 기업들이 경기변동에 대응하여 어떻게 자금조달방식을 선택하는 지에 관하여 분석하였다. 한국은행 자금순환표와 기업회계자료를 이용한 분석의 결과, 국내 기업들의 부채 조달규모는 경기순응적인 반면 자기자본 조달규모는 경기역행적이었다. 특히 자사주매입이 허용된 1994년 이후 자기자본을 통한 자금조달의 경기역행성이 보다 강화된 것으로 나타났다. 이러한 현상은 부채와 자기자본 사용규모가 모두 경기순응적인 미국 기업들의 경우와는 다른 결과이다(Covas and Den Haan, 2011 참조). 두 국가 간의 이러한 차이가 나타나는 원인을 살펴보기 위해 패널회귀모형을 이용하여 경기변동이 부채와 자기자본의 사용규모, 생산자본지출과 총자산 증가 등에 미치는 영향을 분석하였다. 그 결과, 미국 기업들은 총자산을 매입하기 위한 자금을 조달하기 위해 부채, 자기자본 및 내부자금을 모두 활용하는 반면, 국내 기업들은 경기확장 시에는 투자수요의 대부분을 부채로 조달하고 경기악화로 기채가 어려울 경우에만 자기자본에 의존하는 것으로 나타났다. 이와 같은 결과는 경기변동에 따른 기업의 자금조달패턴이 부채와 자기자본 간의 대체관계뿐 아니라 내부자금의 규모, 부채사용의 용이성 등 동태적 요인에 의해서도 결정된다는 것을 시사한다.
As a number of studies in macroeconomics attempt to explain the business cycle and asset pricing using firm dynamics, there is a growing interest in understanding how firms make financing decisions about the use of debt and equity in varying stages of the business cycle. Most of the studies, however, have overlooked the possibility that the cyclical behavior of equity issuance is different from that of debt issuance. They focus mainly on the procyclicality of debt financing or external financing in total. Similarly, little work has been done in corporate finance literature also on the cyclicality of firms’ financing behavior. The main concern there is to control macroeconomic factors in testing the traditional capital structure theories. Because the business cycle changes the amounts of debt and equity to be raised, which in turn influences the business cycle through corporate investments, it is meaningful to look into the cyclicality of debt and equity financings. Previous studies reveal conflicting views on the cyclicality of debt and equity financings. Using the NBER Business Cycle Data, Choe, Masulis, and Nanda (1993) find that the amount of equity raised is larger in expansion periods than in contraction periods, whereas the opposite is true for the amount of debt raised. However, because they only analyze a subset of external financing vehicles such as common stocks and corporate bonds, they fail to control the influences of large firms with relatively easy access to financial markets. Korajczyk and Levy (2003) document that the debt-equity ratio increases during recessions. But the use of the debt-equity ratio implicitly assumes that debt and equity financings are substitutes for each other, and thus rules out the possibility that they show the same cyclical behavior. Moreover, the macroeconomic variables used by Korajczyk and Levy (2003), such as equity market returns and term spreads, are not the typical measures of cyclicality in macroeconomics literature. While the two aforementioned studies argue that equity issuance is procyclical and debt issuance is countercyclical, Jermann and Quadrini (2012) claim that equity financing is countercyclical and debt financing is procyclical. They use the flow of funds data from the Federal Reserve Board. But their dataset does not include all of corporate debt and equity transactions, and thus it is strongly influenced by a small number of large firms and by the procyclicality of mergers (Baker and Wurgler, 2002). To overcome the limitations of the preceding studies, Covas and Den Haan (2011) divide firms into several groups by size and investigate the cyclicality of small firms’ financing behavior separately. They also construct a comprehensive time-series dataset of debt and equity issuances using the accounting data for individual firms in Compustat, instead of using the aggregate data that may cause a biased result due to the effect of large firms. Moreover, as with other studies in business cycle literature, they filter the real GDP or the value added by the Hodrick-Prescott (HP) method and use it as a measure for real activity. Unlike the results of the preceding studies, their finding is that both debt and equity financings are procyclical. Regarding this result, Jermann and Quadrini (2012) point out that the procyclicality of equity issuance is not robust because its statistical significance varies depending on how equity issuances are measured. In this study, we examine cyclical patterns of debt and equity financing in Korean firms. Contrary to the results of Covas and Den Haan (2011), we find that the equity issuance of Korean firms is countercyclical. In a macroeconomic-level analysis using the flow of funds data from the Bank of Korea, the use of debt is positively correlated with the HP-filtered GDP of the previous quarter, whereas the use of equity is negatively correlated. In a firm-level analysis using the accounting data of individual firms, we find the same result-that debt financing is procyclical and equity financing is countercyclical. In particular, the countercyclicality of equity issuance has become stronger after share repurchases were permitted in 1994. This result stands in contrast to the case of U.S. firms, in which both debt and equity financings are procyclical. To explain why equity financing is countercyclical in Korea, contrary to the U.S. case, we extend the panel regression model used in Covas and Den Haan (2011) and explore how debt and equity financings, investments, and asset growths in corporations respond to the cyclical movements of the economy. Following Covas and Den Haan (2011), we allow coefficients to vary with firm size. We also use cash flows and Tobin’s Q, respectively, as explanatory variables for current and future profitabilities. In addition, for the purpose of controlling collateral value, investment opportunity, non-interest tax-shields, and the effects of economic crises, respectively, we include tangible assets, intangible assets, depreciation, and time dummy variables for two economic crises. We find that the use of debt is procyclical for all firm groups and the use of equity is countercyclical for bigger firms. This result is consistent with that of the correlation analysis. While investments and asset growth are significantly procyclical for all firm groups, total assets vary more than investments as the business cycle changes. This implies that firms use financial assets as a buffer to insure against negative shocks during contractions. Interestingly, cyclical changes in debt are larger than those in total assets in Korea. This indicates that to finance the purchase of assets, Korean firms rely mostly on debt in boom periods, whereas they use equity only when it is difficult to raise debt in downturn periods. By contrast, U.S. firms utilize debt, equity, and retained earnings all the time to finance investment projects. The discrepancy between the two countries indicates that the cyclicality of corporations’ financing behavior is determined not only by the substitutability of debt and equity, but also by such dynamic factors as the availability of internal funds and the difficulty of accessing the debt market.
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By using country-level data on the foreign affiliates of U.S. global banks in 20 developed and 60 emerging economies from 2006 to 2013, we present consistent evidence that liquidity shocks triggered by a global financial crisis are transmitted to affiliate locations that are important for the parent bank funding sources within the banking group. We find that the funding location of global banks is driven by affiliates’ dependence on local deposit funding, by host country-specific characteristics (financial liberalization), and by foreign affiliate-specific characteristics (liquidity constraints). As a result of foreign affiliates’ support to their parent banks, funding location may suffer internal capital outflows during a financial crisis. We conclude that internal capital outflows are confined to local funding affiliates with sufficient liquidity operating in fully liberalized financial systems. These results indicate that contrary to the findings of Cetorelli and Goldberg (2012), foreign affiliates financed by local deposits rather than a parent bank’s resources were not necessarily a significant source of internal capital outflows from the host country during the global financial crisis. Hence, the benefits of local funding can be achieved without its cost if either high liquidity constraints or low financial liberalization is in place.
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