재무연구 [Asian Review of Financial Research]

간행물 정보
  • 자료유형
  • 발행기관
    한국재무학회 [The Korean Finance Association]
  • ISSN
  • 간기
  • 수록기간
  • 등재여부
    KCI 등재
  • 주제분류
    사회과학 > 경영학
  • 십진분류
    KDC 325 DDC 658.46
제30권 제4호 (4건)

재무적 제약이 주가수익률에 미치는 영향

이병주, 김동철

한국재무학회 재무연구 제30권 제4호 2017.11 pp.395-432

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본 연구는 국내 주식시장에서 재무적 제약과 주가수익률의 관계를 분석하였다. 외국 문헌에서는 재무적 제약이 주가수익률에 미치는 영향에 대한 상당수의 연구가 이루어졌지만 일치된 결론을 얻지 못하고 있다. 국내에서는 재무적 제약과 주가수익률의 관계를 실증적으로 밝히는 연구가 없다. 이에 본 연구는 국내 주식시장을 대상으로 재무적 제약이 주가에 체계적으로 반영이 되는 위험요인 인지를 실증적으로 분석하였다. 분석 결과, 국내 주식시장에서 기업의 재무적 제약이 강할수록 향후 주가수익률이 상승하였으며, 재무적 제약이 강한 기업과 재무적 제약이 약한 기업 간의 수익률의 차이가 통계적으로 유의한 양(+)의 값을 보였다. 특히 과거 KOSPI의 수익률을 통해 시장 호황 국면과 시장하강국면으로 나누어 분석한 결과, 시장호황국면에서 재무적 제약이 강한 기업과 약한 기업 간의 수익률 차이가 통계적으로 유의한 양(+)의 값을 보이는 것으로 나타났다. 이에 대해 CAPM과 Fama-French 3요인 모형에 대한 초과수익률을 살펴본 결과, 재무적 제약이 가장 강한 포트폴리오와 재무적 제약이 가장 약한 포트폴리오의 월 평균수익률의 차이가 CAPM에 의해서 설명되지 않지만, Fama-French 3요인 모형에 의해서는 설명되었다. 따라서, 재무적 제약 요인이 기존의 위험요인과 차별되는 새로운 위험요인은 아닌 것으로 나타났다.
This study examines the effect of financial constraints on stock returns in the Korean stock market from April 2002 to March 2016. Several studies have examined the relation between financial constraints and stock returns. The main issue in these studies is whether financial constraints are an undiversifiable risk and, if so, whether this risk is priced. However, the results have been inconsistent, and there is no consensus on this issue in the literature. Moreover, only a few studies have examined this issue specifically with respect to the Korean stock market. In this study, we thoroughly examine the relation between financial constraints and stock returns in the Korean stock market. Financial constraints arise due to frictions in the process of raising funds from capital markets. If firms have difficulty raising enough funds to invest in profitable projects or are financially constrained, they lose profitable investment opportunities, and then the value of such financially constrained firms declines. Thus, investors perceive financial constraints as risk and demand a premium for such risk. Lamont, Polk, and Saa-Requejo (2001) test whether financial constraints can be a common risk factor that affects stock prices. These authors construct a factor based on the degree of financial constraint by buying long financially constrained firms and selling short financially unconstrained firms. They find a negative relation between financial constraints and stock return. That is, financially constrained firms earn lower stock returns than do financially unconstrained firms. By decomposing the sample period into expansion and contraction periods, Campello and Chen (2010) find that the stock price of financially constrained firms rises more than that of financially unconstrained firms during expansion periods, whereas it falls more than that of financially unconstrained firms during contraction periods. They thus conclude that financial constraints can affect stock prices. To measure financial constraints, previous studies use an index, such as the Kaplan and Zingales (1997) (KZ) index, or individual proxy variables. Those researchers that use the KZ index use the estimated coefficients listed in it to directly compute the index value and in turn use this index value to measure the degree of financial constraint. However, Farre-Mensa and Ljungqvist (2016) argue that this method is problematic. Almeida, Campello, and Weisbach (2004) therefore suggest an approach to determine whether a given measure, such as the KZ index, precisely represents the degree of financial constraint. This approach is to use the sensitivity of cash flows to cash holdings. We use this approach to select the variables to be included in the index that we then use to measure the degree of financial constraint in the Korean stock market. We select the following variables for the index: R&D growth rate, cash and cash equivalents ratio, and sales growth rate. To our knowledge, this index is the first to measure financial constraints in the Korean literature. We construct five portfolios by sorting all Korean firms based on our index values, and we find that average stock returns tend to increase across the portfolios. In other words, more (less) financially constrained firms tend to earn higher (lower) returns. This result is somewhat different from those of Lamont et al. (2001), who examine the U.S. market. Furthermore, the difference in average return between the most and least financially constrained portfolios is positive and statistically significant. However, this significant difference is observable only during up-markets and not during down-markets. To examine whether financial constraints are a priced factor, we use two kinds of test: time-series and cross-sectional. To conduct time-series tests, we regress the financial constraint factor on the factors included in the well-known factor models, such as the CAPM and Fama and French (1993) three-factor model. We construct the financial constraint factor using a zero-investment strategy based on the degree of financial constraint. The time-series regression results show that the CAPM factor does not explain the financial constraint factor, although it is satisfactorily explained by the three-factor model. This indicates that financial constraints are subsumed by the factors related to size and especially the book-to-market ratio. In the cross-sectional regression tests, we find that the coefficient estimates on the financial constraint variable are statistically insignificant. In other words, financial constraints are not priced into stock returns in Korea. In summary, we find a positive relation between financial constraints and stock returns in Korea. However, it is hard to claim that financial constraints are a priced risk. This study contributes to the literature as follows. First, we provide an alternative way to construct the financial constraints index to measure the degree of financial constraint for Korean firms. Second, this study is the first in the Korea literature to test whether financial constraints are a priced risk in Korea.



Can Trading Restrictions Explain the Performance of Free-Bonus Issues?

Eunyoung Cho, Cheol-Won Yang

한국재무학회 재무연구 제30권 제4호 2017.11 pp.433-459

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This article investigates the relation between market’s response to corporate events and trading restrictions in a unique setting of free-bonus issues in Korea. Specifically, bonus-seeking investors face the trading restrictions that they must hold their current shares until ex-date to receive new shares, and cannot trade non-listed new shares until pay-date, while stock price is adjusted on the ex-date according to the bonus ratio. Moreover, investors face short-sale ban between the ex-date and pay-date. These trading restrictions reduce potential liquidity suppliers in the market, and it causes the excess demand for the stock. We hypothesize that the greater the trading restriction, the higher stock price. We find positive abnormal returns around both announcement date and ex-date, and strong positive relation between event returns and the degree of trading restriction measured by bonus ratio. Moreover, significant negative returns are observed near the pay-date as trading restrictions are expected to disappear. This article provides an evidence that trading restriction, which is one of market frictions, contributes to explaining the abnormal returns around corporate events.



Investment Risk and Disposition Effect: Evidence from the Trading Behavior of Institutional Investors in Korea

Hyunnam Song, Jinho Jeong

한국재무학회 재무연구 제30권 제4호 2017.11 pp.461-478

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This study investigates the trading behavior of institutional investors in Korea. The findings of this study are as follows. First, Korean investors are just as prone to the disposition effect as U.S. investors but less overconfident than U.S. investors. Second, bond fund shows a higher disposition effect than mixed and equity funds, suggesting that conservative investors tend to delay the needed changes in their portfolio composition when new information forces them to reanalyze the situation and prospects. Third, the disposition effect is sensitive to the reference point changes. Fourth, the disposition effect is positively associated with the length of the holding period, contradicting the findings of previous studies. Finally, the disposition effect in Korea disappears after the global financial crisis, suggesting that Korean investors trade more rationally since the crisis. Our findings indicate that the disposition effect is not a universal phenomenon. The results suggest that the degree of the disposition effect is very sensitive to the type of investor groups.



한국 주식 시장에서의 누적 전망 이론을 활용한 실증 분석

김태진, 김현식, 조훈

한국재무학회 재무연구 제30권 제4호 2017.11 pp.479-517

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본 논문에서는 개별 주식 수준에서 누적 전망 이론(Tversky and Kahneman, 1992)을 따라 투자자들의 특정 자산에 대한 심리적인 선호를 담아냄으로써 미래의 기대 수익률을 설명할 수 있음을 검증하였다. 이 같은 현상을 뒷받침하고자, 투자자들이 투자 의사 결정을 함에 있어서 자산의 과거 수익률 분포를 통하여 해당 자산을 평가한다는 가설 또한 검증하였다. 실증분석 결과는 다음과 같다. 첫째로, 과거 3년치의 월별 시장 대비 초과수익률 중 양의 값을 가지는 것으로 구성된 누적 전망 이론값(이하, TK+)은 다음 시점의 수익률과 음의 상관관계가 있음을 밝혔다. 둘째로, TK+로 분류된 롱-숏 포트폴리오는 월평균 1.197%의 양의 수익률을 거두었으며, 포트폴리오 구성 이후 6개월 동안 유의한 설명력을 가지고 있음을 보였다. 또한, TK+의 설명력은 베타 및 시가 총액, 장부가치 대비 시장가치 비율, 모멘텀 효과 등의 통제 변수와 왜도 관련 통제 변수를 포함한 실증분석 결과 내에서도 그 유의성을 잃지 않았다. 마지막으로, TK+의 유의한 설명력은 누적 전망 이론의 확률 가중 함수의 관점에서 투자자들이 과거 수익률을 바탕으로 한 분포를 고려할 때, 꼬리 부분의 극단적인 분포를 과대평가함 으로써 해당 자산을 선호하게 되는 특성인 복권 성향의 자산에 대한 선호로 해석될 수 있음을 밝혔다. 본 연구는 한국 주식시장에서 행동재무학적 현상이 나타나며 이를 통계적 분석을 통해 유의성을 보일 수 있다는 점에서 의의가 있다.
This study tests whether cumulative prospect theory (Tversky and Kahneman, 1992) captures investors’ psychological evaluations of individual stocks. It also tests the hypothesis that investors mentally evaluate a stock based on the historical distribution of returns. This study’s major empirical findings are as follows. First, when evaluated only on positive terms (henceforth TK+) of the past 36 monthly market excess returns, cumulative prospect theory value shows a negative correlation with subsequent returns. Second, a long-short portfolio sorted on TK+ earns a return of 1.197% on average per month and remains significant for six months after the portfolio’s formation. Moreover, the return predictability of TK+ remains significant even if we consider several wellknown control variables, such as beta, size, b/m ratio and momentum, and skewness-related variables. Finally, we find empirical support for the hypothesis that the probability weighting of cumulative prospect theory plays an important role in investors’ preferences for lottery-like stocks. This study demonstrates that behavioral finance can be applied to the Korean stock market using statistical analysis.


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