Earticle

For the period from January 2000 to August 2021, we show that changes in the swap basis for Korean won and U.S. dollar predict changes in the exchange rate between the two currencies at weekly frequencies. More precisely, when the basis drops and becomes more negative, the exchange rate rises (i.e., dollar appreciates) subsequently, after controlling for their contemporaneous relation, the serial correlation in the exchange rate movements, and the global financial cycles. The swap basis has a factor structure and its first (level) and the second (slope) factors are useful in predicting the exchange rate, especially when used together. Based on the findings, we propose simple prediction rules that market participants can use in real time.

As high volatility in asset values can affect collateral values negatively and increase the likelihood of defaults by loan borrowers, facing high price risks in housing markets, banks need to lower risk exposures and reduce loans. Our analysis of US commercial banks shows that banks with higher housing price risks provided fewer loans secured by residential properties before the 2008 financial crisis. These results suggest that banks consider housing price risks when making loan decisions. However, banks with higher housing price risks that were significantly reliant on wholesale funding provided more residential loans, suggesting that they take more risks to improve their short-term performance which can compensate for cost of wholesale funding.

This research examines corporate cash holdings in Vietnam, an emerging market, and finds reverse peer effects on them - that is, a firm’s level of cash holdings negatively relates to those of its peers. We also note the reverse peer effects are stronger for firms facing less competition and with low intangibility. Because the Vietnam market has noticeably lower competition and investment in innovation than in developed economics like the U.S., our evidence supports the role of competition and innovation investment in driving cash holdings’ peer effects and complements the literature that mostly focuses on developed economies. Our findings are consistent with the notion that some firms strategically accumulate cash to drive their competitors’ cash level lower when they are in less competitive industries or when they have lower innovation investments. Thus, the existing competition or innovation environment is crucial when modeling the cash holding behavior among industry peers. However, our tests on the preemptive motive for peer effects on cash holdings are inconclusive. Lastly, our results also support heterogeneity across countries in peer mimicking behavior and contributes to the cash holdings literature for the Vietnam market.

본 연구는 기업의 ESG 활동이 기업의 배당수준과 안정배당정책과의 관련성에 대하여 체계적으로 연구하고자 한다. 본 연구의 ESG 활동의 대용치는 한국기업지배구조원의 ESG등급을 활용하였다. 2013년부터 2019년까지의 자료를 토대로 유가증권시장에 상장된 12월 결산 법인 중에서 비금융업을 대상으로 분석하였다. 분석결과는 첫째, 기업의 ESG활동은 기업의 배당수준에 대한 정의에 따라 미치는 영향이 상이함을 알 수 있다. 종속변수가 배당성향인 경우에는 사회등급만이 통계적으로 유의한 양(+) 의 영향을 주는 것으로 분석되었다. 반면에, 종속변수가 배당률과 배당수익률인 경우 에는 기업의 ESG 통합 등급, 환경등급, 사회등급, 지배구조등급이 유의한 양(+)의 영향을 주는 것으로 나타났다. 둘째, 기업의 ESG 활동이 기업의 배당수준에 긍정적인 영향을 주는 원인을 대리인이론의 결과가설과 수명주기이론으로 설명될 수 있음을 제시한다. 대리인 이론의 관점에서 기업의 ESG 활동이 기업의 배당성향에, 기업의 사회적 책임 활동은 배당률에 영향을 주고 있다. 수명주기이론의 관점에서 기업의 환경적 책임 활동과 사회적 책임 활동이 기업의 배당수익률에 유의한 영향을 주고 있다. 셋째, 기업의 ESG활동은 기업의 안정배당정책에도 유의한 영향을 주는 것으로 분석되었다. ESG활동이 양호한 기업일수록 상대적으로 목표배당수준이 보다 더 높은 것으로 나타났으며, 목표배당수준과 실제배당수준의 차이를 보다 더 빠르게 조정하는 것으로 나타났다.

Recently ESG (Environmental, Social, Governance) activities have attracted a lot of theoretical and practical attention. With these changes, there have been an active research on corporate social responsibility activities measured by ESG and major financial strategies of companies. Related with previous research, this study seeks to systematically analyze the association between social responsibility activities and dividend policies of corporations. Studies such as Rakotomavo (2012) and Benlemlih (2019) suggest that social responsibility activities have a positive impact on dividend policy, while studies such as Pham and Jung (2020) and Ni and Zhang (2019) report that social responsibility activities have a negative effect on dividend policy. In addition, the domestic previous research has analyzed the effect of social responsibility activities on dividends by using a simple OLS regression. These studies have not considered the endogeneity problem of variables and the partial adjustment of dividends with panel data. They did not investigate the relation between corporate social activities and stability of dividends either. Studies on these topics with Korean firms are still lacking. The dividend theory has been greatly developed with signaling theory, agency theory, and life cycle theory based on the dividend-irrelevance theory of MM (1961). If the signal theory of dividends is true, it can be argued that social responsibility activities will affect dividend payout level positively (Benlemlih, 2019). If the outcome hypothesis of agency theory of dividend is true, social responsibility activities will show a positive relationship between dividend levels (Adjaoud and Ben-Amar, 2010), conversely, if substitute hypothesis of agency theory is true, social responsibility activities and dividend levels will show a negative (-) relationship (John and Knyazeva, 2006). According to life cycle theory, corporate social activities have a positive association with dividend payout (Rakotomavo, 2012). In addition, Benlemlih (2019) shows that the companies with excellent levels of social responsibility activities prefer to have more stable dividend policy in order to signal a reduction in agent costs through dividend and a sound management policy. Matos, Barros and Sarmento (2020) also show that the firms with more sustainability have more stable dividend policies by using data from the European securities market. These studies imply that social responsibility activities are expected to have a significant impact on the stability of dividend policies. This study utilizes the ESG ratings provided by the Korea Corporate Governance Service as the measures of CSR/ESG activities of firms. We collected the data from the non-financial firms listed in Korea security market during the period of 2013 through 2019. The financial data required for analysis used the KIS-VALUE database of Korea Credit Evaluation Information. The information about the major shareholders’ equity was collected from the section of ownership status in the annual reports of the firms. The samples used in this study are 4,126 firm-year unbalanced panel data. The empirical analysis was conducted by applying a fixed effect panel analysis and a two-stage fixed effects panel analysis using the industrial average of social responsibility activities as an instrumental variable for social responsibility activities to alleviate the endogenous problem of social responsibility activities. The results of the analysis are as follows: First, the empirical results show that the ESG activities of the company have different effects on dividend level according to the measures of dividend payout. When dividend payout ratio (dividend/net income) is used for the dependent variable, only the social rating has been analyzed to have a statistically significant and positive effect on dividend. On the other hand, when dividend rate (dividend/total asset) and dividend yield(dividend/stock price) are used as dependent variables, the company's ESG integration rating, environmental rating, social rating, and governance rating have been shown to have a significant and positive impact on dividend. These results shows that the increase in corporate social responsibility activities among corporate ESG activities can improve the dividend propensity of companies. Since the dividend payout ratios of Korea firms remain relatively low, it is suggested that the company's social responsibility activities should be strengthened more in order to increase dividend propensity. In addition, it can be confirmed that the company's ESG activities have a significant and positive impact on the dividend level of the company, so that the company should be more interested in ESG for sustainability. In other words, the more a company have interests in the various stakeholders of the firm, the more profitable it is for shareholders. Second, this the findings can be explained by the outcome hypothesis of agent theory and the life cycle hypothesis. The cash ratio, which is the proxy variable of the agency issue, has a significant and positive effect on dividend propensity. Cash ratio, majority shareholder equity, foreign equity have a positive association with the dividend ratios, and the majority shareholder's ownership has a significant and positive impact on dividend yield. In addition, it was also confirmed that the ratios such as operating cash flow/total assets, earned surplus/total assets, and gross operating profit/total assets, which are the proxies of life cycle theory, are significantly and positively associated with the dividend rate. The variables such as market value/book value, earned surplus/total asset, gross operating profit margin have a significant and positive impact on the dividend yield. Third, the ESG activities were analyzed to have a significant impact on the stability of dividend policy. The better the ESG activity, the higher the target dividend level, and the faster the difference between the target dividend level and the actual dividend level was adjusted. This means that the better the ESG activity, the higher the sustainability, and the higher the dividend level can be maintained. Since the company is more profitable with better ESG activity, it can be adjusted to the target dividend level more quickly.

본 연구는 2017년도에 시행된 파생상품시장의 거래 승수 인하가 코스피200옵션시장 에 참여하는 투자자들의 거래행태에 미친 영향을 실증적으로 분석했다. 이는 2012년 도의 옵션승수 인상과 대비되는 인하의 효과를 검증하여 파생상품시장의 활성화 정책 을 검토할 수 있는 사례이다. 본 연구의 주요한 실증 분석 결과는 다음과 같이 요약할 수 있다. 승수 인하 후 기간에 외국인의 거래 주도력이 강화되어, 기관과 개인보다 지속적으로 우위를 보였다. 투자자별 매매성과에서는 승수 인하 전 기간에 기관의 매매성과가 개인이나 외국인보다 우월했지만, 승수 인하 후 기간에 기관은 대폭적 손실을 입었다. 또한 승수 인하 전 기간부터 손실이 누적된 개인의 열등한 성과는 승수 인하 기간에도 그 손실폭이 더욱 확대되었다. 승수 인하 전 기간에 이익 규모가 낮았던 외국인은 승수 인하 후 기간에는 이익을 향유하였으며, 개인과 기관의 손실과 대비하여 우월한 성과를 보였다. 이같은 결과는 승수 인하에 따라 개인투자자들은 옵션 시장에 대한 거래 접근성이 높아졌지만, 수익성 측면에서는 여전히 열위에서 벗어나지 못했음을 시사한다. 이러한 승수 인하는 기관과 외국인들이 추구하는 옵션 투자전략에 따라 매매 성과에서 차별적 효과를 가져온 것으로 평가된다.

This study empirically analyzed the impact of the reduction in the multiplier in the derivative market conducted in 2017 on the trading behavior of investors in the KOSPI 200 option market. The KOSPI 200 option market, which was opened in 1997, has been the world's No. 1 in terms of trading volume since the 2000s, but it has been argued that the market size is too large compared to the GDP level or the market capitalization of the spot market. Accordingly, the financial authorities abolished the KOSPI 200 option purchase-only account from 2011, and from March 2012, the transaction multiplier of options was drastically increased from 100,000 won to 500,000 won. This was intended to reduce speculative transactions in the option market by increasing the transaction multiplier to limit individual investors' barriers to entering the market, as individual investors participating in the market without sufficient prior knowledge of derivatives. The regulation on entry into the option market shifted to an easing policy to reduce the transaction multiplier of KOSPI 200 derivatives to 250,000 won, which is 1/2 of the previous one, after March 2017. The measure to change the transaction multiplier applied to the KOSPI 200 option in 2012 and 2017 is an important policy example that brought structural changes to the quality level of the market. The effectiveness of the policy due to such a change in the transaction multiplier should be carefully evaluated afterwards in terms of not only the level of liquidity related to the size of the derivative market, but also the behavior of investors participating in the derivative market. This study analyzes the impact of the reduction in the multiplier of KOSPI 200 derivatives, which took effect in March 2017, on the trading behavior of each investor, not the 2012 KOSPI 200 option multiplier event, which previous studies focused on. This is an example of examining the effect of the derivatives activation policy by comparing the effect of the increase in the option multiplier in 2012 and the effect of the reduction in the multiplier in contrast. The main empirical findings can be summarized as follows: During the period after the reduction of multiplier, foreigners' leadership in trading was strengthened, continuing to outperform the institutions and individuals. The institution's trading performance was superior to that of individuals or foreigners in the period before the reduction of multiplier, but the institution suffered significant losses in the period after the reduction. In addition, the inferior performance of individuals with accumulated losses from the period before the reduction was further worsened during the reduction period. Foreigners who experienced low profits in the period before the multiplier reduction, monopolized profits during the period after the multiplier reduction, and showed superior performance against losses of individuals and institutions. These results suggest that individual investors have increased access to the option market as a result of the multiplier reduction, but still persisted poor performance. Finally, the policy of multiplier reduction can be interpreted to have a differential effect on the trading performance due to the option strategy implemented by institutions and foreigners. The results of this empirical analysis suggest that individual investors, who have increased access to transactions due to the easing of entry barriers due to the multiplier reduction, are still inferior in terms of trading performance. This is a result of reaffirming that the multiplier change policy consistently with previous studies that reported that individual investors' losses continued despite the strengthening of entry barriers after the 2012 multiplier increase had no significant effect on changes in individual investors' trading behavior.