Earticle

본 연구는 확정급여형 퇴직연금제도(DB제도)를 채택한 국내 기업의 자산배분 행태를 분석하였다. 유가증권시장 상장기업들을 대상으로 퇴직연금자산의 자산배분에 대한 자료를 수집하여 데이터를 구축하고 분석한 주요 결과는 다음과 같다. 첫째, 퇴직연금 적립자산 중 안전자산에 대한 배분비율은 평균 82%이며, 이러한 안전자산 위주의 자산배분 행태는 표본기간 동안 퇴직연금의 규모와 적립비율이 급격히 증가했음에도 불구하고 계속된다. 둘째, 표본기간 동안 안전자산과 위험자산 간에 리밸런싱은 거의 이루어지지 않고 있다. 이는 DB형 퇴직연금 운용에서 장기목표수익률과 위험에 기초 한 전략적 자산배분이나 시장상황 변화를 반영한 전술적 자산배분이 이루어지지 않고 있음을 의미한다. 셋째, 자산배분과 적립비율 간의 관계를 분석한 결과는 과소적립기 업의 경우 적립비율이 높아질수록 안전자산에 대한 투자비중이 증가하나, 상대적으로 높은 적립비율을 갖는 기업집단에서는 적립비율이 높아질수록 위험자산 투자가 증가 하는 관계를 보인다. 즉, 적립비율과 안전자산배분비율 간에는 “역U자형”의 모습을 보인다. 이러한 결과는 제한적이기는 하지만 위험관리가설을 지지하는 결과이다. 추 가로 본 연구의 결과는 퇴직연금의 자산배분 정보를 담는 데이터베이스의 구축과 정보제공이 학술적, 정책적으로 매우 시급함을 보여준다.

The retirement pension system in the Korean market was introduced in 2005. The goal of the retirement pension system is to serve as a stable retirement income safety device under the multi-pillar pension system. As of the end of 2022, the accumulated pension assets is reached about 300 trillion won, but it is shallow compared to those of advanced pension countries and the OECD average. The shortcut to accumulating pension assets is improving investment performance through asset allocation and long-term investment. However, the current Korean retirement pension system is criticized for not achieving the effect of asset allocation due to excessive concentration on safe assets, which is an important cause of poor investment performance. This study analyzes the asset allocation of the pension funds of Korean firms adopting the defined benefit (DB) pension plan. For this study, data was constructed by manually collecting asset allocation data of pension funds for 526 firms listed on the KOSPI market during the sample period from 2013 to 2019. This study is the first to analyze the asset allocation behavior of retirement pensions for the Korean listed companies adopting the DB plan. The main empirical results are as follows. First, the average share of safe assets on total pension assets is about 82%. This result means that the Korean listed companies are investing most of their retirement pension assets in safe assets. In addition, this asset allocation behavior centered on safe assets continues despite the rapid increase in the size and the pension funded ratio (PFR) of pension funds during the sample period. Second, rebalancing between safe and risky assets during the sample period is hardly performed. Strategic asset allocation based on long-term target return and risk or tactical asset allocation reflecting short-term changes in market conditions is not being performed appropriately. Third, the relationship between the PFR and the share of safe assets appears in an inverted U-shape. In the group of under-funded firms with a low PFR, the higher the PFR, the higher the proportion of investment in safe assets. On the other hand, in the group with a high PFR, the higher the PFR, the higher the investment ratio of risky assets. These results mean that the asset allocation behavior of retirement pensions in the Korean listed companies adopting the DB plan supports the risk management hypothesis rather than the risk transfer hypothesis. However, as shown in the analysis of the characteristics of under-funded companies, because the change of risky asset allocation ratio is insignificant and the size of retirement pension assets is small, it has limitations in judging that it is generally supported. Additionally, this study shows that establishing and providing a national database containing information on asset allocation for retirement pensions is academically and practically urgent.

KOSPI와 KOSDAQ에 상장된 주식을 대상으로 2000년 2월부터 2022년 6월까지 고유변동성과 투자자별 거래비중의 관계를 연구했다. 개인투자자의 총거래비중, 순매 수거래비중, 개인 간 거래비중, 매수(매도) 거래비중과 고유변동성 이상 현상의 관계 를 확인했다. 개인총거래비중은 총변동성(TV), 체계적 변동성(SV), 고유변동성(IV), 그리고 고유변동성의 비중(IV²/TV²)에 통계적으로 유의한 양(+)의 영향을 미쳤다. KOSPI와 KOSDAQ에서 고유변동성 이상 현상은 다르게 나타났다. KOSPI 시장에서 개인총거래비중과 개인간거래비중이 낮은 일부 포트폴리오의 경우 고유변동성 이상 현상이 아니라 고위험 고수익이라는 전통적인 재무이론에 부합하는 결과가 통계적으로 유의미하게 나타났다. 이를 통해 개인 간 거래비중이 고유변동성 이상 현상을 유발 할 수 있다는 것을 새롭게 확인했다.

The relationship between idiosyncratic volatility and investors’ trading weight is studied from February 2000 to June 2022, targeting stocks listed in the KOSPI and the KOSDAQ. The idiosyncratic volatility puzzle is examined according to the individual investors’ total trading weight(TW), net buying TW, intra-individual TW, and buying (selling) TW. The individual total TW has a positive (+) effect on total volatility(TV), systematic volatility, idiosyncratic volatility(IV), and especially IV²/TV². The IV puzzles appear differently in the KOSPI and the KOSDAQ. In the KOSPI, we find that statistically significant high risk-high return results, which coincide with conventional financial theory rather than the IV puzzle, in some portfolios with a low individual investors’ total TW and some portfolios with a low intra-individual TW, respectively. We newly find that the intra-individual TW can cause the IV puzzle through these results.

This paper presents a comprehensive review of the behavioral finance literature on Korean financial markets, published recently in Korean academic journals. Our survey of behavioral finance in Korea is the follow-up work of Kim and Byun (2011). As part of the 2010 knowledge database project by the Korean Finance Association, we have previously reviewed behavioral studies in Korea. Compared to the environment at the time of the previous survey, most academic journals eagerly accept research articles from behavioral finance perspectives. Behavioral corporate finance has produced several studies on investor sentiment and managerial overconfidence. However, finding research on experimental tests or survey analyses from Korean finance journals remains challenging. This area requires interdisciplinary work with psychology researchers. Moreover, research methodologies using AI or machine learning could be more frequently used in future studies.

This study surveys prior studies on corporate social responsibility (CSR) in Korean firms that have been conducted between 2000 and the present. It introduces how Korean researchers define CSR conceptually and develop CSR-related theories. We then discuss how CSR affects Korean firms and stakeholders by comprehensively reviewing prior studies. To this end, we collect and categorize CSR-related papers by subtopics, such as CSR concept, firm value, cost of capital, risk, compensation and ownership structure, and review the research results by topic. We then also review studies on responsible investment (RI). Lastly, we suggest topics and directions for future research.