Earticle

본 연구는 국내 주식시장에서 외국인투자자들에 의한 집단화 현상과 주식수익률의 관계를 조사한다. 첫째로, 외국인투자자에 의한 집단화 성향이 높은 주식이 그렇지 않은 주식보다 유의한 양의 수익률을 보인다. 외국인투자자 집단화 성향이 높은 주식을 매수하고 낮은 주식을 매도하는 전략의 수익은 전통적인 위험 요인뿐만 아니라 기존의 유동성, 외국인투자자의 보유량으로 설명되지 않으며, 이러한 예측력은 다양한 특성변 수들을 통제한 후에도 여전히 유의하다. 다음으로, 외국인투자자의 집단화 현상이 정보 우위에 의해 유발될 수 있다는 행동재무학적 증거를 보인다. 외국인투자자의 집단화 성향이 높은 주식일수록 다가오는 기업 실적 발표일에 높은 어닝서프라이즈를 보이며, 이러한 예측력이 향후 세 번의 실적 발표까지 유지되는 것을 확인한다. 또한, 외국인투자자 집단화 성향을 이용한 포트폴리오의 수익률이 수출, 미국시장지수 및 환율에 민감한 주식에서 더욱 커지는 것을 확인한다. 반면에 이러한 포트폴리오의 수익률은 외생 충격 기간에도 여전히 양의 수익률을 보이며, 외국인투자자에 의한 집단화가 외생 충격 기간 동안 염가매각의 원인이 된다는 직접적인 증거는 찾지 못하였다.

In this paper, we examine the crowded equity positions fomented by foreign investors in the Korean stock market. As the participation of foreign investors accelerates globally, understanding the impact of foreign investors on the stock market has become central. Specifically, as groups with shared common interests or information often engage in similar actions, it is widely recognized that foreign investors "flock together" or "herd" in the stock markets. This influence of foreign investors can have dual effects. On the one hand, their participation can facilitate price discovery by quickly reflecting information in the stock market. On the other hand, it can lead to liquidity shortages, potentially causing a trigger for fire sales. Consequently, there has been a long-standing discussion about the participation of foreign investors and its potential to cause destabilization in the stock markets. However, studies on the impact of foreign investors in the Korean stock market are still limited, with a focus on their trading volume or ownership. This paper aims to bridge the gap by examining the crowded equity positions by foreign investors. Crowdedness is a situation where the ownership proportion of a specific group of stocks is excessively high compared to their liquidity. We focus on the crowdedness of foreign investors by calculating the shareholdings of the foreign investor group as a percentage of average daily trading volume, which is called Days-ADV. Days-ADV shows the time it takes for the foreign investor group toliquidate their holdings of the respective stock. Therefore, even if the ownership is low, Days-ADV can be high if the turnover rate of the stock is low, while even if the ownership is high, Days-ADV can be low if the turnover rate of the stock is also high. As evident from the definition, this proxy enables a more direct examination of the impact of foreign investors’herding behavior on stock prices by incorporating their ownership and stock liquidity. Our research investigates the impact of foreign investors on the Korean stock market, with Days-ADV as our key variable of interest. The results of our study are as follows. First, portfolio-level analyses and firm-level cross-sectional regressions indicate a significant positive relation between the Days-ADV and stock returns in the subsequent month. For example, the high-minus-low (H-L) Days-ADV portfolio, which buys the top 20% of stocks and sells the bottom 20% of stocks based on the rank of the Days-ADV at the end of the month, yields a return of 1.32% (t-statistic = 2.97) in the following month. Furthermore, this positive premium of the Days-ADV is not driven by foreign ownership or illiquidity. It implies that the Days-ADV, a composite measure of foreign ownership and illiquidity, provides additional information on future stock returns. Second, we find no evidence that the crowdedness of foreign investors leads to relatively larger drawdowns during distress periods. During the crisis period, the high Days-ADV portfolio exhibits a significantly negative return of -1.82% (t-statistic = -2.20). However, in comparison, the H-L portfolio still shows positive return of 1.29% (t-statistic = 1.19). Lastly, we find that the Days-ADV predicts future earnings surprises significantly in a positive direction. The predictive power is most pronounced for the upcoming earnings announcement and gradually diminishes over time; the predictive power remains significant for up to the following three quarters’ earnings announcements. We also find that the abnormal return of the H-L portfolio based on the crowdedness of foreign investors is intensified in stocks with higher sensitivity to export growth, the S&P 500 index, and won-dollar exchange rates. These findings support the argument that the return predictability of the crowdedness of foreign investors could occur as they flock to specific stocks through information superiority. This study contributes to the understanding of the impact of foreign investors’ behaviors in several ways. First, this is the first study to examine the impact of the crowdedness of foreign investors on stock returns in the Korean stock market. In contrast to previous studies that primarily focus on the effects of foreign investor ownership or herding behaviors, this study introduces a new anomaly based on the crowdedness of foreign investors. Second, our study aids in understanding whether the crowdedness of foreign investors triggers fire sales during the exogenous shock period. Lastly, our paper helps to understand the factors underlying the abnormal returns generated by the crowdedness of foreign investors. We expect that these results shed light on the role of foreign investors in the Korean stock market and the impact of crowdedness by investor groups on stock prices.

This paper provides a comprehensive overview and synthesis of extensive domestic and international studies in the private equity market. It delves into encompassing a range of topics including performance, characteristics, risk management, the role within the financial system, and activism, pertaining to hedge funds. Additionally, it explores research focused on performance, GP and LP dynamics, portfolio company, and the legal and macroeconomic ramification, associated with private equity. Regrettably, the majority of the synthesized studies are a global nature, with the Korean literature predominantly centered around VCs due to limitation in data collection. By contrasting international and domestic studies, this paper draws forth significant implications for the Korean private equity market. These implications encompass various aspect, such as revisiting hedge regulations, the reinforcement of hedge fund activism, a reevaluation of the GVC-centered venture capital industry policy, the amplification of VCs’ roles in the IPOs of their portfolio companies, and the exploration of methods to augment value within portfolio companies backed by PE funds.

본 연구는 주식시장의 이상현상인 단기수익률반전과 투자자의 심리적 가격장벽의 관 계를 분석한다. 2000년 1월부터 2022년 6월까지 유가증권시장과 코스닥시장에 상장 된 주식을 대상으로 투자자의 심리적 가격장벽이 단기수익률반전에 미치는 영향을 조사한다. 주요 결과는 다음과 같다. 첫째, 심리적 가격장벽이 투자자의 거래행태에 영향을 미쳐 과잉반응을 야기하고 단기수익률반전으로 이어진다. 한국 주식시장에서 심리적 가격장벽에 영향을 받는 투자자는 개인투자자이며, 순매수수량은 심리적 가격 장벽에서 현재 주식가격이 가까울수록 음의 값을 가지며, 멀수록 양의 값을 가진다. 둘째, 심리적 가격장벽에서 현재 주식가격이 멀수록 단기수익률반전이 뚜렷하게 난다 는 증거를 통해 투자자의 과잉반응으로 인해 단기수익률반전이 야기됨을 나타낸다. 투자자는 심리적 가격장벽으로부터 현재 주식가격이 멀리 위치한 경우 해당 자산가격 의 전망에 대해 낙관적인 태도를 가지며, 주식가격이 상승할 것이라는 기대를 가진다. 이는 투자자의 매입수요 증가로 이어지며 자산가격은 상승한다. 과대평가된 자산가격 은 낮은 미래수익률을 가져 단기수익률반전이 발생한다. 셋째, 고유변동성, 복권성향 주식, 미실현자본이익이 심리적 가격장벽과 단기수익률반전간의 관계를 고조시킨다. 고유변동성이 높고, 복권성향의 주식이며, 미실현 자본손실을 경험한 자산에서 심리 적 가격장벽에 의한 투자자의 과잉반응이 강하게 나타난다.

This study analyzes the relationship between the psychological price barrier of investors and the phenomenon of short-term return reversal in the Korean stock market. The short-term return reversal phenomenon is an unexplained anomaly in finance. It is usually measured using returns from one month ago. Jegadeesh (1990) and Lehmann (1990) suggest that short-term return reversal may occur due to factors like illiquidity or investors' overreactions. Behavioral finance posits that individual investors are irrational and tend to overreact to private information. Kahneman and Tversky (1979) introduce the concept of the anchor effect, wherein investors rely on reference points for decision-making, similar to a ship anchored and unable to move beyond the length of its anchor line. In the context of behavioral finance, the 52-week highest price serves as a reference point, inducing irrational behavior among investors. Investors treat the 52-week highest price as a psychological barrier, and when stock prices approach this level, they become excessively pessimistic about the asset's prospects. On the other hand, when stock prices are distant from the 52-week highest price, investors tend to hold optimistic views, anticipating that the asset's price will rise. We believe that the psychological price barrier influences investor trading behavior and has a significant impact from a liquidity supply perspective. Therefore, this study builds on prior research to investigate how investor trading behavior and overreactions affect short-term return reversal. It hypothesizes that the 52-week highest price acts as a psychological price barrier, leading to specific expectations. Investors tend to be overly pessimistic about stocks trading near this barrier, hesitating to purchase them. The overreactions of these pessimistic investors do not significantly impact stock returns. In contrast, when stock prices deviate from the 52-week highest price, investors become optimistic, anticipating potential price increases, leading to temporarily overvalued stocks with lower future returns. The study employs common stocks listed on the Korea Exchange (KRX) and the KOSDAQ market from January 2000 to June 2022, with research data obtained from DataGuide. The analysis period starts in January 2000, considering that investor-specific net purchase quantity data is available from January 1999. We conduct empirical analysis using double-sorted portfolio analysis, Fama and Macbeth cross-sectional regression analysis, and triple-sorted portfolio analysis. We use the inverse of the 52-week highest price as the psychological price barrier and consider it based on the month t-1. The reason for using the t-1 month's psychological price barrier is to alleviate concerns that it might have similar effects to short-term return reversal. Also, it's assumed that there is a one-month lag for information about the psychological price barrier to flow into the market and influence investor behavior. Short-term return reversal represents the stock returns in month t. The main findings are as follows: First, the 52-week high's psychological price barrier significantly influences short-term return reversal. The further stock prices are from this barrier, the more pronounced the short-term return reversal becomes. Conversely, when stock prices are close to the 52-week high, the influence of short-term return reversal diminishes. This indicates that the psychological price barrier alters investor trading behavior, leading to overreactions and short-term return reversal. Second, utilizing cross-sectional regression analysis, the study controls for firm-specific factors and reaffirms the impact of the psychological price barrier on stock returns and short-term return reversal. Stocks positioned far from the psychological price barrier exhibit a strong and significant short-term return reversal effect. Additionally, the interaction of psychological price variables and previous month returns shows a significant negative predictive power on stock returns. Third, the study investigates factors that enhance the relationship between the psychological price barrier and short-term return reversal. Prior research highlights that idiosyncratic volatility, lottery-like stocks, and unrealized capital gains overhang play a crucial role in this relationship. Triple-sorted portfolio analysis shows that stocks with idiosyncratic volatility, lottery-like stocks, and unrealized capital losses demonstrate more pronounced changes in investor trading behavior due to the psychological price barrier. This results in a significant short-term return reversal effect due to investor overreactions. In conclusion, the research emphasizes how the psychological price barrier influences investor trading behavior and contributes to short-term return reversal in the Korean stock market. This sheds light on the impact of investor irrationality on the anomaly of short-term return reversal, offering valuable insights for related fields.

미국 시장에서는 기업공개(Initial Public Offering, IPO) 이후 40일까지 침묵기간 (Quiet period)이 적용되기 때문에 해당 기간 동안 신규상장 기업에 대한 애널리스트 리포트가 발간되지 않는다. 반면, 한국은 침묵기간 제도가 없기 때문에, 일부 IPO 기업에 대해 보통 매수(Buy) 추천과 함께 애널리스트 리포트가 발간되기도 한다. 본 연구는 2010~2020년 기간 동안 한국거래소(KRX) 유가증권시장과 코스닥시장에 신규 상장한 기업들을 대상으로, IPO 전후 애널리스트의 리포트 발간과 저가발행(또 는 초기수익률) 또는 장기수익률의 연관성을 분석하였다. 실증분석 결과, 애널리스트 의 리포트 발간과 함께 유가증권시장에 신규상장한 기업은 초기수익률이 낮은 반면, 코스닥시장 상장기업의 초기수익률은 별 차이가 없었다. 반면 애널리스트 리포트 발간 과 함께 상장한 기업은 두 시장 모두에서 1년간 주가수익률이 비교 기업에 비해 높게 나타났다. 이는 한국 주식시장에서 IPO 기업을 대상으로 애널리스트의 리포트 발간 활동은 경제적 이해관계로 인해 분석기업을 과대광고함으로써 시장효율성을 저해하 는 역기능을 하기보다는 시장참여자들에게 유용한 정보를 전달하여 시장효율성을 제 고시키는 순기능이 많다는 것을 시사한다.

Analysts process various information about firms to provide market participants with earnings forecasts and recommendations. There are both positive and negative views on the usefulness of analyst reports and investment recommendations. Liu et al. (1990) argue that analysts’ stock recommendations are valuable as investment information, as they find that stocks recommended as "buy" by analysts tend to yield positive excess returns, while stocks recommended as "sell" tend to yield negative excess returns. However, according to studies by Bhushan (1989), Irvine (2000), Brown et al. (2015), analysts face conflicts of interest such as the incentive to increase commissions for their affiliated brokerage firms or maintain close relationships with the management of companies. Due to these conflicts of interest, they suggest that the analysts’ recommendations are biased information. Accordingly, analysts can play a role in enhancing market efficiency by providing reports with high-quality information that helps reduce misvaluation of stock prices. However, due to economic conflicts of interest, the possibility remains that analysts might overestimate companies for personal gain, potentially misleading investors and increasing the misvaluation. IPO (Initial Public Offering) underpricing refers to the phenomenon where the offer price of newly issued shares is set lower than their fair value, resulting in the shares being underpriced. As a consequence, the stock price rises significantly higher than the offer price in the aftermarket, leading to substantial initial returns. Previous studies report that IPO stocks tend to exhibit abnormally high initial returns but experience lower returns in the long term (Ritter, 1991; Loughran and Ritter, 1995; Kim and Lee, 2012; Kim, 2016). In the U.S. stock market, a ‘quiet period’ is applied for firms preparing for IPO to protect investors (Bradley et al., 2003; Jia et al., 2019). IPO firms might have incentives to inflate future business prospects and earnings forecasts to obtain a higher valuation for their offer price. The U.S. Securities and Exchange Commission (SEC) has established the quiet period around the IPO date to prevent companies from providing predictive information related to firm valuation, such as sales, operating income, net income, that could influence the offer price and stock price. Unlike the U.S., the Korean stock market does not impose a quiet period on firms gearing up for an IPO. Consequently, it is possible to analyze the effect of analyst reports around the IPO date on stock returns using the Korean data. This study investigates the short-term and long-term returns of firms which analysts cover from the time of their IPOs compared to those that did not, among the newly listed firms on the Korea Stock Exchange during the period from 2010 to 2020. This research empirically examines whether the release of analysts’ reports for IPO firms play a role of providing useful information or playing a role of hype. We find that newly listed firms in the KOSPI (Korean Composite Stock Price Index) with analysts’ coverage tend to earn lower initial returns. And there is no significant relation between analyst coverage and initial returns for newly listed firms in the KOSDAQ (Korea Securities Dealers Automated Quotation). Furthermore, the release of analyst reports is also positively related to one-year excess returns over the industry benchmark. The results suggest that analyst coverage for IPO firms in the Korean stock market play positive roles of improving market efficiency by delivering useful information to market participants and reducing information asymmetry.