Earticle

2020년 정책당국은 전환사채시장을 불공정한 거래가 발생하는 대표적인 시장으로 지목하며, 이후 수차례에 걸쳐 관련 법 및 회계 규정을 개정한다. 정책당국은 전환사채 시장을 불공정하게 만드는 주요 원인으로 전환사채에 포함된 ‘시가하락 리픽싱 옵션’ 과 ‘제3자 지정 콜옵션’을 지적한다. 본 연구는 전환사채의 시가하락 리픽싱 옵션과 제3자 지정 콜옵션에 대한 규제 변천사와 정책적 시사점을 살펴본다. 구체적으로 두 종류의 옵션이 국내 전환사채시장에 도입된 이후부터 2023년까지 이를 규제하기 위해 만들어진 법과 회계 규정을 살펴봄으로써 정책당국의 규제를 평가하고 향후 규제 방향에 대해 고찰해본다. 또한 두 옵션에 대한 규제를 전환사채 이외에도 다양한 전환금융상품들(신주인수권부사채, 교환사채, 전환우선주, 상환전환우선주)에 적용 할 수 있는지에 대해 논의한다. 본 연구는 전환금융상품의 시가하락 리픽싱 옵션 및 제3자 콜옵션과 관련하여 보다 높은 수준의 정책당국의 규제가 필요하다는 시사점을 제공한다.

This study examines the chronology of regulations and policy implications for two features embedded in convertible bond (‘CB’) contracts: the option to adjust the conversion price downwards when the stock price falls (i.e., the ‘refixing option’) and the call option designatable to a third party (i.e., the ‘call option’). We provide the summary of this study as follows. First, we investigate the change in legal regulations regarding refixing options. CBs with the refixing option emerged in the late 1990s. In the early 2000s, the Financial Services Commission (‘FSC’) recognized a problem that the refixing option dilutes the interest of existing shareholders as the stock price falls and thus enacted a rule for setting the lower limit of the conversion price. However, the problem persisted. In 2021, the FSC revised the rule, requiring an upward adjustment, following a prior downward adjustment, to the conversion price, prompted by an increase in the stock price. The revised rule is applicable to applicable to privately-placed CB. Under the revised rule, the cap for the upward-adjusted conversion price is allowed to be set lower than the initial conversion price. Thus, the rule does not effectively eliminate the refixing option. We believe that strengthening the regulation of refixing options is necessary. We also examine the accounting issues for refixing options. After the adoption of the Korean International Financial Reporting Standard (‘K-IFRS’) in 2011, conversion rights (‘CR’) are recognized as a derivative liability and should be measured at fair value in every reporting period. This accounting treatment may lead to significant valuation losses for CR and an increase in liability when stock prices rise. In extreme cases, certain firms face the risk of delisting from the exchange. To address this issue, in 2022, the Korea Exchange (‘KRX’) revised a listing maintenance rule for screening criteria for delisting. The revised rule excludes valuation losses on CR due to refixing options from pre-tax income. In accordance with the KRX rule, the Korean Accounting Standards Board amended the accounting standard, which mandates firms to disclose valuation gains and losses on financial liabilities with refixing options separately from pre-tax income. Another issue with the accounting treatment for refixing options is that some treat CR as debt based on K-IFRS, while others treat CR as equity based on the Financial Supervisory Services(‘FSS’)’s interpretation on the accounting for refixing options. We believe the regulators should address the issue on this interpretation. Next, we examine the change in legal regulation of call options. In 2013, CBs featuring call options emerged to circumvent the legal prohibition of detachable BWs, which are allegedly utilized to strengthen the controlling power of the largest shareholder. The issue with CBs featuring call options is that the issuer designates call option recipients (mainly, the largest shareholders) only when the stock is convertible, thereby enabling them to purchase stock at a strike price lower than the prevailing market price. In 2016, when the market became aware of issues of CBs featuring call options, the FSS modified the disclosure format of CB issuance. But this approach proved ineffective. In 2021, the FSC implemented rules to impose a limit on the exercise of call options by the issuer's largest shareholder up to the ownership rate prior to the issuance of CB and to require issuers to provide detailed disclosure on the exercise of call options in both publicly and privately-placed CB. However, the rules do not effectively address the problem that exclusive benefits from call options are given only to those designated by CB issuers, and not to other shareholders. Another issue with CBs featuring call options pertains to issuers’ own CBs, which is not retired after redemption but remains resalable. The resale of issuers' own CBs is economically similar to CB featuring call options. However, considering that the resale of issuers' own CBs is subject to more misuse than call options, additional regulation on it is necessary. We investigate the accounting treatment for call options. Most firms had not accounted for call options in CB since their emergence in the market. In 2022, upon recognizing this fact, the FSC issued a supervisory guideline requiring issuers to recognize call options as financial assets separately from CBs in their financial statements. However, the guideline is limited to call options only. Under the current accounting standard, issuers' own CBs are not recognized in financial statements. We believe regulators need to mandate issuers to disclose more information about their own CBs. Lastly, this study discusses the applicability of the 2021 regulation to the following convertible instruments: bond with warrants (‘BW’), exchangeable bond (‘EB’), convertible preferred stock (‘CPS’), and redeemable convertible preferred stock (‘RCPS’). BWs are subject to the regulation for CB as well. However, EBs are not subject to the regulation. Particularly, a set of EBs exchangeable to the issuer's treasury stock needs to be regulated at a level comparable to that of CBs due to their economic equivalence. In 2023, the FSC revised the rule to extend the 2021 regulations to include CPS and RCPS. Nevertheless, the regulations for CPS and RCPS remain less sophisticated than those for CB and BW. Overall, our study suggests that further regulatory measures for the two options are warranted to secure the fairness of the market.

Prior studies show that momentum is induced because investors underreact to information when anchored by the 52-week high (52WH). We propose the possibility that investors’ anchoring bias could vary over time. Accordingly, we develop an alternative momentum strategy, namely thedynamic 52WH (denoted as D52WH) momentum,that buys (short sells) stocks with the nearness to the 52WH ranked in the top (bottom) 10% of the historical distribution. We show that the D52WH momentum not only generates significant profitability but also outperforms the 52WH momentum. In addition, amajor advantage of the D52WH momentum is that it experiences considerably weaker momentum crashes. Further evidence shows that the D52WH momentum is more pronounced under limited investor attention and lower shorting activities, thus confirming the underreaction-driven return predictability implied by the anchoring bias.

은행의 신용관리는 대출기준 및 대출자산의 구성변화를 통해 개별은행의 전체연체율 에 영향을 미친다. 2015년 하반기 이후 가계부채 구조개선을 위해 주택담보대출 중 분할상환의 비중을 확대하는 과정에서, 차주 상환능력에 대한 심사의 고도화로 신용관 리의 효율성이 증대되어 자산건전성이 개선되었다. 특히, 가계대출 가산금리는 은행 연합회 공시 신용등급이 동일한 차주라도 CB사 신용등급의 차이가 유의하게 반영되었 다. 분석기간 (2015.9-2018.5) 한국은행의 기준금리가 1.25~1.75%에서 유지된 가 운데 개별은행 전체연체율을 System-GMM으로 추정한 결과, 직전 3개월의 전체연 체율, 실질금리, 경기, 환율변화율, 주가수익률이 유의하였다. 신규대출 중 중소기업 비우량차주(5%이상) 대출비중의 증가는 증가요인, 주택담보 분할상환 비우량차주 (5%이상) 대출비중의 증가는 감소요인으로 작용하였다. 이는 대출자산 구성과 차주의 신용분포에 따라 연체율에 미치는 영향이 상이함을 시사한다.

Banks’ credit management impacts the terms of lending, and diversification of loan portfolios and thus affects the total loan delinquency ratios. We find that the rising shares of recurring payment mortgages, one of the policy measures of restructuring mortgage loans since the second half of 2015, made positive contributions to banks’ asset management by improving credit management in the process of evaluating borrowers’ credits. Banks differentiated lending interests for mortgage borrowers even when their bank-issued credit ratings were the same in consideration of the differences in credit ratings that the credit bureaus (CB) issue. Using individual bank-level monthly data from September 2015 to May 2018, to explain the total loan delinquency ratios, we consider the banks' lending behavior on small and medium-sized enterprise (SME) loans, recurring payment mortgages, one-time payment mortgages, personal loans, and personal lines of credit. During the period, the Bank of Korea maintained its base interest rate between 1.25 percent and 1.75 percent and we focus on the share of high-interest loans (over five percent) for relatively low-credit borrowers. We also include the business cycle, return on financial asset (KOSPI), changes in the foreign exchange rate (KRW/USD), and real interest rate that could affect borrowers’ payment ability. We adopt the system-GMM estimation to correct bias caused by the problem of endogeneity as financial ratios can be affected simultaneously by the bank management. The system-GMM has some advantages over the fixed effect model since it deals with the omitted bias for some time-varying variables such as the CEO’s trait. Among fifteen commercial banks, nine banks experienced CEO turnovers during the period. Macroeconomic variables are significant determinants of the banks’ total loan delinquency ratios. A rise in economic activity, an increase in stock prices, and domestic currency depreciation against USD can positively impact bank asset quality. However, a rise in real interest rates can worsen bank asset quality. Banks’ total loan delinquency ratios could be varied by varying both the composition of the loan types and the credit structures of the banks’ loans. While the increase of high-interest loans for non-prime borrowers in new SME lending raised the total loan delinquency ratios, the increase of high-interest loans for non-prime borrowers in new recurring payment mortgages lowered the total loan delinquency ratios. This is due to the differences in the credit structures of non-prime borrowers of high-interest loans between SME loans and mortgage loans. Moreover, we analyze how the banks determine the lending interest rates for household loans and SME loans as it matters to asset quality. The Korea Federation of Banks provides the bank-issued credit ratings of household loan borrowers into five categories, from 1~2 grades at the top to 9~10 grades at the bottom as well as the CB credit ratings. The stages of bank-issued credit ratings of SME loans are 1~3 grades at the top, grade 4, grade 5, grade 6, and 7~10 grades at the bottom. For household loans, even when the bank-issued credit ratings are the same, we find a fair amount of heterogeneity in the lending interest rates depending on the differences in borrowers’ CB-issued credit ratings. This implies that banks’ credit management has improved since the second half of 2015. We especially focus on low-credit borrowers of mortgage loans whose bank-issued credit ratings are 7~10 grades. There exist noticeable differences in the borrowers’ CB credit ratings depending on the types of mortgage loans. For low-credit borrowers of high-interest mortgage loans, the average CB credit quality of the recurring payment mortgages is superior to that of the one-time payment mortgages. This explains the reason why the rising shares of high-interest recurring payment mortgage loans lowered the total loan delinquency ratios of commercial banks. Local banks are more active players in the process of this diversification than nationwide banks. For SME loans, the bank-issued credit ratings significantly affect the lending interest rates. When it comes to the credit qualities of borrowers, the default probabilities of the non-prime borrowers of SME loans are more widely distributed with higher upper and lower bounds than those of household loan non-prime borrowers. The average default rate is much higher in SME loans compared to household loans, which reinforces the importance of credit structures in bank-loan diversification and explains the reason why rising shares of high-interest loans in new SME loans worsened the bank asset quality. Improving the bank’s management efficiency in SME loans could benefit the banks as it provides some opportunities to improve banks’ asset quality in the process of bank-loan diversification in efforts to lower the risk level associated with their bank-loan portfolios. Banks adjust their lending interest rates in consideration of return on asset (ROA), costs, and other factors as well as borrowers’ credits. Our findings suggest that bank-loan portfolio diversification and efficient bank credit management together can reduce the bank’s total delinquency ratios.

본 연구는 한국거래소 유가증권시장에서 DB형 퇴직연금을 운용하는 상장기업을 대상 으로 2013년부터 2022년의 표본기간동안 적립자산의 부족위험이 해당 기업의 주식수 익률에 미치는 영향을 분석했다. 본 연구에서 확인된 주요 결과는 다음과 같다. 첫째, 표본기간 동안 적립비율(=연금자산/연금부채)은 법에서 규정한 최소적립비율의 상향 조정에 따라 개선되는 효과를 보였다. 둘째, 최소적립비율의 충족 여부에 따라 구성한 포트폴리오에 대해 요인모형으로 추정한 알파(위험조정초과수익률)는 적립비율이 높 은 기업에서 유의한 음(-)의 부호로 추정된 반면, 최소적립비율을 충족하지 못한 기업 들은 통계적 유의성을 발견할 수 없었다. 이같은 결과는 최소적립비율을 충족하는 기업들의 주가가 시장에서 고평가된 상태임을 의미한다. 나아가 이같은 현상은 최소적 립비율은 충족하나 완전적립에는 미달한 기업들에서 지배적으로 나타남이 확인되었 다. 셋째, 요인모형 추정결과의 강건성 확인을 위한 패널회귀분석에서도 최소적립비 율 미달기업에서는 적립비율이 낮을수록(적립부족위험이 클수록) 미래 주식수익률이 높아지나, 최소적립비율을 달성한 기업에서는 적립비율이 수익률 변동과 무관한 결과 를 보였다. 그러나 최소적립비율을 충족하더라도 완전적립에 미달한 기업들에서는 적립비율이 미래 주식수익률에 (+)의 영향을 미쳐 앞서 요인모형의 결과를 지지하는 결과를 보여준다. 이는 최소적립비율은 달성하였으나 완전적립에는 미달한 기업들에 대해 투자자들이 적립부족위험을 간과하여 주가가 이를 반영하지 못함을 말해준다.

The level of pension assets that can cover pension liabilities in firms that operate defined benefit (DB) pensions and the management of pension assets is important information that affects the valuation of the companies in the capital market. This study analyzed the effect of the underfunded risk of DB pension plan on stock returns for firms listed on the Korea Exchange. We examined the relationship between the pension funding ratio and the stock return through multivariate analysis including firm characteristic variables for companies that adopted the DB pension system from 2013 to 2022, when the minimum funding ratio of plan assets for DB was gradually raised in the Employee Retirement Benefit Security Act(ERBSA). The main results of this study are summarized as follows. First, during the sample period, pension funding ratios increasd in accordance with the minimum funding ratio provisions specified in the ERBSA. In addition, the level of the funding ratio and the behavior of asset allocation focused on safe assets showed strong persistence throughout the sample years. Second, for portfolios sorterd by the pension funding ratio, the alpha (risk-adjusted excess return) from the factor model was estimated to be a statistically significant negative sign in the portfolio with high funding ratio, while no statistical significance was found in the portfolio that did not meet the minimum funding ratio. These results imply that the stock prices of firms that meet the minimum funding ratio exhibited the tendency of overvaluation in the market. Furthermore, it was confirmed that such pricing errors are a dominant results in companies that met the minimally required funding ratio but did not meet the overfunding ratio. Third, the robustness of the portfolio analysis results estimated by the factor model was confirmed through panel regression analysis. As a result of the analysis, firms that do not meet the minimum funding ratio show higher stock returns as the funding ratio is lower (the higher the underfunding risk), but firms that achieve the minimum funding ratio do not explain changes in returns. However, even if the minimum accumulation ratio is achieved, companies that do not fully overfunding ratio show an increase in stock returns as the funding ratio increases. These results support the analysis of the factor model earlier, and imply that investors neglected the underfunded risk for firms that have met the minimum funding ratio but do not fully cover the pension liabilities, so the underfunded risk is not reflected in stock price.