Earticle

본 연구는 국내 기업이 어떤 요인에 의해 인적분할과 물적분할을 선택하는지와 분할에 따른 공시효과를 분석한다. 1999년부터 2022년까지 기업분할 공시자료를 사용하여 로짓분석을 통해 분할방법의 선택요인을 분석한 결과, 분할 전 기업이 소속 산업에 비해 고평가될수록 또는 분할신설회사가 속한 산업이 고평가될수록 물적분할을 선택할 가능성이 높은 것으로 나타난다. 또한 성장성이 높고 수익성이 낮아 자금조달의 필요성 이 큰 기업일수록 물적분할을 선택하는 결과를 제시한다. 이는 저평가된 주식은 인적분 할을 통해 기존주주에게 지급하는 반면, 고평가된 주식은 물적분할을 통해 향후 매각이 나 상장을 통해 자금조달에 활용하려는 유인이 작용한 것으로 해석된다. 이를 지지하는 결과로써, 인적분할의 공시 전후 누적비정상수익률(CAR)이 물적분할보다 유의하게 크며, 분할 전 저평가된 상황에서 인적분할을 수행한 부분표본의 CAR가 가장 높다. 또한 저평가 시 인적분할한 경우 분할존속회사 대비 분할신설기업의 규모비율이 낮을수 록 CAR가 높고, 고평가 시 물적분할한 경우 이 규모비율이 낮을수록 CAR가 낮게 나타난다. 물적분할에 대한 부정적 관점으로 자주 거론되어 온 분할신설회사에 대한 주주권 상실이라는 기존의 주장에 더해, 본 연구의 결과는 정보비대칭에 기인한 시장의 오평가(misvaluation)가 기업분할을 유도하고 분할방법의 선택이 신호역할을 한다는 새로운 관점을 제시한다.

We examine a firm’s decision to choose between an equity spin-off and a captive spin-off and the decision’s announcement effect. A captive spin-off, which is a unique form of corporate divestiture in Korea and a few other countries, differs from an equity spin-off in that the spun-off entity remains a wholly owned subsidiary of the parent company and shareholders cannot directly hold ownership stakes in the subsidiary even after the spin-off. On the other hand, in the case of an equity spin-off, which is prevalent in many developed countries such as the U.S., incumbent shareholders receive proportional ownership in the spun-off entity, which typically becomes a publicly listed company after the spin-off. It is well-documented that corporate spin-offs can be beneficial to shareholders because they are likely to reduce negative synergies via refocusing, mitigate information asymmetry, and address relevant agency issues. However, many practitioners in Korea have criticized captive spin-offs, arguing that they can be detrimental to minority shareholders because the controlling owner can decide the spun-off entity’s eventual disposal without shareholder intervention. Despite the notable differences between these two spin-off methods, little has been examined regarding the determinants of firms’ spin-off method choices. We examine a large sample of Korean spin-offs, including both equity and captive spin-offs, from 1998 to 2022. Note that, in our sample, captive spin-offs account for 75.6% (704 spin-offs) of all spin-off activities in Korea, whereas equity spin-offs account for only 24.4% (227 spin-offs). This prevalence of captive spin-offs highlights the importance of our study examining what motivates a firm to choose such a controversial spin-off method. Examining simple mean differences between the two types of spin-offs, we find that captive spin-offs are preferred to equity spin-offs by firms that are smaller, less profitable, younger, investing more, and paying out less. These differences suggest that a firm’s choice of spin-off method can be driven by factors other than agency issues. In our multivariate analysis, we find evidence that a firm’s decision to choose between the two spin-off methods can be affected by market valuations. Specifically, an average parent firm is more likely to choose captive spin-off when it is overvalued relative to its industry peers, whereas it is more likely to choose equity spin-off when it is undervalued relative to its peers. Similarly, firms in overvalued industries are more likely to choose captive spin-offs, while those in undervalued industries are more likely to choose equity spin-offs. Moreover, firms with high growth rates and low cash flows, i.e., those likely in need of capital infusion, are more likely to choose captive spin-offs. Examining market reactions to spin-off announcements, we find that equity spin-off announcements, on average, attract more favorable market reactions in terms of announcement period cumulative abnormal returns than those of captive spin-offs. Further analysis reveals that the average announcement return is highest among undervalued parent firms that chose equity spin-offs, and the return is lowest among overvalued firms that chose captive spin-offs. Also, in the case of the former, announcement returns are on average higher when the spun-off entity is smaller relative to the parent, whereas in the case of the latter, announcement returns are negatively correlated with the spun-off’s relative size. We also examine the effects of a firm’s ownership structure on its choice of spin-off method, focusing on controlling family ownership, affiliated firm ownership, and blockholder ownership. Although we find that blockholder ownership concentration is negatively associated with the likelihood of captive spin-offs, we do not obtain consistent results regarding the other ownership variables. Note, however, that these results should be interpreted with caution because these ownership variables may not fully capture the complex ownership structure of Korean firms. Overall, our results are consistent with the notion that firms may strategically choose the method of their spin-offs to exploit market misvaluation, and such a choice can signal the market regarding their valuations. That is, equity spin-offs can be chosen to allocate undervalued shares to incumbent shareholders, which will attract positive market reactions, whereas captive spin-offs can be used as a means of raising capital using overvalued equities, which will result in less favorable market reactions. Adding to the prevailing view that captive spin-offs are used as a means of minority shareholder expropriation, this study offers another perspective that a firm’s choice between equity and captive spin-offs can be driven by a rational reaction to market misvaluation that is not necessarily disadvantageous to minority shareholders. That is, market reactions to corporate spin-offs in Korea can partly be driven by the signaling effect of firms’ spin-off method choices. Therefore, an assessment of whether a spin-off is detrimental to minority shareholders should consider not only the parent firm’s agency issues but also the market valuations leading up to the firm’s spin-off decision.

본 연구는 1975년부터 2021년까지 약 47년간의 자료를 수집하여 한국 부동산의 자본 수익률과 임대수익률을 합산한 명목 총수익률(total return)을 산정하고, 이를 바탕으 로 실질수익률(real return)과 위험프리미엄(risk premium)을 분석한 연구이다. 부 동산의 명목 수익률은 연수익률 기준으로 산술평균이 10.82% 그리고 표준편차는 11.39%로 추정되었다. 부동산의 위험프리미엄은 2.75%으로 추정되었으며 투자성과 의 지표인 샤프비율(Sharpe ratio)은 0.26으로 추정되었다. 주식의 경우 동 기간에 위험프리미엄은 7.64% 그리고 샤프비율은 0.25로 추정되었으며 부동산의 샤프비율 과 통계적으로 유의한 차이는 없었다. 따라서 한국 부동산의 위험대비 투자성과가 주식에 비해 높다는 근거는 찾지 못했다. 미국, 영국, 일본 등 16개국의 부동산 수익률 과 비교하면 한국 부동산의 위험프리미엄과 샤프비율은 해외의 비교 대상 국가들 대비 현저하게 낮았으며, 샤프비율의 차이가 통계적으로 유의했다. 한편, 한국 부동산 의 명목 총수익률은 인플레이션율과 유의한 양(+)의 상관관계를 가지고 있으며, 투자 기간이 길어질수록 상관계수가 증가하여 한국 부동산이 인플레이션 위험에 대한 유용 한 헤지 수단이 되는 것으로 나타났다.

Real estate accounts for the largest share of household wealth globally, with an average share of more than 50% of total wealth. In Korea, this share is even higher, with real estate accounting for approximately 60% of total household assets by 2020. Real estate plays a dual role as a provider of housing and as an important investment vehicle. Given the substantial financial commitment required to purchase residential property, home ownership is often seen as an important means of wealth accumulation for households. In addition, the reliance on institutional credit to finance housing purchases amplifies the impact of housing market fluctuations on household wealth, liabilities and the financial stability of banks. In addition, the historical performance of real estate returns and their relationship to business cycles have important implications for academics, investors, financial institutions, regulators, and policymakers. Despite their importance, however, long-term empirical analyses of real estate returns are scarce due to data limitations. The existing literature on real estate based on long-term data has primarily focused on US and European residential and commercial real estate. For example, Jordà, Knoll, Kuvshinov, and Sehularick (2019) highlight that while average real estate returns are slightly lower than equity returns, they exhibit significantly lower volatility. In this study, we analyze the risk-return trade-off of residential real estate in Korea using comprehensive dataset spanning 47 years from 1975 to 2021, the longest sample period to the best of our knowledge. Specifically, the main objectives of this study are threefold. First, we aim to calculate and analyze the nominal and real total returns, risk premia and Sharpe ratios of Korean real estate. Second, we seek to compare Korean real estate returns with international benchmarks. Finally, we evaluate the inflation hedging potential of real estate by examining its effectiveness in mitigating inflation risk over different investment horizons. Our analysis is based on long-term data obtained from multiple sources such as the Bank for International Settlements (BIS), the Bank of Korea, Korea Exchange, Statistics Korea, Kookmin Bank, Korea Housing Bank, and the Real Estate Board. The nominal total return on real estate is the sum of capital gains and rental income. To account for appraisal smoothing in real estate index returns, we apply the adjustment method proposed by Barkham and Geltner (1994). To calculate the rental income of real estate, weneed to use the jeonse-to-price ratio, which has been published by KB Kookmin Bank since 1998. The jeonse system, which is unique to Korea, requires tenants to pay a lump sum for the use of residential property for a specified period. For the period from 1975 to 1998, when jeonse/price ratio data were not available, we estimated a dynamic regression model using variables such as the jeonse price index from the consumer price index, the housing price index, the GDP growth rate, the expected real interest rate and the 3-year government bond rate. Our empirical results show that the average annual nominal total return for residential real estate is 10.82% with a standard deviation of 11.39%. The real return is 5.30% with a standard deviation of 9.65%. The risk premium for real estate is 2.75% and the Sharpe ratio is 0.26. For the same period, the equity risk premium is 7.64% with the Sharpe ratio of 0.25. The difference in the Sharpe ratios between stocks and real estate is not statistically significant, making it challenging to assert that real estate has outperformed equities over the long term in Korea. When compared with the returns of 16 countries, including the United States, the United Kingdom, and Japan, the Korean real estate market exhibits significantly lower risk premia and Sharpe ratios. These differences are statistically significant, suggesting that the risk-adjusted performance of Korean real estate is relatively weak. If housing provides a hedge against the risks associated with future homeownership, households may be willing to pay higher prices even if the risk-adjusted return is lower. Therefore, if the demand for hedging against future housing costs is relatively higher in Korea than in other countries, it is possible that the risk-adjusted returns may be lower. Our analysis further shows that Korean real estate returns exhibit a statistically significant positive correlation with inflation rates. The correlation coefficient increases with the investment horizon, reaching 0.68 and 0.78 for five-year and ten-year horizons, respectively. These findings suggest that real estate serves as an effective hedge against inflation risk in Korea. It is important to note that this study is limited in that it does not account for taxes and transaction costs associated with ownership and transactions. Future research should address the limitations of our analysis by incorporating transaction costs and taxes, and by exploring the implications of individual transaction-level data for a more granular understanding of the market.

세계 경제의 글로벌화로 인해 금융위기와 같은 거시경제적 충격 발생 시 그 충격이 전 세계 주식시장으로 확산되는 위험전이효과가 발생한다. 금융위기는 아니지만 최근 팬데믹, 전쟁과 같은 보건 및 지정학적 위기 또한 세계 경제의 불확실성을 초래하며 금융시장으로의 충격이 급격하게 전이될 가능성이 존재한다. 본 연구는 코로나19 팬 데믹, 러시아-우크라이나 및 이스라엘-하마스 전쟁이 한국과 미국 주식시장의 통합 도에 미치는 영향을 DCC-MGARCH 모형을 적용하여 분석하였다. 분석 결과, 팬데 믹 기간 동안 양국 주식시장의 통합도가 상승한 반면, 전쟁 기간 동안 양국 주식시장 간 통합도는 오히려 하락한 것을 발견하여 지정학적 갈등과 팬데믹은 주식시장의 통합도에 각기 차별적으로 영향을 주고 있음을 확인하였다. 이는 팬데믹 같은 글로벌 위험은 충격 발생 기간 동안 대부분의 국가들이 경제에 미치는 충격을 완화하기 위해 비슷하게 채택한 유동성 확대 정책으로 인해 자본시장의 통합도를 상승시킨 반면, 국지전 같은 지정학적 위험은 이해 당사국이 아닌 경우 주식시장으로 충격이 전이되는 영향이 제한적임을 시사하는 증거로 해석된다. 본 연구는 거시경제 충격이라 할지라도 충격의 성격에 따라 자본시장통합도에 미치는 영향이 차별적으로 존재한다는 실증적 증거를 제시하였다는 데 연구의 의의가 있다. 이러한 결과는 다양한 거시경제 충격에 대한 자본시장의 동태적 반응을 충격의 특성별로 분석함으로써 정부의 거시경제 정책 수립과 투자자들의 포트폴리오 전략수립, 그리고 학문적으로는 해당분야의 이해를 제고하였다는 점에서 연구의 유용성이 있다.

The globalization of the world economy has facilitated the transmission of risk across stock markets during financial crises. Although not directly financial in nature, macroeconomic uncertainties caused by health and geopolitical crises, such as the recent COVID-19 pandemic and the Russia-Ukraine and Israel-Hamas conflicts, have the potential to trigger shocks that may spill over into global financial markets. In this paper, we investigate the effect of macroeconomic shocks, specifically the COVID-19 pandemic and the Russia-Ukraine and Israel-Hamas wars, on the degree of stock market integration between South Korea and the United States. Previous studies present two opposing perspectives on how these recent shocks may affect global stock market integration. On the one hand, during periods of macroeconomic uncertainty, economic lockdowns or sanctions implemented to mitigate the transmission of shocks may reduce international trade volumes and capital flows, which in turn may weaken stock market linkages. On the other hand, another possibility is that stock market linkages may strengthen independently of the real economy. In the event of a global economic shock, emerging economies such as South Korea tend to implement macroeconomic policies similar to those of the United States to mitigate the impact on the real economy. This policy alignment has the potential to result in enhanced integration of stock markets, irrespective of whether these linkages directly reflect real economic conditions. Therefore, the extent to which stock market linkages are strengthened or weakened in response to macroeconomic shocks is an empirical question that merits attention. Furthermore, the degree of integration may vary depending on the nature of the shock, particularly when the shock manifests in different forms. In order to empirically investigate this issue, the DCC-MGARCH model is applied to the daily log return series of the KOSPI and S&P 500 stock market indices for the period from January 1, 2011 to January 31, 2024. We find that the shocks from the COVID-19 pandemic and geopolitical conflicts do not have uniform effects on stock market integration. In particular, during the COVID-19 pandemic crisis, the Korean stock market exhibited a greater degree of integration with the U.S. stock market than in previous years. However, the degree of stock market integration declined sharply during the Russia-Ukraine war. The results suggest that the simultaneous and multiple shutdowns in numerous countries worldwide during the COVID-19 pandemic, coupled with the implementation of quantitative easing policies to mitigate the impact of shocks, have contributed to an increase in stock market integration. In contrast, geopolitical risks, such as localized wars, appear to result in limited spillovers to stock markets. The results of our study provide valuable insights into the evolution of stock market integration during periods of uncertainty, emphasizing the importance of understanding the dynamic nature of stock market integration. Specifically, we suggest that during macroeconomic crises, both investors and policymakers should tailor their strategies according to the specific nature of the shock in order to diversify risk and optimize potential returns. While global stock market synchronization may potentially limit the efficacy of diversification, particularly during global crises, our findings underscore that the degree of integration between countries can exhibit considerable variability during periods of geopolitical risk. This variability presents opportunities for international diversification, which can assist in risk diversification and expected return enhancement. By taking into account the distinct characteristics of various shocks, policymakers and international investors can more effectively navigate macroeconomic uncertainty and implement more effective strategies for risk management. The significance of this study lies in its contribution of empirical evidence demonstrating that macroeconomic shocks exert differential effects on stock market integration, contingent on the nature of the shock. These findings bear significant ramifications for the formulation of government macroeconomic policy, the strategic portfolio composition of international investors, and the advancement of academic knowledge in this field. The study's analysis of the dynamic response of stock markets to diverse macroeconomic shocks, as influenced by their nature, provides a comprehensive framework for understanding these interactions.

본 연구는 미니 KOSPI 200 옵션을 대상으로 최적 옵션가격결정모형을 찾는다. 옵션 가격결정모형으로는 Black and Scholes(1973) 모형, Ad-Hoc Black-Scholes 모 형, 확률 변동성(stochastic volatility)과 점프(jumps)를 고려한 모형을 비교한다. 연구 결과 미니 옵션 시장에서는 확률 변동성과 점프를 모두 고려한 모형이 내표본 및 외표본 가격결정에서 가장 우수한 성과를 보였고 헤징 성과에서는 2차항까지 포함 한 Ad-Hoc Black-Scholes 모형의 오차가 가장 작았다. 예측 기간을 1주일로 확장하 고, 월별로 성과를 검증한 경우에도 1일 예측과 일관된 결과를 보였고 각 모형들 간의 성과 차이는 통계적으로 유의하였다. 1차 항만을 고려한 Ad-Hoc Black-Scholes 모형의 가격결정 및 헤징 성과가 가장 우수했던 정규 옵션 시장을 대상으로 한 기존 연구들과 차별화된 결과를 확인하였다.

Mini KOSPI 200 options are derivatives based on the KOSPI 200 index, just like the regular KOSPI 200 options. While the contract terms, such as expiration dates and trading hours, are identical, mini options are structured to allow smaller investments by reducing the contract size to one-fifth (from a multiplier of 250,000 KRW to 50,000 KRW). This makes them accessible to smaller investors, aiming to increase retail participation. However, the question remains: have mini options successfully attracted retail investors as originally intended? As market data reveals, the share of retail investors in the mini options market is significantly lower than in the regular options market, contrary to the product’s initial purpose. Institutional investors, particularly securities firms, dominate the mini options market, contributing to its low liquidity. As a result, the liquidity premium in mini options leads to higher pricing compared to regular options with the same strike prices and expiration dates. This creates a barrier for retail investors, who generally prefer long positions and are sensitive to price disparities. Therefore, mini options have not achieved their goal of increasing retail participation and are instead primarily traded by institutional investors. The difference in liquidity and the composition of market participants leads to differing price determination mechanisms between mini and regular options. The distinct characteristics of the mini options market suggest that the optimal option pricing models suitable for regular options may not be applicable to mini options. The Black-Scholes (BS) option pricing model, introduced in 1973, has long been a fundamental tool in the options market, but its limitations have led to the development of many alternatives. The BS model, while advantageous for its simplicity and closed-form solution, fails to accurately reflect real-world variables like volatility and risk-free interest rates. Implied volatility, which is calculated based on option prices, tends to vary with strike prices and expiration times, a phenomenon known as the volatility surface, indicating that the BS model does not fully capture market realities. To overcome these limitations, various alternative models have been proposed, including stochastic interest rate models, stochastic volatility models, jump diffusion models, variance gamma models, and regime-switching models that assume sudden changes in volatility. GARCH models that assume conditional heteroscedasticity in the underlying asset are also used. Additionally, the Ad-Hoc Black-Scholes (AHBS) model is popular among market participants for estimating implied volatility using simple regression analysis. Previous research has shown that stochastic volatility models offer the greatest improvement over the BS model. Studies focused on the regular options market found that the AHBS model outperforms more mathematically complex models, including stochastic volatility models, in both pricing accuracy and hedging performance. Given that mini options display characteristics distinct from regular options, it is necessary to question whether the optimal pricing models used for regular options can still be applied effectively. This study aims to identify the optimal option pricing model for the mini KOSPI 200 options market. By comparing in-sample and out-of-sample pricing accuracy and hedging performance, we aim to recommend the most suitable model for participants in the mini options market. The models under consideration include the BS model, the AHBS model, and models that account for stochastic volatility and jumps. Through this comparison, we examine how differences in liquidity and the composition of market participants affect option pricing and hedging. The study suggests that markets with a high proportion of retail investors may favor simpler models like the BS model, while markets dominated by institutional investors might see better performance with more mathematically complex models. Given that the mini options market has a lower proportion of retail investors compared to regular options, it is expected that more sophisticated models that account for stochastic volatility and jumps will outperform simpler models like the BS model. This study provides several contributions to existing research. First, it is the first to explore the optimal options pricing model specifically for the mini KOSPI 200 options market. While mini options share many characteristics with regular options, their smaller contract sizes and different participantcomposition create unique market dynamics. The study shows that institutional investors play a larger role in the mini options market than in the regular options market, and that mini options have lower liquidity. These factors must be considered when selecting the optimal pricing model. Second, this research utilizes long-term data spanning 90 months, from the market’s inception to the present, offering a comprehensive view of the market’s evolution. Most previous studies focused on the early stages of the mini options market, where liquidity was insufficient. By incorporating a longer time frame, this study is able to capture the effects of market maturity and changes in volatility and liquidity over time. The results are as follows. Models that account for both stochastic volatility and jumps show the best performance in both in-sample and out-of-sample pricing tests. In terms of hedging performance, the AHBS model that includes both first-order and second-order strike prices performs the best. However, the differences in hedging performance across models are relatively small. When the forecasting period is extended to one week, the results remain consistent with the one-day forecast. Monthly performance also shows consistency, with statistically significant differences between the models' performance over the entire sample period. Compared to previous studies on the regular options market, which found that simpler AHBS models provided the best pricing and hedging performance, this study reaches different conclusions. The differences in liquidity and participant composition between the mini and regular options markets play a significant role in the selection of the optimal pricing model.