Earticle

국민연금은 기금 고갈에 대한 우려와 함께 수익성 제고를 위해 주식 등 위험자산의 비중을 확대해 왔다. 그렇다면 지금까지 위험자산 투자에서 국민연금은 어느 정도 수익을 내고 있는가? 그 수익의 원천은 어디인가? 본 연구는 이에 대해 답하기 위해서 국민연금이 보유한 국내 주식 포트폴리오를 직접 분석하였다. 국민연금이 보고한 국내 주식 보유현황 신고 자료와 한국거래소의 매매내역 자료를 결합하여 2009년부터 2018년까지의 국민연금 국내 주식 월별 보유내역을 계산하였다. 이를 바탕으로 국민 연금의 10년간 운용성과를 계산하고 평가하였다. 분석결과, 국민연금이 보유한 국내 주식 포트폴리오는 월평균 0.57%(연 6.84%)의 수익률을 얻었다. 다양한 위험조정 수익률도 모두 통계적 유의성을 보였다. 보유주식을 시장별로 구분하였을 때, 유가증 권시장 주식의 수익률이 0.58%로 코스닥시장 수익률 –0.01% 보다 훨씬 컸다. Daniel et al.(1997)의 방법론에 따라 국민연금 투자성과를 분해하였을 때, 종목선택 능력(CS, characteristic selectivity)은 0.44%, 시장타이밍능력(CT, characteristic timing)은 –0.16%, 그리고 투자스타일(AS, average style)은 0.30%로 구성되었 다. 본 연구를 통해 국민연금의 투자수익률 대부분이 유가증권 주식에 대한 종목선택 능력(CS)와 투자스타일(AS)에서 기인함을 발견하였다.

The National Pension Service(NPS) has increased the share of risky assets such as stocks to raise profitability with concerns over fund depletion. If so, has the NPS been making a profit on investments in risky assets so far? If the NPS are making a profit, where is the source of that ability? To answer this question, we directly analyzes the Korean stock portfolio held by the NPS. The objective of this study is to examine the operational performance of NPS investments in the Korean stock market over the past decade, as well as the sources for this performance. The NPS invests in a variety of risky assets, including stocks, bonds, and alternative investments. Of these, domestic stocks account for about 14% of the total as of the end of 2023, amounting to KRW 148 trillion in investments. The NPS is also the largest institutional investor in the domestic stock market and has a huge influence on the market, so it is very important. We obtain the monthly holdings of NPS in domestic stocks from 2009 to 2018 by combining the report on large holdings of stocks reported by the NPS and the trading data from the Korea Exchange (KRX). Specifically, we calculate the transaction history of the NPS from the KRX. The KRX's intraday trading data contains information on the seller and buyer for every transaction, and we use the seller and buyer information to identify the NPS accounts. The process is as follows. First, we obtain the name, dates, quantity and price of purchase and sale stocks from 72,622 reports from 2008 to 2018 in the name of the NPS through the “Report on Large Holdings of Stocks and Other Securities” and “Report on Ownership of Certain Securities by Officers and Major Shareholders.” Second, we identify the NPS accounts by matching the transaction details of each account with the transaction data of the KRX. Based on 72,622 reports, we identify 12,449 NPS accounts from 46 securities firms. This study analyzes the performance of NPS using two methods in addition to the raw portfolio return. First, we evaluate the performance of the NPS using various benchmarks. We examine risk-adjusted returns by using single factor or multi-factor models. However, it has the disadvantage of evaluating the performance based on the assumptions of the risk factor model. Second, we use the Daniel et al. (DGTW, 1997) methodology to decompose returns by controlling for a benchmark portfolio based on firm characteristics. This methodology overcomes the shortcomings of the traditional risk factor model. The main results of the empirical analysis are as follows First, the domestic equity portfolio held by the NPS has an average monthly return of 0.57% over the period from 2009 to 2018. This is equivalent to an annualized rate of 6.84%. The risk-adjusted return using a one-factor model of market returns is 0.31% per month, which is statistically significant. The risk-adjusted return using the Fama-French (1993) three-factor model is 0.49% per month and the risk-adjusted return using the Carhart (1997) four-factor model is 0.48% per month, both statistically significant. This shows that even after controlling for risk, the NPS is still generating significant returns. By year, the risk-adjusted returns are higher and statistically significant mainly in 2012 and 2013. Second, we separate the returns of the NPS into the KOSPI and the KOSDAQ market. The return on the KOSPI stocks is 0.58%, which is much larger than the return on KOSDAQ stocks (-0.01%). The NPS earns most of its returns from investing in the KOSPI market stocks and loses money in the KOSDAQ market. The risk-adjusted returns of the KOSPI stocks are also statistically significant at 0.33%, 0.51%, and 0.51%, respectively, while the risk-adjusted returns of the KOSDAQ stocks are not statistically significant. Overall, the performance of the NPS is better in the KOSPI market than in the KOSDAQ. Third, we decompose the investment performance of NPS according to the methodology of Daniel et al. (DGTW, 1997). DGTW decomposes fund performance into characteristic selectivity (CS), market timing (CT), and average style (AS). The analysis shows that the portfolio return is composed of 0.44% for CS, -0.16% for CT, and 0.30% for AS. The largest return comes from stock selection, while market timing is not significant with a negative return. This result is similar to other studies in the U.S. and Korea that decompose the performance of active funds. When we decompose the portfolio returns of the NPS into the KOSPI and KOSDAQ markets, we also find that the returns of the NPS are mostly due to stock selection ability (CS) and investment style (AS). Our results show that the majority of the NPS's investment performance is attributable to its ability to select Korean equities and average style performance.

A recent study by Lee and Shin (2022) suggests that changes in the swap basis, defined as the difference between the cross-currency and interest rate swap rates, can predict the one-week ahead changes in the Korean Won-United States Dollar exchange rate. In this study, we propose using the cross-currency and interest rate swap rates as separate predictors, which corresponds to the unrestricted version of the swap basis model. The predictive power of the swap basis may not be stable depending on foreign exchange market and economic conditions, in which case the unrestricted model can better predict exchange rate changes. The unrestricted model shows superior performance in both in-sample and out-of-sample tests, and this result is robust when controlling for potential contemporaneous effects of the swap basis and other instruments, as the predicted variable instead of the original FX return. Our results are also consistent when we use daily and monthly data. In a monthly horizon, the cross-currency swap rate loses its predictive power and the interest rate swap rate tends to be a dominant predictor, which again makes the unrestricted model a better predictive model.

In this study, we investigate momentum strategies in Japan's stock market, which has historically diverged from global trends in effectiveness. We analyze the performance of three momentum factors—WML, MOM_6, and MOM_12, each differing in weighting, formation, and holding periods. Our findings reveal that while theWML factor with value-weighted portfolios shows positive average returns, their statistical significance is weak. In contrast, MOM factors constructed using equal-weighted portfolios yield negative returns. By examining momentum strategy returns across four market dynamics—BEARDOWN, BEARUP, BULLDOWN, and BULLUP—we find that momentum strategies produce positive returns during BEARDOWN market trends. However, mixed results are observed in BULLUP market between WML factor and MOM factors, and momentum strategies tend to underperform during market reversals, such as BEARUP and BULLDOWN. Given these findings, we applied the framework of Daniel and Moskowitz (2016) to assess whether the poor momentum returns in Japan can be attributed to momentum crashes. Although higher volatility and higher market beta for Loserportfolios are observed in BEAR markets, results suggest that significant momentum crashes do not necessarily coincide with the most volatile months or with the highest market beta for Loser portfolios, challenging the explanation by Daniel and Moskowitz (2016). Our findings indicate that Japan's distinctive market dynamics are key to understanding the underperformance of momentum strategies. While previous studies have emphasized socio-cultural factors, such as Japan's collectivist society, it is crucial to recognize the recent shifts towards individualism and corporate governance reforms. These changes suggest that traditional explanations for momentum strategy failures may not fully apply in Japan, where unique market conditions and an evolving socio-cultural landscape play a more critical role.

몇 년 전부터 ‘코리아 디스카운트’ 해소 방안으로 상속세 부담 완화가 제기되어 왔다. 상속세 부담을 완화하면 주가가 상승해도 지분 상속에 따른 세 부담이 크게 늘지 않아 지배주주 일가의 기업가치 제고 유인이 커진다는 것이 핵심 논거다. 본 연구는 이를 검증하기 위해 상속세 완화와 유사한 효과를 갖는 상속주식 가액 확정일 전후의 주가 변동을 통해 상속세 완화 효과를 간접적으로 살펴보았다. 분석 결과, 상속세 부담 완화가 주가 상승으로 이어지지 않았다. 우선, 상속주식 발행회사와 미상속주식 발행회사 간 유의미한 주가 반응의 차이가 없었고, 배당 증가 가능성이 있는 미상속 기보유 주식 발행회사와도 차이가 없었다. 이러한 경향은 시가총액, 주가순자산비율 (PBR), 편법 승계의 용이성, 그룹 지배권 승계 진행 수준과도 무관했다. 기업설명회 개최 건수, R&D, 자본지출도 총수 사망 전후로 큰 변화가 없었으며, 총수의 나이가 많을수록 기업가치가 하락하는 경향은 있었으나, 이는 총수의 보유 지분 여부와 관계 없었다.

In recent years, easing the estate tax burden has been consistently proposed as a solution to address the “°Korea Discount.”± The central argument is that reducing the current top marginal tax rate of 50% or eliminating the surcharge on shares bequeathed tothe largest shareholder group would help mitigate the tax burden associated with rising stock prices at the time of bequest. This, in turn, is expected to encourage controlling families to focus on enhancing firm value. Another argument is that the high estate tax burden incentivizes controlling shareholders and their families to engage in tunneling as a means of transferring corporate control. As a result, the stock prices of firms involved in such practices tend to be undervalued. It is also argued that reducing the estate tax burden could help mitigate this problem. However, empirical studies supporting this claim are scarce. The only study directly addressing this topic is Yeh and Liao (2018), who conducted an event study based on the Taiwanese government’s policy of reducing the top marginal estate taxrate from 50% to 10%. They found that during the [0, +5] event window, the stock prices of family-controlled firms rose by 1.44% relative to non-family firms, suggesting improved ownership structures in family firms. This study indirectly examines the effect of estatetax relief by analyzing stock price movements immediately following the assessment period for bequeathed share values, defined as two months after the valuation reference date. Prior to the end of the assessment period, stock price increases directly raise the estate tax burden, incentivizing controlling families to suppress stock prices. After the assessment period, however, this incentive disappears abruptly, producing an effect analogous to estate tax relief. This methodological approach offers several significant advantages: it allows research to be conducted even without an actual change in the top marginal tax rate, facilitates more precise estimation of event effects by leveraging the unpredictable nature of death, and expands the number of analyzable events (i.e., instances of death). To utilize this empirical research setting, we collected data on 36 deceased individuals—including group chairmen and their family members—from business groups designated for disclosure by the Korea Fair Trade Commission between 2000 and 2023. At the time of their passing, these individuals collectively held equity stakes in 73 publicly listed affiliate firms. Cases in which the decedent donated their equity holdings to public interest foundations or similar entities were excluded from the sample. Using this data, this study reveals that reducing estatetax burdens does not lead to an increase in stock prices for bequeathed shares. First, no statistically significant differences areobserved in stock price reactions between firms with bequeathed shares and those with non-bequeathed shares within the same business group immediately following the assessment period. This pattern holds consistently when examining buy-and-hold abnormal returns (BHAR) over 3-month, 6-month, and 1-year periods after the assessment. Furthermore, when comparing firms likely to increase dividends to pay estate taxes—those with bequeathed shares and those with family-owned shares but no new bequest—no statistically significant differences in stock price reactions were found. Neither the proportion of bequeathed shares nor the relative value of bequeathed stock shows a significant relationship with stock price movements. This pattern remained consistent even in firms where controlling families exert relatively greater influence on stock prices, such as those with smaller market capitalizations or lower price-to-book ratios (PBR). Similar results were also observed in post-2014 samples following amendments to the Monopoly Regulation and Fair Trade Act that curtailed unfair succession practices. Furthermore, this pattern was evident in firms where group succession was insufficiently advanced, potentially heightening incentives for stock price management. Additionally, the number of investor relations (IR) meetings, as well as R&D and capital expenditures,showed no substantial changes before or after the death of controlling shareholders, suggesting that efforts to enhance firm value were not significantly intensified following their death. Finally, while the age of controlling shareholders was associated with a decline in firm value, this trend was observed across all firms, regardless of whether the controlling shareholder held shares in the firm. This finding contrasts with the expectation that such effects would be limited to firms in which the controlling shareholder holds shares, where incentives to suppress stock prices may increase as mortality risk rises. These findings indicate that the observed decline in firm value is not the result of deliberate efforts by controlling families to suppress stock prices in response to estate tax burdens. Instead, the results challenge the argument that estate tax relief directly leads to significant stock price increases or enhanced firm value.