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This study examines how capital intensity and growth opportunities influence the relationship between dividend payouts and firm value. Although previous research has extensively explored dividend policy and firm value, little attention has been given to how firm-specific traits, particularly capital intensity, affect the value implications of dividend payouts. Using signaling theory and agency theory, this study proposes that dividends may serve as stronger signals of financial stability and managerial discipline in firms with higher capital intensity and more growth opportunities. By analyzing a sample of 7,822 firm–year observations of Korean listed firms from 2014 to 2023, we empirically test whether capital intensity moderates the link between dividend payout ratios and firm value. Firm value is assessed using Tobin’s Q and the price-to-book ratio. The findings indicate that dividend payouts are positively related to firm value, and this relationship intensifies for firms with higher capital intensity and greater growth prospects. These results suggest that tangible assets in capital-intensive firms enhance dividend signals’credibility and lower financing frictions, thus boosting investor confidence. This research adds to the literature by emphasizing the moderating role of capital intensity in the dividend–firm value relationship and providing new evidence from Korean listed firms.

본 연구는 한국의 기술특례상장 제도가 기업 위험에 미치는 장기적 영향을 실증 분석하였다. 2014~2022년 코스닥 시장에 상장한 기술특례상장 기업과 일반상장 기업을 대상으로 주식수익률 변동성을 분석한 결과, 기술특례상장 기업은 상장 첫해에 일반상장 기업보다 유의하게 높은 변동성을 보였다. 이는 기술특례상장 기업이 재무요건을 면제받음으로써 상대적으로 낮은 초기 재무 안정성을 보이고, 무형자산 중심의 사업 구조로 인해 높은 정보비대칭성을 가지기 때문으로 보인다. 그러나 상장 후 2~3년이 경과하면서 두 상장 유형 간의 변동성 차이는 상장 첫해 대비 크게 축소되었다. 이러한 결과는 시간이 지남에 따라 기술특례상장 기업의 정보가 시장에 빠르게 축적·확산되어 정보비대칭이 점진적으로 완화되었기 때문으로 판단된다. 본 연구는 기술특례상장 기업이 상장초기에는 높은 투자 위험을 보이나, 시간이 지남에 따라 정보비대칭이 완화되며 위험이 감소하는 경향을 실증적으로 제시하였다는 점에서 의의가 있다.

This study empirically investigates the long-term impact of listing regulation relaxation on corporate risk, focusing on South Korea’s unique "Technology-Based Special Listing" system. In line with the global trend of lowering entry barriers for innovative startups, such as the U.S. JOBS Act, South Korea introduced this scheme to enable technologically advanced firms to be listed on the KOSDAQ market. This system is particularly vital for R&D-intensive sectors such as biotechnology, artificial intelligence, and semiconductors, providing them with access to essential funding even before meeting traditional financial milestones, including profitability or specific revenue targets. While this policy fosters innovation, it also introduces significant investment risks driven by financial instability and heightened information asymmetry. Using stock return volatility as the primary proxy for investment risk, this research compares technology special listing firms with general IPO firms listed on the KOSDAQ market from 2014 to 2022. The research dataset was constructed by integrating listing data from the Korea Exchange’s (KRX) KIND system with financial and stock price information from the TS2000 database provided by the Korea Listed Companies Association. The final sample consists of 527 firms, including 149 technology special listing firms. To analyze firm-level risk, the study employs a multi-regression framework, controlling for firm characteristics such as firm size, leverage, return on assets (ROA), cash flow, and market-to-book ratios. The empirical results reveal that technology special listing firms exhibit significantly higher stock return volatility during their first year of listing compared to general IPO firms. This elevated initial risk is primarily attributed to two structural factors: the absence of conventional financial requirements leading to lower financial stability, and substantial information asymmetry inherent in firms whose value is primarily driven by intangible assets like technological potential. For these firms, the lack of a proven financial track record and a reliance on future growth expectations make their stock prices more sensitive to external shocks and market sentiment. However, a key finding of this research is that this volatility gap narrows considerably over the subsequent two to three years. As firm-specific information regarding technological progress and business milestones is disseminated into the market in a timely manner, the initial uncertainty is mitigated, leading to a stabilization of stock prices. Interestingly, while information asymmetry—measured through proxies like trading volume—significantly reduced over time, the study did not find a statistically significant improvement in the fundamental financial soundness of these firms during the same period. This suggests that the long-term reduction in stock return volatility is driven more by the resolution of information uncertainty through market learning than by fundamental financial recovery. To ensure the robustness of the findings, the study implemented several advanced econometric tests. First, the baseline risk measure was supplemented by employing market-adjusted return volatility and idiosyncratic risk. Second, the analysis was restricted to specific industries, such as medical and R&D sectors, where special listings are most prevalent, to control for industry-specific effects. Finally, to mitigate potential selection bias and omitted variable concerns, the research utilized Propensity Score Matching (PSM) and industry-specific 1:1 matching to compare special listing firms with general IPO firms of similar characteristics. The results remained consistent across all robustness checks. The findings of this research offer several contributions to both academia and practice. First, it adds to the global literature on the effects of listing regulation relaxation by providing detailed empirical evidence from the Korean market, highlighting the dual nature of capital access and investor protection. Second, unlike previous studies that focused primarily on the short-term performance or qualitative characteristics of special listing firms, this study provides a comprehensive long-term analysis of investment risk dynamics. It highlights the role of timely and transparent disclosure in reducing market uncertainty over time. For policymakers and regulators, these results suggest that while relaxing financial entry barriers is an effective tool for promoting industrial innovation, such measures must be complemented by robust disclosure requirements and institutional monitoring to protect investors and maintain market trust. For investors, the research provides a balanced perspective, emphasizing that the high initial volatility of technical listing firms is a characteristic of their unique information environment rather than a permanent state of instability. Ultimately, the study confirms that as the market processes and incorporates firm-specific information, the risks associated with innovative but financially unproven firms tend to stabilize.

본 연구는 비트코인 편입이 포트폴리오 성과에 미치는 영향을 동태적 자산배분 관점에서 분석하였다. 2014년 1월부터 2025년 10월까지의 월별 자료를 이용하여 국내외 주식 및 채권, 원자재로 구성된 기본 포트폴리오와 비트코인을 포함한 확장 포트폴리오의 성과를 비교하였다. 자산배분은 평균-분산 최적화의 코너해 문제를 완화하기 위해 블랙-리터만 모형을 적용하였으며 경기변동, 주식시장 변동성, 비트코인 수익률을 기준으로 국면전환 모형(Markov regime-switching model)을 통해 동태적 전략을 구성하였다. 분석 결과, 포트폴리오에 비트코인을 일부 편입할 경우 샤프, 소르티노, 오메가 비율 등 주요 위험조정 성과 지표가 개선되었으며 이러한 결과는 국면에 따라 비중을 조정하는 동태적 자산배분 전략 하에서도 일관되게 나타났다. 다각화 비율 또한 증가하여 전통자산과의 낮은 상관관계에서 발생하는 분산투자 효과가 나타나는 경향이 확인되었다. 비트코인을 포함한 포트폴리오의 성과 개선은 단순한 수익률 상승뿐만 아니라, 국면 변화에 대응한 위험조정 과정에서 비롯된 것으로 해석된다. 또한 추정 기간과 재조정 주기를 변경하고 크립토 윈터 시기를 별도로 분석한 강건성 검증에서도 대체로 유사한 결과가 도출되었다. 본 연구는 자산배분 및 위험관리 전략 수립시 비트코인을 전략적 자산으로 고려할 필요가 있음을 보여주며 향후 가상자산의 투자와 관련한 제도적 기반 마련과 규제 환경 개선의 중요성을 시사한다.

Against the backdrop of growing institutional interest in digital assets, this study examines the implications of incorporating Bitcoin into a diversified multi-asset portfolio within a dynamic asset allocation framework that extends beyond static optimization. Rather than treating asset classes as constant components, the study explores how the integration of cryptocurrency interacts with traditional instruments such as equities, fixed-income securities, and commodities under time-varying market conditions using monthly excess return data spanning from January 2014 to October 2025. The study evaluates whether the return-risk profile of Bitcoin can improve portfolio efficiency and robustness under institutional investment constraints and whether dynamic asset allocation strategies offer advantages over their static counterparts in a Korean institutional investment context. To achieve a more stable and practical allocation, this research utilizes the Black–Litterman model as the primary optimization tool, specifically designed to address the limitations of traditional mean–variance optimization, such as the "corner solution" problem and the extreme sensitivity of portfolio weights to minor changes in input data. By incorporating market equilibrium and specific investor views into the optimization process, the Black–Litterman model produces portfolio allocations that are more stable and economically interpretable. This approach is particularly relevant when dealing with Bitcoin, as its high volatility could otherwise lead to impractical and overly concentrated positions. The model is implemented under realistic investment constraints, including the prohibition of short-selling and borrowing, to reflect the practical conditions faced by domestic institutional fund managers. The framework mitigates estimation error by reducing extreme portfolio weights, thereby improving the robustness of the resulting allocations and providing a more stable basis for investment decisions. This feature is particularly important in the context of digital assets, as the high volatility and non-normal return characteristics of Bitcoin may otherwise lead to unstable portfolio allocations and excessive concentration in optimization-based strategies. At the same time, this study incorporates the time-varying nature of financial markets by employing a Markov Regime-Switching Model (MSM). Unlike static models that assume constant return distributions, the MSM allows expected returns, volatilities, and correlations to vary across different market regimes, thereby capturing time-varying market conditions more effectively. The model identifies market regimes based on three distinct criteria: macroeconomic business cycles derived from the Composite Leading Index (CLI) published by Statistics Korea, equity market volatility measured by the V-KOSPI200, and the internal return dynamics of Bitcoin itself, capturing both macroeconomic and cryptocurrency-specific cycles. This framework enables regime-dependent portfolio adjustments as market conditions evolve over time. Such an approach is particularly relevant in financial markets characterized by structural breaks, asymmetric volatility, and rapidly changing cross-asset correlations, where static allocation strategies may fail to respond effectively to shifts in market conditions. The empirical findings suggest that the proposed framework enhances risk-adjusted portfolio performance. Even with relatively small allocations to Bitcoin, portfolios incorporating the digital asset exhibit higher Sharpe, Sortino, and Omega ratios compared to those composed solely of traditional assets, indicating enhanced portfolio efficiency across multiple performance dimensions. The improvement is most pronounced in downside-risksensitive measures such as the Sortino and Omega ratios, suggesting that Bitcoin inclusion improves downside-risk-adjusted performance. This enhanced efficiency stems not only from Bitcoin's high return potential but also from its diversification benefits, as evidenced by improvements in the Diversification Ratio (DR). Bitcoin maintains relatively low correlations with traditional asset classes, particularly sovereign bonds and commodities, highlighting the importance of accounting for cross-asset interactions when evaluating portfolio performance. While Bitcoin inclusion tends to increase tail-risk measures such as Maximum Drawdown (MDD) and Conditional Value-at-Risk (CVaR) under static allocation, the dynamic MSM framework helps mitigate these risks by tactically reducing Bitcoin exposure during high-volatility or bear-market regimes, including major Crypto Winter episodes, while maintaining exposure during recovery periods. The benefit of Bitcoin inclusion is not uniform across all regimes: during high-volatility or bear-market phases, dynamic strategies help preserve capital by reducing exposure, whereas maintaining Bitcoin exposure during low-volatility or recovery phases contributes to improved risk-adjusted returns. These regime-contingent results underscore the importance of treating Bitcoin not as a static allocation but as a dynamically managed component whose optimal weight varies with market conditions. Notably, even conservative investors with a high level of risk aversion (λ=10) can benefit from allocating as little as 1–2% of their portfolio to Bitcoin, as such a modest inclusion is sufficient to improve risk-adjusted performance. This finding has direct practical implications for institutional fund managers who face strict investment constraints yet seek incremental portfolio efficiency gains. Robustness checks using alternative estimation windows, rebalancing frequencies, and risk-aversion levels produce qualitatively similar results, suggesting that the findings are not overly sensitive to model specifications. During periods of significant market downturn, including major Crypto Winter episodes, dynamic strategies demonstrate lower cumulative losses compared to static allocation approaches. Overall, the results suggest that the observed performance improvement is driven not solely by higher returns but also by a dynamic risk adjustment process that responds to regime shifts. The role of Bitcoin in a portfolio is therefore not constant but varies with market conditions, and its contribution is closely linked to regime-dependent interactions with other asset classes. From a policy perspective, the results highlight the importance of establishing a clearer regulatory and institutional framework for digital asset investment in Korea, including standardized legal definitions, accounting treatment, and capital market guidelines, to support the responsible integration of Bitcoin into institutional portfolios. However, these findings should be interpreted within the context of the sample period and model specifications employed in this study, and caution is warranted when extrapolating the results to different market environments. Taken together, this study provides an empirically grounded framework for understanding the role of digital assets in dynamic portfolio management.

본 연구는 연기금 자산운용에서 급격한 시장 변동이나 지출부담 충격으로 인해 사전에 설정된 자산배분 비중제약을 이탈하는 경우, 어떠한 사후대응이 적립비율 측면에서 최적인지를 분석한다. 특히 중도 매각 시 거래비용이 크고 비유동적인 대체투자 자산의 특성을 명시적으로 반영한 의사결정 모형을 제시하고, (i) 목표비중을 준수하기 위한 즉각적 유동화와 (ii) 비중제약 적용유예라는 두 가지 사후대응 방안을 비교한다. 분석 결과, 최적 사후대응 결정에는 대체투자의 거래비용이나 지출부담 충격의 크기보다 연기금의 상대적 위험회피계수가 가장 지배적인 영향을 미치는 것으로 나타났다. 위험회피계수가 높을수록 비중 이탈로 인한 위험-수익 상충관계의 악화를 회피하기 위해 거래비용을 감수하고서라도 즉각적 유동화를 선호하는 경향이 확인되었다. 또한 대체투자의 초기비중과 평균-분산 최적화에 따른 최적비중의 차이가 사후대응의 유연성을 결정하는 핵심 요인임을 보여 사전적 자산배분의 중요성을 역설하였다. 본 연구는 전략적 자산배분의 사전적 한계를 보완할 수 있는 체계적인 사후대응 기준을 제시함으로써, 연기금 기금운용심의회 및 OCIO 운용사의 실무적 의사결정에 유용한 시사점을 제공한다.

This study examines ex-post responses in pension fund asset management when pre-determined asset allocation constraints are breached due to abrupt market fluctuations or unexpected expenditure shocks. In practice, Korean pension funds typically rely on static strategic asset allocation frameworks that specify target weights and allowable ranges for each asset class. While such frameworks play a central role in risk management and long-term portfolio governance, they are inherently static and provide limited guidance on how investment committees should respond once allocation constraints are violated. This limitation becomes particularly critical in the presence of alternative assets, which are characterized by substantial illiquidity and high transaction costs when liquidated prematurely. Hence, this study develops a formal decision-making model that explicitly incorporates the illiquidity of alternative assets and evaluates the economic implications of different ex-post responses from the perspective of the funding ratio. We consider a pension fund portfolio consisting of two asset classes: liquid traditional assets and illiquid alternative assets. In the presence of an exogenous expenditure shock that necessitates asset sales, the fund faces a discrete ex-post decision between two response strategies. The first strategy is immediate liquidation, in which both liquid and alternative assets are sold in proportions that strictly adhere to the original target allocation weights. This response maintains consistency with the pre-defined strategic asset allocation and the associated risk-return profile, but it entails potentially large and deterministic transaction costs due to the forced liquidation of illiquid assets. The second strategy is a temporary suspension of allocation constraints, under which the fund meets its liquidity needs solely by selling liquid assets while postponing the liquidation of alternative assets. This approach avoids immediate transaction costs but allows for deviation from target weights, potentially worsening the risk-return trade-off relative to the efficient frontier implied by mean-variance optimization. The model evaluates these two ex-post responses by comparing the expected utility of the funding ratio at the end of the period. Preferences are represented by a constant relative risk aversion (CRRA) utility function defined over the funding ratio, reflecting the objective of pension fund investment committees to balance return generation against the risk of underfunding. Within this framework, we examine how the optimal ex-post response depends on three key determinants: the transaction costs associated with alternative assets, the magnitude of the expenditure shock, and the pension fund’s constant relative risk aversion coefficient. Our analysis yields several notable findings. The relative risk aversion coefficient emerges as the dominant factor in determining the optimal ex-post response. While higher transaction costs generally increase the attractiveness of suspending allocation constraints by making immediate liquidation more expensive, their effect is often dominated by the fund's degree of risk aversion. Pension funds with higher levels of risk aversion exhibit a strong preference for immediate liquidation, even when transaction costs are substantial. This preference arises because highly risk-averse decision makers penalize the increased uncertainty and tail risk associated with deviations from the target allocation more heavily than the certainty of transaction costs incurred through liquidation. In contrast, the magnitude of the expenditure shock itself plays a relatively minor role in the decision, once the effects of risk aversion and transaction costs are taken into account. Furthermore, the study highlights the critical role of the gap between the initial allocation to alternative assets and the optimal allocation implied by mean-variance optimization. When the initial weight of alternative assets exceeds the mean-variance optimal level, suspending allocation constraints exacerbates the deviation from the efficient portfolio and further deteriorates the risk-return trade-off. In such cases, immediate liquidation is more likely to be optimal, particularly for risk-averse funds. Conversely, when the initial allocation to alternative assets is below the optimal level, a temporary suspension of allocation constraints can be welfare-improving. By selling only liquid assets, the relative share of alternative assets increases endogenously, moving the portfolio closer to the optimal allocation while simultaneously avoiding transaction costs. This result demonstrates that the desirability of ex-post flexibility is contingent upon the ex-ante positioning of the portfolio. These findings underscore the importance of linking ex-post decision rules to ex-ante asset allocation design. While ex-post flexibility can mitigate unnecessary costs and improve outcomes following shocks, such flexibility is not unconditional. Rather, it is supported by an appropriately calibrated strategic asset allocation that aligns initial portfolio weights with optimal risk-return trade-offs. In this sense, the study emphasizes that effective ex-post responses are not substitutes for sound ex-ante asset allocation, but complements that depend on the quality of the initial allocation. This study contributes to the literature by providing a structured and tractable framework for evaluating ex-post responses in pension fund asset management under illiquidity and allocation constraints. Unlike existing studies that primarily focus on ex-ante optimization or permanent changes in allocation policy, this paper formalizes the trade-off faced by pension funds when responding to realized shocks within a static strategic allocation framework. From a practical perspective, the results offer clear guidance for pension fund investment committees and outsourced chief investment officer (OCIO) managers. By jointly considering transaction costs, risk preferences, and the alignment between initial and optimal asset allocations, the proposed framework supports more disciplined and transparent ex-post decision-making. Ultimately, the analysis suggests that a model-based approach to ex-post responses can enhance the robustness of pension fund governance by preventing mechanically enforced rebalancing and by promoting economically justified flexibility under well-defined conditions.

This paper studies within-exchange price dispersion between gold and mini-gold in Korea Exchange (KRX). Although the two products are claims on the same underlying commodity, trade on the same centralized exchange, are quoted in the same currency, and are traded in identical one-gram increments, mini-gold nevertheless trades at persistent discounts relative to gold. Using the full trading history of KRX mini-gold, I show that mini-gold discounts are strongly state dependent with respect to international parity deviations: when domestic gold trades below the international benchmark, the probability of a mini-gold discount rises sharply. I further show that domestic frictions explain the depth of the wedge. Relative illiquidity and mini-gold trading inactivity are both associated with wider spreads, and the pricing of illiquidity is materially stronger in discount states. These results are robust to alternative proxies based on relative participation and OHLC-implied intraday roughness. Taken together, the evidence supports a nested limits-to-arbitrage interpretation in which international dislocations affect the incidence of discount states, while domestic liquidity and participation frictions determine the magnitude of within-exchange price dispersion.