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This paper examines how alternative coupon recovery assumptions—no-coupon recovery (NCR) versus full-coupon recovery (FCR)—affect default probability estimates and their empirical performance in the Korean corporate bond market. Specifically, we compare the NCR model of Hilscher, Jarrow, and van Deventer (2025) (HJD) with the FCR model of Jarrow and Turnbull (1995) (JT) to assess how differences in coupon recovery assumptions translate into variation in discriminatory power for actual credit events. Using daily corporate bond data for publicly listed firms from the FnPricing database over the period 2015–2024, we analyze the behavior of model-implied default probabilities around credit events. The results show that default probabilities derived from the HJD model—which excludes recovery on post-default coupons—respond more sensitively to market-implied measures of credit risk than those from the JT model. Overall, the findings provide evidence that coupon recovery assumptions play a critical role in determining the ability of default probability measures to identify realized credit events.

This study examines whether capital tax incentives entail unintended costs for information quality. Exploiting the staggered expansions of China’s accelerated depreciation policy for fixed assets in 2014, 2015, and 2019 as a quasi-natural experiment, we use A-share listed firms from 2011 to 2024 and apply a staggered difference-in-differences design with event-study tests for parallel trends. The results show that the policy significantly increases accrual-based earnings management. Further evidence indicates that the policy raises earnings management by releasing tax-shield cash flows and easing financing constraints, while external monitoring does not strengthen commensurately. In China’s institutional setting of tax-book separation, treated firms exhibitabnormal declines in book depreciation rates, consistent with reporting-oriented earnings management through adjustments to depreciation estimates. Firms also strategically reallocate manipulation tools. Because asset-heavy firms have greater discretion over depreciation estimates, their accrual-manipulation response is weaker; by contrast, asset-light firms face more limited depreciation discretion and exhibit stronger accrual manipulation. Heterogeneity analyses show that these effects are more pronounced among private firms, firms in eastern regions, and younger firms. Overall, the findings reveal that accelerated depreciation can reshape firms’reporting incentives and manipulation strategies while improving cash flows, suggesting that regulators and external auditors should pay closer attention to changes in depreciation estimates and related disclosures.

본 연구는 스테이블코인 수익 제공(yield provision) 구조가 지급결제 시스템의 안정성에 미치는 영향을 이론적‧제도적 관점에서 분석하고 한국 시장에 적합한 규제 설계 방향을 제시한다. 스테이블코인 수익 제공 구조를 발행사 이자, 플랫폼 이자, DeFi 수익의 세 유형으로 구분하고, 각 유형이 보유 동기를 결제 목적에서 수익 추구 중심으로 변화시켜 런 위험, 위험 추구 유인, 시스템 리스크 전이, 결제 기능의 약화, CBDC 및 통화정책과의 상호작용에 미치는 경로를 분석하였다. 또한 미국의 GENIUS Act, 유럽연합의 MiCA, 한국의 현행 제도와 입법 논의를 비교하여 제도적 공백과 정책적 함의를 도출하였다. 분석 결과, 수익 제공 구조는 스테이블코인을 단순 결제 수단이 아니라 투자성 자산으로 인식하게 함으로써 유동성 부담과 상환 불확실성을 증가시킬 수 있으며, 발행사·플랫폼·DeFi의 구조적 차이로 인해 일률적 규제보다 기능과 위험에 따른 차등 규율이 필요한 것으로 나타났다. 이에 본 연구는 지급결제형 스테이블코인에 대한 발행사 이자의 원칙적 금지, 플랫폼 이자에 대한 금융중개 기능별 차등규율, DeFi 수익 상품과 지급결제형 스테이블코인의 구조적 분리를 핵심 규제 원칙으로 제안한다. 또한 표준화된 위험 공시, 명확한 상환 조건, 오인 방지 규제와 함께 역외거래를 포함한 통합적인 감독체계의 구축이 필요함을 강조한다. 본 연구는 스테이블코인의 수익 제공을 단순한 금융상품 설계의 문제가 아니라, 지급결제 인프라의 안정성과 연결된 제도적 쟁점으로 본다는 점에서 의의가 있다.

This study examines how yield provision in stablecoins affects payment system stability and proposes regulatory design principles appropriate for the Korean market. The analysis is motivated by the growing use of rewards, interest-like payments, and decentralized finance services linked to stablecoin holdings. Although these arrangements may increase user benefits, they can alter the economic character of stablecoins by combining payment functionality with investment incentives. Because the associated risks depend on who provides the return, how it is generated, and what rights users obtain, this study distinguishes three forms of stablecoin yield provision: issuer-based yield, platform-based yield, and DeFi-based yield. The study adopts a theoretical and institutional policy-analysis approach based on prior research, regulatory materials, market practices, and a comparative review of the United States, the European Union, and Korea. Issuer-based yield refers to interest or an equivalent return paid directly by a stablecoin issuer and is generally linked to reserve-asset income. Platform-based yield is provided by exchanges, wallet providers, fintech companies, and other intermediaries that use deposited stablecoins for lending, liquidity provision, margin financing, or asset management. DeFi-based yield arises through smart contracts and on-chain protocols, often after users deposit stablecoins and receive tokens representing a yield-bearing position. Although platform-based and DeFi-based yields differ in their operational structures, both embed a payment asset in financial intermediation or investment activity. The analysis identifies five channels through which yield provision may affect payment system stability. First, it can increase run risk by shifting the motivation for holding stablecoins from transactional convenience toward return seeking. Yield-sensitive holders may respond rapidly to changes in interest rates, perceived risk, platform credibility, or expected returns. Under stress, this sensitivity may lead to coordinated withdrawals and redemptions, increasing liquidity pressure, reserve-asset sales, and depegging risk. Second, yield competition may strengthen risk-taking incentives. Issuers seeking to fund higher returns may increase the maturity or risk of reserve assets, while platforms may rely on leverage, maturity transformation, or risky lending. Third, losses and redemption pressure can be transmitted beyond individual issuers or platforms. Large-scale reserve liquidation may affect short-term funding markets, while collateral links, rehypothecation, margin calls, and forced liquidations may amplify shocks and transmit them to traditional financial markets. Fourth, yield provision may weaken the payment function of stablecoins. As balances become more responsive to returns and risk perceptions, payment-related liquidity may become less stable, and the distinction between a payment instrument and an investment product may become unclear. Fifth, yield-bearing stablecoins may interact with bank deposits, central bank digital currencies, financial intermediation, and monetary policy transmission by encouraging funds to migrate toward nonbank or offshore arrangements. The comparative analysis shows that major jurisdictions increasingly recognize these concerns, although their approaches differ. The European Union prohibits interest on asset-referenced tokens and e-money tokens under the Markets in Crypto-Assets Regulation and broadly covers benefits linked to token holdings. The United States prohibits payment stablecoin issuers from directly providing interest or yield under the GENIUS Act, while rewards offered by affiliates, exchanges, or other third parties remain a regulatory issue. Korea has not yet established a comprehensive framework for stablecoin yield provision. Existing rules focus mainly on virtual-asset user protection and unfair trading, while overseas stablecoins, exchange rewards, platform programs, and DeFi services remain accessible to Korean users. This regulatory gap requires a framework that addresses issuer conduct, functionally equivalent rewards, financial-intermediation activities, offshore providers, and personal-wallet transfers. Based on this analysis, the study proposes a function-based and risk-sensitive framework for Korea. Issuer-based yield on payment stablecoins should, in principle, be prohibited because it may undermine reserve safety, encourage yield-seeking asset management, and make payment stablecoins resemble unprotected deposits. Platform-based yield should not be governed by a uniform prohibition or permission. Regulation should distinguish rewards linked to actual payment or service use from returns paid merely for holding or depositing stablecoins. Where a platform conducts lending, maturity transformation, asset management, or other financial intermediation, enhanced requirements should apply, including authorization or registration, segregation of customer assets, liquidity and risk-management standards, disclosure of the source of returns, and controls on conflicts of interest. DeFi-based yield should be structurally separated from payment stablecoins and regulated as an investment product or high-risk financial service when it involves smart-contract risk, oracle risk, leverage, rehypothecation, or liquidity shortfalls. The study further emphasizes standardized risk disclosure, clear redemption terms, restrictions on misleading descriptions, and integrated supervision covering issuers, platforms, custodians, exchanges, and offshore access channels. These measures should be coordinated with Korea’s electronic finance, banking, capital market, virtual-asset, CBDC, and monetary policy frameworks. The main contribution of this study is to treat stablecoin yield provision not as a peripheral product feature but as an institutional issue affecting payment infrastructure and financial stability. Because the analysis is primarily theoretical and institutional, future research should empirically examine liquidity volatility, redemption behavior, depegging risk, and the market-wide effects of platform-based and DeFi-based yield structures.

본 논문은 한국 주식시장에서 후회 프리미엄과 투자자 구성 및 투자자별 거래반응간의 관계를 분석한다. 구체적으로 REG 포트폴리오 수익률, 투자자별 거래비중에 따른 조건부 프리미엄, REG와 투자자별 거래비중의 상호작용, 투자자별 순매수비중 및 거래비중, 그리고 REG 프리미엄의 지속성을 종합적으로 검토한다. 분석 결과는 다음과 같다. 첫째, 한국 주식시장에서 REG는 미래수익률에 대해 유의한 양의 예측력을 가져 선행연구와 일관성을 가진다. 둘째, REG 프리미엄의 크기는 투자자별 거래비중에 따라 달라진다. REG 프리미엄은 개인투자자 거래비중이 높은 주식에서 상대적으로 크게 나타나는 반면, 기관투자자 및 외국인투자자 거래비중이 높은 주식에서는 상대적으로 약하게 나타난다. 셋째, REG와 투자자별 거래비중의 상호작용을 분석한 결과, 개인투자자 거래비중은 REG 프리미엄을 강화하는 방향으로, 기관투자자 거래비중은 REG 프리미엄을 약화하는 방향으로 작용한다. 넷째, REG가 높은 주식에 대해 개인투자자는 이후 순매수와 높은 거래참여를 보이는 반면, 기관투자자는 순매도와 낮은 거래참여를 보인다. 외국인투자자의 경우 순매수비중에서는 강건한 결과가 나타나지 않지만, 거래비중에서는 REG와 유의한 음의 관계가 확인된다. 다섯째, REG 프리미엄은 미래1개월 이후에도 일정 기간 지속되며, 특히 개인투자자 거래비중이 높은 주식에서 더 오래 지속되는 경향이 있다. 여섯째, 코스피와 코스닥을 구분한 분석에서는 코스닥시장에서 REG 프리미엄이 상대적으로 더 크게 나타나며, 이는 코스닥시장의 높은 개인투자자 거래비중과 일관된 보조적 증거로 해석된다. 이러한 결과는 REG 프리미엄이 단순히 평균적인 수익률 이상현상으로 나타나는 데 그치지 않고, 투자자 구성 및 투자자별거래반응과 밀접하게 관련되어 있음을 시사한다. 특히 개인투자자 거래비중이 높은 주식에서 REG 프리미엄이 더 강하고 오래 지속되며, REG가 높은 주식에 대해 개인투자자가 이후 순매수와 높은 거래참여를 보인다는 점은 후회 관련 가격효과를 이해하기 위해 투자자별 거래행태를함께 고려할 필요가 있음을 보여준다.

This study examines the relationship between the regret premium, investor composition, and investor-specific trading responses in the Korean stock market. Behavioral finance suggests that asset prices may reflect psychological biases. Regret is relevant because investors may compare the performance of the assets they hold with that of alternatives they could have selected. Recent studies define regret (REG) as the difference between the highest return within an industry and the realized return of an individual stock and show that stocks with higher REG subsequently earn higher returns. Although prior research has established this premium, relatively little is known about the investor base in which it is more pronounced or how different investor groups subsequently trade high-REG stocks. The Korean market provides a useful setting because individual investors account for a substantial share of trading, and transaction data permit separate analyses by investor type. If regret-related price effects are associated with behavioral biases, their strength may vary with investor composition. Individual investors may exhibit limited information-processing capacity, attention-based trading, and contrarian behavior, whereas institutional and foreign investors may engage relatively more in information-based trading or arbitrage. This study first confirms the baseline relationship between REG and future returns. It then examines whether the magnitude of the REG premium differs according to investor trading shares. The analysis employs portfolio sorts and Fama–MacBeth cross-sectional regressions that include interactions between REG and the trading shares of individual, institutional, and foreign investors. It also examines subsequent investor-specific responses using net buying ratios and trading shares, investigates the persistence of the REG premium, and compares its strength between the KOSPI and KOSDAQ markets. The empirical results are as follows. First, REG positively and significantly predicts future stock returns. Portfolios with high REG earn higher subsequent returns than those with low REG, and the return spread remains significant after risk adjustment using the CAPM and the Fama–French three-factor model. Fama–MacBeth regressions likewise confirm that REG has positive predictive power for future returns. Second, the magnitude of the REG premium varies systematically with investor trading shares. The premium is larger among stocks with high individual-investor trading shares, whereas it is weaker among stocks with high institutional- or foreign-investor trading shares. Interaction regressions provide consistent evidence: the interaction between REG and the individual-investor trading share is significantly positive, whereas the interaction between REG and the institutional-investor trading share is significantly negative. The interaction between REG and the foreign-investor trading share is also negative, although its significance weakens after control variables are included. Third, subsequent net buying responses differ across investor types. In regressions using investor-specific net buying ratios as dependent variables, individual investors tend to be net buyers of high-REG stocks, whereas institutional investors exhibit significant net selling. Foreign investors exhibit a negative net buying response in univariate analysis, but the result is not robust after controlling for other stock characteristics. The trading-share analysis reveals a related pattern: REG is positively associated with the subsequent trading share of individual investors and negatively associated with the corresponding shares of institutional and foreign investors. Taken together, high-REG stocks are followed by net buying and higher relative trading participation by individual investors, whereas institutional investors exhibit net selling and lower relative participation. Fourth, the REG premium is not limited to the immediately subsequent month. Although it gradually weakens, it remains evident for several subsequent months. Among stocks with low individual-investor trading shares, the premium weakens relatively quickly, whereas among stocks with high individual-investor trading shares, it tends to persist longer. Investor composition is therefore associated with both the magnitude and persistence of the premium. Fifth, the KOSPI–KOSDAQ comparison provides supplementary evidence consistent with the main results. Individual investors account for a significantly higher share of trading in the KOSDAQ market, whereas institutional and foreign investors account for lower shares. The REG premium is significant in both markets but is larger in the KOSDAQ market. Within each market, the predictive power of REG also tends to be more pronounced among stocks with higher individual-investor trading shares. Overall, this study shows that the REG premium is closely associated with investor composition and heterogeneous subsequent trading responses rather than merely representing an average return anomaly. The larger and more persistent premium among stocks with high individual-investor trading shares, together with the subsequent net buying and higher relative participation of individual investors in high-REG stocks, indicates that investor-specific trading behavior should be considered when interpreting regret-related return patterns. The findings do not establish that investor-specific trading behavior causally generates the REG premium. Rather, they document systematic relationships among the premium, the investor base in which it is more pronounced, and subsequent trading responses. This study extends the economic interpretation of regret effects by identifying investor composition as an important conditioning factor associated with their strength and persistence.