Earticle

본 연구는 주식대차거래에 관한 선행연구가 거의 없는 가운데, 주식대차거래의 정보효과를 분석한 국내외 최초의 연구결과라 할 수 있다. 주식대차거래 시장이 성숙한 상황에서 제도적 변화 시점을 전후로 시장에 미친 영향력을 실증 분석하였다. 연구기간은 주식대차거래가 본격적으로 증가하기 시작한 2006년 1월 2일부터 2010년 12월 30일까지 1,245거래일(60개월)로 설정하고, 공매도 규제의 제도적 특성에 따라 하위구간을 설정하여 대차거래의 정보효과 및 공매도 영향을 실증 분석하였다. 특히 대차거래 및 공매도 실적이 많은 상위 60개 종목을 포트폴리오로 구성하여 실제 발생한 공매도 차익을 추정하였다. 연구의 주요 결과는 다음과 같다. 첫째, 한국거래소 유가증권시장에서 주식대차거래와 공매도는 외국인투자자들이 90% 이상을 차지하고 있으며, 공매도와 프로그램매매 등의 다양한 투자전략에 활용하고 있음을 확인할 수 있었다. 둘째, 주식대차거래는 신규차입거래보다 대차상환거래가 특정시기에 더 집중적으로 이루어지고 있으며, 신규차입거래의 30% 정도가 공매도에 활용되고 있음을 확인하였다. 셋째, 상위 60개종목 포트폴리오를 구성하여 차입주식을 활용한 공매도 실적을 상환시까지의 보유기간별로 구분하여 실제 발생한 공매도 차익을 추정해 본 결과, 공매도 이후 3~6개월 정도를 보유한 이후에 차입한 주식을 상환하는 것이 상대적으로 높은 수익을 실현하고 있음을 발견하였다. 공매도 규제이전 2년 9개월 동안 공매도한 뒤 순차적으로 6개월씩 보유하고 상환한 경우 5조 7,789억원(11.6%)의 공매도 차익이 발생하였고, 5년간 전체기간을 감안하여도 4,219억원(5.7%)의 차익이 발생하였다. 넷째, 대차거래 및 공매도가 가장 활발하였던 2008년 1년 동안 외국인들이 대차거래와 공매도를 연계하여 거둔 투자수익은 최대 9조 5,061억원(투자수익률 30.8%)으로 추정되었다. 또한 공매도가 집중적으로 발생하였던 2008.6월~9월까지 4개월 동안 60개종목 포트폴리오에서 13조 6,840억원을 공매도 하였고 10월~12월에 상환함으로써 3조 5,857억원의 공매도 차익(기간수익율 26.2%, 연율 환산시 104.8%), 시장초과수익률 49.8%를 실현한 것으로 추정되었다. 그리고 2008년 10월 시행된 공매도 규제 조치는 오히려 그 동안 막대한 공매도 차익을 남겼던 외국인들에게 대차거래 상환의 빌미를 제공하였을 뿐만 아니라, 저가 공매도-고가 상환으로 이어지는 공매도 투자 손실을 회피하게 된 손실 방어장치의 역할을 하고 말았다. 결과적으로 주식대차거래 및 공매도의 정보효과는 충분히 타당한 것으로 판단된다. 따라서 본 연구를 통해 우월한 정보 및 분석능력을 갖춘 투자자의 경우 주식대차거래와 공매도를 활용하여 충분한 투자차익 실현을 달성할 수 있다는 가설이 입증되었다.

In the finance literature, either domestic or abroad, there have not been many articles that dealt with stock lending & borrowing transactions. To the best of our knowledge, this is the first paper investigated the informational contents on stock lending & borrowing transactions. In this paper, we empirically analyzed the impact of stock lending & borrowing transactions to the capital market around the regime change. Testing period includes 60 months starting from January 2, 2006 when such transactions began to blow up to December 30, 2010. We, based on systematic characteristics of the regulations on short selling, investigated the informational contents of stock lending & borrowing transactions as well as short selling transactions by establishing the low-rank sections. Especially we formed portfolios with 60 stocks which had been traded most frequently through such transactions, and estimated the differential return that actually earned by traders. Major findings are as follows. Firstly, we confirmed that over 90 % of all stock lending & borrowing transactions are performed by foreign traders, and that the traders utilized such transactions in various investment strategies such as short selling and program trading. Secondly, we observed, in stock lending & borrowing transactions, that redemption transactions are more heavily utilized rather than newly borrowed transactions during specific periods, and about 30% of newly borrowed transactions are applied to short-selling transactions. Thirdly, we formed portfolios with 60 most frequently traded stocks in lending & borrowing and estimated the differential earnings on those portfolios actually acquired by short selling with borrowed stocks until redemption. We found that the strategy of redeeming after 3 to 6 months from the point of short selling yielded the highest returns compared to other strategies. Furthermore, there was evidence that, during the two-year-and-9-month period before the ban of short selling, 6-month investment horizon after performing short selling yielded 11.6% return(5,778.9 million dollars), and 5.7% return on average(421.9 million dollars) during the entire 5-year period. Fourthly, the total return earned by foreign investors through stock lending & borrowing transactions in line with short selling in 2008 was estimated as high as 30.8%(9,506.1 million dollars). They sold short as much as 13,684 million dollars in 60-stock portfolio for just 4-month period from June to September 2008, and redeemed those stocks from October through December to yield 26.2% return(104.8% annualized return, 3,585.7 million dollars). This estimated return exceeded the market average return by 49.8%. This study found that unlike common expectation the ban of short selling enforced in October 2008 not only provided the cause of redemption to foreign investors who previously earned enormous investment profit through short selling, but also actually acted as a loss-cut device in vicious cycle of short-selling at low and redeeming at high. As a result, we concluded that the informational contents are sufficient in stock lending & borrowing transactions as well as short selling. We also proved the hypothesis that those investors armed with superior information and analytical skills can acquire superior rate of return through stock lending & borrowing transactions as well as short selling.

Using buy-side managers’ evaluation of sell-side analysts via vote, we extract a sell-side analyst’s residual vote after controlling the analyst’s ability. When the residual vote is related to the analyst’s unexplained ability, e.g. good relationship, then sophisticated investor’s response after the analyst’s revision will be greater. When the residual is related to optimistic bias from possible affiliation, the analyst’s revision will be discounted. We find that after analyst’s earnings forecast changes, normalized net-trading volume of the buy-side institutions significantly follows the direction of the revision and responds more when the revision is by an analyst with larger residual vote. Individual investors significantly reverse on average but the response does not differ significantly conditional on the residual vote. After controlling both residual vote and revision size, buy-side institution seems to discount the response as the magnitude of the revision increases after revision of analysts with larger residual vote. The discounted response supports that the residual vote may be related to optimism. On the contrary individual investors follow the analyst’s revision more. As a result, individual investors are losing their money while buy-side institutions are making money depending on awareness optimism. The residual vote is indeed related to the optimistic bias of analyst ex-post. As a sell-side analyst recommend or forecast more optimistic relative the analyst’s competing analysts, the analyst is likely to earn more votes from buy-side managers.

This study empirically investigates the effect of increased competition among three credit rating agencies S&P, Fitch and Moody’sduring 2002 to 2010 on credit rating quality. This results show CRAs assign more favorable credit ratings to banks assigned ratings from two or three CRAs; i.e., credit rating quality declines when CRAs face increased competition. Second, the negative effect of increased competition on credit rating quality is more significant in the case of ratings by Fitch. Third, the significant increase in the number of banks assigned ratings after 2007 increases the negative effect of increased competition on credit rating quality. The high market share of Fitch mitigates the negative effect of competition on credit rating quality in developing countries. Using changes in credit ratings to proxy for credit rating quality yields consistent results.

In Basel II, the IRB formula was developed from the Asymptotic Single Risk Factor (ASRF) credit risk model proposed by Vasicek (1987). Based on the same model settings but taking early bankruptcies into consideration, we incorporated the “intra-horizon risk” model proposed in Kritzman and Rich (2002) to help measure the worst-case conditional probabilities of default (WCPDs) for credit portfolios and then compared our results with the IRB formula. The comparisons showed that our models could provide an explicit formula yielding similar capital requirements to the IRB formula. Besides, for the corporate exposures, we suggested an approximate 11.2% of capital buffers above the minimum capital requirements and estimated the confidence intervals of WCPDs to help ensure the robustness of the minimum capital requirements. Finally, we concluded that playing a critical role in capital charge, the estimation and/or prediction of PD should take into account the long-run evolving path of the systematic risk factors.

This study first re-investigates an old but still attractive issue: whether government-owned bank (GOB) performs inferior to the private-owned banks (POB) which is dubbed GOB effect in this study. Then, and more importantly, we explore why. Our government banks are classified into three types: GOBs that purchase distressed banks, GOBs that purchase normal banks, and GOBs that do not purchase any bank. We argue that not all three types of GOB are underperformer, that is, only GOBs purchase distressed banks are. Contrasting to the common belief, our results show that GOBs that purchase normal banks and GOBs that do not purchase any bank (after 2003) perform similar to POBs. That is, GOB effect significantly minimized when political interference is removed. Moreover, we found that POBs purchase distressed banks have similar performance to the benchmarked private banks. Thus, because both GOBs and POBs purchase distressed banks, the major difference is the presence of political factors in distressed-acquirer GOB. Accordingly, the reason of the worsened performance of GOBs is more likely a result of political intervention. Finally, we find these political interventions apparently exist in these countries no matter their country governance, corruption levels, and political rights.