Earticle

본 논문은 국내 연기금의 해외투자 포트폴리오의 환위험 헤지 전략에 대해 실증적으로 분석한다. 해외주식과 해외채권 투자에서 환위험을 헤지하는 전략에 따라 각각의 수익률 성과와 위험, 그리고 국내주식 및 국내채권의 상관관계의 변화를 살펴본다. 선도(forward)를 이용하여 환위험을 완전히 헤지하는 전략은 환위험을 노출하거나 부분적으로 헤지하는 전략에 비해 평균적으로 높은 수익률을 거두었으나 잠재적인 헤지 비용을 고려하면 그 차이는 없다고 할 수 있다. 오히려 변동성, 왜도, 국내투자 자산군과의 상관관계를 고려하면 우수한 전략이라고 판단하기 어렵다. 선도환율이 할증에 거래되면 환위험을 헤지하고, 할인에 거래되면 노출하는 새로운 투자전략은 모든 일정한 수준의 환위험 헤지 비율을 선택하는 전략에 비해 상대적으로 우수한 결과를 보여준다. 이는 해외투자에서 환율의 변화가 차지하는 비중이 높다는 것 뿐 아니라 현물환율과 선도환율이 서로 밀접한 관계에 있지 않다는 것을 의미한다. 이러한 환위험 헤지 전략은 1년부터 3년까지의 투자시계를 갖는 중장기 투자의 성과에서도 비슷한 결과를 거두는 것으로 확인된다.

We investigate how dual holders who simultaneously hold loans and equity shares of a firm respond to stock mispricing of the firm. Using the fire-sales shock driven by mutual fund outflows as a measure of stock mispricing, we find that dual holders provide loans with lower spreads to the firms under the fire-sales shock. The result is driven by dual holders’ incentive to support the firm as long-term investors. We establish causality by exploiting mergers between financial institutions. In a firm-level analysis, we find that dual holders’ loan provisions offset the negative effects of the fire-sales shock on corporate investments. Overall, our results highlight dual holders’ unique role in mitigating the real effects of stock mispricing events.

This study addresses default prediction through ensemble techniques and cost-sensitive learning. It introduces a novel stacking method, focusing on instances with varying misclassification costs. Previous research lacks this comprehensive approach, highlighting a research gap. The proposed technique proves advantageous in terms of economic payoff and performance, offering practical utility. It complies with regulatory monitoring standards without incurring statistical cost penalties. This study demonstrates potential revenue gains even without precise cost ratios. Empirical results using Taiwanese company bankruptcy data (1999-2009, 95 financial ratios) reveal significant outcomes. Firstly, the proposed algorithm markedly improves economic payoff. Secondly, its statistical performance remains unaffected, even considering the dependency on overall prediction errors related to misclassifying defaults. Lastly, the method is computationally efficient, robust across cost scenarios.

Our study analyzes whether economic policy uncertainty influences firms’ mergers and acquisition (M&A) in Korea. Employing economic policy uncertainty proxies proposed by Baker et al. (2016), and Cho and Kim (2023) which concentrate on Korean market, we observe the effect of both overall and categorical-specific index on firms’ decisions – namely, exchange policy uncertainty, fiscal policy uncertainty, monetary policy uncertainty and trade policy uncertainty. Our results are summarized as following. First, among categoricalspecific indices, foreign exchange uncertainty is shown to have negative effect on firms’ M&A decision at statistically significant level. Second, among a variety of industry sectors, the effect of foreign exchange uncertainty is statistically significant for only manufacturing and construction deals, in contrast with non-manufacturing industry in which statistically significance was not found. Lastly, the negative effect of foreign exchange policy uncertainty is found in a variety of firm setting and conditions, including foreigner’s stock ownership, and both vertical and horizontal acquisition.