이용수:460회 국내 벤처펀드의 성과와 성과 결정요인에 대한 실증 연구
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본 연구는 국내 벤처 펀드의 실제 운용자료를 바탕으로 벤처 펀드의 투자성과를 3가지 지표(PME, IRR, Multiple)로 측정하고, 각 투자성과지표의 특징과 결정요인을 국내 최초로 분석했다는 점에서 의의가 있다고 할 수 있다. 펀드 자체의 특성, 펀드 운용 주체의 특성, 그리고 펀드 운용 시장상황의 특성으로 나누어 펀드의 투자성과 결정 요인을 분석한 결과, 투자성과지표에 따라 결정요인이 다르며, PME 지표가 다른 지표에 비해 해당 결정요인들의 설명력이 높은 것으로 나왔다. 또한 PME와 Multiple은 대체로 유사한 패턴을 보이나, IRR은 벤처투자펀드의 투자성과지표로서 편향성이 있음을 발견하였다. PME와 Multiple 지표의 경우 펀드규모는 투자성과와 U자형의 관계를 가지나 IRR의 경우에는 음(-)의 관계로 나타났고, 펀드 운용기간이 짧을수록 성과가 좋은 것을 보였으며, IRR의 경우에는 cash inflow(회수)에 대해서만 유의한 결과를 보여 IRR이 회수의 방향으로 편향되어 있음을 알 수 있었다. 펀드 결성시점의 신규펀드의 결성 개수는 PME에, 펀드 청산시점의 청산펀드의 개수는 IRR에 유의한 음(-)의 영향을 미치는 것으로 나타났다.
Most venture investments in Korea are from venture funds supported by limited partners (LPs), and thus LPs always want to know the main determinants of the fund performance and how well their funds are operated. General partners (GPs) who want to successfully receive the investments for their venture funds from LPs are also very interested in the same issues. This study measures the performance of Korean venture funds using the public market equivalent (PME), internal rate of return (IRR), and multiple measures. The features and determinants of each performance measure are then analyzed using actual Korean venture fund data. Few studies have addressed these issues, due to limited access to and a shortage of Korean venture fund data. This study is the first to use actual venture fund data to investigate the performance and its determinants. To accurately measure the performance of venture funds, the Net Asset Value problem must be addressed. However, this study is free from that issue because the sample only contains fully liquidated venture funds. The PME measure (average 1.07) shows that on average, Korean venture funds performed slightly better than the Korea Composite Stock Price Index market from 1992 to 2010. This result may appear disappointing, but it is too early to draw conclusions, as our sample only includesthe funds formed until the early 2000s. The IRR is the most volatile ofthe three measures (its standard deviation is 10.2 times the average), because it is influenced by vintage years and market situations, such as fund liquidation periods. The average is much higher than the median for all three of the measures, suggesting that some larger funds perform considerably well. We analyze the determinants of fund performance based on three factors—fund characteristics, fund operator characteristics, and market situation characteristics—and find not only that each performance measure has different determinants, but also that the latter’s explanatory power is higher for the PME measure than for the other measures. We also find that the PME and multiple measures exhibit similar patterns, whereas the IRR is biased as a performance measure. The determinants that explain the PME measure well are fund size, fund operation period, fund cash inflow and outflow, and the number of new fund formations. The determinants that best explain multiple measures are fund size and fund cash inflow and outflow. The best determinants for the IRR measure are fund size (negative relation), fund operation period, fund cash inflow, number of liquidated funds, and vintage year. For the PME and multiple measures, fund size has a U-shaped relation with fund performance, whereas it has a negative relation with the IRR measure. The fact that the funds smaller than $3 million perform well, especially for the IRR measure, is a unique feature of Korean venture funds not found in Harris et al. (2014), who studied U.S. venture funds. This suggests that the IRR can be highly biased for smaller funds. Remarkably, the shorter the fund’s operation period, the better the fund performance in the case of the PME measure, but not in the case of the multiple measures. The performance differences among the investment fields stand out for the PME and multiple measures (especially the latter), but are not found for the IRR. For the PME and multiple measures, IT-specialized funds exhibit the best performance, and bio-specialized funds the worst. General funds without specialized investment fields only outperform specialized funds for the multiple measure. Funds with more than two cash flowsperform better than those with only one cash flow for all three of the measures. However, the IRR only shows a statistically significant result for cash inflows (liquidation), indicating that it is biased toward fund liquidation. There is no significant difference in performance between corporate venture capital (CVC)and non-CVC, between financial and non-financial venture capital (VC), and between individual and non-individual VC for all of the three measures. The number of new funds during the fund formation period has a significantly negative influence on the PME measure, and the number of liquidation funds during the fund liquidation period negatively influences theIRR measure. Because the average operating period of Korean venture funds is five-and-half years, the data used for this study only cover the venture funds mainly formed before 2005. With more fund data from the 1980s, 1990s, and 2000s, as in the U.S., it would be possible to obtain more meaningful results. It is probable that we willunderstand more about the Korean venture fund industry once we reach the mid-2010s and have access to the performance results of venture funds formed during the 2000s, which was a booming period for the Korean venture capital industry.
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We investigate the effectiveness of the original PIN model (Easley, Kiefer, O’Hara, and Paperman, 1996) and five variants of the adjusted PIN model (Duarte and Young, 2009) in the Korean stock market. Throughout the series of likelihood-ratio fitness tests, we find that the unrestricted version of the adjusted PIN model fits best in the Korean stock market data.
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본 연구는 일시납 연금 가입수요의 결정요인을 확인하기 위해 실험연구를 진행하였다. 결정요인으로는 개인의 금융상품 선택에 있어서 가장 중요한 요인인 위험회피(risk aversion) 정도와 시간선호(time preference)에 초점을 두었다. 40~59세의 한국인 500명을 대상으로 하여 설문과 실험 두 가지 방법을 모두 실시하여 개인들의 위험회피와 시간선호 변수를 추정하였다. 이를 통해 피설문자의 답변이 가질 수 있는 편의들을 실험환경을 통하여 획득한 정보와 비교해 보고, 일시납 연금의 가입수요에 적합한 변수 선정과 추정방식이 무엇인지 검증하였다. 연구의 주요 결과는 다음과 같다. 첫째, 설문 답변을 통한 변수들은 실험을 통해 추정한 변수들과 상당한 차이를 보여 주관적 편의 (subjective bias)의 문제를 내포하고 있음을 확인하였다. 둘째, 실험을 통해 추정한 변수들 중 미래에 대한 시간선호는 일시납 연금 가입의 중요한 결정요인이지만 위험회피 정도는 유의하지 않았다. 설문을 통한 본인자각적 답변들은 일시납 연금 수요의 결정요인이 아니었다. 셋째, 본인자각적 답변과 실험결과의 차이로 정의된 미래선호, 위험회피, 기대여명, 금융지식, 연금지식의 편의 변수는 일시납 연금 가입의향과 유의한 관계를 보였다. 위의 결과들은 금융상품의 잠재적 수요에 있어서 행태적, 선호적 편의가 중요한 영향을 미칠 수 있음을 의미한다.
Risk aversion and time preference are fundamental variables when people make financial decisions, but there are numerous opinions for how to estimate them. Researchers frequently estimate the demand of financial products with an ordinary survey, where subjects provide self-perceptive information. Given that behavioral financial questions are included in the simple questionnaire, the subjects may misunderstand such questions, or may not be able to completely understand the importance of the concepts driving them. Therefore, subjective bias could be implicitly problematic in many surveys, rendering their results untrustworthy. Although researchers can draw their conclusions based on the data collected from the survey, the economic results may be distorted or prove insignificant. This study takes the behavioral and experimental economics explored in Kahneman and Tversky (1979) and applies those theories to a financial product, such as a single payment annuity. This is a relatively new product in Korea’s aging population, thus demand for it has not been analyzed in the Korean context, despite the popularity of such products in the U.S. (Mitchell and Utkus, 2003). Following the method of eliciting risk aversion proposed by Holt and Laury (2002), we develop a new measure of risk aversion that is modified using the quantile normalization (Bolstad et al., 2003), and use the measure to check for subjective bias when choosing an annuity product. Time preference is also very critical in financial decisions. We propose a time preference measure that follows Coller and Williams (1999) and use it as an objective measure of the subject’s time preference. We design an experiment in which the subjects are guided by the instruction and payoff schemes, and follow several sessions. The participants choose a lottery from a pair of lotteries whose payoffs and probabilities are different, revealing the participants’ risk aversion preferences. In the next experiment on time preference, the participants choose a lottery from a pool of several featuring different interest rate payoffs with higher and lower payment spans, depending on the interest rates. During the experiment, the participants’ choices reveal their time preferences for our analysis. In addition to the results of the aforementioned experiments, we collect the participants’ background information, such as financial status, financial literacy, and intelligence. Given the dataset, we can then find that the subjective answers from the survey are not significantly related to the financial decision on single payment annuity. This allows us to verify that the subjective bias exists, and confirm that self-perceptive surveys are not trustworthy in choosing financial products. We also compare the self-perceptive answers and the experimental measures to test which methods are more reliable and significant. The results show that neither approach significantly determines time preferences and risk aversion in some model specifications. We construct the bias variables of risk aversion, time preference, life expectancy, financial literacy, and intelligence using the differences between the subjective answers and experimental results. Thus, when we execute econometric models with the bias variables of interest, we discover that the biased self-perceptive and experimental measures of the time preference, risk aversion, life expectancy, financial literacy, and pension literacy are significant determinants of the demand for single payment annuity. Therefore, the preferential and behavioral variables are critical in choosing financial products such as annuities, rather than the self-perceptive answers in the survey. We also run a Heckman two-step regression of the premium of the single payment annuity and find that financial status and portfolio are the most crucial determinants, regarding the moneywise incentive. Finally, the time preference and risk aversion experiments we design reveal that behavioral and preferential biases are critical in choosing financial products. Therefore, we conclude that researchers should take bias variables seriously when they estimate the demand for financial products, even after controlling for other variables.
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Fama-French의 3요인 모형은 미국을 비롯한 여러 나라 주식시장에서 유용한 설명력을 가지고 있는 것으로 검증되어 왔다. 하지만, 국내 주식시장에서 주식수익률과 장부가치 대 시장가치 비율간의 관계가 비유의적이고, 또 그 모방포트폴리오인 HML의 위험프리미엄도 유의적이지 않은 것으로 나타나기 때문에 국내 주식시장에서 주식수익률들의 공통적인 변동을 설명하기 위해 Fama-French 3요인 모형을 사용하는 것이 과연 적절한가에 대한 의문이 제기된다. 반면, 주식거래회전율(turnover)은 국내 주식수익률과 유의한 관계를 가지고 있는 것으로 파악된 바, 본 연구에서는 주식거래회전율을 이용하여 유동성위험 모방포트폴리오(NMP)를 구성한 후, 이를 시장위험포트폴리오(MKT), 기업규모효과 모방포트폴리오인 SMB와 함께 모형에 포함시켜 3요인 모형을 구성해 이것의 국내 주식수익률의 체계적 변동에 관한 설명력을 분석하였다. 그 결과, 이 유동성 요인을 포함한 3요인 모형이 Fama-French 3요인 모형보다 더 우월한 설명력을 보일 뿐 아니라, NMP 또한 유의한 설명력을 가지고 있는 것으로 나타났는데, 이것은 국내 주식수익률의 변동을 설명하는 체계적 위험요인 중 하나로서 HML 보다는 NMP가 더 우월한 실증적 근거를 가지고 있음을 의미하는 것으로 볼 수 있다.
This paper is an empirical investigation of the determinants of the cross- section of stock returns in Korea. While Fama and French’s (1993) three-factor asset pricing model is known to perform reasonably well in explaining the cross-section of stock returns in the U.S. and many other stock markets in developed countries, the model’s performance in explaining the cross-section of stock returns in Korea has been less than satisfactory. More specifically, there is mixed evidence for the existence of the book-to-market effect in the Korean stock market. Because Fama and French’s three-factor model is empirically motivated without firm theoretical grounds, it is difficult to argue that the book-to-market factor (HML) is a priced risk factor in the Korean stock market without clear empirical evidence for the book-to-market effect in the cross- section of stock returns in Korea. Consequently, an alternative asset pricing model is necessary to be used widely in Korea for the purpose of risk adjustment in estimating the cost of capital or performance evaluation. Using monthly stock returns and accounting information for the sample of non-financial firms belonging to the KOSPI index over the 1991~ 2007 period, we first investigate the cross-sectional relationship between stock returns and firm characteristics in the Fama-MacBeth regression framework. We find no evidence for the book-to-market or momentum effect. Firm characteristics which show significant relationship with the cross-section of stock returns in Korea are firm size measured by market capitalization and liquidity measured by turnover. Given the evidence for the size and turnover effects, we construct portfolios by sorting firms into four size groups and four turnover groups independently, similar to the way in which Fama and French (1993) construct their size and book-to-market portfolios. The sixteen size-turnover portfolios show clear patterns in average returns, decreasing in both firm size and turnover. Moreover, these size-turnover portfolios exhibit much bigger spread in average returns than the portfolios constructed using firm size and book-to-market (size-BM portfolios), which suggests that the size-turnover portfolios may be more useful and relevant test assets than the size-BM portfolios in the Korean stock market. The clear pattern of average returns in the size-turnover portfolios suggests that liquidity measured by turnover may be a priced risk factor in Korea. In order to estimate the magnitude of the risk premium associated with the size and turnover effects, we construct mimicking portfolios which are designed to capture the effects of firm size and turnover in the cross-section of stock returns, similar to the way in which Fama and French (1993) construct their mimicking portfolios, SMB and HML. Consistent with the results from the Fama-MacBeth regressions, the size factor (SMB) and the turnover factor (NMP) show significantly positive average returns while the average return of the book-to-market factor (HML) is positive but statistically insignificant. The magnitudes of the average returns for SMB and NMP are also economically significant at 0.99% per month for SMB and 1.19% per month for NMP. We then perform standard time-series and cross-sectional tests of asset pricing models using the size- turnover and size-BM portfolios as test assets. The asset pricing models we consider are the Fama-French three-factor model and our alternative three-factor model which replaces the book-to-market factor HML with the liquidity factor NMP. The main findings are as follows. When the size-turnover portfolios are used as test assets, the GRS F-test rejects the Fama- French three-factor model while it does not reject our alternative three-factor model. Moreover, the estimated risk premium for the liquidity factor NMP is both economically and statistically significant at 1.3% per month, which is also similar in magnitude to its average return of 1.19% per month. When the size-BM portfolios are used as test assets, the two models show broadly comparable performance. These main findings remain unchanged when we test the models using the first half or the second half of the sample period. In particular, we find that the liquidity factor NMP shows significant explanatory power for the cross-section of stock returns in each of the sub-sample periods. The Fama-French three-factor model is widely used in research and practice for risk adjustment and performance evaluation in both the U.S. and Korea. But the lack of clear empirical evidence for the book- to-market effect in Korea raises a question about the relevance of the book-to-market factor HML and the Fama-French three-factor model in understanding the determinants of stock returns in Korea. The findings in this paper suggest that our alternative three-factor model which incorporates a liquidity factor may be more useful and relevant for understanding the systematic variation of stock returns in Korea.
이용수:108회 개별기업의 특성을 반영한 투자자 심리지수와 주식수익률
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본 연구는 국내 금융시장의 개별기업에 대한 정보를 투자자 심리지수의 대용변수로 사용하는 투자심리지수를 조사한다. 개별기업주식의 일별 거래정보와 해당종목에 대한 개인투자자의 매도매수정보를 바탕으로 생성된 투자심리지수와 개별기업의 주가와의 관계를 살펴보고, 기업 고유특성에 따라 투자자 심리지수가 어떠한 영향을 미치는지 살펴보았다. 2000년부터 2015년까지 KOSPI 유가증권시장에 상장된 제조업을 대상으로 분석한 결과, Fama-French의 3요인 변수에 모멘텀 요인변수를 추가한 Carhart의 4요인 위험변수를 통제하고도 투자자 심리는 주가의 수익률을 설명하는 유의한 변수임을 보였다. 투자자 심리지수는 규모가 작고, 주가가 낮을수록, 장부가치 대 시장가치비율이 높을수록, 초과수익률이 높을수록, 과거수익률의 변동성이 큰 기업에 더 큰 영향을 미치는 것으로 나타나 기업 특성별로 투자심리가 다르게 영향을 미치는 것으로 나타났다. 또한 투자자 심리와 수익률간의 유의한 관계가 투자자 거래비중에 영향을 받음을 확인하였다. 즉, 개인투자자가 선호하고 실제 거래비중이 높은 기업일수록, 기관이 주를 이루는 외국인투자자의 주식 보유비중이 낮은 기업일수록 투자심리에 큰 영향을 받는 것으로 나타났다. 이는 기관투자자에 비해 개인투자자가 상대적으로 정보열위에 있고 비합리성과 심리편의를 더 가짐을 간접적으로 뒷받침한다.
This study suggests an investment sentiment index that exploits daily information on individual firm characteristics and individual investors’ trading behavior in the Korean stock market. We empirically examine the explanatory power of our sentiment indicator for the cross-sectional returns of individual stocks and portfolios after controlling for appropriate market risk factors. While previous studies use a single variable or multiple market-wide variables to measure investor sentiment, we efficiently measure sentiment by extracting common factors from various individual firm characteristic variables and trades by domestic individual investors, who are normally regarded as noisy and behaviorally biased. By extending methodologies suggested by Ryu, Kim, and Yang (2017), Yang, Ryu, and Ryu (2017), and Yang and Zhou (2015, 2016), we construct a composite sentiment indicator based on principal component analysis using five key variables: the relative strength index, psychological line index, adjusted turnover rate, logarithm of trading volume, and individual investor buy-sell imbalance. We analyze how the sentiment effect varies depending on firm and stock characteristics by constructing several portfolio groups classified according to firm size, stock price, book-to-market ratio, excess return, volatility of past returns, individual trading ratio, and foreign investors’ holding for individual companies. We categorize the portfolios into five quintile groups based on each criterion and generate an investor sentiment index for each portfolio group. Our sample data comprise a daily stock trading dataset for all available manufacturing companies listed on the KOSPI stock market from 2000 to 2015. This sample mitigates possible industry effects and biases and enables us to investigate the uncontaminated results for sentiment effects by maintaining homogeneity among the sample firms. To ensure consistency and clarity, we exclude companies facing trading suspension and/or administrative issues. We extend the literature on investor sentiment and contribute to research by constructing a composite sentiment indicator that includes information on various stock and firm characteristics. We use buy-sell order imbalance information on individual investors, as their investment strategies and trading patterns are likely to be affected by psychology, sentiment, and mood. Our sentiment indicator exhibits more robust explanatory power than existing sentiment measures do, as it successfully explains the cross-sectional asset returns after controlling for the four risk factors. Our empirical analyses using this sentiment indicator provide several important findings and implications. We find that our investor sentiment indicator may explain cross-sectional stock and portfolio returns, even after controlling for Fama and French factors (market factor, size factor, and book-to-market factor) and the additional momentum factor suggested by Carhart (1997). It is particularly interesting that the sentiment indicator maintains its explanatory powers after considering and controlling for the momentum effect, consisting of representative time-series stock price patterns driven by investor psychology and behavioral biases. This result indicates that the sentiment indicator may be an important factor in explaining asset price movements. The analyses considering firm and stock characteristics show that the sentiment effect varies significantly according to stock and firm characteristics, being more prominent for smaller firms as well as stocks that are lower priced, have higher book-to-market ratios, have greater excess returns, and are more volatile. The sentiment effect also increases for stocks exhibiting greater individual investor participations, while its effect is lower when stocks are mostly owned by foreign investors, who are mostly professional institutional investors. These results tend to suggest that domestic individual investors are uninformed and noisy traders, while foreign institutional investors are better informed and more sophisticated. Considering that our sentiment indicator captures firm and stock characteristics reflecting individual stock trading on a daily basis, our methodology can be easily applied to analyze sentiment issues in various industry sectors at a relatively high-frequency level. The sentiment indicator can also be used to examine the transmission and spillover effect of market sentiment and behavior across financial markets and countries.
이용수:84회 이익의 지속성에 근거한 적정배당정책에 관한 연구
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최근 국민연금을 비롯한 공적연기금과 자산운용사, 외국계 헤지펀드들의 주주행동주의에 따른 배당요구가 커지고 있는 상황에서 기업은 중장기적인 차원에서 기업가치 제고를 위한 배당정책을 시급히 마련할 필요가 있다. 그럼에도 불구하고 아직까지 이에 대한 논의나 연구는 전무한 실정이다. 이에 본 연구는 과소배당이나 과다배당이 아닌 기업가치를 극대화 할 수 있는 적정배당정책의 수립을 어디서 출발할 것인지에 대한 실증적인 방안을 제시하였다는데 그 의의가 있다. 본 연구는 현금배당이 지속적인 이익에 의존한다는 주장과 현금배당이 기업가치 제고에 기여한다는 주장을 근거로 지속적인 이익에 근거한 현금배당이 기업가치에 미치는 영향을 분석하고자 한다. 이를 위해 베버리지-넬슨 방법으로 이익(E)을 지속적인 이익(EPERM)과 일시적인 이익(ETEMP)으로 분해하였다. 실증분석 결과 첫째, 지속적인 이익 대비 현금배당 비중(D/EPERM)이 증가할수록 기업가치는 유의적으로 증가하였다. 둘째, 지속적인 이익 대비 현금배당 비중(D/EPERM)과 기업가치가 역U자 형태의 비선형적인 관계임을 발견하여 적정배당 수준의 도출이 가능함을 보여주었다. 이러한 실증결과는 국내 기업들에게 이익의 지속성을 고려한 적정배당정책의 실현이 기업가치 제고에 필요하며, 기관투자자들에게는 미시적인 차원에서 기업의 적정배당수준에 대한 모니터링 역할이 주주가치 향상에 기여할 수 있음을 시사한다.
Shareholder activism in public pension funds, asset management firms, and foreign hedge funds have led to an increasing number of calls for dividend payouts, so listed firms on the Korean Stock Exchange should urgently prepare an optimal dividend policy for raising corporate value in the mid- to long-term. However, developing such a policy has not previously been discussed or analyzed. In this study a method of deriving the optimal dividend policy of a firm to maximize its value is suggested. Based on the arguments (Fama and Babiak, 1968; Marsh and Merton, 1987; Lee, 1996, etc.) that cash dividends rely on permanent earnings and on the empirical findings (Fama and French, 1998; Pinkowitz, Stulz, and Williamson, 2006 and etc.) that cash dividends contribute to an increase in corporate value, the effect of cash dividends, which are driven by the permanence of earnings, on corporate values is analyzed. In the Beveridge-Nelson method earnings are divided into permanent and temporary earnings. Empirical results show that as the proportion of cash dividend relative to permanent earnings increases, corporate value increases significantly. Second, it is possible to derive the optimal level of dividend for a company, as the proportion of cash dividend relative to the permanent earnings is nonlinear and takes a reverse U form. Specifically, we find that corporate value increases with the cash dividend proportion of permanent earnings up to the point of 41.47%, and it decreases as the percentage increases beyond this point. These results imply that domestic firms must realize their optimal dividend policy by considering the persistence of earnings, and that institutional investors need to monitor whether a firm’s dividend policy at a micro level is aimed at achieving its optimal dividend level, which can maximize its shareholder value.
이용수:82회 국민연금의 주식투자가 시장에 미치는 영향
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본 연구는 2005년 8월부터 2017년 7월까지 12년간 국민연금의 거래내역을 이용하여 주식시장에 미치는 영향을 살펴본다. 이를 위해 국민연금공단 명의로 보고된 72,622건의 소유상황 변동보고서와 한국거래소의 매매장을 결합하여 국민연금의 계좌번호를 확인하고, 이를 바탕으로 한국거래소에 상장된 전체 종목에 대한 국민연금 매매내역을 분석하였다. 본 연구의 주요 분석 결과는 다음과 같다. 첫째, 국민연금의 매매는 주식시장 상황 및 개별종목 시황에 대한 역추세추종(Contrarian) 전략을 취하는 것으로 나타났다. 둘째, 국민연금의 순매수가 증가할수록 장중변동성을 축소시켜 시장안정화에 기여하는 것으로 나타났다. 셋째, 국민연금의 매매를 추종하는 다른 투자자들에게 영향을 주어 간접적으로 시장에 영향을 줄 가능성을 분석한 결과, 국민연금의 1일 전 매수세는 대부분의 투자자들에게 유의한 영향을 주지 않는 것으로 나타났다. 다만, 기관투자자 중 특히 투신사와 기타 금융은 국민연금의 2일 전 및 3일 전 순매수 증가에 양(+)의 영향을 받는 모습을 보였다. 따라서 이들 투자자 그룹은 국민연금의 매매를 참고하는 것으로 추정된다.
This study investigates the impact of the trading of the national pension fund (NPF, hereafter) on the stock markets in Korea. In 2017, the Korean national pension system, which was introduced in 1988, was ranked as the third largest public pension fund after Japan and Norway, with assets of 6.8 trillion Korean won. Moreover, the NPF accounts for 6.75 percent of the Korean equity market, which is higher than the 5.06 percent of equity held by the Japanese pension fund. As the NPF has increased its investment in the Korean stock market, its trading strategies and possible influence on the stock market have attracted increasing attention from market participants and regulators. However, despite the growing interest in the subject, few studies have examined the strategies and influence of the NPF and there is little research data on the trading in the past decade. In addition, the NPF recently announced that it plans to increase the proportion of investment in stocks in its portfolio over the next five years. Thus, the NPF is expected to have an increasing influence on the Korean stock market. Given the significant size of the NPF, the increased proportion of stocks held by the fund could lead to price pressures unrelated to the intrinsic value of firms and result in price movements induced by follow-up investors. For these reasons, there has been considerable debate over the effect of the NPF’s trading on the stock market. Some have argued that the NPF’s investment decisions are based on political judgement rather than information whereas other institutional and foreign investors conduct information-driven transactions. In line with this, the NPF recently provided an official explanation of why its stock portfolio only achieved average returns of 5%, which is significantly lower than the 22.15% average returns on the Korea Stock Exchange (KSE) and 24.75% returns on the Korea Securities Dealers Automated Quotation (KODAQ) market. Taken together, these concerns suggest that there is a pressing need to comprehensively examine whether the NPF’s transactions on the stock markets distort the markets and worsen the market quality in terms of liquidity and volatility. In this study, we attempt to address these questions by examining the influence of the NPF’s transactions on the Korean stock markets. Our dataset comprises the combined data from the ownership change and trading records of the KSE and KODAQ over the 12-year period from August 2005 to July 2017. Specifically, we combine the insider equity ownership disclosures, disclosures of large equity ownership, and information on the trading record files and infer detailed information on the dates, quantity, and prices of the stocks traded by the NPF. Based on the inferred accounts of the NPF, we analyze the trades of the NPF from 2005 to 2017 at both the aggregate market and individual stock levels. Some of our major findings are as follows. First, consistent with the literature, we find that the NPF uses a contrarian trading strategy such that the fund tends to buy stocks when the market return goes down and sell them when the return goes up. This phenomenon is also observed at the individual stock level even after controlling for various stock characteristics, and the results are consistent across the yearly analyses. Second, the market volatility decreases when the NPF’s net buying increases. Therefore, the NPF’s stock transactions do not appear to destabilize the stock market. Furthermore, in contrast to the general concerns, our empirical results suggest that the NPF’s stock transactions contribute to market stabilization. Third, we do not find evidence showing that the trading of the NPF influences the trading of other investors, including the other sub-groups of institutional investors and individual investors. However, we find that among the various sub-institutional investor groups, the increased net buying of the NPF is associated with increased net buying by investment companies and miscellaneous financial investors. These sub-groups are influenced by the net buying of the NPF after two to three days, indicating follow-up transactions. Together, these findings suggest that some financial investors may consider the NPF to possess a strong capacity to analyze information.
이용수:66회 주간사와 기관투자자간의 거래관계와 IPO 주식의 보유기간
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본 연구는 IPO 주간사와 기관투자자들 간의 과거 거래관계가 기관투자자들이 초기 배정받은 IPO 주식을 보유하는 기간에 미치는 영향을 살펴보았다. 2002년~2012년 기간 국내 코스닥(KOSDAQ)시장에 상장한 IPO와 공모주 펀드의 월간 주식 보유 자료를 이용한 분석 결과에 따르면, 과거 거래관계 정도가 강했던 펀드일수록 주간사로부터 배정받은 IPO 주식을 더 오래 보유하는 것으로 나타났다. 이러한 경향은 특히 hot IPO 주식(혹은 저평가된 IPO 주식)의 경우 더 강하게 나타나, 특정 주간사와 과거 거래관계를 가지고 있는 기관투자자가 상장 후 IPO 주식에 대한 주간사의 가격지지 노력을 도와주는 것으로 보여 진다. 이러한 결과는 직전 1년(혹은 2년)간 거래 수, 거래금액, 평균거래금액으로 측정한 거래관계 정도의 대용치에 관계없이 일관되게 나타난다. 한편, 주간사와 펀드가 동일 금융 계열사인 경우 펀드는 배정받은 IPO 주식을 오히려 상대적으로 더 단기간 보유하는 것으로 나타났다.
This study examines how the business relationship between IPO underwriters and institutional investors affects the holding periods of IPO stocks allocated to institutional investors by underwriters. Studies such as Reuter (2006), Binay, Gatchev, and Prinsky (2007), and Chung and Kim (2015) have shown that the business relationship between underwriters and institutional investors affects underwriters’ initial allocation of IPO stocks. Chemmanur, Hu, and Huang (2010) argue that underwriters allocate more IPO stocks to institutional investors because institutional investors tend to hold stocks longer, especially for weaker post-issue demand IPOs, helping underwriters’ efforts to stabilize prices in the after-IPO market period. However, it is well known that on average, institutional investors sell initially allocated IPO stocks quite soon after they have been listed in the market. For example, Aggarwal (2003) and Boehmer, Boehmer, and Fishe (2006) report that in the U.S. market, flipping—that is, selling initially allocated IPO stocks within a couple of days after their listings —is common and it is mostly conducted by institutional investors. An analysis by the Financial Supervisory Service in Korea of 142 Korean IPOs listed in the Jan. 2008 to Sept. 2010 period found that on average, 64.7% of IPO shares were allocated to institutional investors, who sold 34.2% of them during the first trading day and 48% of them during the first 4 weeks after the listing. In addition, Dongyang Securities, examining 119 Korean IPOs from the Jan. 2010 to Jun. 2011 period, report that the return on IPO stocks falls rapidly after their listing, and the average closing price of the IPO stocks in one year falls to only 77% of their closing prices on the first trading day. They blame the institutional investors’ flipping of IPO stocks for the rapid price drop. It is thus evident that the length of time that institutional investors hold initially allocated IPOs in the after-market is an important issue for IPO firms and underwriters who wish to stabilize prices and protect their reputation capital. We therefore argue, based on the findings from prior studies, that the holding period can be affected by the business relationship between underwriters and institutional investors. To examine the effect of the business relationship between underwriters and institutional investors on institutional investors’ holding period of initially allocated IPOs, we use monthly mutual fund holding information and IPOs listed in the KOSDAQ market for the 2002 to 2012 period. To the best of our knowledge, this is the first study to examine the holding period of IPO stocks by institutional investors in Korea. Following Chung and Kim (2015), we measure the strength of a business relationship in three ways: (1) the total investment amount by each mutual fund in IPOs underwritten by each underwriter, (2) the number of participation by each mutual fund in IPOs underwritten by each underwriter, and (3) the average investment of each mutual fund in each IPO underwritten by an underwriter for the two years prior to the target IPO. We find that mutual funds sell, on average, about 48% of the IPO stocks within 30 calendar days of the listing. However, funds that have 1 (2)-year business relationships with the underwriter hold the IPO stocks, on average, 22.67 (17.12) calendar days longer than those without a relationship. We also show that the strength of the relationship matters: the stronger the relationship is, the longer the holding period. Tobit analyses confirm Aggarwal’s (2003) finding that institutional investors tend to sell more underpriced IPOs (hot IPOs) more quickly. We, however, show that when institutional investors have a strong business relationship with underwriters, they seem to hold hot IPOs longer than when they have a relatively weaker relationship. Combined with the results from Chung and Kim (2015), these results imply that underwriters allocate more favorable IPO stocks to institutional investors with whom they have business relationships, and institutional investors hold the IPO stocks longer, helping the underwriters stabilize prices in the after-IPO market. In addition, we find that funds that are affiliated with underwriters hold IPO stocks for shorter periods than unaffiliated funds. We also find that the business relationship has a negative effect on the holding periods of affiliated funds.
이용수:65회 주식시장의 순위모멘텀 전략
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본 연구는 국내 주식시장에 과거 수익률의 순위가 높은 주식일수록 미래 수익률이 높은, 이른바 순위모멘텀 현상이 유의함을 보고한다. 나아가 투자자들이 이목을 끌지 않은 꾸준한 가격변동에 대해 시장이 과소반응하기 때문에, 주가에 순위모멘텀이 나타난다는 가설을 검증한다. 주요 결과는 다음과 같다. 첫째, 수익률순위가 높은 주식을 매수하고 낮은 주식을 매도하는 매수-매도 전략은 유의한 양의 수익을 얻는다. 둘째, 순위모멘텀의 수익은 기업특성, 고차적률 등을 통제한 후에도 여전히 유의하다. 셋째, 순위모멘텀은 보유기간이 길어질수록 단조적으로 약화되나 반전되지 않는다. 넷째, 주가가 매우 짧은 기간 동안 가파르게 변동한 기업의 주가에는 순위모멘텀이 상대적으로 덜 유의하다. 마지막으로, 수익률순위가 높은 기업의 가격 상승모멘텀보다 수익률순위가 낮은 기업의 가격 하락모멘텀이 더 유의하고 지속적이다. 이상의 결과는 순위모멘텀이 시장의 과소반응에 기인함을 매우 일관되게 지지한다.
I demonstrate that the rank momentum strategy advanced by Chen, Chou, Ko, and Rhee (2016, Nonparametric momentum strategies, working paper, henceforth CCKR) is profitable in Korea. The strategy constructed on the basis of average past ranks of daily returns generates significant momentum profits for up to four years following portfolio formation. Further, I find evidence that the profitability is attributed to investor underreaction to non-salient information embedded in stock prices. Rank measures capture the non-salient component in stock prices largely neglected by investors, and therefore, the rank can predict the future changes in stock prices. The main findings of this study are as follows. First, rank momentum strategies generate significant returns for holding periods ranging from six months to four years subsequent to portfolio formation. In particular, the risk-adjusted return of the rank momentum strategy constructed by buying stocks with high average ranks and short selling those with low average ranks is 0.81% per month (t-statistics 2.90) when the long-short portfolio is held over six months. The profitability of rank momentum strategies is robust to controls of various cross-sectional effects such as size, book-to-market, illiquidity, and idiosyncratic volatility. Second, rank-based momentum strategies even work better than the price momentum strategies proposed by Jagadeesh and Titman (1993, Returns to buying winners and selling losers: implications for stock market efficiency, J. Finance 48, 65-91, henceforth JT). For example, over one year holding period following formation, the rank momentum earns an average monthly profit of 0.44%, while the profits of JT price momentum are even negative. The rank momentum strategies also outperform the 52-week high momentum strategies suggested by George and Hwang (2004, The 52-week high and momentum investing, J. Finance 59, 2145-2176). Third, rank momentum profits tend to fall for longer holding periods but are not reverted to become negative afterward in contrast with that of JT price momentum. The literature documents that investor overreaction leads to long-term reversals but investor underreaction does not. In this regard, the lack of reversals indicates that the rank momentum profits are not driven by the overreaction, but by the underreaction. Fourth, rank momentum profits primarily come from loser stocks’ underperformance. Fama-MacBeth (1973, Risk, return, and equilibrium: Empirical tests, J. Polit. Econ. 81, 607-636) regressions results reveal the short-leg of the long-short strategy yields persistent negative returns over holding periods ranging from six months to two years, while the profit of long-leg is positive only for the first six months. Consistent with the earlier findings in my study, this result also indicates that the rank momentum is associated with stock mispricing, which has not been eliminated by arbitragers. In particular, the rank momentum is closely related to stock overpricing and the resulting reduction. Arbitragers face greater impediments when they short-sell an overpriced stock than when they purchase an underpriced stock. The difficulty of short-selling deters arbitrage that reduces the overpricing. Accordingly, the underreaction of loser stocks to bad news is more persistent than underreaction of winner stocks to good news, which leads to persistent rank momentum profits for loser stocks. Lastly, the profitability of the rank momentum is strong among stocks with weak salient features, where the salience is proxied by the presence of extreme price changes. This evidence indicates that the rank momentum is the investors’ underreaction, rather than overreaction, is an underlying cause of the rank momentum. The literature including Bordalo, Gennaioli, and Shleifer (2013, Salience and asset prices, American Economic Review 103, 623-28) and CCKR asserts that investors tend to overreact to salient information and underreact to non-salient information. Weaker rank momentum in stocks with higher salient features lends support to the conjecture that the rank momentum profits are attributed to investor underreactions, not due to investor overreactions. Overall, our empirical findings for the Korean stock market is quite consistent with that for the U.S. stock market. As in CCKR, we provide ample evidence that rank captures the non-salient information embedded in stock prices, which is largely due to investors’ underreaction, and the profitability of rank momentum strategy primarily comes from the underreaction to bad news among loser stocks. This study contributes the literature on the momentum phenomenon in the Korean stock market. I explore the sources of the profitability of rank momentum strategies by comparing it with that of the traditional JT momentum strategies. Moreover, this study sheds light on the understanding of investors’ reactions to non-salient information in the Korean stock market. Investors tend to underreact to non-salient news, and the overpricing, which is due to the underreaction, and the resulting reduction produces momentum in stock prices.
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기업투자를 설명하는 이론에 따르면 미래수익성과 위험조정할인율을 투자의사결정에 영향을 미치는 주요한 요인으로 고려할 수 있다. 본 연구는 Frank and Shen(2016)의 방법론을 이용하여 국내 기업의 자본비용과 투자의 관계를 실증적으로 분석하였다. 가중평균자본비용이 투자에 음(-)의 방향으로 영향을 미칠 것을 예상하였으나, CAPM과 같은 전통적인 방식을 이용할 경우 자본비용이 투자와 유의한 관계를 가지지 않는 것으로 나타났고, 경기상승기로 구분되는 기간에는 유의한 양(+)의 관련성을 보이기도 하였다. 반면 내재자기자본비용을 활용할 경우 자본비용이 투자에 미치는 음(-)의 효과를 확인할 수 있었다. 본 연구는 이에 대한 해석의 근거를 내재자기자본비용의 특성에서 찾고 있다. 기업투자와 관련된 위험에는 비체계적인 요인이 포함되는데 이러한 고유위험에 대한 정보는 주가로부터 도출되는 내재자기자본비용에 더 많이 반영된다고 볼 수 있다. 또한 국내 기업집단에 존재하는 내부자본시장을 고려하여 기업군을 구분하고 분석한 결과 기업집단에 속한 기업의 투자는 독립기업과 달리 가중평균자본비용에 유의하게 반응하지 않는 것으로 나타났다. 이와 같은 결과는 내부자본시장이 기업집단 소속기업의 자본제약 정도를 완화할 수 있음을 시사한다.
The cost of capital is one of the key determinants of corporate investment, and according to the q theory framework, it has a negative effect on investment. However, there has been relatively little research on the relation between the cost of capital and corporate investment. Frank and Shen (2016) report the following findings: (1) the cost of capital estimated by asset pricing models such as the CAPM have a positive effect on investment; and (2) the implied cost of capital is negatively related to investment. They provide considerable insight into methods for estimating the cost of equity, but do not give a convincing explanation for their unexpected results. Building on their insight, we use a dataset of listed Korean firms to estimate a firm’s expected return using different measurement methods, and investigate whether the empirical result depends on how the cost of equity capital is measured. The most common approach to estimating a firm’s cost of equity is to calculate the expected return based on the CAPM. The implied cost of equity derived from stock prices and analyst forecasts could be an alternative measure of the expected return for a firm’s stock. In this study, we estimate the implied cost of equity by applying two different valuation models: the Gordon growth model and the abnormal earnings growth model developed by Ohlson and Juettner-Nauroth (2005). The sample dataset covers the 2002 to 2016 period. Following Frank and Shen (2016), we use a g-decomposed model in which investment is formulated as a function of marginal profitability and discount rate for a firm’s capital budgeting decision. According to the model based on the q theory, investment should be negatively related to the weighted average cost of capital, which represents the discount rate. Our findings, however, show that the CAPM-based estimate does not confirm the validity of the theoretical prediction. We consider the effect of macroeconomic factor such as the business cycle on the association between the CAPM-based estimates and corporate investment, as it is possible that firms make different investment decisions at different stages of the business cycle. We divide our sample period into an expansion period and a contraction period, and conduct the same analysis on the subsamples. We find that the positive impact of the CAPM estimate is only significant in the expansion period. We also find that the positive effect is large for the subset of relatively small firms that are listed on the Kosdaq market. The implied cost of capital-based analysis produces different results. We find that the implied cost of capital is negatively linked to investment, perhaps because the implied cost of equity capital (i.e., the return required by shareholders) better reflects investors’ expectations about the riskiness of firm-specific investments, and the information imbedded in the estimate can be useful for managers’ capital budgeting decisions. Next, we focus on the internal capital market effect, which occurs in the Korean business group. Following previous studies, we assume that firms that belong to business groups have easier access to internal capital markets. To examine whether the internal capital market plays a significant role in firms’ investment decisions, we categorize our sample firms into two subsamples: independent firms and group-affiliated firms. Our analyses of the subsamples suggest that the cost of capital can have different effects on firms’ investment expenditures depending on their business group affiliation. More specifically, we find that the negative relation between the weighted average cost of capital and investment is statistically insignificant for group-affiliated firms, whereas for independent firms, we find that investment is negatively affected by the weighted average cost of capital. This evidence is consistent with the notion that the investments of group-affiliated firms with easier access to internal capital markets are less affected by external financing cost than independent firms. In a further analysis, we also find that the investment of group-affiliated firms is negatively correlated with the debt component of the WACC, but not with its equity component. This implies that the internal capital market relieves the financing constraints of firms belonging to business groups, but it does not completely substitute for the external capital market. Finally, we use the expected return estimated by the Fama–French three-factor model as a proxy for the cost of equity. We find that the FF3-based estimate has a negative effect on investment, but the effect is not statistically significant for the whole sample, suggesting that the factor loadings of the Fama-French model can measure firm-specific risk more accurately than the CAPM beta, but they are insufficient to represent the unsystematic risk that individual firms are likely to face with respect to their investment decisions.
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