공매도의 정보거래가설 검증: 기업공시를 중심으로 (A Verification of Informed Trade Hypothesis of Short Sales : Focused on the Public Disclosure)

서지정보

· 발행기관 : 대한경영학회
· 수록지 정보 : 대한경영학회지 / 32권 / 4호 / 561 ~ 595페이지
· 저자명 : 김진수, 이준희

초록

공매도란 소유하지 않은 증권을 매도하는 것으로 증권시장의 안정성과 공정한 시장가격 형성을 위하여법적․제도적 제약이 수반되는 주식매매 방식이라 할 수 있다. 공매도의 높은 비용적 제약에도 시장에 참여한다는 것은 향후 주가하락을 확신하는 강력한 부정적 정보를 보유하고 있다는 의미일 것이다. 본 연구는 공매도가부정적 정보를 사전 보유한 정보거래자(informed trader)에 의해 행해지는지에 대해 검증하고자 한다.
대부분의 선행연구들이 기업의 실적 악화 발표를 부정적 정보로 전제하고, 실적 발표 직전 공매도 양태를고찰하는 방식으로 연구를 진행한 데 비해, 동 연구는 기업들이 발표한 공시내역, 구체적으로 거래소 공시시스템(kind.krx.co.kr) 을 통해 발표한 주요 경영사항의 수시공시를 기업의 주요 정보로 전제하고 연구를 진행하였다. 주가와 투자판단에 영향을 주는 것으로 보이는 기업공시 전․후로 공매도 거래 비율이 어떤 변동을 보이는지를 고찰하여 가설을 검증하였다.
‘15.1.2〜’18.8.31간 유가증권 상장종목 일별·종목별 공매도 데이터 및 기업공시 내역을 통해 공매도정보거래 가설을 검증해 본 결과, 국내주식시장의 높은 공매도 제약요인에도 불구하고, 공매도정보거래 가설이 명확히 성립하지 않았다. 기업의 주요 공시 전·후 10거래일간 공매도 변동 추이를보아도, 악재성 공시전에 일관되게 공매도가 급증한다고 보기 어려웠다. 해외 선행연구의ABSS(Abnormal Relative Short-Selling) 방법론을 활용해 본 결과, 공시내용이 호재인지 악재인지여부와는 무관하게 공매도 비율이 변동함을 알 수 있었고, ABSS를 공시 후 주가수익률과 회귀한결과에서도, 공매도 정보효과 가설이 성립할 때 나타나는 유의한 수준에서 음(negative)의 값은보고되지 않았다. 공매도 비율이 급격히 증가한 직후 기업공시 내역을 집계해 본 결과, 공매도비율 이상급등 직후 부정적 정보 공시가 집중되는 정보효과를 지지하는 결과는 보고되지 않았다.
본 연구는 기업 관련 주요 정보로서 포괄적이고 객관적인 기업공시를 활용함으로서 정보효과 검증의 신뢰성을 제고하고자 했다. 더불어, 주요 공시와 공매도의 관련성이 낮다는 것을 검증하여, 일부 시장참가자들이공매도의 부정적 기능이라고 주장하던 미공개정보 이용 가능성은 낮다는 점을 보인데 연구의 의의가 있다.

영어초록

A short sale is the sale of an asset or stock the seller does not own. Korea's capital market law allows only borrowed short sale and selling a short sale in a way prescribed by the Presidential Decree to stabilize the stock market. In this sense, short sale is essentially a stock trading method with restrictions. A short sale will face a variety of constraints, such as legal and institutional regulations, fees and investment risk, which will act as a factor driving up the cost aspect of short sale investments. Despite these constraints, participation in the short sale market means that investors are confident of future stock declines. In other words, it would mean that the investor of short sale has strong negative information to ensure that the share price of the company would fall. A prior literature defines those who have negative information in advance and invest in short sale as informed traders. This study attempts to verify the informed trade hypothesis of short sale.
Most of the preceding studies only define the announcement of deteriorating corporate performance as the negative information and try to observe the pattern of short sale volume just before the announcement of performance. However, this research defines the negative information on the basis of the company's major events, including the details of the disclosure issued by the companies, and the frequent disclosure of key management issues published by the Korea Exchange Disclosure System(kind.krx.co.kr). The hypothesis was verified by considering the change in the short sale rate before and after the corporate disclosure that appeared to affect the stock price and investment judgment After verifying through daily short sale data and corporate disclosures from 2015.1.3 to 2018.8.31, we concluded that it was difficult to support the hypothesis of informed trade. first, It was difficult to observe a consistent increase in the ratio of short sale before a company's major negative news disclosure. According to the specific types of negative disclosures, such as, termination of single sales/supply contract, it was difficult to conclude that the informed trade hypothesis for short sale were established, given the fact that there was no consistent increase in the share of short sale before the bad news disclosure. In particular, the increase in the ratio of short sale was independent of corporate performance compared to the previous fiscal year. second, using the ABSS methodology, both negative and non-negative disclosures show a nearly zero value. According to the informed trade hypothesis, the ABSS should show a strong positive value before strong negative news disclosure.
In particular, as a result of ABSS regression to the price yield after disclosure, negative values were not reported at the significant level that would arise when the short sale informed trade hypothesis was established. third, the difference between average short sale ratio in the last month (20 business days) and ratio of the short sale before disclosure was observed, and it was concluded that the short sale ratio of negative disclosure was larger than the average ratio of last month's. it supports the hypothesis of informed trade. fourth, a research on what kind of public disclosures are announced immediately after the sharp increase of short sale ratio showed no support for informed trade. because there were no concentration of negative disclosures immediately after sharp increase of short sale ratio. In summary, it is unlikely to conclude that the short sale of the Korean stock market is conducted mainly by informed trade.
Unlike previous studies, this study contributes to the hypothesis of informed trade as follows: We utilized corporate disclosure as a comprehensive and objective corporate information. This was to increase the reliability of verification of informed trade. As it proved that rapid increase in short sale is not very relevant to material non-public disclosures, it showed that it is unlikely that short sale traders will use material non-public information. As a result, some individual investors have demonstrated that the probability of using material non-public information is not high.

참고자료

· 없음