기업고유위험과 공매도 : 한국주식 시장에 대한 실증분석 (Idiosyncratic Risk and Short Sales: Evidence from the Korea Exchange)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 28권 / 2호 / 269 ~ 307페이지
· 저자명 : 장병훈, 안희준

초록

연구는 한국주식시장에서 공매도와 기업고유위험 사이의 관계를 규명하고, 기업 고유위험이 공매도의 가격효과에 어떠한 영향을 미치는가를 분석한다. 한국거래소 유가증권시장 상장주식을 대상으로 2004년 7월부터 2011년 6월까지 체결되었던 공매도 거래의 일별 자료를 분석에 사용하였으며, 자료로부터 측정된 공매도 비중과 기업고유 변동성을 토대로 월별 포트폴리오 차이분석 및 회귀분석을 수행하였다. 분석결과를 요약하면 다음과 같다. 첫째, 기업고유위험과 공매도 사이에는 유의한 음(-)의 관계가 나타난다. 이는 기업고유위험이 차익거래비용으로 인식되어 공매도를 제약하는 요인이 된다는 Pontiff(2006)의 비용을 고려한 차익거래 모형(costly arbitrage model)의 논리와 일치한다. 둘째, 공매도 비중이 높은 주식그룹일수록 익월수익률이 낮게 나타났다. 이를 통해 공매도 거래가 미래주가에 대한 정보를 담고 있음을 확인하였다. 셋째, 기업고유 위험이 큰 주식일수록 공매도와 수익률간의 음(-)의 관계가 확대되는 것으로 나타났는데, 이는 기업고유위험이 거래비용으로 작용하여 공매도가 미래주가에 대한 정보를 가진 정보투자자에 의해 이용될 수 있다는 Diamaond and Verrecchia(1987)의 이론과 합치 하는 결과이다. 넷째, 투자주체별로 분석을 실시한 결과, 기관투자자가 수행한 공매도 에서는 기업고유위험과 공매도 사이에 강한 음(-)의 관계가 관찰된 반면, 개인투자자의 경우에는 둘 사이에 양(+)의 관계가 발견되었다. 이는 투자주체별 위험 선택요인 및 거래목적이 다르기 때문인 것으로 해석된다. 추가적으로, 공매도 거래의 정보효과는 외국인 투자자들의 공매도 거래에만 존재하는 것으로 나타나 공매도 거래에 있어 외국인 투자자가 국내 기관투자자나 개인투자자에 비해 정보우위를 가짐을 확인할 수 있었다.

영어초록

According to the costly arbitrage model of Pontiff (2006), idiosyncratic risk increases holding costs that limit arbitrage. Since short sales are actively used for arbitrage, the costly arbitrage model should apply to short sales, which is the case according to the empirical findings of two recent studies: Au, Doukas, and Onayev (2009) on US markets, and Duan, Hu, and McLean (2010) on U. K. markets. Both studies offer evidence that idiosyncratic risk acts as a deterrent to short sales and affects returns subsequent to short sales. This study investigates whether a similar pattern exists in the Korean equity market using short sales data for stocks listed on the Korea Exchange from July 2004 to June 2011.
Our study contributes to the literature in three important ways. First, it is the only study ever conducted outside the U.S. and U.K. markets on the relation between idiosyncratic risk and short sales. Second, different from Au et al. (2009) and Duan et al. (2010), we use short sale volume data rather than short interest data in our analysis. Using short sale trading volume is preferable to short interest volume because the former captures short sales activity more accurately than the latter, which often under- or over-estimates short sales activity. Third, we perform an investor-type analysis. Our data enable us to distinguish short sale volume by different investor types: individuals, domestic institutions, and foreigners. An investor-type analysis offers important insights into the effects of idiosyncratic risk on short sales activity. This is because different types of investors have different motives for short sales, an issue closely related to whether a certain type of investor engaging in short sales is more informed than other types. How idiosyncratic risk affects short sales made by different types of investors, and how it is related to the information content of short sales made by certain types of investors, are interesting questions.
We measure short sales activity by short volume ratio (SVR), defined as the cumulative daily short volume of a stock in a month divided by the total trading volume of the stock in the same month. Following Ang, Hodrick, Xing, and Zhang (2006), we estimate the idiosyncratic risk of a stock in a given month from the Fama-French three-factor model. Our analysis is performed in two ways: a comparative analysis based on 20 groups formed by levels of idiosyncratic risk and SVR (5 by 4), and Fama-MacBeth regressions of (1) SVR on idiosyncratic volatility and (2) abnormal returns on SVR and idiosyncratic volatility. Both regressions use control variables that are believed to affect short sale volume or returns.
Our findings can be summarized as follows. First, we find a negative relation between idiosyncratic risk and SVR, which is consistent with the recognition by investors of idiosyncratic risk as an arbitrage cost that limits short sales activity. Second, short sales made by domestic institutions show the strongest negative effect of idiosyncratic risk on SVR, followed by short sales made by foreigners. We do not find evidence of such a negative relation between idiosyncratic risk and short sales made by individuals. These patterns are consistent with different motives for short sales made by different types of investors. Institutions use short sales primarily for hedging and arbitrage. Hence, idiosyncratic risk is a significant binding factor. It binds short sales made by individuals less because they use short sales mainly for speculative purposes. Third, the greater the SVR, the lower the returns after short sales. This suggests that short sales predict future stock returns and that, on average, short sale traders are well informed. Fourth, the negative relation between SVR and future returns is stronger for firms with greater idiosyncratic risk. This finding is consistent with the model of Diamond and Verrecchia (1987), which states that costly short sales are used by informed traders. Finally, the effect of idiosyncratic risk on the relation between SVR and future returns is stronger for short sales made by foreign investors–a finding that suggests an informational advantage of foreigners over domestic institutions and individuals.

참고자료

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