호가스프레드의 구성요소에 관한 연구

류두진(Doojin Ryu) 한국산업경영학회 2011 경영연구 Vol.26 No.2

이 연구는 거래량규모에서 세계적인 지수선물시장중의 하나인 KOSPI200 선물시장의 일중체결 거래자료를 분석하여, 호가스프레드와 이를 구성하는 요소들에 대하여 조사한다. 이를 위해 Madhavan, Richardson, and Roomans(1997)가 제시한 시장미시구조모형(MRR모형)의 틀 하에서 스프레드를 (1)정보거래로 인한 영구적 요소인 정보거래비용 요소와 (2)일시적 요소로 구분되는 주문처리비용 요소로 분해하여 살펴보되, 선물시장에서 주문크기가 매우 독특한 분포를 보임을 고려하여 주문크기에 대한 정보를 스프레드의 구성요소 추정에 이용할 수 있도록 확장된 MRR모형(SD-MRR모형)을 사용하여 연구를 진행하였다. 본 연구의 실증결과는 체결된 주문의 크기가 스프레드와 그 구성요소의 분석결과에 영향을 미치고 있음을 보여주고 있다. SD-MRR모형의 추정결과는 주문의 크기가 커질수록 주문처리비용 요소는 감소하는 반면, 정보거래비용 요소는 유의하게 증가함을 나타내고 있다. 또한, 선물시장에서 주문의 크기를 고려하지 않고 MRR모형을 추정한 Ryu(2011)의 연구결과와 비교하여, 정보거래비용 요소의 크기가 상대적으로 크게 측정되었고, 호가스프레드에서 정보거래가 설명하는 비중도 훨씬 크게 나타남을 발견하였다. 이와 같은 결과는 KOSPI200 선물시장에서는 주문의 크기가 유의미한 정보량을 가지고 있으며, 규모가 큰 주문일수록 정보거래자로부터 제출되었을 개연성이 높음을 암시한다. This study investigates the components of the bid-ask spread in the KOSPI200 futures market, which is one of the most remarkable index derivatives markets in the world. We basically analyze the spread and its components (the information asymmetry cost component and the order processing cost component) under the basic framework of Madhavan, Richardson, and Roomans(1997)s’ model (the MRR model). However, considering that the distribution of order-size in the KOSPI200 futures market exhibits unique traits, we estimate the spread components using an extended decomposition model (SD-MRR model), which incorporates the effect of order-size into the model. The empirical results in this study indicate that the estimated value for the information asymmetry cost component generally increases with the size of the incoming order whereas that of the order processing cost component decreases with the size of the order. We also find that the information asymmetry cost component implied by the SD-MRR model is greater than the component implied by the original MRR model. These results imply that the order-size generally contains substantial information contents and the large-size orders are more likely to be submitted by the informed investors compared to the small-size orders.

국제회계기준 도입과 신종자본증권 발행: 생명보험사와 손해보험사를 중심으로

류두진 ( Doojin Ryu ),유진영 ( Jinyoung Yu ) 보험연구원 2021 보험금융연구 Vol.32 No.1

본 연구는 생명보험사와 손해보험사로 구분되는 국내 보험회사의 표본을 대상으로 신종자본증권 발행의 동기와 결정요인을 분석한다. 소표본 분석에 적합한 희귀사건 로지스틱 모형을 추정하였으며, 분석결과, 전기(q-1)의 자본적정성 지표가 낮거나 부실자산 비율이 높은 보험사일수록 당기(q)에 신종자본증권을 발행할 확률이 높아지는 것으로 나타났다. 특히, 생명보험사의 경우, 지급여력비율이 낮을 때 신종자본증권을 발행할 유인이 증가하며, 이는 생명보험사가 주로 국제회계기준 도입으로 인한 자본적정성 기준을 고려하여 해당 증권의 발행을 결정한다는 것을 의미한다. 한편, 손해보험사는 부실자산 비율이 높은 경우의 신종자본증권 발행확률이 높으며, 이는 손해보험사의 경우 자본확충 등의 목적으로 해당 증권을 발행함을 암시한다. 본 연구는 과도한 신종자본증권 발행이 장기적으로는 보험회사의 재무구조를 악화시킬 가능성이 있음을 지적하며, 합리적인 규제와 보험사 유형을 구분한 관리와 감독이 보험회사의 신종자본증권 발행 규율을 강화하고 재무건전성을 개선하는 데 도움이 될 수 있음을 제언한다. This study investigates the Korean domestic insurance industry and reveals the determinant factors of insurance companies’ decisions to issue hybrid bonds. Employing the logistic regression with rare events, we find that some financial solvency indicators affect insurance companies’ hybrid bond issuances in the near future. Particularly, life insurance companies issue hybrid bonds when their risk-based capital ratios are low, indicating that these companies decide issuances considering the imminent regulatory changes in the international financial accounting standards, which is the IFRS 17, and the K-ICS. Non-life insurance companies choose to issue the bonds when their risk-weighted non-performing assets ratios are low, to improve their asset quality. In addition, this study points out some potential side-effects of excessive issuances and proposes to reinforce the supervisory regulations.

산업별 특성과 기업 간 상호작용을 고려한 4차 산업기술기업의 가치평가

류두진 ( Doojin Ryu ),박대현 ( Daehyeon Park ) 한국금융공학회 2021 금융공학연구 Vol.20 No.2

본 연구는 산업별 특성과 기업 간 상호작용을 고려하여 4차 산업기술기업에 적합한 가치평가 방법을 제안한다. 혁신적인 기술이 주도하는 4차 산업에서는 가변비용보다는 R&D 투자를 포함한 고정비용에 대한 불확실성 요소가 기업가치에 큰 영향을 미칠 것으로 보인다. 4차 산업기술은 기존과 달리 융·복합의 특성이 강하게 나타난다는 점에서 고정비용에 대한 불확실성을 고려할 필요가 늘어난다. 본 논문에서는 Schwartz and Moon(2000, 2001)이 제안한 가치평가 모형을 확장하여, 비용에 대한 불확실성을 중심으로 모형을 구축한다. 모형에 대한 시뮬레이션 결과를 비교함으로써 가변비용과 고정비용의 불확실성이 기업의 가치평가에 미치는 영향에 차이가 있음을 보인다. 이는 4차 산업기술기업의 가치평가에서 고정비용의 불확실성을 고려하지 않을 경우, 기업가치에 추정에 왜곡이 생길 수 있음을 시사한다. This study proposes a valuation method suitable for 4th industrial technology companies. In the 4th industrial technology, the uncertainty factor about fixed costs including R&D investments, rather than variable costs, is expected to have a greater impact on corporate value. The need to consider the uncertainty about fixed costs is increasing in that the 4th industrial revolution technology shows strong characteristics of the convergence technology unlike the previous one. In this paper, based on the valuation model of internet companies proposed by Schwartz and Moon (2000), four models are constructed around cost uncertainty. By comparing the simulation results, we show that the uncertainty of variable and fixed cost impacts on firm value differently. It suggests that if the uncertainty of fixed costs is not considered, there may be distortions in the valuation of 4th industrial technology growth companies.

자본시장의 위상전이행태에 관한 학제간 융합연구

류두진(Doojin Ryu),주강진(Kangjin Ju),김현나(Hyun Na Kim),양희진(Heejin Yang) 한국경영과학회 2016 經營 科學 Vol.33 No.2

This study introduces the concepts on the phase-shifting phenomenon of financial markets, which was firstly used in econophysics area and explains how the phase-shifting behavior is studied in the fields of business management and finance. Specifically, we explain how the phases of financial markets are extremely changed under some external conditions, do an extensive literature review, and carry out case studies focusing on the 3 major financial crisis events including the 87 October crash, 97 Asian financial crisis, and 2007 global financial crisis. We also empirically examine the phase-shifting behavior of the Korean ELW products that has a similar payoff structure to the KOSPI200 options.

OCIO의 대리인 문제

류두진 ( Doojin Ryu ),박대현 ( Daehyeon Park ) 한국금융연구원 2020 금융연구 Vol.34 No.3

본 논문은 외부위탁운용관리(OCIO; outsourced chief investment officer)와 관련된 계약 기간과 기금의 전문성을 중심으로 OCIO의 대리인 문제를 분석한다. 국내 OCIO의 경우, 대리인 문제로 인하여 해외 OCIO와 비교하여 낮은 성과를 보이는 것으로 지적된다. 본 논문은 OCIO의 기금운용과정에서 나타나는 대리인 문제를 분석하는 모형을 제시하며, OCIO의 계약 기간에 따라 수익성이 증가하고, 기금의 전문성과 OCIO의 위험관리 수준에 따라 재계약 가능성이 변화하는 것을 고려한다. 본 논문의 분석결과, OCIO는 계약 기간이 길수록, 기금의 전문성이 낮을수록 대리인 문제를 일으킬 가능성이 커진다. 이는 기존 연구의 제안처럼 단순히 계약 기간을 늘려OCIO의 수익성을 개선하려 하면, OCIO가 기금위험관리에 소홀해지는 대리인 문제가 발생할 수 있음을 시사한다. 따라서 OCIO의 대리인 문제를 감시하기 위해 기금의 투자 전문성을 일정수준 이상으로 확보한 후, 이에 맞게 계약 기간을 늘려 수익성을 개선해야 한다. 이는 기금과 OCIO 사이의 장기적인 협력관계를 구축하여, 기금과 OCIO 간 계약과 업무의 효율성도 개선될 것으로 기대된다. With the increasing demand and supply for outsourced chief investment officers (OCIOs) in Korea, they are frequently discussed in the literature. Unlike OCIOs in other countries, those in Korea lack institutional efficiency; hence, some problems are being pointed out, such as the provision of low returns by them. Previous discussions define these as an agency problem related to OCIOs. They suggest that the fee system and short contract period cause these low returns and argue that a performance fee should be paid, or contract terms should be extended. However, they overlook OCIOs’ risk management. Even if an OCIO improves revenue, agency problems may arise if risk is not managed adequately. Accordingly, unlike previous research, this study investigates the issue of OCIOs’ risk management performance. This study provides proof for the argument that improving funds’ expertise is essential. With increased instability and complexity in the financial market, funds are very likely to have limited access to information. Thus, funds use OCIOs’ services because of the high cost of collecting information and evaluate the performance of the portfolio created by the OCIO according to their own expertise. In these circumstances, we review the impact of the fund’s expertise on the agency problem related to OCIOs. We also consider whether extending the contract period to improve an OCIO’s poor returns could cause agency problems related to OCIOs’ risk management. In this study, we construct a model for analyzing the agency problem related to OCIOs, focusing on the contract period and the fund’s expertise. As the contract period increases and the fund loses its expertise, the OCIO does not manage risk faithfully. However, it is necessary to extend the contract term to improve profitability. Thus, to prevent agency problems from occurring in the process of improving an OCIO’s returns, the contract period should be extended to an appropriate level after the fund’s expertise has increased. In economics, solutions to agency problems are classified as either proper incentive design or the direct monitoring of agents. We argue that the agency problem related to low returns in the OCIO structure can be solved through incentive design, whereas the problem related to risk management can be solved through monitoring. Increasing the contract term serves as an incentive for OCIOs to improve their returns, and evaluating funds based on an OCIO’s risk management performance induces the OCIO to manage risk. Thus, forging long-term partnerships between OCIOs and funds is essential for resolving agency issues.

국내기업의 CSR활동은 투자인가 비용인가?

류두원(Doowon Ryu),류두진(Doojin Ryu),황준호(Joonho Hwang) 한국경영학회 2017 經營學硏究 Vol.46 No.4

Recently, corporate social responsibility (hereafter, CSR) of firms has become an important topic in all fields of business. The topic takes a greater importance in Korea which has accomplished rapid economic growth mostly from large companies. There are two opposing views, both theoretically and empirically, on the role of CSR. The first is the value-enhancing view of CSR, which argues that CSR activity is a positive NPV investment thus increasing firm value. A possible channel for this role of CSR is that so long as CSR promotes wealth increase of some stakeholders, these stakeholders will support the firm’s other business activities and contribute to the firm’s performance. The other view is the expense view of CSR, which argues that CSR is a manifestation of an agency problem and thus hurts firm value and shareholders’ wealth. Based on the expense view of CSR, managers can exploit CSR at the expense of shareholders in order to gain good reputation from other stakeholders. Based on these two opposing views of CSR, this study empirically examines the CSR activities of Korean firms in relationship to the degree of product market competition and the amount of R&D investment. As a proxy of CSR activity, we use the KEJI index provided by CCEJ as the dependent variable. Other main variables of this study are HHI (Herfindahl-Hirschman Index) to measure the degree of product market competition, and the amount of R&D investment, leverage and free cash flow of firms. Using firms listed in the Korea Exchange and those that are in the manufacturing industry, we perform various regression analyses including the Fama-MacBeth cross sectional regressions. The sample period of the study is between January, 2009 and December, 2015. Our main results of the empirical analyses are as follows. First, the degree of product market competition has a positive impact on the amount of CSR activities. This result supports the value-enhancing view of CSR. Second, the size of R&D investment also has a positive effect on the amount of CSR activities. This result supports the expense view of CSR. Third, the result with respect to the leverage and free cash flow variables, which are proxies of agency cost, is consistent with the expense view of CSR. Overall, results are more supportive of the expense view of CSR compared with the value-enhancing view of CSR. This implies that the CSR activies of Korea firms can be another showing of agency problem.

신용평가사의 역할에 대한 고찰

류두원(Doowon Ryu),류두진(Doojin Ryu),양희진(Heejin Yang),홍기택(Kyttack Hong) 한국경영과학회 2015 한국경영과학회지 Vol.40 No.4

Through the event study methodology and the case study on the Company T and its subsidiaries, this study analyzes the effect of credit rating downgrade in the Korean stock market. Our empirical results cast some doubts on whether credit rating agencies made adequate credit rating adjustments on the Chaebol companies, and suggest that little information was provided to the bond market investors. This study provides some policy implications by recommending that regulators encourage credit rating agencies to provide more accurate and appropriate information to market participants.

금융시장 로보어드바이저 산업에 대한 고찰: 현황과 개선방안

임혜진(Hyejin Lim),류두진(Doojin Ryu),양희진(Heejin Yang) 한국경영학회 2018 經營學硏究 Vol.47 No.3

The artificial intelligence technology of the fourth industrial revolution has had a significant influence on industries such as medicine, engineering, and finance. For example, with its low fees and high level of convenience, the artificial intelligence robo-advisor has quickly come to dominate the traditional asset management service market. Several start-up companies and traditional financial companies are entering the robo-advisor market in Korea. However, in contrast to its great success in the United States and Europe, the growth of the domestic robo-advisor market is stagnant owing to environmental and regulatory constraints, such as restrictions on non-face-to-face contracts. In this study, we present the current status and practices of domestic and foreign robo-advisor companies. In addition, based on a comprehensive cost-structure analysis of the robo-advisor market, we suggest ways in which to improve related policies. Although there are many robo-advisor-related business units and start-ups in Korea, current market regulations and inefficient system operation mean that they are not providing marketable services. When a firm with a cost advantage enters the robo-advisor market at the initial stage, the absence of effective government policy can result in an oligopoly of a few companies, thus deterring long-term growth. Therefore, it is necessary that we improve the environment and strengthen the support policy for new entrants with potential. At the same time, we need to induce a competitive system based on technology innovation, rather than on excessive competition that focuses on reducing commission.

하이브리드 로보어드바이저 활용의 사례와 제언

최원우(Wonwoo Choi),류두진(Doojin Ryu) 한국경영학회 2018 Korea Business Review Vol.22 No.3

빅데이터와 인공지능기술을 활용한 로보어드바이저는 온라인을 통한 편리한 접근성을 제공하고 저렴한 비용의 소액 자산관리를 가능하게 하면서, 기존의 대형자산가 위주의 자산관리시장에서 소외되었던 소액자산가들과 정보통신기술에 친숙한 투자자들의 관심을 끌고 있다. 한편, 로보어드바이저는 투자자의 개별적인 심리나 감정적인 문제를 상담할 수 없다는 점, 맞춤형 재무 설계 및 자문을 제공하지 못한다는 점, 시장의 급격한 변동에 대응하는 능력이 떨어진다는 점 등의 한계도 가진다. 이러한 로보어드바이저의 한계점을 보완하기 위하여 인간투자전문가가 개입하는 하이브리드 로보어드바이저가 등장하게 된다. 미국을 비롯한 해외에서는 이러한 유형의 하이브리드 로보어드바이저가 활발하게 도입되어 다양한 형태로 제공되고 있지만, 국내의 하이브리드 로보어드바이저 서비스 제공형태는 상대적으로 제한적이다. 본 논문에서는 미국의 사례를 중심으로 해외에서 활용되는 하이브리드 로보어드바이저의 현황과 유형을 조사하였다. 이를 바탕으로, 국내 로보어드바이저 시장에서 기존 서비스에 만족하지 못하는 고객층을 확보하기 위해, 기업은 하이브리드 로보어드바이저를 적극적으로 활용할 필요성이 있음을 제언한다. 또한, 하이브리드 로보어드바이저의 유형에 따라, 서비스 도입 시 각각 어떠한 고객층을 추가로 확보할 수 있게 되는지에 대하여 살펴본다. Using big data and artificial intelligence technology, Robo-advisor provides convenient access to online, low-cost small asset management. It attracts small asset holders who are alienated from large asset holder-oriented asset management markets and investors who are familiar with IT. However, Robo-advisor has some limitations, such as an inability to consider individual investors’ psychological or emotional issues, a failure to provide customized financial plans and advice, and an inability to respond to sudden market fluctuations. To complement these limitations, a Hybrid Robo-advisor, which involves human investment specialists, is introduced. In the US and abroad markets, this type of Hybrid Robo-advisor has been actively introduced and is offered in various forms, but the provision of domestic Hybrid Robo-advisor services is relatively limited. In this study, we investigate the current statuses and types of Hybrid Robo-advisors used in the US. Based on this investigation, we suggest that companies need to actively utilize Hybrid Robo-advisor in order to secure a customer group that is not satisfied with existing services in the domestic Robo-advisor market. In addition, we investigate the differentiated service types provided by the Hybrid Robo-advisor and the relationships of additional customer segments.

주택연금 유동화증권에 관한 연구

김형준(Hyeongjun Kim),류두진(Doojin Ryu),조훈(Hoon Cho) 한국증권학회 2018 한국증권학회지 Vol.47 No.2

2007년 7월 출시된 주택연금은 우리나라의 고령화 문제와 부동산에 편중된 자산구조의 불균형 문제를 해소할 방안으로 주목받으며 지난 10년간 빠르게 성장하였다. 그러나 주택연금을 취급하는 금융기관은 상품의 현금흐름 특성으로 인해 공급이 확대될수록 유동성 문제에 직면하게 된다. 본 연구는 이러한 상황을 고려하여, 미국의 공적보증 역모기지 상품인 HECM(Home Equity Conversion Mortgage)의 유동성 공급 사례를 분석하고 이를 바탕으로 주택연금 유동화증권 발행 및 현금흐름구조를 제안하였다. 또한, 주택연금 공급자료를 이용하여 주택연금 유동화증권이 발행되었을 때 예상되는 현금흐름을 계산하고, 그 특징에 대하여 분석하였다. 본 연구의 분석결과는 주택연금 유동화증권발행을 위한 선결과제의 측면에서 다음의 정책제언을 함의한다. 첫째, 담보주택에 대한 각 참여지분의 근저당권 설정을 조정할 수 있게끔 제도적 보완이 필요하다. 둘째, 발행기관은 주택연금 유동화증권의 만기를 특정함으로써 현금흐름의 불확실성을 일부 해소할 필요가 있다. 셋째, 관련 거시변수와 주택연금 조기상환율의 관계에 관한 모형연구로, 정밀한 현금흐름 추정이 필요하다. 넷째, 금리·주택가격·기대여명 등 관련된 리스크에 대한 정확한 이해와 함께, 관계기관과의 협업을 통한 정책적 대비가 있어야 한다. JooTaekYeonKeum, the reverse mortgage in Korea, was launched in July 2007 and has grown significantly over the past decade. It has attracted attention as a measure for solving the problem of aging in Korea and the imbalance in the asset structure, which is concentrated in real estate. However, financial institutions face liquidity problems as the supply of JooTaekYeonKeum increases due to these institutions’ cash flow characteristics. This study analyzes the case of the liquidity supply of home equity conversion mortgages, which are public guaranteed mortgage products in the United States. Based on this analysis, we propose the issuance of JooTaekYeonKeum-backed securities and their cash flow structures. In addition, based on JooTaekYeonKeum supply data, we calculate the expected cash flow when the JooTaekYeonKeum-backed securities are issued and analyze the characteristics of the securities. The results lead to the following four policy proposals. First, it is necessary to guarantee the right of each participating institution to collateral security. Second, the issuers need to specify the maturities of the securities. Third, the prepayment model of JooTaekYeonKeum is required to estimate cash flows more precisely. Fourth, there should be a clear understanding of the related risks, such as interest rate, housing price, and life expectancy risks.