유가 연계 파생결합증권의 특성에 대한 연구

손경우(Kyoung-Woo Sohn),정지영(Ji-Yeong Chung) 강원대학교 경영경제연구소 2020 Asia-Pacific Journal of Business Vol.11 No.3

Purpose - This paper aims to investigate the properties of crude oil based derivative security (DLS) focusing on step-down type for comprehensive understanding of its risk. Design/methodology/approach - Kernel estimation is conducted to figure out statistical feature of the process of oil price. We simulate oil price paths based on kernel estimation results and derive probabilities of hitting the barrier and early redemption. Findings - The amount of issuance for crude oil based DLS is relatively low when base prices are below $40 while it is high when base prices are around $60 or $100, which is not consistent with kernel estimation results showing that oil futures prices tend to revert toward $46.14 and the mean-reverting speed is faster as oil price is lower. The analysis based on simulated oil price paths reveals that probability of early redemption is below 50% for DLS with high base prices and the ratio of the probability of early redemption to the probability of hitting barrier is remarkably low compared to the case for DLS with low base prices, as the chance of early redemption is deferred. Research implications or Originality - Empirical results imply that the level of the base price is a crucial factor of the risk for DLS, thus introducing a time-varying knock-in barrier, which is similar to adjust the base price, merits consideration to enhance protection for DLS investors.

주가지수 옵션 횡단면 정보의 미래 기대변동성 예측력에 관한 연구

손경우 ( Kyoung Woo Sohn ),김상수 ( Sang Su Kim ) 한국금융학회 2016 금융연구 Vol.30 No.1

본 연구에서는 옵션들이 사후적으로 고평가가 심화될 시점에 시장의 방향성이 전환될 가능성이 높다는 점에 착안하여, 코스피200 옵션들의 횡단면 정보에 의한 미래 기대변동성의 변곡점 예측력을 검정하였다. 옵션시장의 횡단면 정보로는 크게 내재 위험중립확률 분포의 고차적률(왜도 및 첨도)과 내재변동성 곡선(기울기 및 곡률)을 사용하였으며, 미래 기대변동성의 변곡점을 예측하기 위해 프로빗 모형을 이용하였다. 실증분석결과, 일정한 첨도(혹은 곡률)의 조건하에서, 왜도(혹은 기울기)가 내포하고 있는 미래 기대변동성의 방향이 전환될 것으로 예측되었다. 첨도가 높고 왜도가 높을 때 변동성의 상승전환이 예측되었고, 첨도가 낮고 왜도가 낮을 때 변동성의 하락전환이 예측되었다. 미래 기대변동성의 변곡점을 예측하기 위해 첨도의 역할이 중요함을 알 수 있다. 특히, 심외가격 옵션들로부터 얻은 변동성 곡선의 정보(기울기 및 곡률)가 내재 고차적률 보다 더 높은 예측력을 보여, 심외가격 옵션이 미래 기대변동성의 변곡점 예측에 있어서 상대적으로 더 효율적 도구임을 알 수 있다. 이러한 결과들을 이용하여 VKOSPI에 대한 가상의 투자전략을 수행한 결과, 표본 외 예측으로도 금융위기에 기대변동성의 변곡점을 잘 포착하였다. 본 연구의 예측 모형이 투자전략 및 위험관리 측면에서 유용할 수 있음을 시사한다. It is often said that investors’ expectation about market volatility and risk premium is reflected in stock index option price (implied volatility), precisely speaking, cross-sectional information of stock index option market. For example, it is well-known that “Volatility smile” or “volatility skew” is one of the phenomena which can represent investors’ expectation or risk premium related to market uncertainties. However, abnormalities may exist in the market as well. Some authors have been argued about “overvaluation puzzle of put option price.” Broadie, Chernov, and Johannes (2009), Bondarenko (2014) have claimed that it is hard to explain every dimension of overvaluation phenomenon of put option price under the existing theoretical models, because these cross-sectional unprecedented phenomena are reflecting demands of abnormal premium for market volatility and uncertainty, and thus the excessive volatility skew or unusual volatility shape sporadically occurs. This study puts a concern about information implied in cross-sectional abnormalities rather than it investigates the abnormalities themselves. Many articles have demonstrated that when investors demand abnormal premium or have extremely biased expectation over economic uncertainty, prices of related options tend to be extremely overvalued or undervalued. Based on this empirical tendency, we can infer that a situation where investors’ overvaluation (undervaluation) of put options deepens might lead to decrease (increase) in market volatility for the future with a high possibilities. Accordingly, using this inference, we can predict volatility (price of options) if we can know when we observe overvaluation or undervaluation. Therefore, our goal is to examine the prediction power of the inflection point of the future expected market volatility using cross-sectional information of the KOSPI 200 options. To this end, we first use probit model to test for the prediction power of the cross-sectional information of the options. The implied volatility of at-the-money option is used as a proxy variable for the expected market volatility in the model. We use two independent variables sets which can be obtained from cross-sectional stock index options. The one of the set is kurtosis and skewness which are higher moments of the implied risk neutral probability density, and the other set is slope and curvature of volatility curve which are main concerns of this study. Second, we present virtual investment strategies using the VKOSPI, the daily volatility index provided by KRX, to examine the effectiveness of the investment strategy of expected volatility based on our prediction model. Our prediction tests are two-folded in terms of dependent variables. The first one is min/max method measured by peaks and troughs of expected volatility and another one is up/down method measured by expected volatility’s % change of volatility at each time interval. And then, each method is categorized into 4 sub-tests by differing independent variables, such as implied higher moments and pairs of information of volatility curves. Thus, we test the 8 sub-models of prediction in total and compare their prediction power of the cross-sectional information of the options. The results show us that first, the expected volatility seems to be near the trough (peak) when skewness or slope is getting higher (lower) and kurtosis or curvature is getting higher. Second, the prediction power of our model is strong enough to capture the expected volatility located in the near-troughs and the near-peak area. Third, prediction power is improved when the implied kurtosis or curvature is added to the model, rather than only using skewness or slope. Fourth, prediction power is relatively high when information of volatility curve, rather than implied risk neutral probability density, is used. Since slope and curvature of volatility curve are more related to the information of deep-out-of-the-money option, it can be interpreted that they are useful to predict the inflection point of expected volatility with higher prediction power. Moreover, Our empirical findings mentioned in the above works well in out-of-sample prediction as well as in-sample prediction. Using the probability obtained from the prediction model with slope and curvature of volatility curve, we found that the strategy that virtually invest in VKOSPI index outperforms others. Surprisingly, the 2008 financial crisis at which the volatility is soared up, and subsequent period at which volatility trend shows decreasing are also well captured from out-of-sample prediction. Therefore, we can conclude that our prediction model is a useful strategy of defensive investment in the practical portfolio point of view.

GDP 연계채권과 환리스크 프리미엄

손경우(Kyoung-woo Sohn) 강원대학교 경영경제연구소 2021 Asia-Pacific Journal of Business Vol.12 No.3

Purpose - The purpose of this paper is to study the rational payoff from the standpoint of foreign investors and the government when the government issues GDP-linked bonds to foreign investors. Design/methodology/approach In this paper, the prices of 12 types of GDP-linked bond structures, which are classified according to the calculation cycle of the rate of change of linked GDP, the currency issued, and whether options are embedded, were evaluated. The Fama-French 3-factor model and the GMM-SDF model are used in the asset pricing model, and domestic and overseas investors used different basis assets. Findings - The KRW premium for US investors is estimated to be 43bp on a quarterly basis and 30bp on an annual basis, respectively, meaning that when the government issues bonds in KRW, the interest rate paid to US investors will be reduced by 30bp to 160bp (annually converted). Using the Fama-French 3 factor model, the KRW premium is the risk premium for the US market beta, meaning that if US investors do not intend to invest in US market beta, it is advantageous to receive an additional interest rate by investing in USD-denominated GDP-linked bonds. Korea s GDP- linked bond give US investors diversified investment utility, so they are willing to incorporate Korean GDP-linked bonds even if -150bp of interest is deducted from the structure issued to Korean investors. And as a result of estimating the value of the option through the GDP-linked bond with options that provides a floor for guaranteeing the principal, the value of the option linked to the annual GDP issued in dollars was the lowest. Research implications or Originality Issuing dollar-denominated GDP-linked bonds linked to annual GDP with the option of guaranteeing the principal by the government is a way to increase investment opportunities for US investors and achieve financial stability of the government.

한국주식시장에서의 위험관리 모멘텀 투자전략

손경우 ( Kyoung-woo Sohn ),윤병욱 ( Byoung Uk Yoon ),윤보현 ( Bohyun Yoon ) 명지대학교 금융지식연구소 2017 금융지식연구 Vol.15 No.1

본 연구는 Barroso and Santa-Clara(2015)에 의해 제시된 또 다른 수익률 이상현상인 위험관리 모멘텀 전략과 그 성과를 소개하고, 모멘텀 현상이 존재하지 않는 것으로 알려진 국내 주식시장에서도 유효한 전략인지 조사하였다. 상기 전략은 모멘텀 위험을 예측하고 이에 반비례하여 매매배율을 결정하는 전략으로 모멘텀 전략의 수익률 분포의 왜도와 첨도를 변화시켜 높은 위험 조정성과를 추구한다. 본 연구의 실증결과는 국내 주식시장의 모멘텀도 다른 나라의 모멘텀과 다르지 않은 측면이 있다는 것을 보여주며, 주요 결과는 다음과 같다. 첫째, 위험관리 모멘텀 전략을 통해 샤프비율이 두 배 가까이 증가하였으며, 모멘텀의 왜도와 첨도 또한 투자자에게 유리한 방향으로 개선되었다. 즉, 위험관리 모멘텀 전략이 한국에서도 유효한 전략인 것으로 나타났다. 둘째, 모멘텀 위험요인이 위험관리 전략에 의한 유의미한 수익률 개선 효과를 보인 반면 시장, 가치, 규모 등의 다른 위험요인 포트폴리오는 수익률 개선이 없는 것으로 나타났다. 이는 모멘텀 위험요인만이 갖는 기대수익률과 위험 간의 역(-)의 관계 때문이며 이러한 관계가 매매배율 재조정을 통한 위험관리를 가능하게 한 것으로 나타났다. 결론적으로 한국 주식시장에서 모멘텀 전략이 유효하지 않음에도 불구하고 한국과 미국의 모멘텀 전략 수익률의 확률분포는 유사한 특성이 있으며, 이 실증결과는 모멘텀 전략을 이해하는데 중요한 점이라고 할 수 있다. In this paper, we are to introduce the risk-managed momentum strategy, presented by Barroso and Santa-Clara(2015). In doing so, we show that the strategy proves to be an effective one to manage the momentum risk in Korean stock market. The main findings of this paper are as follows. First, in terms of momentum`s moments, the domestic stock market has similar distributional features with the US stock market: very high excess kurtosis and left skewness of the momentum returns. Considering the fact that momentum effect does not exist in korea, the distributional similarities make us more puzzled, but it also helps us to understand more domestic stock market with respect to momentum phenomenon. Second, the virtual investment of the risk-managed momentum portfolios can improve the sharp ratio of the momentum, as much as nearly double than an ordinary momentum strategy, consistent with the results of Barroso and Santa-Clara(2015). The momentum portfolios also lower the high kurtosis and make the skewness become less negative, being in favor of investors. These results come out of the risk-managed strategy based on the inverse linear relationship between expected risk and return of the momentum factor; that is, the forecasted variance from daily returns scales the exposure to momentum risk factor to have a constant variance over time. Third, the methodology of re-scaling the exposure to risk factors does work well only at the case of the momentum risk factor(WML), not at the case of other risk factors(RM, SMB, HML), implying that the methodology cannot be generalized to all types of risk factors. This is because only momentum risk factor shows the inverse linear relationship between expected risk and return of its own, and other risk factors do not.

논문 : 원/달러 환헤지 전략에 관한 실증연구: 롤오버와 만기매칭 비교

손경우 ( Kyoung Woo Sohn ),정지영 ( Ji Yeong Chung ) 명지대학교 금융지식연구소 2015 금융지식연구 Vol.13 No.1

본 연구는 외화표시자산에 투자를 함에 있어 그 수익률에 중요한 영향을 주는 환 위험을 헤지하는 것과 관련하여, 어떤 만기의 통화 선물을 이용하는 것이 더 유리한지에 대해서 분석한다. 이를 위해 단기상품으로 롤오버 헤지를 했을 때의 수익률과 투자자산의 만기와 매칭되는 상품으로 헤지를 했을 때의 수익률의 차이를 롤오버 헤지 순수익 (RHNP: Rollover Hedge Net Profit)으로 정의하고, 무차익거래 조건에 기반하여 RHNP를 다양한 방식으로 분해함으로써 이에 영향을 줄 수 있는 여러 가지 요인들을 정리하였다. 본 연구에서 고려한 요인들은 현재 시점에서의 포워드 기간 프리미엄, 미래 시점에서의 단기 포워드 프리미엄들, 내외 금리차, CIP(Covered Interest rate Parity)에서 벗어나는 부분, 환 리스크 프리미엄 부분, 그리고 환율변동에 대한 기대 부분이다. 실증분석에 따르면 단기상품으로 롤오버 하는 헤지 전략이 평균적으로 더 유리하다는 결론을 얻을 수 있었으며, RHNP에 유의미한 영향을 주는 요인은 CIP에서 벗어나는 부분으로서 차익거래기회와 관련된 부분이었다. 이에 따라 본 연구에서는 롤 오버 헤지 전략이 더 유리하다는 결과가 도출된 이유가 단기 통화 선물시장이 중장기 시장에 비해 더 효율적으로 작동하기 때문임을 시사하는 것으로 해석하였다. This paper investigates the choice of the expiry of hedging instruments in Won/Dollar futures market as the hedge performance is one of the essential components which determine the returns on foreign investment. For this, we define ‘Rollover Hedge Net Profit’ (RHNP, hereafter) as the difference between the return from rollover hedge strategy and that from duration-matching hedge strategy. Based on various representations of no-arbitrage condition, we decompose the RHNP into economically meaningful factors: current forward term premium, future forward premiums, interest rate differentials, deviations from the CIP condition, currency risk premium and expectation on the change in exchange rate. The empirical results suggest that in average, the hedge strategy which rolls over the futures of short expiry is more profitable than duration-matching hedge strategy for domestic investors. Among various factors, deviations from the CIP condition are shown to be the most significant driving force of RHNP and they are, conceptually, related to arbitrage opportunities. This result implies that relative profitability of the roll-over hedge strategy stems from the difference in the degrees of efficiency between the short expiry futures market and medium- or long-term expiry futures market.

한방 기능성 입욕제 SP1과 SP2의 항산화, 항노화, 미백효과에 관한 연구

정보경(Bo Kyoung Jung),박소정(So Jung Park),김정수(Jung Soo Kim),한승헌(Seung Heon Han),손경우(Kyung Woo Sohn),윤미영(Mi Young Yoon),이선경(Sun Kyung Lee),이상재(Sang Jae Lee),김병주(Byung Joo Kim),권영규(Young Kyu Kwon),채한(Han Ch 한의병리학회 2010 동의생리병리학회지 Vol.24 No.5

국내 주식시장의 대안 인덱스 연구 : 스마트 베타를 중심으로

윤보현 ( Bohyun Yoon ),손경우 ( Kyoung-woo Sohn ),유원석 ( Won-suk Liu ) 한국파생상품학회(구 한국선물학회) 2017 선물연구 Vol.25 No.2

본 연구는 전통적 인덱스 투자전략의 대안으로써 스마트 베타전략의 유의성을 살펴 보고자 하였다. 이를 위해 이미 알려진 이례현상(anomaly) 종목을 대상으로, 다양한 비중 결정방법에 따라 최적화된 포트폴리오들의 성과를 측정, 비교, 분석하였다. 본 연구가 발견한 주요 결과는 다음과 같다. 첫째, 시가총액비중 이외의 비중으로 최적화된 포트폴리오는 효율성을 제고할 수 있는 것으로 나타났다. 둘째, 다양한 방법으로 최적화된 포트폴리오는 효율성의 제고를 가져오지만, 시장전체 종목을 대상으로 구성되는 한 이상(abonormal) 초과수익률 알파의 창출은 어려운 것으로 나타났다. 반면, 이례현상 종목만을 대상으로 최적화된 포트폴리오는 효율성 제고뿐 아니라 유의한 초과수익률 알파의 창출이 가능한 것으로 나타났다. 셋째, 이례현상 종목 대상 최적화된 포트폴리오의 성과는 공매도 제한상황에서도 유의하였다. 이러한 결과들은 자산운용업계에 중요한 함의를 제공한다. 첫째, 펀드매니저는 스마트 베타전략 포트폴리오를 벤치마크로 패시브운용하여 마켓 타이밍 등 액티브 전략 없이 트래킹만으로도 유의한 알파를 창출할 수 있다. 둘째, 펀드 매니저는 전망 및 예측과 관련된 비용 및 전망 및 예측오류에 의한 위험을 감소시킴으로써 효율성을 제고할 수 있다. Recently, due to its passive property, the smart beta has become one of the most interest topics in searching the alpha. In this paper, we attempt to show whether the smart beta strategy generate abnormal excess return, in tradition, which are known as the exclusive property of active fund. Further, we attempt to verify the key drivers of the alpha in the smart beta portfolios. For this purpose, we categorize various smart beta strategies by their scheme for asset picking and risk reduction. Then, based on our categorization, we evaluate and analyze the performance of smart beta strategy in perspective. Our empirical analyses show following results: applying alternative risk reduction scheme to traditional market index portfolio would results in enhanced efficiency; however, without combining any asset picking scheme, the performance of the smart beta portfolio seems explained by the Fama-French 3 factor. Our results lead us to conjecture that it is not the portfolio weighting scheme alone but in association with asset selection scheme that generate significant alpha in the smart beta strategy. In actual practice, our results imply that any passive fund may succeed in seeking the alpha without active strategy, thereby avoiding the risk of market timing and saving the management cost.