1930년대 겸업은행위기와 20세기 후반의 금융시스템 : 선진 15개국의 경우

신인석 ( In Seok Shin ) 韓國金融學會 2007 金融學會誌 Vol.12 No.3

학술대회발표문 : 고려대학교 법학연구원 주최 세미나 ; 신용정보의 이용 활성화와 프라이버시 보호 : 개인신용 위험관리의 현황 분석

신인석 ( In Seok Shin ) 고려대학교 법학연구원 2007 고려법학 Vol.0 No.48

한국 재무분석가 이익예측치의 속성 분석: 정보성,합리성,대칭성

신인석 ( In Seok Shin ),정도진 ( Do Jin Jung ) 한국금융학회 2009 금융연구 Vol.23 No.3

미국 자본시장에서 재무분석가의 이익예측치는 주가에 대하여 정보성은 있지만, 그러한 이익예측치가 모든 정보를 반영하지는 못하며, 낙관적 편이를 가지고 있고, 기업가치에 긍정적인 정보와 부정적인 정보 등에 대하여 대칭적이지도 못한 것으로 알려져 있다. 국내 자본시장에서 재무분석가의 행태에 대한 연구는 상대적으로 아직 미진하다. 본 연구에서는 재무분석가의 행태를 이익예측치를 기준으로 하여 정보성·합리성·대칭성의 관점에서 실증 분석하였다. 2003년부터 2005년까지 국내 20여 개 증권사의 재무분석가들이 발표한 이익예측치를 분석한 결과는 다음과 같다. 첫째, 재무분석가의 주간별 이익예측치는 같은 주간의 초과수익률에 유의한 설명력을 가지지만 미래 초과수익률에 대한 예측력은 없는 것으로 나타나, 이익예측치의 정보성에 한계가 있음을 발견하였다. 둘째, 현재 이익예측치의 평균이 과거 주가와 유의한 관계를 나타냄으로써, 과거의 정보가 당시의 이익예측치에 모두 반영되지 못함을 발견하였다. 셋째, 긍정적인 정보보다 부정적인 정보가 이익예측치에 지연되어 반영됨을 발견하였다. The purpose of this study is to empirically test three properties of financial analysts` earnings forecasts, informativeness·rationality·symmetry. Prior studies suggest that Korean financial analysts` earnings forecasts are more accurate than time-series models` earnings forecasts. Also, they find that financial analysts` earnings forecasts have optimistic bias. However, there have been few studies on the rationality and symmetry of financial analysts` earnings forecasts. In order to empirically investigate the informativeness, rationality, and symmetry of financial analysts` earnings forecasts, this study collects 14,428 weekly earnings forecasts that were released by 20 Korean Securities Companies from 2003 to 2005. The earnings forecasts is the average of financial analysts` earnings forecasts for firm i in week t. The research method and empirical results are as follows. First, weekly market-adjusted stock returns are regressed on contemporaneous weekly earnings forecasts revisions after controlling for prior stock returns. The earnings forecast revisions are concentrated on 0. Especially, 48.5 percent of all revisions are 0. The median of revisions is 0, but the mean is -0.0024, implying that analysts` earnings forecasts are likely to be revised downward during the sample period. The empirical results on the first regression model report that the coefficient of earnings forecast revision is statistically significant. That is, there appear to be informative of financial analysts` earnings forecasts about contemporary stock prices. However, financial analysts` earnings forecasts do not predict future stock price returns. Second, current earnings forecast revisions are regressed on prior stock returns in order to test whether all available information is reflected on contemporaneous earnings forecasts. If financial analysts` earnings fore- casts reflect all value-relevant information, there is no significant association between current earnings forecast revisions and prior stock returns. However, the empirical results on the second regression model report that current earnings forecast revisions are significantly associated with prior stock returns, imply that all available information is not reflected on contemporaneous earnings forecasts. Third, current earnings forecast revisions are regressed on positive stock returns and negative stock returns, individually, in order to test whether financial analysts symmetrically react to good news and bad news. The empirical tests on positive stock returns show that the coefficient of stock returns in week t-1 is significantly positive. However, coefficients of stock returns in week t-2, t-3, and t-4 are not statistically significant. These results imply that positive information about firm value is reflected on financial analysts` earnings forecasts after about one week. On the other hand, the empirical tests on negative stock returns show that coefficients of stock returns in week t-1 and t-2 are significantly positive. However, coefficients of stock returns in week t-3 and t-4 are not statistically significant. These results imply that negative information about firm value is reflected on financial analysts` earnings forecasts after about three or four week. Therefore, financial analysts react to positive information differently from negative information due to financial analysts` reward system. Fourth, current earnings forecast revisions are regressed on positive stock returns and negative stock returns for 40 big firms and 40 small firms, individually. The empirical results on positive stock returns for 40 big firms report that coefficients of all prior stock returns are not statistically significant, implying that positive information about firm value of 40 big firms is reflected on financial analysts` earnings forecasts without delay. The empirical results on negative stock returns for 40 big firms report that the coefficient of stock returns in week t-1 is not statistically significant, but coefficients of stock returns in week t-1, t-2, and t-3 are significantly positive, implying that negative information about firm value of 40 big firms is reflected on financial analysts` earnings forecasts after about two or four week. On the other hand, the empirical results on both positive and negative stock returns for 40 small firms show that coefficients of all prior stock returns are not statistically significant.

학술연구 : 코스닥 신규공모시장에서 벤처캐피탈의 보증효과 검증

신인석 ( In Seok Shin ),김형규 ( Hyeong Kyu Kim ) 한국중소기업학회 2010 기업가정신과 벤처연구 Vol.13 No.2

한국코스닥 신규공모시장에서 수요예측제도의 정보생산기능 평가

신인석(In Seok Shin),이관영(Kaun Y Lee) 한국경영학회 2013 經營學硏究 Vol.42 No.3

We examine if the book-building procedure at the KOSDAQ market extracts private information frominformed investors as argued by the dynamic information acquisition hypothesis a la Benveniste and Spindt (1989). Although, to test the hypothesis, it is desirable to have a direct measure of private information, most of previous studies have used price adjustment during book-building as a proxy for private information. In this study, using the unique data of the KOSDAQ equity issuing market, we construct direct measures of private information provided by institutional investors under the book-building procedure, which include the average bidding price and the oversubscription ratio. We collect each bid`s information from book and measure limit prices by their quantity-weighted average and oversubscription at the issue price. We characterize these measures as private information provided during book-building, and analyze the effects of private information on issue price and whether the effects can be explained by the dynamic information acquisition hypothesis, namely a mechanism of information providing and compensation in KOSDAQ equity issuing market. We find that our measures of private information during book-building affect significantly the final IPO price. However, private information in bids has a vague and insignificant effect for the abnormal returns around the IPOs. In particular, during period 3 when Korean underwriters have a wide discretionary authority, public information, which is the KOSDA index return during book-building, affects significantly both the issue price adjustment during book-building and the abnormal returns around the IPOs. Consequently, our results do not support the dynamic information acquisition hypothesis at the KOSDAQ market.

Analysts` Earning Forecast Revisions and Trading Flows of Various Investor Types in the Korea Stock Exchange

홍기석 ( Ki Seok Hong ),신인석 ( In Seok Shin ) 한국증권학회 2006 한국증권학회 발표논문집 Vol.2006 No.4

판매보수의 펀드투자자금과 투자성과에 대한 영향

조성빈 ( Sung Bin Cho ),신인석 ( In Seok Shin ) 한국금융연구원 2012 금융연구 Vol.26 No.1

As the fund industry emerges as an important saving channel for retail investors, the ``cost`` of fund investment has attracted public attention. In particular, sales fees, which are the largest portion of the total cost of fund investment in Korea, have been a focal point of policy debate. A Critical view argues that sales fees are more of a cost factor to final investors and produce a negative effect on fund performance. This seems to be a prevailing view in Korea, as indicated by a recent regulation that imposed a ceiling on sales fees. In contrast, there are arguments advocating sales fees, which were developed in the US during the 1980s as a response to the 12b-1 fee. The original justification for the plans, as put forth by the US mutual fund industry in the 1970s, was that such fees help attract new investors into funds through advertising and by providing incentives for brokers to market the fund. Arguably, asset growth from any means benefits shareholders through economies of scale in management expenses and lower flow volatility, which decreases liquidity costs for the fund. While public attention and policy debate on sales fees abound, academic studies of the issue remain rare even in the US partly due to lack of the data. Recently, researchers examined the relationship between the 12b-1fee and fund flows, and reported that the 12b-1 fee increased fund flows (Barber, Odean, and Zheng 2005; Bergstresser, Chalmers and Tufano 2009). In this paper, we empirically examine the associations among sales fees, fund flows, and fund performances using Korean monthly fund data from 2002 to 2010. We obtained the following findings: (1) the positive effect of sales fees on fund flows exists only when the fund underperforms the market; (2) sales fees have significant positive relations with the performance of funds evaluated on a gross return basis (before netting expenses), but not with the performance of funds evaluated on a net return basis (after netting expenses); (3) in a sample of above-median-sized funds that were at least 1 year old after, sales fees had a significantly negative effect on fund performance on a net return basis. These empirical findings suggest that sales fees do not work for the benefits of investors. It is notable that some of the regression results are different from previous US studies. In risk factors measured by standard deviations of past returns, fund sizes are found positively related to fund flows, marking a contrast with US findings. Importantly, the finding that sales fees have no significant relationship with fund flows is also inconsistent with the US studies. These differences between the two counties could be simply a reflection of different stages of industry development. But a more interesting possibility is that cognitive biases of fund investors may differ between the two countries due to institutional differences. For example, sales fees may be a ``hidden cost`` to US investors as they are only a small portion of the sales cost; this may not be so for Korean investors since sales fees are the major form of sales cost and have received wide media attention. Explaining the different empirical findings between Korea and the US, while considering the possibility of behavioral biases, could be an interesting future research agenda.