Strategic Communication Behavior of Korean Firms : Game Theoretical, Empirical, and Experimental Studies on the Adoption of Investor Relations and Its Influence on Information Diversity

Anna Mun 고려대학교 대학원 2016 국내박사

This dissertation consists of three studies examining firms’ investor relations (IR) as an instance of strategic communication behavior of formal organizations. The first study analyzes how the effect of corporate strategy to adopt IR varies by the strategic choice of another firm in the dynamic of competition. It draws on game theories to understand how the strategic interrelation between firms have possible consequences for the effect of organizational choices in a duopoly market. As calculating and comparing each firm’s payoff, the results of analysis using the economic model indicate that there are three Nash equilibria paired with variation of firms’ strategic choices which are subject to the IR cost condition: the Status of Unadopted IR (UIR), the Status of Monopolistic IR (MIR), and the Status of Competitive IR (CIR). The findings reveal that in the MIR equilibrium, firms are situated in a “game of chicken.” In the game, firms are encouraged to adopt IR prior to the counterpart’s adoption to take advantage of the IR effect which only brings the greater payoff for a firm with monopolistic IR, and otherwise, it disappears. In the same vein, firms are also discouraged to adopt IR in case where the counterpart adopts IR, owing to the “relative advantage of IR.” On the other hand, in the CIR equilibrium, adopting IR is a dominant strategy for both firms although their payoffs are worse off than in case where both firms do not adopt IR. This represents a typical case of “prisoners’ dilemma.” It nicely explains that IR adoptions have been diffused all over the world regardless of securing its effect even when those cannot compensate for the cost. Further, the findings reveal that when IR situations proceed more competitive, more limited IR cost conditions are given for adopting IR. In particular, a smaller range of the condition was given for adopting IR in a duopoly market than a monopoly market. Moreover, in case of CIR, the range of condition were significantly smaller than that in case of MIR. The study discusses these results focusing on the firm’s strategic aspects in an IR context. The second study empirically examines the status of strategic behavior of IR in practice, focusing on Korean firms’ investor relations via their websites (Web IR). Drawing on Roger’s classic model of stages in the innovation-process in organization as a framework of analysis, it detects “initiation” and “implementation” of Web IR. The results of content analysis on Web IR scores report the “decoupling of Web IR” wherein most Korean firms have adopted Web IR as initiating it whereas the level of implementation is low. Seeing adoption of Web IR as a competitive and institutional isomorphism in organizations, the study demonstrates that Korean firms are more likely to increase the level of Web IR when they seek to win resource allocations for maintaining equity effect, further, when they tend to follow institutional mechanisms such as coercive, normative, and mimetic isomorphism by conducting regression analyses of 703 firms. More importantly, the empirical evidence supports that IR adoption arising from the institutional isomorphic mechanism results in the “decoupling of Web IR.” In consideration of domestic study, the findings suggest that in Korea where people normally use and trust the interpersonal communication channel when they acquire investment information as endorsed or approved, they rarely use and trust the direct communication channel with firms such as their websites. Moreover, in Korea where Confucian culture respects self-effacement than self-enhancement, boasting via corporate websites might not be an effective way to increase a corporate evaluation. Nonetheless, Korean’s collectivism respecting “we identity” explains the diffusion of Web IR adoption, which brings about a possible “prisoner’s dilemma” situation as the first study proves. The third and last study analyzes the valuation of firms estimated by investors as users of corporate information which firms deliver via their websites. Based on prior studies in communication fields, it assumes three types of factors to the valuation: (a) an information per se, (b) an information source, and (c) investor’s involvement. Through an experimental study of 232 participants, the article demonstrates the effect of IR message quality. The results of the study reveal that the high level of “information diversity” significantly increases the valuation such as positive investment belief, attitude, and intention. Moreover, the results report that the high level of investors’ involvement is more likely to induce their investment belief under the high level of information diversity. In the information process, the perceived information credibility creates the cognitive path, mediating between the information diversity and investment belief. On the other hand, the results also report that the low level of investors’ involvement is more likely to induce their investment belief under the high level of heuristic cues on the information source. In the information process, the perceived source credibility creates the cognitive path, mediating between the heuristic cues and investment belief. Overall, the results echo explanations of the Elaboration Likelihood Model. Also, the findings empirically support the assumption of the first study that investor’s utility, valuation in other words, is increased when firms deliver quality information as a consequence of IR.

The Impact of Investor Sentiment on Stock Returns During the COVID-19 Pandemic : A Case Study of the Chinese A-Share Market

Wang, Shuotian 이화여자대학교 대학원 2024 국내석사

This research examines the influence of investor sentiment on the Chinese stock market's performance during the COVID-19 pandemic, which spanned from late 2019 to the end of 2022, as officially declared in China. Principal Component Analysis (PCA) was applied to develop a robust Investor Sentiment Index, tailored to assess the mood of Chinese investors. This index amalgamates various market indicators, social mood metrics, and COVID-19 pandemic-related signals, effectively encapsulating investor psychology during this tumultuous period. The study then utilized the Fama-French five-factor model's 25-portfolio regression, an extensive framework for analyzing stock returns, to investigate the interplay between investor sentiment and the performance of stocks in the Chinese A-share market. The analysis period coincided with the initial surge of the novel coronavirus, a phase characterized by pronounced uncertainty and instability in global financial markets. Findings revealed a significant, multifaceted interaction between investor sentiment and stock market performance. The study indicated that shifts in investor mood played a pivotal role in affecting stock returns, highlighting the market's increased sensitivity to investor sentiments during crises. Contributing to the comprehension of behavioral finance in the context of a global health crisis, the research also offers valuable insights for investors and policymakers in maneuvering through market conditions marked by profound uncertainty. The results underscore the necessity of factoring in investor psychology in financial market assessments, particularly during times of systemic disruptions. 이 연구는 중국에서 공식적으로 선포된 대로, 2019년 말부터 2022년 말까지 이어진 COVID-19 팬데믹 기간 동안 투자자 감정이 중국 주식 시장의 성능에 미치는 영향을 조사합니다. 주성분 분석(PCA)을 적용하여 중국 투자자의 기분을 평가하기 위한 강인한 투자자 감정 지수를 개발하였습니다. 이 지수는 다양한 시장 지표, 사회적 기분 측정치 및 COVID-19 팬데믹 관련 신호를 통합하여 이 격동의 시기 동안 투자자 심리를 효과적으로 포착합니다. 연구는 그 후 파마-프렌치(Fama-French) 다섯 요인 모델의 25포트폴리오 회귀 분석을 활용하여 중국 A주 시장에서 투자자 감정과 주식 성능 간의 상호 작용을 조사했습니다. 분석 기간은 새로운 코로나바이러스의 초기 급증과 일치하며, 이는 글로벌 금융 시장에서 뚜렷한 불확실성과 불안정성이 특징이었습니다. 연구 결과는 투자자 감정과 주식 시장 성과 사이에 중요하고 다면적인 상호 작용을 드러냈습니다. 연구는 투자자 기분의 변화가 주식 수익에 중요한 역할을 하며, 위기 동안 시장이 투자자 감정에 더 민감하게 반응한다는 것을 강조했습니다. 글로벌 보건 위기의 맥락에서 행동 금융 이해에 기여하는 이 연구는 또한 심오한 불확실성으로 표시된 시장 조건을 헤쳐 나가는 투자자들과 정책 입안자들에게 유용한 통찰력을 제공합니다. 연구 결과는 시스템적 혼란의 시기, 특히 금융 시장 평가에서 투자자 심리를 고려할 필요성을 강조합니다.

Investor attention - price and behavior regarding IPO : evidence from Korean IPOs

이종화 서울대학교 대학원 2020 국내석사

This paper mainly studies how investor attention before IPO influences price revision, underpricing, future return of IPO, flipping behavior and net purchase volume for each investor types, including institutional, retail and foreign investors. In a sample of Korean stock markets including both KOSPI and KOSDAQ between 2016 and 3rd quarter of 2019, I use Naver search volume to indicate retail investor attention and it is positively associated with price revision, underpricing, flipping behavior of institutional investors and net purchase volume of individual investors. Retail investor attention is negatively associated with net purchase volume of institutional investors and foreign investors. Competition rate among institutional investors during the book-building process is positively related to IPO underpricing, Media attention and analyst attention are also positively associated with underpricing. Among the four proxies of investor attention, which are retail investor attention, institutional attention, media attention and retail attention, retail investor attention have the strongest explanatory power regarding IPO initial return. However, there is no significant relationship between investor attention and IPO future return where future return is defined as Cumulative Abnormal Return (CAR). 본 연구에서는 투자자 관심을 척도로 기업 공개의 성과와 기업 공개에 관한 투자자 행동에 대하여 살펴본다. 먼저 네이버 검색량을 토대로 개인투자자의 관심이 기업 공개의 성과와 투자자 행동에 어떠한 영향을 미치는지 살펴본다. 2016년부터 2019년 3분기까지의 유가증권과 코스닥에 상장한 기업들을 대상으로 하며 그 결과 네이버 검색량은 공모가밴드 중간값 대비 확정공모가, 공모주 단기 매매 행태, 개인순매수대금 그리고 공모가 저평가 현상과 양의 관계를 가지고 있음을 알 수 있다. 기관순매수대금과 외국인순매수대금은 개인투자자 관심 척도와 음의 관계를 가지며 공모 이후 수익률과는 유의미한 상관관계를 가지고 있지 않는다. 수요예측 시에 측정 가능한 기관투자자 경쟁률, 미디어 관심 그리고 애널리스트 관심은 모두 공모가 저평가 현상과 양의 관계를 가진다. 다만 이러한 투자자 관심 척도들은 공모 이후 2개월 동안의 장기 수익률 (누적초과수익률)과는 유의미한 관계를 가지고 있지 않다. 개인투자자 관심, 기관투자자 관심, 미디어 관심, 애널리스트 관심을 공통적으로 두고 공모가 저평가 현상과 비교해볼 때 네이버 검색량인 개인투자자 관심 척도가 공모가 저평가 현상에 가장 크게 영향을 미침을 알 수 있다.

모바일 채널을 이용하는 중국 펀드투자자의 특성과 펀드투자역량

모운중 충북대학교 2016 국내석사

The research aims at analyzing social demographical and economic features of fund investors with mobile phones in China and features presented in fund transaction process, as well as proposing relevant meanings by speculating power of fund investment to come up with problems and improvement measures for fund investors with mobile phones. With such a purpose, 300 Chinese people who used mobile phones to do fund investment were regarded as objects and were compared with offline investors. With the objects of300 fund investors, a questionnaire survey was implemented from Feb. 2nd to March 15th, 2016. Based on research results, the following conclusions are drawn as follows: First of all, by making a comparison between fund investors with mobile phones and offline fund investors, most of them are male investors and are younger with higher education background. Investors with high income level have a lower proportion, including real estate with capital, as well as financial assets. Compared with offline investors, investors with mobile phone have lower economic level. It can be judged from such a result that age of fund investors with mobile phones is small. Asset size of savings is lower. Therefore, burdens are relatively small. Some people with small asset size tend to select fund investment with mobile phones. Secondly, fund investors with mobile phone tend to fund product types. Common funds have the biggest proportion. In terms of offline fund investors, the investment proportion of MMF is the biggest. In addition, by making a comparison between fund investors with mobile phones and offline fund investors for common funds, the mixed fund proportion is larger, but stock and bond fund proportions are lower. Thirdly, in terms of the rate of accepting investment consultation, fund investors with mobile phones have higher proportion of accepting investment consultation. Due to mobile phones, investment becomes more convenient. Fourthly, in stage characteristics of fund transaction and based on features of adding funds, articles from fund investors with mobile phones are abundant and redundant, so investors may not read articles of fund investment and investment specification carefully and seriously. As for situations of fund investors with mobile phones, when filling in investment tendency, the rate of inconsistency between something filled by investors and reality is higher than offline fund investors. Based on such a result, fund commodities may cause a loss to investors’capital. It is extremely important to master investors’ psychology correctly. This is also a serious problem. Fifthly, in stage characteristics of fund transaction, for the stage characteristics after transaction, most of fund investors with mobile phone can’t accept ex post management services after investment. However, as for service of notification, most of them have received notification of investment status. In addition, most of fund investors with mobile phones receive business report, but they don’t read it after receiving it. Their understanding on business report is also lower. Such a result is exactly a problem of fund investors with mobile phone. Sixthly, in power of fund investment for investors with mobile phones, fund investors with mobile phones has higher level by comparing with offline fund investors for fund investment’s continuous tendency, which is the characteristic of fund investment attitude. In terms of fund investment, fund investors with mobile phone think that the most important element relating to funds refers to "give no consideration to "products with long-term investment incomes."As for fund investment, there is higher interest and enjoyment. By contrast, investment confidence of fund investors with mobile phone is lower than offline fund investors. From the perspective of fund investment knowledge, it can be observed from the results of objective and subjective knowledge, as well as fund comprehension that fund investors with mobile phone have a general level. In objective knowledge, fund investors with mobile phone have general knowledge relating to fund investment, which is similar to cost loss. As for fund investment funds, in terms of fund investment for fund investors with mobile phones, difficulties and uneasiness level present the middle position of "not so" and "exactly".

Essays on Institutional Investors and Securities Class Actions

하원석 서울대학교 대학원 2021 국내박사

This dissertation is comprised of two essays on institutional investors and securities class actions. The first essay, entitled “Institutional Investors’ Portfolio Adjustment after Shareholder Litigation,” examines how institutional investors change their investment behavior toward non-litigated investees after experiencing litigation. Prior studies report that institutional investors play a key role in securities class actions by monitoring the court process, inducing favorable litigation outcomes for plaintiffs and improving governance in the litigated firms. I extend the prior studies by focusing on changes in the investment strategy of institutional investors after litigation. Using a sample of 102,234 institution-quarter observations in the U.S. over the 2006–2017 period, I document the following. First, institutional investors tilt their portfolios toward investees with higher financial reporting quality after experiencing litigation. Their portfolio adjustments following litigation are interpreted as an attempt to reduce ex ante litigation risk at the portfolio level. Second, the portfolio adjustments are less pronounced when institutional investors have a shorter investment horizon or when they stronger incentive to directly monitor investees’ agency conflicts. These results suggest that the portfolio adjustments based on financial reporting quality are less important when institutional investors heavily rely on private information in their short-term trading or when they benefit more from direct monitoring. Overall, this study provides evidence of the externalities of securities class actions in an investor’s portfolio and deepens the understanding of the economic consequences of securities class actions. The second essay, entitled “One Leaves, Another Arrives: The Behavior of Hedge Funds around Shareholder Litigation,” investigates the behavior of hedge funds around shareholder litigation, focusing on their activist and trading strategies. Despite their key role in promoting effective governance, hedge funds have been discredited in the litigation setting. I attempt to reconcile this discrepancy by examining the economic decisions of hedge funds in the face of shareholder litigation. Using extensive U.S. data on securities class actions and hedge funds’ Schedule 13D filings during the 2001–2019 period, I document the following. Sued firms are more likely than control firms to be subject to hedge fund intervention following litigation. Compared with sued firms without such intervention, sued firms targeted by hedge funds improve their corporate governance and performance more significantly after litigation, consistent with hedge funds influencing the corporate actions of sued firms via voice. Further analysis reveals that such intervention is primarily driven by hedge funds that initiate their investments in a sued firm after litigation, but not by those that already held stakes in the sued firm before litigation. Hedge funds who held shares of the sued firm before litigation are more likely than other types of institutional investors to preemptively dispose of their stakes in the sued firm before litigation begins. This evidence is consistent with informed hedge funds deploying an exit strategy to deal with agency conflicts. Finally, hedge funds with more litigation experience are more likely to intervene in the management of other non-litigated firms in their investment portfolios. I interpret this result as evidence of the externalities of litigation on the behavior of hedge funds. In summary, this study provides a comprehensive understanding of the voice and exit strategies that hedge funds undertake around shareholder litigation.

IPO 주식의 정보 비대칭성과 개인투자자 성과에 관한 실증 연구

김주환 韓國外國語大學校 大學院 2019 국내박사

A number of studies related to initial public offering(IPO) have reported high initial return and long term underperformance of IPO stocks, there is little research to analyze the investors’ performance of IPO stocks. In IPO firms, information asymmetry between corporate insiders and investors is very high, so it is very difficult to assess appropriate corporate value. As a result, the IPO stock returns show a distorted distribution and are distorted by extreme values. In particular, individual investors, who have limited information access to institutional investors and limited stocks that can be allocated at public offerings, show significant differences in their investment performance. Therefore, this paper provides very meaningful results for the proper understanding of the IPO market from the viewpoint of individual investors and the rational investment choice using available information. The results of this paper, which consists of three essays in terms of initial public offering(IPO), are summarized as follows. In the first study, it is confirmed that temporary fads(overheating behaviour) by individual investors affects the initial return on IPO, and then the overheated stock returns to normal. In addition, individual investors’ turnover and buying ratio are higher as the individual subscription rate is higher, and the individual investor sentiment before the listing as measured by the individual subscription rate shows that the individual investor's trading pattern continues even after listing. The second study analyzes the impact of the abolishment of the put-back option system on individual investors' trading behavior and investment performance as the purpose of the put-back option system, which was a typical regulation in the IPO market in Korea, was to protect individual investors. The results of the analysis are as follows. First, the abolition of the putback option system has a negative effect on the initial return of the IPO stock. In the period before and after the abolition of the putback option system, the individual subscription rate has a significant effect on the initial return of the IPO stock. Second, after the abandonment of the put-back option system, the number of sample below the IPO stock significantly increased and the individual investors’ net buying ratio cumulative during the 20 trading days increased, suggesting that individual investors, who net buy IPO shares intensively immediately after the IPOs, suffered significant losses in the market. In the last study, we analyze the investment strategy using the public information in the IPO market. In particular, investors who participate in the public offering process or buy IPO stocks in the market after listing have different contents of public information available because of different investment decision time points. Therefore, we analyze public information available at the time of investor decision making and analyze how such public information affects the short and long term investment performance of IPO stocks. As a result of analysis, useful public information that affects the investment performance of IPO stocks is market situation, individual investors subscription rate and revision rate of offer price. In other words, in the case of IPO allocation the better the market condition and the higher the IPO adjustment rate or individual investors subscription rate, the higher the initial return rate. On the contrary the long-term return of IPO stocks. Similarly, in the case of IPO allocation, the size of the IPO is small, and in the case of IPO after IPO, the larger the IPO proceeds, the higher the short-term excess returns. And the longer the age of IPO firm, the longer the excess return regardless of the investment point. On the other hand, among publicly available information available after IPO, IPO stocks, which have low subscription rate, show long and short term excess returns after listing. Among the trading information by investor type, IPO stocks with low cumulative turnover rate of individual investors on three trading days after listing have a higher short-term excess return after listing. However, in the study of overseas investors, the underwriter’s reputation and venture capital investment, which have a significant effect on stock price performance of IPO stocks, are not useful public information in Korea 's IPO market. The results of this study are summarized as follows. First, individual investors show unreasonable investment behavior and considerable investment loss in IPO market. In particular, individual investors who actively invested in IPO stocks in the market immediately after the IPO are likely to see large losses due to long-term low performance of IPO stock. Therefore, it is necessary for investors to make rational investment decisions based on various public information generated in IPO firms' demand forecasting and public offering process, and it is expected that the results of this study can help individual investors make reasonable investment decisions do. 본 논문은 총 3편의 세부 논문으로 구성되어 있으며 그 결과를 요약하면 다음과 같다. 첫 번째 연구에서는 국내 주식시장을 대상으로 우선 개인투자자 청약경쟁률을 통해 측정한 개인투자자의 상장 전 투자자 감정(pre-market sentiment)이 IPO 주식의 초기수익률과 이후 주가행태에 미치는 영향을 분석하고 있다. 또한 개인투자자 감정은 IPO 이전뿐 아니라 이후에도 IPO 주식의 주가행태에 영향을 미칠 수 있기 때문에, 개인투자자 청약경쟁률로 측정한 상장전 개인투자자 감정(pre-market sentiment)이 개인투자자 거래회전율(turnover)로 측정한 상장후 개인투자자 감정(aftermarket sentiment)에 어떤 영향을 주고, IPO 이후 주가행태에 어떻게 영향을 미치는지를 분석하고 있다. 분석 결과, 개인투자자에 의해 형성된 일시적 과열현상이 IPO 초기수익률에 영향을 주고 있고, 이후 과열된 주가가 정상으로 회귀하는 모습을 확인하고 있다. 이러한 결과는 개인투자자 감정에 의해 높게 형성된 초기 IPO 주가는 결국 정상가격으로 수렴하게 될 것이므로 장기 저성과가 나타난다고 보고한 기존 연구결과가 국내 IPO 시장에도 적용되고 있음을 보여주고 있다. 그리고 개인청약경쟁률이 높을수록 개인투자자 거래회전율과 개인매수비율이 높게 나타나며, 개인청약경쟁률에 의해 측정한 상장 이전의 개인투자자 감정이 상장 이후에도 개인투자자의 매매패턴을 통해 지속되고 있음을 보여주고 있다. 한편, 개인청약경쟁률은 공모 이전에 기관투자자를 대상으로 실시하는 수요예측 정보에 영향을 받고, IPO 시점의 시장 상황에 따라 크게 좌우되고 있다. 두 번째 연구에서는 우리나라에서 IPO 시장에서 대표적 규제였던 풋백옵션 제도의 취지가 개인투자자 보호에 있었던 만큼 풋백옵션 제도 폐지가 개인투자자의 매매 행태와 투자 성과에 미친 영향을 분석하고 있다. 특히, 국내 IPO 시장에서 개인투자자는 상장 직후 매매 비중이 일반 주식에 비해 훨씬 높고, 기관투자자에 비해 정보열위에 있어 상대적으로 손실이 집중될 가능성이 높기 때문에, 상장 이후 공모가 이하로 가격이 하락한 IPO 주식에 대한 개인투자자 손실을 분석하고 있다. 분석결과는 다음과 같다. 첫째, 풋백옵션제도 폐지는 IPO 초기수익률에 유의미한 음(-)의 영향을 미치고 있으며, 풋백옵션제도 폐지 전후 기간에서 개인청약경쟁률은 IPO 초기수익률에 유의미한 양(+)의 영향을 미치고 있으며 이후 장기저성과를 보이고 있다. 둘째, 상장후 20일 누적 개인순매수비율은 이후 IPO 장기성과에 유의미한 영향을 미치고 있지 않으나, 풋백옵션제도 폐지 이후에 공모가 이하 표본수 비율이 크게 증가하고 20일 누적 개인순매수비율이 증가하여 상장 직후 집중적으로 IPO주식을 순매수한 개인투자자가 시장에서 큰 손실을 입는 것으로 나타난다. 마지막 연구에서는 국내 IPO 시장에서 공개정보를 활용한 투자전략에 대해 실증적으로 분석하고 있다. 특히, 공모 과정에 참여한 투자자와 상장 후 시장에서 IPO 주식을 매수하려는 투자자는 투자결정 시점이 다르기 때문에 이용할 수 있는 공개정보의 내용도 서로 다르다. 따라서 투자자의 투자의사결정 시점에 따라 이용 가능한 공개정보를 확인하고, 이러한 공개정보가 IPO 주식의 장단기 투자성과에 어떻게 영향을 미치는 지를 분석하고 있다. 분석 결과, IPO 주식의 투자성과에 영향을 미치는 유용한 공개정보로는 시장상황과 개인투자자 청약경쟁률, 그리고 공모가조정률을 들 수 있는데, 이 변수들은 투자시 점에 따라 활용 방식이 전혀 달라진다. 즉, 공모배정의 경우에는 시장상황이 좋고 공모가조정률과 개인 청약경쟁률이 높을수록 초기수익률이 높아지나, 상장 후 매입의 경우에는 반대로 시장상황이 안 좋고 공모가조정률과 개인 청약경쟁률이 낮았던 IPO 주식의 장기수익률이 높아지고 있다. 마찬가지로 공모규모도 반전 현상이 일어나, 공모배정의 경우에는 공모규모가 작을수록, 상장 후 매입의 경우에는 공모규모가 클수록 단기 초과수익률이 높게 나타나고 있다. 그리고 업력이 오래된 기업의 IPO 일수록 투자시점에 상관없이 장기 초과수익률이 나타나고 있다. 한편, 상장 이후 이용 가능한 공개정보 중에서는 투자자 유형별 매매정보 중에서는 상장 후 3거래일 개인투자자의 누적거래회전율이 낮은 IPO 주식일수록 상장 이후에는 단기 초과수익률이 높게 나타나고 있다. 하지만 해외연구에서 IPO 주식의 주가성과에 유의한 영향을 미치고 있는 주간사 평판도와 벤처 투자여부가 우리나라 IPO 시장에서는 유용한 공개정보가 되지 못하고 있다. 이상의 논문 결과를 종합적으로 살펴볼 때, 먼저 개인투자자들은 IPO 시장에서 비합리적 투자행태를 보이며 상당한 투자손실이 발생하고 있어, 투자 대상 IPO 기업과 투자 시점에 대한 보다 면밀한 검토가 필요하다. 특히, IPO 직후 시장에서 적극적으로 IPO 주식을 순매수한 개인투자자들은 이후 장기 저성과로 인해 커다란 손실을 볼 가능성이 존재한다. 이에 따라 투자자들은 IPO 기업의 수요예측 및 공모 과정에서 발생하는 다양한 공개정보를 바탕으로 합리적 투자의사결정을 내릴 필요가 있으며, 본 논문의 연구 결과가 투자자의 합리적 의사 결정에 도움을 줄 수 있을 것으로 기대한다.

Analysis of Conflict Structure among the Participants in Large-scale Public-Private Partnership Development Projects : Focused on Alphadom City Project

Jeong, Wonan 연세대학교 일반대학원 2019 국내박사

Two essays on stock investor sentiment

김영광 중앙대학교 대학원 2022 국내박사

본 학위논문은 국내 주식시장에서 개인투자자의 투자심리에 대하여 연구한다. 첫번째 연구에서는 수정거래회전율(ATR), 매수∙매도 거래불균형 (BSI), 상대강도지수(RSI)의 대용변수를 이용하여 투자심리지수를 생성하고, 생성된 투자심리지수를 이용하여 투자심리가 주식수익률에 미치는 영향을 여러 측면에서 연구한다. 연구 결과, 투자심리는 유가증권시장과 코스닥시장 모두에서 주식수익률에 양(+)의 영향을 미치고 있음을 확인하였다. 또한, 주식수익률에 대한 투자심리의 영향은 상대적으로 개인투자자 비중이 높고 기업규모가 작은 코스닥 시장에서 더 크게 나타났는데, 이는 코스닥 시장이 행태재무학 연구에 있어 잠재성이 높은 시장임을 시사한다. 투자심리는 비(非)위기 기간 보다 금융위기 같은 위기 기간 동안 주식수익률에 더 큰 영향을 미치고, 투자심리의 영향은 선행연구 결과와 같이 당일과 다음날 등 짧은 기간 동안만 유지되는 것으로 확인되었다. 관리종목 또는 매매정지종목으로 지정된 이력이 있는 종목은 그렇지 않은 종목에 비해 주식수익률에 대한 투자심리의 영향이 더 크게 나타났고, 특히, 매매정지의 영향은 주식합병 등 행정적인 절차로 인한 매매정지의 경우보다 상장폐지 사유 발생 등 부정적 사유로 인한 매매정지의 경우에서 더 크게 나타났다. 두번째 연구에서는 기업특성과 모바일 거래환경이 투자심리에 미치는 영향을 살펴본다. 투자심리가 주식수익률에 미치는 영향은 기업규모, 주가, 장부가/시장가 비율(BM), 연혁 및 외국인투자자 소유비중이 작거나 낮은 기업, 변동성, 개인투자자 거래비중 및 모바일 거래비중이 크거나 높은 기업에서 더 크케 나타났다. 또한, 바이오, 인터넷, 전기전자 등 4차 산업시대 성장주로 분류되는 종목의 영향이 금융, 건설 등 전통적인 산업 종목의 영향보다 큰 것으로 확인되었다. 스마트폰 등 모바일 기기는 은행, 증권 거래 등 금융거래에 혁신적인 변화를 가져왔고, 모바일 거래환경에서 개별종목 및 시장에 대한 개인투자자의 정보접근성은 크게 향상되었는데, 본 연구에서는 모바일 거래환경에서의 이러한 변화가 개인투자자의 정보비대칭성과 과열된 투자심리를 낮추는 역할을 하고 있음을 확인하였다. This dissertation is on the investor sentiment of individual investors in the Korean stock markets. This study creates an investor sentiment index using adjusted turnover rate (ATR), individual investors’ buy-sell imbalance (BSI), and relative strength index (RSI). The first essay examines the relationship between investor sentiment and stock returns from several perspectives. This study finds that investor sentiment more positively affects stock returns in the KOSDAQ market, with the high market participants and small market capitalizations of listed stocks. This finding indicates a high need for behavioral finance research in the KOSDAQ market. Investor sentiment significantly affects stock returns in crisis periods more than in non-crisis. The positive impact of investor sentiment on stock returns lasts at the most until the next day. Investor sentiment more significantly affects the returns of stocks with a history of administrative issues or trading suspensions, especially with a bad reason for the trading suspension. The second essay investigates the impacts of firm characteristics and a mobile trading environment on investor sentiment. The impact is significant for small, low-priced, high volatile, low book-to-market ratio (BM), young, low foreign investor ownership, high individual investor participation, high mobile trading ratio, and growth stocks. Stocks related to the fourth information industry, such as bio and internet platforms, have a more significant relationship with investor sentiment than traditional sectors. Smartphones have an innovative impact on financial life, such as banking and stock trading. Individual investors' accessibility to stock information has dramatically increased in a mobile trading environment. This study reveals that the mobile trading environment lowers individual investors' information asymmetry and investor sentiment.

Cash-Flow Uncertainty, Investor Types, and Payout Policy

김수린 서울대학교 대학원 2019 국내석사

본 연구에서는 외국인 투자자, 최대주주와 현금흐름의 불확실성이 배당 정책에 미치는 영향을 분석하고자 한다. 현금흐름의 불확실성과 배당 정책 간에는 음의 상관관계가 존재하더라도 투자자의 유형에 따라 배당 정책에 각각 어떤 관계가 있는지 검증하고자 한다. 현금흐름의 불확실성이 존재하면 기업들은 재정적인 어려움으로 배당을 하기보다는 유보를 함으로써 사전 예방을 하려고 한다. 외국인 투자자의 경우, 경영 전반에 대한 정보 비대칭문제와 위험 인식 차이로 장기간의 시세차익보다 안정된 수익 실현을 추구하여 현금 배당을 선호한다. 최대주주의 경우에는 개인 투자자보다 낮은 배당 세율로 인해 배당을 늘리고자 하는 요인이 존재하며, 지주회사의 최대주주는 자회사로부터 배당수익을 얻어 수익을 늘리고자 한다. 외환 금융위기 이후부터, 외국인 투자자와 기관투자자의 기업에 대한 투자가 늘어난 2000년부터 2017년까지 한국거래소에 상장된 비금융기업을 대상으로 검증을 실시하고자 한다. 또한, 미국 증권거래위원화와 한국 증권거래법의 5% Rule에 근거하여, 각각의 투자자가 5% 이상의 지분율을 보유한 경우에 한해 투자기업의 경영자에 대한 독립성과 감시 유인을 갖춘 대규모 지분 보유자로 간주하였다. 실증분석 결과, 현금흐름의 불확실성은 배당과 유의적으로 음(-)의 상관관계가 존재했다. 현금흐름의 불확실성이 크더라도 외국인 투자자의 지분율과 배당 간에는 유의적인 결과가 나오지 않았다. 그러나, 현금흐름의 불확실성이 크더라도 최대주주의 지분율이 증가하면 배당이 증가하는 양(+)의 상관관계를 나타냈다. 본 연구를 통해 대량 지분을 소유한 유형별 투자자와 현금흐름의 불확실성이 배당에 미치는 영향을 분석함으로써, 투자자들의 배당세율정책, 지주회사의 수익구조, 그리고 책임경영이라는 화두에 시사점을 제공할 수 있을 것이라 기대한다. This paper investigates the effect of cash-flow uncertainty and investor types on payout policy. Firms with cash-flow uncertainty would have the incentive to decrease dividend payouts due to precautionary reason. Foreign investors prefer cash dividends so as to avoid information asymmetry risk. On the other hand, major investors prefer dividends because they could utilize profits from dividend revenues that are derived from their subsidiaries and their dividend tax rates are lower than individual investors. The paper conducts a test of non-financial companies in the KOSPI and KOSDAQ market from 2000 to 2017, when the investment of foreign investors and domestic institutional investors has increased since the foreign exchange crisis. Based on the 5% rule of the US Securities Exchange Act and the Korea Securities and Exchange Act, each investor was considered to be a large shareholder with independence and monitoring incentives for the management of the firm. As a result of the empirical analysis, cash-flow uncertainty, as proxied by stock return volatility, has a negative relation with dividend payouts. There is no significant relationship between foreign investors’ ownership and dividend payouts within cash-flow uncertainty. On the other hand, even if the cash-flow uncertainty is high, there is a positive correlation between major investors’ ownership and dividend policy. From this study, it is expected to provide implications for the issue of holding companies’ preference of dividend, their dividend tax rate regime and responsible management of investors.

파생상품거래와 투자자보호의 법리에 관한 연구

박철우 고려대학교 대학원 2017 국내박사

Abstract A Study in the Legal Theories of Derivatives Transactions and Investor Protection Park, Cheol Woo Department of Law Graduate School Korea University (Under the academic supervision of Prof. Emeritus Chan-Hyung Chung) 1. This paper focused on and examined the legal theories of investor protection in derivatives transactions, which were classified into two categories: domestic derivatives transactions and international derivatives transactions. Firstly, with respect to the domestic derivatives transactions, this paper made an attempt to define the conceptional factors to distinguish derivative instruments from other ordinary financial investment instruments with a view to strengthening the protection of investors in the derivatives transactions. And then, this paper analyzed the legal theories of investor protection in the derivatives transactions scattered over the laws, the Civil Act, the Financial Investment Services and Capital Markets Act, the Securities-related Class Action Act, the Act on the Regulation of Terms and Conditions consulting the legislations of foreign countries and the judgments of domestic and foreign countries’ courts, carried out the study on court rulings and made a legislative proposals, when it is necessary. Secondly, regarding the other issue, international derivatives transactions, this paper reviewed the main contents of the ISDA Master Agreement, and the recent revision of the Standard Credit Support Annex (SCSA) of 2013. Especially this paper focused on the Islamic derivatives transactions. As a part of the study, this paper considered the basic legal theories of Islamic law, the permissibility of individual derivatives transactions, and the main legal theories of investor protection. The contents of this article summarized based on sub-conclusions of each Chapter are as follows: 2. In the Chapter 2, by finding out the conceptional factors and the boundary line of the meaning of ‘derivatives’, this paper attempted to determine the scope of area where the legal theories of investor protection related to derivatives can be applied with a view to reducing legal risks in regulating and carrying out the financial investment business. As a result, this paper pointed out that, according to its economic characteristic, the intrinsic characteristics of derivatives are not the conceptional factors, such as ‘obligation of additional payments’ which can be identified only after an ex post evaluation, but the fact that ‘the fulfillment of derivatives contracts is connected with and determined by the underlying assets which are distinguished from the derivatives themselves.’ Additionally, it was thought that the fact ‘the maturity date or performance date of a derivative contract comes subsequent to the date of conclusion of the contract’ should be considered as the second factor. Given these conceptional factors, ‘derivatives’ and ‘derivatives-combined securities’ are classified as the same type of financial investment instrument. Accordingly, this paper suggested that they should be under the identical regulatory framework. In addition, this paper suggested strengthening the precautionary notice to and education of investors regarding financial investment instruments that have the characteristics and conceptional factors of derivatives such as variable insurance and FX margin transactions. With respect to the variable insurance, in order to utilize the special provisions of damages for violation of the Duty to Explain stipulated in the Financial Investment Services and Capital Markets Act, in lieu of the Principle of Suitability provision of the Insurance Business Act, this paper made a legislation proposal to apply the Article 46 and the related provisions of the Financial Investment Services and Capital Markets Act, mutatis mutandis, to the variable insurance. 3. Chapter 3 summarized domestic and foreign laws & regulations and the latest judgments of courts in order to consider the legal theories of investor protection related to domestic derivatives transactions. To discuss legal theories for the investor protection under the Civil Act, this paper examined the theory of the Declaration of Intention by Fraud, and under Mistake, the Unfair Juristic Act, and the Principle of Altered Circumstances as related to derivatives transactions, and analyzed the domestic and foreign judgments of courts. The analysis revealed that, unlike the US SEC and Japanese courts which have affirmatively acknowledged the claims based on the theories of fraud, or mistake, the Supreme Court of Korea was found to be passive in acknowledging such claims. Such passive stance of the Supreme Court of Korea needs to be changed to be affirmative. Regarding the legal theories of investor protection under the Financial Investment Services and Capital Markets Act, this paper considered the Principle of Suitability, the Principle of Adequacy (or Appropriateness), the Duty to Explain, Prohibition on Undue Recommendation and Advertisement, Prohibition on Insider Trading, Prohibition on Market Price Manipulation, Prohibition on Unfair Trading. On the Principle of Suitability, this paper argued that the burden of proof should be on the financial investment business entity shifted from on the ordinary investor. It was also argued that, determining the scope of information which financial investment businesses entities should obtain, these factors should be considered to include: the investor’s age, capability of understanding the financial investment instrument, the usage and payback period of an investment, the degree of tolerance to the investment loss, etc., besides the investment purpose, status of property, experience in investment provided on the Act. Additionally, it was thought that, determining the existence of investment recommending which is the prerequisite for applying the Principle of Suitability to the specific business activities, we should maintain the affirmative stance in order to strengthen the protection of investors. As a revision proposal of law, this paper suggested that a provision of providing a criterion for determining whether or not there is investment recommendation should be stipulated on the Financial Investment Services and Capital Markets Act, as the Conduct of Business Sourcebook of UK does. In relation to the Principle of Appropriateness, this paper attempted to find out the exact meaning of ‘Appropriateness’ by referring to the Conduct of Business Sourcebook of UK, and defined its meaning as ‘whether the implied risks of the derivatives for investment that a financial investment business entity has recognized, and the level of the total risks of the derivatives for investment that can be understood by its customer on the basis of his/her all the experiences and knowledge matches or not.’ Based on the meaning of Appropriateness above, this paper tried to distinguish the Principle of Appropriateness from the Principle of Suitability, and argued that, under the Principle of Appropriateness, the focus of examination is on the customer’s capability of understanding the risks of the financial investment instrument, but, under the Principle of Suitability, it is on the degree of tolerance to the risks of the financial investment instrument, and on the eligibility of the financial investment instrument for the investment recommendation. Besides that, this paper pointed out that it is necessary to study and explore for measures to extensively apply the Principle of Appropriateness to the provider (developer), not the sellers (distributors) of derivatives as a legal theory for implicating them into responsibility. On the relation between the Duty to Explain and the Principle of Suitability, in the case of a violation of the Principle of Suitability, it was proposed to have a review process to determine whether it was also a violation of the Duty to Explain before finally acknowledging liability for damage, rather than to recognize liability for damage on an independent basis. It was thought that this would also serve as a means to utilize special provision of Article 48 of the Financial Investment Services and Capital Markets Act. Furthermore, this paper pointed out the necessity to impose the Duty to Explain to the financial investment businesses entity in more detailed and stringent manner, and criticized the Supreme Court of Korea’s current attitude toward managing the Duty to Explain. In relation to the Prohibition on Undue Recommendations and Undue Advertisements Soliciting Investment, it was proposed to reinforce the protection of investors by interpreting the provision of Undue Advertisements as a mandatory provision. As for Prohibition on Insider Trading, this paper made a legislative suggestion that the Financial Investment Services and Capital Markets Act be amended so that not only Article 174 but also Article 173-2(2) may be included in the insider trading activities subject to the special provision for damage compensation under Article 175 of the Act. In connection with the Prohibition on Market Price Manipulation, review and analyses were made on a recent court case relating to obstructing the ELS repayment condition and a case dealing with manipulation of the Deutsche Bank on the option maturity day. As a result, this paper suggested its view as follows: It is presumed that there is an implicit agreement between the parties on the fulfillment of the ELS repayment condition which will be determined by the market outside the control of the both parties to the transaction. That said, if any party to the transaction breaches this implicit agreement and manipulates about fulfillment of the conditions, that conduct can be evaluated as an act in violation of the ‘prohibition of the conduct contradictory to the preceding act’, a sub-rule of the principles of trust and good faith. Furthermore, the conditions to determine early repayment or repayment upon maturity must be contingent upon external circumstances, occurrence of which is uncertain to both parties. Then, if the issuer or the hedging transaction party who undertook the risk of repayment obligations from the issuer can at his own will fulfill the conditions or interfere with the fulfillment of the conditions, it is rather a ‘condition-at-will’ which make such condition null and void and frustrates constitution of repayment condition for ELS. Therefore, it was suggested that the market price manipulation act should not exempted from liability simply because it is a delta hedging transaction. Finally, in relation to the Prohibition on Unfair Trading, the Supreme Court of Korea in its ruling elaborated “unfair means, scheme or trick" prescribed in Article 178(1) of the Financial Investment Services and Capital Markets Act as “any means, plan, scheme or trick that is deemed unfair in the society’s common sense". However, this paper pointed out that, adding such vague term as ‘the society’s common sense’ renders the already ambiguous provision more abstract and overbroad to the degree that it is difficult to serve as a criterion for interpretation. In addition, this paper presented its view that the litigation requirements under the Securities-related Class Action Act such as the scope of application, commonality requirement need to be expansively interpreted so that derivative transactions can be included in securities-related class action. In particular, legislative revision is necessary to include exchange-traded derivatives in the subject matters of securities-related class action. In addition, a suggestion was made to lift restrictions placed on the qualification of plaintiffs' litigation counsel so that lawyers having expertise in class actions can be utilized. In reflection of the fact that class actions against securities companies or swap transaction counter-parties are permitted by court by virtue of affirmative interpretations of law, this paper also suggested a legislation proposal to reorganize the litigation requirements for approval by, for example, deleting the related statutory provisions. For the legal theories of investor protection under the Act on the Regulation of Terms and Conditions, this paper stressed that it is important to first find whether a given agreement is pre-set terms and conditions. For this purpose, this paper established a critical test that whether or not a ‘specific business person’ is going to conclude ‘multiple contracts repeatedly’ (even if there is a one-time contract). Meanwhile, there was a possibility that KIKO contracts were considered as pre-set terms and conditions, and the counter-parties to KIKO contracts could have been protected more effectively by the legal theory of controlling terms and conditions accordingly. However, the Supreme Court of Korea denied the characteristics of pre-set terms and conditions of KIKO contracts, and for that reason, its ruling was criticized. 4. Chapter 4 reviewed the legal theories for protection of investors involved in international derivatives transactions. Presented in this Chapter is a general overview of the main points of the ISDA Master Agreement and the main contents of the Standard Credit Support Annex (SCSA) of 2013, which are commonly used as standard terms and conditions in Western conventional finance derivatives transactions. Furthermore, it was emphasized that when using ISDA Master Agreements, protecting investors through the domestic law, the Act on the Regulation of Terms and Conditions, would be difficult if the Korean law is not designated as the applicable law. The discussion is then moved to the legal theories for protection of investors in the Islamic derivatives transactions. The source of law and unique characteristics of Islamic finance, and the permissibility of trading derivatives were mentioned as a general overview and the discussion continued on the concept and structure of both traditional and newly developed Islamic derivatives. In addition, as the legal theory for the protection of investors in the Islamic derivatives transactions, this paper briefly explained the meaning and legal base of the prohibition of riba, gharar, and maisir, as well as the requirement of approval of the Shariah Committee, and the applicability of said principles to individual derivatives and related issues. Finally, the purpose and utilization of this study to examine the legal theory for protection of investors related to Islamic derivatives transactions; the necessity of understanding the derivatives transactions based on the Islamic law; and the importance of reviewing the legal risks are presented as sub-conclusions of the Chapter.