기업투명성과 신약 개발효과

최문섭(Choi, Moon Sub),이종국(Lee Jongkuk),김준희(Kim, Junhee) 한국상품학회 2012 商品學硏究 Vol.30 No.4

신제품 개발은 기업의 지속적 경쟁우위 및 기업 생존을 위한 핵심요소로 강조되어 왔다. 또한, 기존 연구들은 기업 경영의 투명성이 기업 자원의 효율적 활용을 위한 바탕이 됨을 제시하고 있으나, 기업투명성이 신약개발의 효과에 미치는 영향에 대한 실증적 연구는 없는 실정이다. 이에, 본 연구는 제약업체의 기업투명성이 신약허가 발표시 해당 종목의 조사기간 수익률에 어떠한 영향을 미치는가에 대해서 규명한다. 투자자들이 기업 내부정도에 노출된 정도를 통제했을 때, 신약의 혁신유형은 각기 상이한 경제적 부가가치를 창출하는 것으로 보인다. 또한, 주가수익률 동기성으로 추정된 기업투명성이 높은 제약업체일 수록 산약 허가발표시의 누적초과수익률 또한 개선된다. New product innovations are a key source of sustainable competitive advantage and firm survival. Although corporate transparency has been emphasized for efficient use of firm resources, we know little about the link between corporate transparency and firm value effect of new product innovations. In response, we assess whether corporate transparency of NYSE-listed pharmaceutical companies affects event-study returns upon announcements of FDA approvals. Controlled for investors’ relative exposure to inside information potentially pertaining to approval procedure, innovation types are priced in the announcement returns. Lastly, announcement returns are lower with a pharmaceutical firm lower in corporate transparency, proxied for by stock return synchronicity.

다중요인모형을 활용한 대만증시 상장종목에 관한 실증분석

최문섭 ( Moon Sub Choi ),( Seth H. Huang ),전예리 ( Yeri Jeon ) 아시아.유럽미래학회 2016 유라시아연구 Vol.13 No.4

Large number of studies have been performed to model asset returns in terms of risk factors. After the emergence of modern portfolio theory, asset pricing models have been evolved from single factor to multi-factors. Along with development of the models, validation of models with various portfolios and regions continued in wide range. However, researches in emerging Asia-Basin markets still need considerable amount of regional modeling and verification. Also, limited number of studies were conducted on industry sorted portfolio returns and more recent multi-factor models in particular. Therefore, this study focuses on validation of several market models in Taiwan stock market. This paper applies empirical tests with several well-known multi-factor models on portfolios sorted by industries in Taiwan stock market. Sample data includes all listed stocks collected from Taiwanese Stock Exchange (TWSE) from July 2001 to December 2015. Following Moerman (2005), industry portfolio is constructed based upon TWSE`s industry group classification codes per FTSE codes. To compare effect of each model in different portfolios, capital asset pricing model (CAPM), Fama and French`s (1993) 3 factor model, and Carhart`s (1997) 4 factor model are used in the study. In previous studies of the Taiwan stock market, it is known that market premium (MP) factor shows significant influence on return and relatively weak support to the effects of “high-minus-low” value premium (HML) and “small-minus-big” size premium (SMB) factors (Ko, 2014; Cheng, 2006). However, effect of the momentum factor (“up-minus-down.,” UMD) needs more validation. Also, as Fama and French (1997) discussed in U.S. market, returns of portfolios constructed in respect to industry sector is not very accurate when compared to other portfolio returns. Comparable results were observed in the European markets (Moerman, 2005). Industry sorted returns in emerging Asia-Basin markets were mostly done in limited extent and need further research. Empirical results from various time period samples have shown some differences between industries exist when different factor model is tested in Taiwan market. When whole period sample is used, influence of MP factor prevails over other factors. SMB, HML and UMD factor show significance in certain industries. In 5-year basis period sample, 2001-2005 and 2006-2010 periods show results similar to whole period, but period from 2011 to 2015 deviates from formal results with significant UMD factor in number of industries. However, similar to result of Fama and French (1997), there is no evidence of clear winner on different models in all time periods in terms of model fitness. Overall, consistent with findings of Cheng (2006), MP factor has significant influence in explaining industry return. Effects of other factors are limited with weak influence.

폐쇄형 투자펀드의 할인현상에 대한 비대칭 정보적 접근

최문섭(Moon Sub Choi) 한국산업경영학회 2012 경영연구 Vol.27 No.1

본 연구에서는 정보거래확률(probability of informed trading)로써 측정되는 역선택의 위험도가 미국 뉴욕증권거래소(New York Stock Exchange)에 상장된 폐쇄형 투자펀드(closed-end fund)의 할인율에 반영될 수 있다는 실증적 분석결과를 보여준다. 이는 폐쇄형 투자펀드의 할인현상이 개인 투자자들의 감정적으로 편향된 투자성향에 기인한다는 기존의 실증적 연구결과에 비추어 직관적이지 않다. 그러므로 정보거래확률의 추정치가 행태적 편향효과에 의해 과대평가되었을 가능성이 있다. 이에 시장전체 투자자 감정지수(investor sentiment index), 투자자의 관성적 투자습관(momentum) 및 비유동성 척도(illiquidity) 등을 추가적으로 통제한 결과 여전히 정보거래확률이 폐쇄형투자펀드의 할인현상에 대해 설명력이 있음을 보여준다. 이는 내부정보를 접한 투자자의 과신(overconfidence)에 기인한 처분효과(disposition effect)가 수치적으로 정보거래확률에 반영되었음을 시사한다. This research reports that the degree of adverse selection, proxied for by the probability of informed trading(PIN), may be priced in the discount of closed-end fund(CEF) listings on the New York Stock Exchange(NYSE). This is unintuitive since the existing empirical studies conclude that the discount is largely sentiment-based. One can accordingly suspect that the PIN-effect of CEF discount may have been confounded with behavioral biases. Further controling for the aggregate investor sentiment, investor momentum, and illiquidity measures, reveals that the informativeness of discount is mostly reduced but still remains to be statistically meaningful. This can be due to the disposition effect of overconfident traders exposed to private information.

중국의 그림자금융과 주식시장에의 파급효과 분석

( Seth H. Huang ),최문섭 ( Moon Sub Choi ) 아시아.유럽미래학회 2015 유라시아연구 Vol.12 No.3

Based on recent estimates, as of 2014, the Chinese shadow banking market size was as much as the 80% of the GDP (Elliott, Kroeber, Qiao). Usually, when the shadow banking market is discussed, in academia the focus has been on the detrimental effects on the economy as off-bank lending often requires no collateral, may result in the credit crisis and, in the case of citizen lending, unreported tax revenue (Smits and etc.). The opposite has also been argued. As China does not have an established credit score system for individuals, and the credit rating agencies have long focused on large, state-owned enterprises, shadow banking serves as an important function for capital markets for SMEs. This paper takes a different approach in examining the total social lending and its effects on the stock market. We exclusively use data from People``s Bank of China (PBOC) as many data sources provide data that may be incomplete, corrupted or have various different definitions for similar items. By using the PBOC data, we can ascertain the integrity of the consistency. Specifically, there have been a variety of estimates on the size of shadow banking, with a range so drastic as to render insightful context impossible. In this paper, we study the relationship between the Chinese shadow banking activities and the stock market movements. It has been well documented that over 80% of stock market investors are retail investors, and as a result, the Chinese stock market had rapidly reached a bubble level. A main speculation is retail investors actively take out bank loans to invest inthe stock market (Bolvin et al., 2015). Here, we provide a different perspective. We show that shadow banking as recorded by Chinese government, had not contributed to the Chinese stock market movements. Specifically, off-balance-sheet loans such as entrusted loans, which banks lend to wealthy individuals and preferred companies, had negative effects on the stock market trading volume, indicating that these loans are not taken out to be reinvested in the stock markets. Additionally, contrary to prevalent opinion, pure bank RMB loans to individuals and companies do not contribute much to the capital market movements, suggesting that these loans do enter the economy in the forms of productions and consumptions. After controlling for a variety of factors, we demonstrate there is no evidence supporting that the shadow banking contributed to the Chinese stock market bubble.

[사례연구] 해외 프로젝트 파이낸스 투자 사례와 실물옵션기반 투자 의사결정

변진호(Jinho Byun),최문섭(Moon Sub Choi) 대한산업공학회 2013 대한산업공학회지 Vol.39 No.5

The Korean Veterans’ Pension Fund has previously pre-purchased Gibril Tower on Business Complex in Dubai, UAE, via a project-financed construction investment. Although the property is near completion, the investor syndicate?s attempt to debt-finance due arrears was foiled in Dubai central bank’s credit control of real estaterelated loans. Accordingly, the investment coordinator offered an additional capital injection, a collateralized leverage, and a maturity extension to the syndicate. If the syndicate rejects the offer, they may risk a nearcomplete capital loss and a possible default of the main contractor. Otherwise, the syndicate may still face uncertainties regarding interest receivables, principal re-payment, foreclosure, economic recession in Dubai, and the Islamic bond bill in the Korean Parliament. A possible exercise of the latter option may be due to the agency-prone nature of pension fund managers. Given these qualitative risk factors as at April 1, 2011, a real options approach-implied optimal decision suggests an extended and complete cash augmentation into the project finance deal.

국내 폐쇄형 투자펀드 거래에 관한 비대칭정보 분석

신정순 ( Jung Soon Shin ),최문섭 ( Moon Sub Choi ),조성순 ( Seong Soon Cho ) 한국금융공학회 2013 금융공학연구 Vol.12 No.3

본 연구에서는 한국거래소에 상장된 폐쇄형 투자펀드(closed-end fund, CEF)가 최근 들어 과거 문헌에 기록된 할인현상과 대조되는 할증현상을 보임을 제시하며 투자자 역선택 위험의 척도인 정보거래확률(probability of informed trading, PIN)이 시장전체 투자자 감정지수(investor sentiment index), 투자자의 관성적 투자습관(momentum) 및 비유동성 척도(illiquidity) 등을 통제한 이후에도 국내 CEF의 할증현상에 통계적으로 유의적인 설명변수임을 보여준다. 지속적인 할인현상을 보이고 있는 미국에 상장된 CEF의 경우, 편입종목의 내부정보를 접한 투자자의 과신(overconfidence)에 의한 처분효과(disposition effect) 등의 행태적 위험요인이 반영된 PIN이 해당 CEF의 할인율에 경제 논리와 일치하는 설명력을 가지지만 국내에 상장된 CEF의 할증현상은 비대칭정보 및 행태적 위험요인과의 논리적 연관성이 낮은 것으로 판단된다. 국내 상장 CEF의 경우 순자산 정보의 확산 경로가 미국의 경우와 다르며, 차익거래가 용이하지 않은 부동산관련 설정펀드가 다수인 점이 이런 차이를 발생시키는 것으로 판단된다. This research reports a noticeable premium on the Korea Exchange-listed closed-end funds (CEFs) since 2009. After controlling for the aggregate investor sentiment, investor momentum, and illiquidity measures, the probability of informed trading (PIN) turns out to statistically significantly explain the premium of an average Korean CEF. The PIN may be a proxy for behavioral biases for New York Stock Exchange-listed CEFs which have been persistently discounted to their net asset values (NAVs): The overconfident informed traders can be prone to disposition effect. However, the logical link from asymmetric information and behavioral factors to the documented premium of Korean CEFs is loose. At least a few attributes of Korean CEFs are against the grain: First, the information propagation channel of NAV is unlike that of the U.S. Second, a significant portion of Korean CEFs invest in illiquid real estate properties.

기업지배구조와 주식예탁증서

최정화(Joung Hwa Choi),최문섭(Moon Sub Choi) 한국증권학회 2015 한국증권학회지 Vol.44 No.2

지난 수십년간 주식예탁증서를 포함한 역외상장(cross-listing) 종목수는 자본조달비용 절감 및 거래유동성 개선을 목적으로 꾸준한 증가추세를 보여 왔다. 이러한 기업들의 역외상장에 대한 높은 선호도와 역외상장주에 대한 해외 투자자들의 무시하지 못할 투자비중으로 인해 국제 재무이론 문헌에서도 역외상장의 주제가 많은 주목을 받고 있다. 이는 (1) 원주와 역외주 간의 차익거래에 관한 연구, (2) 다중상장주식의 가격탐색에 관한 연구, (3) 역외상장 의사결정이 기업지배구조에 미치는 영향 또는 기업지배구조가 차익거래에 미치는 영향 등 크게 세 가지 주제로 나뉠 수 있다. 본 연구는 국내문헌에 기록된 바가 상대적으로 적은 세 번째 주제에 주안했으며, 실증결론은 다음과 같다. 첫째, DR을 역외상장한 국내 상장기업일수록 그렇지 않은 국내 상장기업에 비해서 주식이 상대적으로 고평가되며 이는 한국 주식시장에 역외상장 프리미엄(cross-listing premium)이 존재함을 의미한다. 둘째, DR 역외상장 기업의 기업지배구조는 그렇지 않은 기업 보다 우월하며, 역외상장 이후 기업지배구조가 개선된다. 셋째, 가격탐색 및 시장통합의 척도인 DR과 원주 간의 가격차이는 기업 및 시장변수, 그리고 기업수준 및 국가수준 기업지배구조에 의해 결정된다. 특히 역외상장 기업의 경영투명성이 개선 될수록 가격차이가 낮아 가격탐색 및 시장통합의 수준이 제고되는 것으로 나타났다. In the last several decades, companies around the world have increasingly diversified their stock listings abroad in order to minimize capital costs and improve liquidity. Cross-listings have, thus, attracted due managerial, practical and academic attention for their popularity as financing instruments, investment assets and research topics, respectively. Among the identified research strands are arbitrage on cross-listed pairs, the price discovery of multi-listed shares, and interactions between cross-listing and corporate governance. A dearth of articles in the Korean finance literature on the third agenda motivated our research, whose empirical findings are as follows: First, cross-listed firms are relatively worth more on Korean exchanges than others (cross-listing premium). Second, DR-listed Korean companies are relatively governed better than others. Their cross-listing decisions appear to have improved corporate governance. Lastly, as a proxy for the degree of price discovery and market integration, the price gap (DR premium) of a Korean cross-listed pair is, on average, determined by the firm, market, and country-level factors of risks and corporate governance. Specifically, corporate transparency is inversely associated with the DR premium.

빈곤층의 보수화(保守化)에 관한 고찰

김덕규 ( Duk Gyoo Kim ),최문섭 ( Moon Sub Choi ) 연세대학교 경제연구소 2015 延世經濟硏究 Vol.22 No.1

정제적 불평등이 심화될수록 저소득층이 보수적이 된다는 관찰(Kelly and Enns. 2010)은 그들에게 유리할 수 있는 소득재분배 정책을 반대한다는 점 에서 비직관적이다 본고의 목적은 이 관찰을 설명할 수 있는 간단한 경제학 모형 혹은 대중의 선호에 대한 올바른 가정을 제시하는 것이다. 우리는 위치 재의 외부 효과를 고려한 모형이 위의 관찰을 상당 부분 설명할 수 있음을 밝혔다. 위치재(Positional goods)는 효용이 같은 집단에 속한 타인과의 상대 적 위치의 비교를 통해 많은 부분 결정되는 재화로 절대적인 재화의 소비량 이 늘어나더라도 상대적으로 작은 소비를 히는 경우 전체 효용이 감소환 가능 성을 내포한다. 모든 개인이 위치 경쟁을 하고 새 경제정책을 도입했을 때 개인의 노동생산성이 임의로 교란되는 경우 적절한 모수집단 안에서 중산층 만이 소득 재분배 정책을 지지하고 고소득층과 저소득층이 정책을 반대하는 현상이 나타날 수 있다. 특히 저소득층의 경우. 소득재분배 정객을 동해 얻게 되는 기대 효용을 노동 생산성의 교란에 의해서 현재의 상대적 위치를 잃었을때의 비효용이 상쇄할 예 소득재분배 정책을 반대하게 된다. 노동생산성의 교란이 관찰을 주도적으로 이끄는 것은 아니다. 표준적인 모형에 노동생산생의 교란만을 고려했을 때에는 위의 관찰을 설명할 수 없다. The observation that as income inequality gets severer the lower income class become more conservative (Kelly and Enns, 2010) is counter-intuitive in that they vote against a redistribution policy that may be beneficial to themselves. The purpose of this letter is to provide a reasonable set of assumptions, or a simple economic model that predicts such an observation. We show that positional externality can explain the observation. Positional goods are ones whose utility mainly depends on how it compares with others in the same category. When the citizens take the positional competition and their labor productivity randomly adjusted after a new public policy is approved, we show that only the middle income citizens may vote for the redistribution policy while the high and the low income citizens vote against. The poor may vote against the redistribution policy when the expected utility gain of the redistribution in absolute terms is smaller than the disutility of the possibility of losing a relative position due to productivity shock. The productivity shock is not a main driving force of yielding the desirable prediction. We cannot explain the observation by adding productivity shocks only.

What explains firm valuation? Evidence from the Chinese manufacturing sector

Sha Qiang,Yun Joo An(안연주),Moon Sub Choi(최문섭) 한국무역학회 2020 貿易學會誌 Vol.45 No.2

옵션 가격결정모형을 활용한 적정 방위비 분담금 추정: 2011년, 2012년 방위비 분담금 지출액을 중심으로

정원열 ( Weon Yeol Jeong ),김종수 ( Jong Su Kim ),채원영 ( Won Young Chae ),최문섭 ( Moon Sub Choi ) 아시아.유럽미래학회 2016 유라시아연구 Vol.13 No.3

The research is to estimate the validity of Korea`s annual contribution to the budget for maintaining the United States Forces Korea. Defining the put option as USFK`s role and value in order to confront crisis. It has estimated the strategic value(put premium) of the USFK by determining its price. Approaching the USFK as “Real Options” rather than “Financial Options”. We defined Korea’s economic scale prior to the wartime as “S(Spot price)” and after the breakout in time of US reinforcement as “K(Strike price)”. “K(Strike price)” is based on the Korea-U.S war scenario were calculated by considering loss of the civil and military sector. in this study, “K(Strike price)” is subtracted mobilization costs, investment costs, loss rate of the Korea from “S(Spot price)”. By comparing put option price approved by Black-Shoulds model with the amount of Korea`s budget contribution to the USFK. we try to evaluate the efficiency of National Defense expenses and to lay out a logical basis for negotiation with the United States. As a result, the interval of the strategic value is between 900 billion to 3.9trillion won in case of automatic intervention of US reinforcements, allowing Korea`s payments of 812billion and 836 billion won toward the USFK in 2011 and 2012 to be theoretically fairly valued as a Real Option price. The research can be lack of the reality because of the wide range of results, but we are able to get a more precise value by war scenario being kept secret. Considering the rate of change in Gross Domestic Product(GDP) after the wartime, the fair price of Put Option has been exponentially higher the sooner the US forces are augmented. Though there have been numerous studies on what would be the fair amount of the defense cost sharing in economical perspective, none of them yet succeeded in satisfying the palate of the United States. in other words, Most of the study was a lack of objectivity and rationality to appeal to the emotions or claims by simple comparison logic.This research endeavored to be rational by analysing the rate of change in GDP approached by the real option method and to be practical by reflecting the probability of damage according to the war scenario. It is the first attempt in estimating the contribution scale to the budgetusing the real options approach and is expected to play the satisfactory role for the future SMA(Special Measure Agreement) as the bargaining chip.