Liquidity and Skewness Risk in Stock Market: Does Measurement of Liquidity Matter?

Massaporn CHEUATHONGHUA(Massaporn CHEUATHONGHUA ),Woraphon WATTANATORN(Woraphon WATTANATORN ),Sarayut NATHAPHAN(Sarayut NATHAPHAN ) 한국유통과학회 2022 유통과학연구 Vol.20 No.12

Purpose: This study aims to explore the relationship between stock liquidity and skewness risk—tail risk (stock price crash risk) in an emerging market, in which problems on liquidity are more severe than in developed markets. Research design, data, and methodology: Based on the Thai market stock exchange over the period of 2000 to 2019, our sample include 13,462 firm-period observations. We employ a panel regression models regarding to five liquidity measures. These five liquidity measures cover three dimensions of liquidity namely the volume-based, price-based, and transaction cost-based measures for the liquidity-tail risk relationship. Results: We find a positively significant relationship between stock liquidity and tail risk in all cases. The finding here shows that the higher the stock liquidity, the larger the tail risk is. Conclusion: As the prior studies show inconclusive effect of stock liquidity on stock price crash risk, we demonstrate that mixed results found in prior studies are probably driven from the type of liquidity measure. The stock liquidity-tail risk association is present in the Stock Exchange of Thailand. The results remain the same regardless of the definition of tail risk and liquidity factors. An endogeneity issue is addressed by employing the two-stage least squares regression.

Economic Capital Allocation under Coherent Market Liquidity Constraints

( Mazin A. M. Al Janabi ) 한양대학교 경제연구소 2011 JOURNAL OF ECONOMIC RESEARCH Vol.16 No.2

Asset liquidity trading risk arises from the failure to recognize or address changes in market conditions that a.ect the ability to liquidate trading assets quickly and with minimal loss in value. Yet despite this universal recognition of the phenomena, there exist no precise mathematical definition of liquidity risk and traditional Value at Risk (VaR) models fail to recognize the impact of liquidity trading risk. In this work we do not o.er a definitive one either, but we develop measures of certain kinds of liquidity trading risk that is useful for completing the definition of market risk and for predicting liquidity-adjusted VaR (L-VaR) under illiquid market conditions and within a multivariate context. We argue that asset liquidity risk associated with the uncertainty of liquidating multiple-assets over a given holding period, particularly for thinly traded or emerging markets securities under adverse market conditions, is a key factor in formalizing and measuring overall trading risk and is therefore an important component to model. This paper proposes a practical framework for the quantification of asset liquidity risk, and its impact on economic capital allocations, for multiple assets` portfolios. We present a method whereby the holding periods are adjusted according to the particular needs of each trading portfolio; and this can be attained for the entire portfolio or for specific assets within the trading portfolio. This paper extends previous approaches by explicitly modeling the liquidation of trading portfolios, over the holding period, with the aid of an appropriate scaling of the multiple-assets` L-VaR matrix along with GARCH-M technique to forecast conditional volatility and expected return. The key methodological contribution is a different and a less conservative liquidity scaling factor than the conventional root-t multiplier. The proposed liquidity multiplier is a function of a predetermined liquidity threshold, de.ned as the maximum position which can be unwound without disturbing market prices during one trading day, and is quite straightforward to implement even by very large financial institutions and institutional portfolio managers. Using more than six years of daily return data of emerging Gulf Cooperation Council (GCC) stock markets, we analyze different trading portfolios (of both long and short-sales trading positions) and determine asset liquidity risk exposure and coherent annual economic capital allocations under different illiquid and adverse market conditions and under the notion of different correlation factors and unwinding periods.

한국 주식시장에서의 유동성위험의 평가

배성미,김종대,안형태,조문기 한국기업경영학회 2016 기업경영연구 Vol.23 No.4

This study investigates if liquidity risk can explain individual stock returns as a systematic risk in the Korean stock market. And, it examines whether market liquidity and its unexpected change increase at times of liquidity crisis such as the foreign currency crisis during 1997-1999 and the global financial crisis during 2007-2009 periods. It also tests if the liquidity risk itself, a sensitivity of individual stock return to unexpected change in market liquidity, increases at times of liquidity crisis. The final sample of 139,468 firm-months for periods of 1992∼2012 that satisfy the sample selection criteria. All sample firms are listed in the Korean stock market. The results indicate that the liquidity risk is evaluated by the investors as a systematic risk in addition to the market beta, firm size and book-to-market ratio that are known as systematic risks. That is, a significant positive correlation was found between unexpected change in market liquidity and individual stock returns, consistent with the prior studies. It indicates that the liquidity risk is recognized as an additional source of systematic risk in the Korean stock market. The result implies that the more sensitive a stock is to the unexpected change in market liquidity, the higher liquidity premium is required by the investors. Analysis of the monthly movement of liquidity in the Korean stock market reveals that the market liquidity and its unexpected change increased sharply around the foreign currency crisis and the global financial crisis. It also shows the increase of liquidity risk, the sensitivity of individual stock return to the unexpected change in market liquidity, at times of liquidity risk. Many incidents have been occurring that bring about turbulences in financial market after the global financial crisis, and one of the underlying causes is referred to as lack of liquidity in the financial market. This study provides to the finance literature evidence of liquidity risk functioning as an additional source of systematic risk at Korean stock market, and it finds out that the liquidity risk itself differs depending on the level of market liquidity. This study contributes to the extant literature by presenting an additional evidence of liquidity risk as an additional systematic risk in the Korean stock market based on different sample period encompassing a world financial crisis. In addition, it uses a different definition and measurement of liquidity risk than the previous study. Despite those differences, this study ascertains the liquidity risk as a source of systematic risk in the Korean stock market. The result indicates that liquidity risk must be taken into account along with well-known risk factors in estimating expected return from assets. Also, it needs to be noted that unusual movement of liquidity at times of financial crisis increases the systematic risk of stocks. 본 연구의 목적은 국내 주식시장을 대상으로 유동성위험(liquidity risk)이 개별 기업의 기대수익률을 설명하는 체계적 위험 요인으로 작용하고 있는지를 검증한다. 또한 외환위기와 세계금융위기와 같은 유동성 위기 기간에 시장유동성과 비기대 시장유동성 변동이 어떠한 양상을 보이는지를 살펴보고, 이 시기 유동성위험의 크기가 그렇지 않은 기간과 어떠한 차이를 나타내는지를 확인하고자 한다. 이를 위해 1992년∼2012년까지 한국증권거래소에 상장된 기업들 중 표본 선정 기준을 만족한 139,468 기업-월 표본을 대상으로 실증분석을 실시한 결과, 이전 연구에서 개별 주식의 기대수익률에 영향을 미치는 요인들로 확인된 시장베타, 기업규모, BE/ME ratio를 통제한 후에도 유동성위험 변수와 개별 주식 초과수익률 간에 유의한 양(+)의 상관관계가 있음을 확인하였다. 이는 비기대 시장유동성 변동에 민감한 주식일수록 높은 유동성 프리미엄을 요구하고 있음을 보여준다. 본 연구의 결과는 해외 연구와 일관되는 것으로 국내 주식시장에서도 유동성위험이 존재하며, 시장참여자들에 의해 체계적 위험 요인으로 평가되고 있음을 제시한다. 월별 시장유동성 및 비기대 시장유동성 변동 패턴을 살펴본 결과에서도 1997년 외환위기와 2007년 세계금융위기 당시 우리나라 주식시장에서도 시장유동성뿐만 아니라 비기대 시장유동성 변동이 급격하게 증가하였으며, 유동성위험도 함께 증가하는 것으로 나타났다.

금융규제와 유동성위험간 관계 분석

강종구 ( Jong Ku Kang ) 한국금융연구원 2010 금융연구 Vol.24 No.4

After the global financial crisis, it is widely recognized that liquidity risk management is indispensible for macro economic stability. Northern Rock (UK) and Bear Stearns (US) could not avoid bankruptcy due to liquidity risk problem even though their capital adequacy and asset soundness did not pose serious threat to the banks` stability. Contagion of systemic risk among banks is contributed mainly by lack of adequate liquidity risk management. Bank`s liquidity risk needs to be measured considering both the asset and the liability structure. This paper, given that liquidity risk rises when non deposit liability increases and safe asset decreases, employs the ratio of (non deposit liability-safe asset) to total funding as an index measuring liquidity risk. Since the global financial crisis, the introduction of new financial regulation has been under discussion. In the light of this, the necessity of analysing the relationship between financial regulation and liquidity risk has grown. This paper mentions factors affecting liquidity risk and analyses the relationship between financial regulation and liquidity risk by setting up a model and conducting simulation. The trend of the liquidity risk index can be identified using the ratio of (non deposit liability-safe asset) to total funding. The liquidity risk of the commercial banks in Korea had risen from 2000 to the time before the financial crisis, and it had risen especially rapidly during the period from 2007 to the third quarter of 2008. Meanwhile, the movement of the ratio of loan to deposit and the ratio of non deposit liability to total fund is similar to that of the liquidity risk index. The result of analyzing correlation shows that banks with higher liquidity risk index before the financial crisis tend to have received greater financial support from the government and the central bank after the financial crisis, which implies that the liquidity risk index can be useful in measuring bank`s exposure to liquidity risk. The results obtained from setting up a model and conducting simulation are as follows : rise of the safe debt funding cost, decrease in the risky debt funding cost, decrease in the safe asset return and rise of the risky asset return contribute to increase in liquidity risk through expansion of the risky debt and reduction of the safe asset. As the expectation for the financial market being stable grows, banks hold the safe asset less and the risky asset more, which increases liquidity risk. When banks become more risk-averse, banks hold the safe asset more, which leads to decrease in liquidity risk. Simulation results show that strengthening BIS capital ratio regulation can bring about decrease in the ratio of (risky debt-safe asset) to total funding through reduction in the risky asset and expansion of the safe asset. Raising required core capital ratio restrains banks` risk taking by increasing stockholders` responsibility for bank losses, and consequently, decrease liquidity risk. Strengthening leverage ratio regulation may be a factor in liquidity risk increase as it leads banks to reduce mostly the safe asset that has lower return than the risky asset. Imposing bank tax on non deposit liability can reduce the amount of non deposit and decrease liquidity risk, while imposing tax on bank profit does not have a significant effect. And, imposing levy on bank profit can increase liquidity risk as banks expect more support when in trouble and bank moral hazard problem becomes more severe. Meanwhile, imposing levy on non deposit liability does have little effect on liquidity risk. Introducing the loan to deposit ratio regulation can be a factor which decreases liquidity risk. It is expected that most regulations currently under discussion can restrain banks` risk taking activity and decrease liquidity risk, contributing to macro economic stability. However, there is a possibility that some of them can increase liquidity risk.

유동성위기상황에서 수신고객구조가 은행위험에 미치는 영향

서정호 ( Jeong Ho Suh ),박정수 ( Jung Soo Park ),신현한 ( Hyun Han Shin ) 한국금융학회 2010 금융연구 Vol.24 No.1

Shin(2009), Liu and Mello(2009) 등은 금융기관이 자금조달을 위해 법인, 금융기관 등 대규모신용공여자(large lenders)에 지나치게 의존할 경우 유동성위기상황에서 뱅크런의 위험이 증폭될 수 있다는 새로운 은행실패 가설을 최근 제시하였다. 대규모신용공여자들이 제공한 자금의 상당 부분이단기성일 뿐 아니라, 이들은 시중 유동성 악화에 따른 자신의 재무제표 위험을 선제적으로 통제하기 위해 제공한 자금을 조기에 회수하려는 디레버리징 동기를 갖기 때문이라고 설명하였다. 본 논문에서는 유동성위기상황에서 수신고객구조(depositor structure)가 국내 은행들의 위험에 유의한 영향을 미쳤는지를 검증하기 위해 2004년 이후 국내 은행들의 분기별 불균형 패널 데이터에 대해 고정효과모형에 기초한 실증분석을 시도하였다. Lehman Brothers의 파산보호신청 등으로 인해 국내 은행들이 급격한 유동성 압박을 경험했던 2008년 하반기를 유동성위기상황으로 정의하고 은행위험의 변동을 살펴본 결과, 주식시장 참여자 뿐 아니라 예금자들도 유동성위기하에서 수신고객구조에 따른 위험에 차별적으로 반응한다는 실증적 근거를 볼 수 있었다. 은행의 특성을 나타내는 통제변수들이 감안되었고, 다양한 강건성 검증도 실행하였다. 본 연구는 Shin(2009), Liu and Mello(2009) 등이 제시한 새로운 가설과 이론에 대해 우리가 아는 한 최초의 실증분석 결과를 제시하고 있다. 본 연구의 결과는 법인 등 도매조달(wholesale funding)의 비중이 지속적으로 상승하고 있는 국내 시중은행의 수신고객구조의 추이를 감안할 때 은행경영 뿐 아니라 건전성 감독규제를 설계함에 있어서도 시의성 있는 함의를 던져줄 것으로 판단된다. Shin (2009) and Liu and Mello (2009) presented a new theory on bank risk in which if a bank relies too much on the funding from the large lenders such as financial institutions, corporations, and major credit suppliers, it is more likely to increase the bank risk during the liquidity crisis. A significant portion of credit provided by large depositors is short-term, and it is sensitive to market liquidity because major credit suppliers (large depositors) have an incentive of de-leveraging when liquidity crisis occurs, and withdraw funds from other institutions in order to take a preemptive action against the risk of unfavorable financial situation. In this paper, we assume that capital market participants and bank depositors are concerned about the bank risk caused by depositor structure during the liquidity crisis. In other words, we assume that capital market participants expect potential withdrawals from large depositors during liquidity crisis when a large proportion of bank deposit is made by major credit suppliers. Using the fixed effect model and Korean banks` quarterly unbalanced panel data since 2004, we investigate whether the depositor structure affects the Korean bank risk. We use the following empirical model in order to test our hypothesis: Yi,t=αi+β1·RDEPOi,t+β2·RDEPOi,t*CRISISt+β3·CRISISt+γX+εi,t (1) where Yi,t is a dependent variable representing the risk of bank failure, RDEPOi,t is a proxy variable for depositor structure (the proportion of institutional and other types of non-individual deposits), CRISIS is a proxy variable for liquidity crisis, X is a vector of control variables representing bank characteristics. Dependent variable Yi,t measures the risk of a bank failure at a point in time. We use stock return volatility (SDR) and percentage changes in deposits (DEP) as a proxy for the risk of bank failure. Stock return volatility is a standard deviation of an individual bank`s stock returns (1nPt/Pt-1) for a quarter, and it measures how sensitive the capital market participants are to bank risk, while the percentage change in deposit measures how sensitive depositors are to bank risk. We use the second half of 2008 as a period of liquidity crisis because Korean banks experienced a sudden liquidity pressure following Lehman Brothers` bankruptcy filing. In other words, CRISIS takes the value of one for the 3rd and 4th quarter of 2008, while it takes the value of zero for all previous periods. We also use CDS premium as a proxy variable for liquidity crisis. During the second half of 2008, domestic banks have experienced liquidity crisis despite abundant liquidity in domestic currency. Because of deteriorating conditions in bank borrowing in foreign currency, bank risk premium has been rising rapidly. Thus, the domestic banks` degree of stress could be measured more accurately by the CDS premium since it reflects the full risk of the overall economic system caused by foreign borrowing conditions. We find empirical evidence that the reaction to the liquidity crisis by equity market participants as well as depositors is associated with the risk caused by depositor structure. We also performed various robustness tests controlling for variables representing the characteristics of banks. To the best of our knowledge, this paper provides the first empirical evidence consistent with the recent hypothesis and theory provided by Shin (2009), and Liu and Mello (2009). The results of this paper are considered to provide timely implications in the bank management as well as in the design of the prudential regulations given the trend that the proportion of corporate and wholesale funding continues to rise in Korean banks.

과소투자 문제와 유동성위험의 맥락에서 기업의 부채만기가 레버리지에 미치는 영향

신민식,김수은 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.05

본 연구에서는 2000년 1월 1일부터 2010년 12월 31일까지 한국거래소의 유가증권시장과 코스닥시장에 상장된 기업을 대상으로 과소투자 문제와 유동성위험의 맥락에서 부채만기가 레버리지에 미치는 영향을 실증분석 하였으며, 주요한 분석 결과는 다음과 같다. 부채만기는 레버리지 비율에 양(+)의 영향을 미친다. 즉, 부채만기를 단축시키면 레버리지가 축소되고, 부채만기를 연장시키면 레버리지가 확대된다. 따라서 부채만기를 단축시켜 단기부채의 비중을 증가시키 면, 유동성위험이 증가하여 파산비용이 증가하고 부채수용력이 약화되어 레버리지가 감소한다. 성장기회 는 레버리지에 음(-)의 영향을 미치며, 성장기회와 부채만기간의 상호작용변수도 레버리지에 음(-)의 영 향을 미치는데, 이는 부채만기 단축이 성장기회가 레버리지 비율에 미치는 음(-)의 영향, 즉 과소투자 문 제를 완화시킴을 의미한다. 부채만기 단축이 레버리지에 미치는 두 가지 상반된 효과, 즉 과소투자 문제 완화효과와 유동성위험 증가효과를 서로 상쇄시킨 순효과는 기업의 신용도에 따라 달라진다. 신용도가 낮은 기업은 부채만기 단 축으로 인한 유동성위험 증가효과가 과소투자 문제 완화효과보다 더 크기 때문에 부채만기 단축이 레버 리지를 감소시킨다. 그러나 신용도가 높은 기업은 과소투자 문제 완화효과가 유동성위험 증가효과보다 더 크기 때문에 부채만기 단축이 레버리지를 증가시킨다. 따라서 신용도가 높은 기업은 유동성위험 증가 를 이유로 레버리지를 축소시키지 않고도 부채만기 단축을 통해 과소투자 문제를 완화시킬 수 있다. 레버리지 비율은 부채만기에 양(+)의 영향을 미친다. 즉, 레버리지를 축소시키면 부채만기가 단축되고, 레버리지를 확대시키면 부채만기가 연장된다. 이러한 결과는 부채만기 단축(연장)과 레버리지 축소(확대) 는 유동성위험에 대한 대체수단으로 사용될 수 있음을 시사한다. 성장기회는 부채만기에 음(-)의 영향을 미치지만, 성장기회와 레버리지 비율간의 상호작용변수는 부채만기에 양(+)의 영향을 미치는데, 이는 레 버리지가 성장기회가 부채만기에 미치는 음(-)의 영향, 즉, 과소투자 문제를 완화시킴을 의미한다. 즉, 성 장기회 그 자체는 부채만기를 직접적으로 단축시키지만, 성장기회와 레버리지 비율간의 상호작용변수는 부채만기를 간접적으로 연장시키므로, 이 두 가지 효과를 합한 총효과는 성장기회의 크기에 관계없이 양 (+)의 값이 된다. 따라서 레버리지 단축을 통하여 과소투자 문제를 충분히 통제할 수 있는 기업은 성장 기회가 부채만기에 미치는 음(-)의 영향을 대부분 제거시킬 수 있다. 결론적으로, 부채만기가 과소투자 문제와 유동성위험의 맥락에서 레버리지에 미치는 영향을 체계적으로 분석할 필요가 있다. 부채만기는 그 자체뿐만 아니라, 성장기회와의 상호작용변수가 과소투자 문제와 유동성위 험에 미치는 상반된 효과를 통하여 레버리지에 영향을 미친다. 또한, 부채만기가 레버리지에 미치는 영향을 기 업의 신용도에 따라 달라진다. 이러한 연구결과는 부채만기와 레버리지 정책에 대한 중요한 시사점을 제시한다. In this paper, we analyze empirically the effects of debt maturity on leverage in the context of underinvestment problems and liquidity risk of firms listed on Korea Exchange. In terms of methodology, we develop the simultaneous equations model that integrates leverage and debt maturity model. The main results of this study can be summarized as follows. Debt maturity has a significant and positive effect on leverage. This result supports the liquidity risk hypothesis that predicts a positive relation between debt maturity and leverage(Diamond, 1991 and 1993). Growth opportunities have a significant and negative effect on leverage. This result provides strong support for the underinvestment hypothesis(Myers, 1977). Interaction variable between debt maturity and growth opportunities has a significant and negative effect on leverage, implying that for high growth firms, the overall positive relation between debt maturity and leverage may become weaker. With respect to the overall effect of debt maturity itself and the interaction between debt maturity and growth opportunities on leverage, debt maturity has a significant and positive effect on leverage. The liquidity risk effects of debt maturity on leverage should be more important for lower credit quality firms and firms that cannot easily lengthen their debt maturity. Low credit quality firms that face greater liquidity risk may demand longer term debt to reduce this risk, but find no lenders willing to supply it at reasonable cost. In contrast, higher credit quality firms likely face lower liquidity risk, and can also borrow longer term debt if liquidity risk concerns do arise. For lower credit quality firms, the relatively large liquidity risk effect outweighs the attenuation effect of underinvestment problems so that the net effect of shortening debt maturity on leverage is negative. Thus, lower credit quality firms can try to attenuate the negative effect of growth opportunities by shortening debt maturity, but on the end this does not increase leverage. On the contrary, the negative direct effect of the increased liquidity risk on leverage more than offsets the positive attenuation effect, producing a net reduction in leverage. These results are consistent with Mauer and Ott's(1998) theoretical model in which firms that shorten debt maturity to reduce underinvestment problems can also reduce leverage to avoid liquidity risk. For higher credit quality firms, the positive effect of reducing underinvestment problems outweighs the effect of increasing liquidity risk so that the net effect of shortening debt maturity on leverage is positive. Thus, higher credit quality firms can shorten debt maturity to reduce underinvestment problems without having to reduce leverage because of liquidity risk. Leverage has a significant and positive effect on debt maturity, which is consistent with the result in the leverage model. It provides further evidence that high liquidity risk caused by high leverage policy can be moderated by longer term debt maturity and that longer term(shorter term) debt maturity and high(low) leverage can be used as supplementary strategies to avoid the threat of suboptimal liquidation. Growth opportunities have a significant and negative effect on debt maturity. This suggests that there is economic relation between growth opportunities and debt maturity. Interaction variable between leverage and growth opportunities has a significant and positive effect on leverage, implying that for high growth firms, the overall positive relation between leverage and debt maturity may become stronger. With respect to the overall effect of leverage itself and the interaction between leverage and growth opportunities on debt maturity, leverage has a significant and positive effect on debt maturity. In conclusion, it is necessary to examine the potential dynamics of debt maturity on leverage in the context of underinvestment problems and liquidity risk. Our results provide a number of fresh insights into the overall effects of debt maturity on leverage and the interactions between debt maturity and growth opportunities on leverage. This paper may have a few limitations because it may be an only early study about the effects of debt maturity on leverage in the context of underinvestment problems and liquidity risk of Korean firms. Therefore, we think that it is necessary to expand sample firms and control variables, and use more elaborate analysis methods in the future studies.

국내 저축은행의 유동성과 가계자금대출간 관련성

서지용(Ji-Yong Seo) 한국자료분석학회 2020 Journal of the Korean Data Analysis Society Vol.22 No.1

본 연구는 최근 기준금리 인하, 가계대출 총량규제 완화, 국내 저축은행들의 고금리 예금발행 증가에 주목하였다. 향후 가계대출 증가에 대한 전망을 가늠한다는 측면에서, 가계대출과 유동성간의 관련성을 분석하였다. 유동성은 Chen, Shen, Kao, Yeh(2018)가 제시한 유동성 위험, 실가용자금비율을 의미하는 유동성 수준으로 구분하였다. 본 연구를 통해 확인한 주요결과들은 다음과 같다. 첫째, 가계대출증가는 유동성에 부정적 영향을 미쳤다. 즉, 유동성 위험의 증가, 실가용자금의 감소가 나타남으로써, Bonner(2016)의 주장이 입증되었다. 둘째, 은행 규모와 유동성 위험간에 부(-)의 비선형관계가 존재하였다. 소규모 은행일수록 유동성 위험증가 경향이 있으며, 대형은행일수록 유동성 위험이 급격히 감소하였다. 해당 결과는 Iannotta, Nocera, Sironi(2007)의 주장과 부합된다. 셋째, 유동성 위험을 증가시키는 저축은행 특성변수는 대손충당금 적립비율이며, 자본확충시 유동성이 제고되었다. 넷째, 유동성 위험을 감소시키는 경제변수는 높은 금리수준이며, 경제 확장국면에 은행의 실가용자금비중이 감소하였다. 결론적으로 가계부채 증가는 저축은행의 유동성 위험을 증가시켜 자금조달여력이 제한을 받을 가능성이 있다. Current study focuses on recent lower base interest rate, relaxing regulation of household loan, and increasing sale of deposit with high rate in Korean savings banks. This study examines the relationship between household loan supply and bank liquidity in terms of forecasting the trend of household loan supply. Liquidity is categorized into liquidity risk suggested by Chen, Shen, Kao, Yeh (2018) and liquidity level representing ratio of real available funds. Main results are as follows. First, increasing household loan supply affects negatively liquidity. The increase of liquidity risk and the decrease of real available funds are broken out, and the evidences are line with the argument of Bonner (2016). Second, there is negative non-linear relationship between bank size and liquidity risk. The smaller bank is, the more increase liquidity risk is. Liquidity risk to big banks is abruptly decreased as size is grower, and this evidence supports to the result of Iannotta, Nocera, Sironi (2007). Third, savings banks’ characteristic variable leading to increasing liquidity risk is provision ratio, and liquidity level is enhanced if capital is expanded. Fourth, economic variable which makes liquidity risk decreased is high interest rate, and real available funds are decreased when economic expansion. As a result, the increase of household loan supply leads to limit funding capacity by increasing liquidity risk.

기업의 부채만기가 과소투자 문제와 유동성위험의 맥락에서 레버리지에 미치는 영향

신민식 한국경영교육학회 2013 경영교육연구 Vol.28 No.5

본 연구에서는 2001년 1월 1일부터 2011년 12월 31일까지 한국거래소의 유가증권시장과 코스닥시장에 상장된 기업을 대상으로 부채만기가 과소투자 문제와 유동성위험의 맥락에서 레버리지에 미치는 영향을 실증분석 하였으며, 주요한 분석 결과는 다음과 같다. 부채만기는 레버리지 비율에 양(+)의 영향을 미친다. 즉, 부채만기를 단축시키면 레버리지가 축소되고, 부채만기를 연장시키면 레버리지가 확대된다. 따라서 부채만기를 단축시켜 단기부채의 비중을 증가시키면, 유동성위험이 증가하여 파산비용이 증가하고 부채수용력이 약화되어 레버리지가 감소한다. 성장기회는 레버리지에 음(-)의 영향을 미치며, 성장기회와 부채만기간의 상호작용변수도 레버리지에 음(-)의 영향을 미치는데, 이는 부채만기 단축이 성장기회가 레버리지 비율에 미치는 음(-)의 영향, 즉 과소투자 문제를 완화시킴을 의미한다. 부채만기 단축이 레버리지에 미치는 두 가지 상반된 효과, 즉 과소투자 완화효과와 유동성위험 증가효과를 서로 상쇄시킨 순효과는 기업의 신용도에 따라 달라진다. 신용도가 낮은 기업은 과소투자 완화효과와 유동성위험 증가효과가 거의 동일하기 때문에 부채만기 단축이 레버리지에 영향을 미치지 않는다. 그러나 신용도가 높은 기업은 과소투자 완화효과가 유동성위험 증가효과보다 더 크기 때문에 부채만기 단축이 레버리지를 증가시킨다. 따라서 신용도가 높은 기업은 유동성위험 증가를 이유로 레버리지를 축소시키지 않고도 부채만기 단축을 통해 과소투자 문제를 완화시킬 수 있다. 레버리지 비율은 부채만기에 양(+)의 영향을 미친다. 즉, 레버리지를 축소시키면 부채만기가 단축되고, 레버리지를 확대시키면 부채만기가 연장된다. 이러한 결과는 부채만기 단축(연장)과 레버리지 축소(확대)는 유동성위험에 대한 대체수단으로 사용될 수 있음을 시사한다. 성장기회는 부채만기에 음(-)의 영향을 미치고, 성장기회와 레버리지 비율간의 상호작용변수는 부채만기에 음(-)의 영향을 미치는데, 이는 레버리지가 성장기회가 부채만기에 미치는 음(-)의 영향, 즉, 과소투자 문제를 완화시킴을 의미한다. 즉, 성장기회 그 자체는 부채만기를 직접적으로 단축시키지만, 성장기회와 레버리지 비율간의 상호작용변수는 과소투자 문제를 완화시키는 작용을 한다. 따라서 레버리지 단축을 통하여 과소투자 문제를 충분히 통제할 수 있는 기업은 성장기회가 부채만기에 미치는 음(-)의 영향을 대부분 제거시킬 수 있다. 결론적으로, 부채만기가 과소투자 문제와 유동성위험의 맥락에서 레버리지에 미치는 영향을 체계적으로 분석할 필요가 있다. 부채만기는 그 자체뿐만 아니라, 성장기회와의 상호작용변수가 과소투자 문제와 유동성위험에 미치는 상반된 효과를 통하여 레버리지에 영향을 미친다. 또한, 부채만기가 레버리지에 미치는 영향은 기업의 신용도에 따라 달라진다. 이러한 연구결과는 부채만기와 레버리지 정책에 대한 중요한 시사점을 제시한다. This study analyzes empirically the effects of debt maturity on leverage in the context of underinvestment problems and liquidity risk of firms listed on Korea Exchange. The main results of this study can be summarized as follows. Debt maturity has a significant and positive effect on leverage. This result supports the liquidity risk hypothesis that predicts a positive relation between debt maturity and leverage(Diamond, 1991 and 1993). Growth opportunities have a significant and negative effect on leverage. This result provides strong support for the underinvestment hypothesis(Myers, 1977). Interaction variable between debt maturity and growth opportunities has a significant and negative effect on leverage, implying that for high growth firms, the overall positive relation between debt maturity and leverage may become weaker. With respect to the overall effect of debt maturity itself and the interaction between debt maturity and growth opportunities on leverage, debt maturity has a significant and positive effect on leverage. The liquidity risk effects of debt maturity on leverage should be more important for lower credit quality firms and firms that cannot easily lengthen their debt maturity. Low credit quality firms that face greater liquidity risk may demand longer term debt to reduce this risk, but find no lenders willing to supply it at reasonable cost. In contrast, higher credit quality firms likely face lower liquidity risk, and can also borrow longer term debt if liquidity risk concerns do arise. However, this study demonstrate that for lower credit quality firms, the liquidity risk effect offsets the attenuation effect of underinvestment problems so that the net effect of shortening debt maturity on leverage is neutral. Thus, lower credit quality firms can try to attenuate the negative effect of growth opportunities by shortening debt maturity, but on the end this does not increase leverage. For higher credit quality firms, the positive effect of reducing underinvestment problems outweighs the effect of increasing liquidity risk so that the net effect of shortening debt maturity on leverage is positive. Thus, higher credit quality firms can shorten debt maturity to reduce underinvestment problems without having to reduce leverage because of liquidity risk. Leverage has a significant and positive effect on debt maturity, which is consistent with the result in the leverage model. It provides further evidence that high liquidity risk caused by high leverage policy can be moderated by longer term debt maturity and that longer term(shorter term) debt maturity and high(low) leverage can be used as supplementary strategies to avoid the threat of suboptimal liquidation. Growth opportunities have a significant and negative effect on debt maturity. This suggests that there is economic relation between growth opportunities and debt maturity. Interaction variable between leverage and growth opportunities has a significant and positive effect on leverage, implying that for high growth firms, the overall positive relation between leverage and debt maturity may become stronger. With respect to the overall effect of leverage itself and the interaction between leverage and growth opportunities on debt maturity, leverage has a significant and positive effect on debt maturity. In conclusion, it is necessary to examine the potential dynamics of debt maturity on leverage in the context of underinvestment problems and liquidity risk. This study provides a number of fresh insights into the overall effects of debt maturity on leverage and the interactions between debt maturity and growth opportunities on leverage.

조세회피가 주식유동성위험에 미치는 영향

이혜미,홍창목 한국세무학회 2020 세무학 연구 Vol.37 No.3

The purpose of this paper is to examine how the market investors evaluate corporate tax avoidance in terms of stock liquidity risk. If investors evaluate that the beneficial effect of tax avoidance exceeds the cost effect, and believe the uncertainty of the firm’s intrinsic value is mitigated, there would be a negative (-) relationship between tax avoidance and stock liquidity risk. If investors evaluate that the cost aspect of tax avoidance exceeds the benefit side, increasing the uncertainty of the intrinsic value of the firm, there will be a positive (+) relationship between the two. In this paper, the effect of tax avoidance on stock liquidity risk and market risk in the Korean securities market from 1993 to 2016 was analyzed empirically. This paper examined the effect of tax avoidance on stock liquidity risk and how the net effect of tax avoidance affects the uncertainty of stock intrinsic value perceived by investors. Empirical results show that the higher the tax avoidance level(measured by cash effective tax rates), the lower the stock liquidity risk. It is suggested that investors are more concerned about the benefits side of tax avoidance than the cost side when determining the demand for stocks. Various additional analyses were conducted to corroborate the main results regarding the relationship between tax avoidance and stock liquidity risk. Unlike the existing literature on tax avoidance and cost of capital, which assume the perfect liquidity and the market risk being the only unavoidable risk, this study contributes the accounting literature in that it shows that stock liquidity risk is an additional path affecting cost of capital under the more realistic imperfect liquidity situation. In addition, it is meaningful that this study proved that corporate tax avoidance has a significant beneficial effect on the stock liquidity risk which has not been noticed before. 조세회피와 자본비용 간의 관계에 대한 기존의 실증연구들은 완전유동성을 가정하고 진행되어 왔다. 본 논문에서는 기존 연구들과는 달리 불완전유동성을 가정하고, 1993년 1월부터 2016년 12월까지 한국유가증권시장에 상장된 12월 결산, 비금융업 기업들을 대상으로 기업-월별 자료를 이용하여 기업의 조세회피가 주식유동성위험에 미치는 영향을 실증적으로 분석하였다. <가설 1>에서는 조세회피와 주식유동성위험 간의 관계를 살펴보았다. 분석 결과는 조세회피 수준이 높을수록 주식유동성위험은 유의적으로 감소함을 보여주고 있다. 조세회피는 법인세현금납부액의 절감을 가져오지만 동시에 잠재적인 비조세비용도 초래할 수 있다. <가설 1>의 검증결과는 조세회피에 따른 현금유출절감이 기업내재가치의 불확실성을 감소시켜주는 효과가 있으며 이를 투자자들이 높게 평가하고, 해당 주식에 대한 선호도를 증가시킴을 시사한다. <가설 2-1>, <가설 2-2>에서는 조세회피와 주식유동성위험 간의 관계에 재무적 제약 및 내부자들의 사익추구 가능성이 미치는 조절효과를 검증하였다. 재무적 제약에 직면한 기업일수록 현금유출절감이 갖는 한계효익이 상대적으로 클 것이고, 내부자의 사익추구 가능성이 클수록 비조세비용이 클 것이라는 예상대로 재무적 제약 기업에서는 조세회피와 주식유동성위험 간의 음(-)의 관계가 더욱 강화되지만 내부자의 사익추구 가능성이 높은 기업들에서는 이러한 음(-)의 관계가 약화되는 모습이 관찰되었다. 강건성 분석에서는 장기현금유효세율, 유효법인세율, BTD 들을 조세회피 변수로 사용하여 분석을 재수행하였다. 또한 주식유동성위험을 시장유동성과 개별 주식유동성 간의 동조성으로 재정의하여 분석을 실시하였다. 모든 강건성 분석에서 본 분석과 질적으로 유사한 결과를 얻었다. 본 논문은 주식유동성위험의 감소가 조세회피의 새로운 효익일 될 수 있다는 가능성을 제시하였고, 조세회피가 자본비용에 영향을 미치는 경로에 시장위험 이외에도 주식유동성위험도 존재할 수 있음을 밝혔다는데 연구의 의의가 있다.

저축은행 유동성위험 결정요인에 관한 분석

배수현 한국상업교육학회 2021 상업교육연구 Vol.35 No.1

본 연구는 국내 79개 저축은행을 대상으로 유동성위험에 영향을 주는 결정요인들을 분석하고자 함이 목적이다. 분석방법은 불균형패널자료(unbalanced panel data)를 사용하여 패널회귀분석을 실 시하였다. 분석결과는 다음과 같다. 첫째, 자금조달갭과 예대율을 이용하여 측정한 유동성위험이 증가할 경우 저축은행의 구조적이익 률이 높아지는 것으로 나타났다. 유동성위험이 클수록 수익성에 긍정적인 영향을 준다는 사실을 확 인하였다. 둘째, 대출자산이 증가할수록, 총자산규모가 클수록 유동성위험은 증가하는 것으로 나타 났으며, 대형 저축은행일수록 유동성위험 노출정도가 크다는 사실을 확인하였다. 셋째, 다각화로 인 한 비이자수익이 증가할수록, 총자산경비율이 증가할수록 유동성위험이 낮아짐을 확인하였다. 넷째, 거시경제변수 중 코픽스금리가 낮아질수록 유동성위험은 증가하는 것으로 추정되었는데 코픽스금리 가 낮을수록 대출수요가 증가하여 유동성위험이 증가할 수 있을 것으로 예측되었다. 다섯째, 저축은 행 본점을 기준으로 수도권과 지방소재 저축은행으로 구분하여 유동성위험에 미치는 영향을 분석한 결과 자금조달갭으로 측정한 유동성위험은 차별성을 가지는 것으로 확인되었다. 즉 수도권 소재 저 축은행들의 유동성위험이 더 큰 것으로 추정되었다. 본 연구는 저축은행 미시자료를 이용하여 유동성위험에 미치는 결정요인들을 검증하고, 저축은행 영업구역에 따른 유동성위험의 차별성을 검증하였다는 점에서 의의가 있다. 한계점으로는 유동성위 험을 다각도로 측정하고, 최근 데이터 수집을 통해 유동성위험에 미치는 영향을 좀 더 면밀히 분석 할 것을 향후 과제로 남겨둔다. This study analyzes the factors affecting the liquidity risk of savings banks. In this study, the semi-annual financial statements for the period 2014-2018 were used on the basis of a sample of 67 saving banks. The results of this study were obtained by panel data analysis. First, it was found that the higher the liquidity risk, the higher the structural margin. The higher the liquidity risk, the more positive it will have on profitability. Second, the more large savings banks, the greater the exposure to liquidity risk. Third, the liquidity risk decreases as non-interest income and total asset expenses increase. Fourth, it was estimated that the liquidity risk increases as the cofix rate decreases. Fifth, as a result of analyzing the impact on liquidity risk by dividing the business area, there was a difference in liquidity risk. This study has contributed to researching the determining factors affecting the liquidity risk of savings banks and verifying the differentiation of liquidity risk by savings bank business area. As a limitation, the liquidity risk is measured in a different way, and the liquidity risk is analyzed in more detail.