자본시장에서의 “정통한 투자자” (sophisticated investor)의 개념과 역할- 미국법상의 “인정투자자”를 중심으로 -

김성호 한국경영법률학회 2016 經營法律 Vol.26 No.3

Historically many country's Act has treated the sophisticated investors differently from general investors. Typical nation was USA, which from early capital market era exempted them from registration of offering because it was not thought as a public offering. In USA the sophisticated investors has been called as the "accredited investors" whereas as the "professional investors" in EU. The Regulatory Agency thought that by eliminating the effort to protect the "professional investors" they can focus their effort on the protection of the rest investors-so called "general investors". At the early time in fact The Rich had the knowledge and experience about financial market almost exclusively, so such idea had reasonable grounds. However today it is common that everyone can acquire high level education without too much wealth. Furthermore The Middle Class has grown steadily for decades due to a economic expansion. Above of all even though he or she is a sophisticated investor, all investors must be protected by the Regulatory Agency from frauds. In conclusion it is anymore not appropriate to distinguish the sophisticated investors from the other investors just only due to the reason that they are rich or well educated. 오래전부터 각국의 입법은 금융거래에 정통한 자에 대해서는 규제를 완화하여 국가의 간섭을 자제하였다. 대표적인 나라는 미국으로서 자본시장이 성립하던 초기부터 정통한 투자자를 일반투자자와 구분하여 감독기관에의 등록을 면제할 수 있는 펀드로 취급하였다. 이로써 일반투자자 보호에 집중하고 시장에 대한 규제를 억제할 수 있다는 논리가 그 근거였다. 또 그 당시에는 부(wealth)를 소유하는 자가 금융투자에 대한 지식과 경험을 동시에 독점하였으므로 상당한 설득력을 가지고 있었다. 그러나 이러한 태도는 두 가지 점에서 비판된다. 첫째는 현대는 지속적인 자본주의의 발전으로 인하여 부를 축적한 투자자가 상당히 증가하였으므로 부가 보편화되었고 지식 역시 대중적으로 보유된다는 점이다. 둘째는 비록 정통한 투자자를 인정한다고 하여도 현재와 같이 부를 기준으로 구분하는 방식은 매우 비현실적이라는 점이다. 재산이나 수입, 투자금액 등은 국가가 보호를 배제할 만큼 설득력이 적기 때문이다. 부와 상관없이 모든 투자자는 시장에서 보호되어야 한다.

회계이익변경에 대한 단순투자자의 반응

김지홍 ( Jee Hong Kim ),장진호 ( Jin Ho Chang ),여은정 ( Eun Jung Yeo ) 한국회계학회 2004 會計學硏究 Vol.29 No.3

본 연구는 1998년 초부터 2003년 6월말까지 증권거래소의 전자공시시스템에 회계변경을 공시한 상장기업을 표본으로 하여, 단순투자자의 비율이 높은 기업에서의 회계이익변경에 대한 주가반응을 살펴보았다. 연구 결과, 단순투자자(naive investor)의 대용치로 사용된 개인소액투자자의 지분이 높은 기업에서 회계변경으로 인한 보고이익의 증가가 높을수록 양(+)의 주가반응이 존재함을 발견하였다. 이 결과는 실증회계이론에서 제시한 보고이익의 증가가 계약비용을 감소시키는 효과를 통제한 후에도 유의하였다. 반면, 전문투자자(sophisticated investor)의 대용치로 사용된 기관투자자 및 외국인투자자의 지분이 높은 기업에서는 회계변경으로 인한 이익증가에 유의적인 시장반응이 관찰되지 않았다. 본 연구의 결과는 한계투자자의 전문성에 따라 회계정보에 대한 주가반응이 상이할 수 있다는 확장된 기능적 고착가설(extended functional fixation hypothesis)을 지지하는 결과이다. This study empirically examines whether there is price reaction of the accounting changing companies which have high rate of unsophisticated investors` holdings. That is, this study will analyze whether there is different response to reported earnings changes by accounting change between unsophisticated and sophisticated investors. Most significantly, this study observes the cumulative abnormal returns on the time of disclosing to the accounting change. The final sample consists of 96 listed on the Korean Stock Exchange and disclosed by an Electronic Disclosure System over the period of 1998 to June, 2003. The results of this study are summarized as follows. First, there is positive relation between price reaction of individual investors proxied by naive investors and the reported earnings by accounting changes. This means that unsophisticated investors react naively on the increase of earnings by accounting changes. Second, there is no positive relation between the price reaction of institutional or foreign investors proxied by sophisticated investors and the increasing earnings by accounting changes. This means that sophisticated investors don`t react naively in the increase of earnings by accounting changes. These results supports the extended functional fixation hypothesis that price reactions of the accounting information can be varied according to the marginal investor`s expertise.

연구논문(硏究論文) : 전문사모집합투자기구의 개인 적격투자자 기준에 대한 고찰

윤승영 ( Seung Young Yoon ) 한국상사판례학회 2011 상사판례연구 Vol.24 No.4

With the introduction of the Financial Investment Services and Capital Market Act, and the transition to a principle based supervisory system, Korea introduced the first stage of hedge fund - accredited investor collective investment scheme - to its financial market for the first time. Hedge fund can play an important role in financial markets when well managed, but can lead to unwanted, destructive consequence when mismanaged. The financial market in Korea has been growing rapidly in all aspects after Korean financial crisis, however, the infrastructure for monitoring the private equity market is still far behind when compared with other advanced countries. Some commentators may argue that heavy restriction on natural person`s hedge fund investment would be still necessary to protect the investor. However, the current regulatory definition of accredited investor for collective investment scheme should be changed in order to introduce "real" hedge fund in Korean financial markets. Recently in United States, the Dodd-Frank Act modifies the definition of accredited investor in Regulation D under the Securities Act. Under the formal terms of the Dodd-Frank Act, an individual must exclude her primary residence for purposes of determining whether the individual meets the $1,000,000 net worth accredited investor standard. Prior to enactment, the value of the investor`s primary residence is included in such investor`s net worth. While each of investor definitions, such as accredited investor or qualified investor, may serve a different purpose in creating different exemptions from the securities laws, there is a certain intellectual incoherence in the proposal of many different definitions for the same basic idea of an investor who does not need the protections of the securities law and who wishes to invest with a greater freedom than the government generally allows. This article evaluates the impact that the accredited natural person standard would have on both the market and individual investors in U.S. capital markets. While Dodd-Frank Act has just modified a current accredited investor standard, the Korean government should adopt an additional standard to supplement the definition of the accredited investor. Such a proposal is appropriate with the Korean government`s objective to create a bright-line standard that increases the protection of investors.

외국인 소유지분 비중에 따른 이익발표 후 잔류현상의 차이

나종길 ( Chong Kil Na ),신희정 ( Hee Jeong Shin ) 한국회계학회 2012 회계학연구 Vol.37 No.3

이익발표 후 잔류현상은 회계이익의 정보성에 대하여 투자자들이 과소반응하는 것과 관련되며, 이러한 과소반응의 정도는 투자자들의 비숙련성 또는 기업정보환경의 불투명성과 관련되는 것으로 보고되어 왔다. 투자자 속성과 관련하여 외국인투자자는 일반투자자와 비교하여 숙련성이 높으며, 외국인 소유지분의 비중이 높은 기업일수록 기업정보환경이 투명하다고 선행연구들은 보고하였다. 이러한 연구들에 기초하여 본 연구는 외국인 소유지분의 비중이 높은 기업일수록 보다 숙련된 투자자의 비중이 높아지며 기업정보환경이 투명하여 이익발표 후 잔류현상의 크기가 작을 것으로 예측하였다. 외국인 소유지분이 가능한 전체 표본에 대한 분석결과, 비기대이익의 크기에 따라 일정한 방향으로 이익발표 후 잔류현상이 나타났으며, 이러한 잔류현상은 외국인 소유지분의 크기와 음의 관계를 가지는 것으로 나타났다. 또한 이익발표 후 잔류현상의 크기에 영향을 미치는 것으로 보고된 기업규모, 거래비용, 성장성, 재무분석가의 수와 같은 기업특성변수들을 통제한 후에도 동일한 결과를 얻을 수 있었다. 회계이익의 지속성 차이 등을 고려한 추가분석에서도 외국인 소유지분 비중은 이익발표 후 잔류현상의 크기와 음의 관계를 가지는 것으로 나타났다. 이러한 연구결과는 외국인투자자들이 우리나라 자본시장의 효율성 향상에 기여한다는 것을 시사한다고 할 수 있다. Previous studies have reported that the sign and magnitude of security returns in the post earnings announcement period are positively correlated with the sign and magnitude of the unexpected component of the earnings release. This predictability of stock returns after earnings announcement(i.e., the post-earnings- announcement drift) was first documented by Ball and Brown(1968). Ball and Brown(1968) reported that abnormal returns are predictable up to two months after annual earnings announcements and Foster et al.(1984) documented the same phenomenon up to 60 trading days after quarterly earnings announcements. This phenomenon implies that stock prices do not respond completely and immediately to information in the publicly announced earnings. Thus, this phenomenon is a stock market anomaly which is a deviation from the Efficient Market Hypothesis. While earlier studies attributed this phenomenon to the inadequacy of the CAPM as a model of asset pricing, or to research design problem that assumed information was available to the market before its public release, but none of those explanations could fully account for the observed drift. Rendleman et al.(1987) and Freeman and Tse(1989) provided some preliminary evidence that the drift in stock returns may represent misperceptions of time-series properties of earnings. In line with these conjecture, Bernard and Thomas(1990) provided evidence that the drift is related to the investors` misperception of quarterly earnings to be a seasonal random walk, although the actual process is a seasonally differenced first-order autoregressive process with a seasonal moving-average term. In other words, the drift represents biases in investors` assessment of the serial correlation of quarterly earnings changes. Based on Bernard and Thomas(1990), Bartov et al.(2000) conjectured that post-earnings-announcement drift will be most pronounced for stocks held primarily by unsophisticated investors who perceive the earnings process to be a seasonal random walk and will be least pronounced for stocks largely held by sophisticated investors who perceive correctly the time- series of earnings. They reported that the drift is negatively related to the institution holding variable which they used as a proxy for investor sophistication. This result indicates that the post-earnings-announcement drift is negatively related to the investor sophistication. In the above context of market underreaction to earnings information, information uncertainty was raised as a driving force of the post-earnings-announcement drift. Jiang et al.(2005) argued that with greater information uncertainty, investors trade more aggressively on their private signal, ignoring the public information such as earnings. Thus, the level of information uncertainty is positively correlated with the investors` underreaction to earnings information and the magnitude of the drift. The above discussions indicate that the level of investors` unsophistication and the information uncertainty are positively related to the magnitude of the drift. Also, prior studies reported that the foreign investors are sophisticated investors and that the firms with higher level of foreign investors show more transparent information environment. In this context, this study investigates whether the level of foreign investors affects the magnitude of the post-earnings-announcement drift. We conjecture that firms with higher level of foreign investors will exhibit lower magnitude of post-earnings- announcement drift. Empirical results are as follows. Firstly, the cumulative abnormal returns after the earnings announcement are monotonically increasing in the magnitude of the unexpected earnings, indicating the existence of the post-earnings- announcement drift in Korean stock market. Secondly, We regress the cumulative abnormal returns on the standardized unexpected earnings and the interaction variable of standardized unexpected earnings with the foreign investors` ownership. It turned out that the coefficient of the interaction variables is negative, implying that the foreign investors` ownership is negatively related to the magnitude of the post-earnings-announcement drift. Thirdly, we included other firm-specific variables that are reported to affect the magnitude of the post-earnings-announcement drift, such as firm size, growth, trading cost, and the number of analysts. With all these control variables, the main results appears to be same. Finally, we also controlled persistence-related variables. Prior studies reported that earnings persistence is lower in the cases of losses and earnings decreases than in the cases of profits and earnings increases. Also, earnings of fourth quarter were reported to have low persistence in comparison to earnings of other quarters. With all these additional controls, the main result that foreign ownership is negatively related to the drift does not change. There has been many concerns about the sharply-increasing foreign investors in Korean stock market. However, the results of our study imply that the increasing foreign investors have an effect of increasing the market efficiency in terms of reducing the underreaction to earnings information.

사모펀드 규제의 문제점과 개선 방안

고동원 금융감독원 2021 금융감독연구 Vol.8 No.2

In 2019 and 2020, several cases of suspension of hedge funds’ redemptions and financial firms’ mis-selling of hedge fund products took place, which inflicted huge losses to investors, particularly non-sophisticated investors. This event stimulated the needs for reassessing the current hedge fund regulation scheme prescribed by the Capital Market Act. This article analyzes the current regulations on hedge funds and proposes recommendations for improving the current system. First, this article argues that non-accredited investors’investments in hedge fund products be prohibited since they do not have sufficient ability to assess inherent risks regarding investments in hedge funds. Second, the current scheme of allowing public offering funds’investments in hedge funds, so-called the‘funds of funds’scheme, should be prohibited. Third, both suitability rule and appropriateness rule, core elements of business of conduct regulations, should be applied to both accredited investors and non-sophisticated investors, and further the application of explanation duty rule should be also expanded to accredited investors. Fourth, an internal control system of hedge fund management firms should be more reinforced by sanctioning a chief executive officer and directors in case of happening of suspension of redemption and inflicting harms to investors due to inadequate internal control operations. Fifth, entry regulations for hedge fund management companies should be revisited by increasing their minimum capital amount and introducing a dual system of registration and authorization for the entry. Sixth, selling companies’duty to monitor an asset manager’s investment activities should be abolished. Seventh, a more efficient system for resolving insolvent hedge funds should be set up by allowing a regulator’s staff to be appointed as a conservator. Finally, a stronger supervisory system should be established by reforming the current problematic regulatory authority scheme, in order to regulate and supervise hedge fund operations more efficiently.

발생액의 효율적평가에 영향을 미치는 요인

황이석 ( Lee Seok Hwang ),김문현 ( Moon Hyun Kym ),이우종 ( Woo Jong Lee ),손병철 ( Byung Cherl Sohn ) 한국회계학회 2008 회계학연구 Vol.30 No.-

본 연구는 투자자의 전문성(investor sophistication)이 높고 무위험거래 리스크(arbitrage risk)가 낮을 때 한국 상장기업에 있어 발생액의 효율적평가가 개선되는지에 대해 분석하였다. 1994-2002년의 자료를 사용하였을 때 주식 투자자들은 총발생액이나 초과발생액이 미래의 회계이익에 대해 시사하는 가치관련성을 완전히 이해하지는 못하는 것으로 보인다. 투자자가 발생액에 과민반응를 보이는 현상을 이용하여 미래에 초과수익(abnormal returns)을 얻을 수 있기 때문이다. 만약 투자자의 비전문성(investor naivety)과 무위험거래에 대한 제약이 발생액의 비효율적평가(mispricing)을 초래한다면 전문적인 투자자의 비율이 높고 무위험거래 리스크가 낮은 기업들의 경우 발생액의 효율적평가가 개선되는 경향을 보일 것이다. 연구결과 발생액의 효율적평가가 개선될 것으로 기대했던 기업들(대기업, 외국인 지분율 및 기관투자자 지분율이 높은 기업, 기업특유의 주가변동성이 낮은 기업, 1주당 가격이 높은 기업)에 있어 기대했던 개선은 관찰되지 않았다. 비록 이 결과가 기대와는 다르지만 미국의 상장기업을 대상으로 한 선행연구의 결과와 일치하며, 이는 시장참가자가 발생액의 가치관련성을 충분히 이해하지 못하는 것이 발생액의 비효율적평가에 대한 유일한 원인은 아님을 의미한다. 주목할만한 점은 발생액의 추정치가 성과관련 바이어스에 의해 심각하게 왜곡되어 있다는 점이다. 향후의 연구에서는 이 바이어스를 인식하고 이익의 질에 대한 대용치로서의 발생액을 해석함에 있어 이를 제거하도록 해야 할 것이다. This study examines whether investor sophistication and low arbitrage risk alleviate the mispricing of accruals in Korean listed firms. Using financial and price data from 1994 to 2002, this study finds that stock investors seem not to fully appreciate the value implications of either total accruals or abnormal accruals for future earnings. Future abnormal returns can be earned by exploiting the overestimation of accruals by investors. If investor naivety and limits to arbitrage underlie the mispricing of accruals, then firms with a high proportion of sophisticated investors and a low arbitrage risk will exhibit less of a tendency to misprice accruals. The results show that firms which are expected to show a reduced mispricing of accruals (large firms or firms with a large proportion of foreign ownership, institutional ownership, a low idiosyncratic return volatility, and a high share price) do not exhibit a decreased overreaction to accruals. Although this evidence is unexpected, it is consistent with previous findings for U.S. listed firms, and suggests that the mispricing of the accrual components of earnings is not entirely due to the inability of market participants to understand the value implications of accruals. A notable finding is the severity of performance- related bias in the estimates of accruals. Future studies should acknowledge this bias, and should attempt to remove it in drawing inferences on accruals as a proxy for earnings quality.

국내 사모펀드 투자권유 및 판매의 문제점과 개혁방안

권재현(Jae Hyun Gwon) 한국증권학회 2021 한국증권학회지 Vol.50 No.2

본 연구는 사모펀드에 대한 투자규제의 문제점을 국내 법제도 및 시장현황 면에서 진단하여 개인투자자 보호를 위한 시사점과 정책적 개선방안을 도출한다. 특히 미국 사모투자 규제인 Regulation D의 Rule 506과 상응하는 국내 규정을 비교 · 분석하였다. 국내 사모펀드 제도는 일정 투자금액 이상이면 사모펀드에 대한 투자가 가능하도록 설정하여 위험을 감내할 재력이나 전문성 없는 개인일반투자자의 시장진입을 사실상 제한 없이 허용하고 있다. 이 점이 미국 사모펀드의 투자 규제와 가장 두드러진 차이이며, 사모펀드 불완전판매 사태의 지속적 원인이 되고 있다. 제도 개선의 최선책은 최소투자금액 기준을 폐지하여 전문투자자와 제한된 대상에 한하여 사모펀드 판매가 아닌, 투자권유 방식만 가능하도록 투자규제를 근본적으로 개혁하는 것이다. 차선책은 현행 판매 관행을 허용하되 사모펀드의 은행판매를 제한하여 개인투자자의 위험에 대한 오인을 막고 금융안정성을 확보하는 방안이다. 대신 전문투자자만을 대상으로 하는 사모펀드의 경우 미국 제도를 준용하여 일반광고를 허용하는 방안을 고려할 수 있다. 공모식 사모펀드 또한 사모투자의 취지에 부합하지 않고 공모펀드와 사모펀드의 경제적 역할에 혼동을 주는 제도로 제한할 필요가 있다. In the context of the protection of individual investors of private investment funds in South Korea, this study examines the current regulation of private placements from legal and economic perspectives. It compares Rule 506 of Regulation D in the United States with the similar regulation of South Korea. The most distinguishing feature of South Korea’s regulation is that any individual who can evidence a certain investment amount, regardless of accreditation or sophistication, is eligible to participate in private equity funds, which has recently resulted in “incomplete sales” problems in Korea. To conform to the definition of private equity, it is best to abolish the threshold criteria of minimum investment amount. Otherwise, the “sales” of private equity via commercial banks and central institutions for financial stability must at least be banned so that individual investors do not confuse private placement with public offering. In return, public advertisement can be permitted for private equity funds with only accredited investors and sophisticated investors. Public fund investment in private equities are de facto private equities; they are inappropriate for individuals, who may be confused with private funds and public funds. As such, they need to be limited.

일본판 QIB시장(전문투자가시장)의 창설

권종호(Jong-Ho Kwon) 한국비교사법학회 2009 比較私法 Vol.16 No.3

This article explains about Qualified Institutional Buyer(QIB) Market of Japan. The QIB Market of Japan is introduced by revision of Financial Instrument Transaction Act in 2008. The investors who transact in the QIB Market is strictly restricted to sophisticated investors (institutional investor et al). The first chapter deals with the process of introduction QIB Market in Japan. The second chapter analyzes effect of QIB Market. The third chapter explains SEC Rule 114A Market of America and Alternative Investment Market of UK. And The 4th chapter describes in detail QIB Market Regulation of Japan The QIB Market of Japan aims at strengthening of international competitive power of Japan's financial market by dramatically improving the market participation cost and regulation cost. It is related directly with activation of Korea's financial market and strengthening of international competitive power of Korea's financial market to furnish investors with various types of market and efficiently satisfy various need of investors. So that we should take introduction of QIB Market positively consideration.

The Best Analyst for the Buy-Side Institution may not be Your Best Analyst : Investor Response and Relationship between Optimistic Bias and Ex-post Votes

Sang Koo Kang,Joonghyuk Kim 한국재무학회 2011 한국재무학회 학술대회 Vol.2011 No.08

Using buy-side managers’ evaluation of sell-side analysts via vote, we extract a sell-side analyst’s residual vote after controlling the analyst’s ability. When the residual vote is related to the analyst’s unexplained ability, e.g. good relationship, then sophisticated investor’s response after the analyst’s revision will be greater. When the residual is related to optimistic bias from possible affiliation, the analyst’s revision will be discounted. We find that after analyst’s earnings forecast changes, normalized net-trading volume of the buy-side institutions significantly follows the direction of the revision and responds more when the revision is by an analyst with larger residual vote. Individual investors significantly reverse on average but the response does not differ significantly conditional on the residual vote. After controlling both residual vote and revision size, buy-side institution seems to discount the response as the magnitude of the revision increases after revision of analysts with larger residual vote. The discounted response supports that the residual vote may be related to optimism. On the contrary individual investors follow the analyst’s revision more. As a result, individual investors are losing their money while buy-side institutions are making money depending on awareness optimism. The residual vote is indeed related to the optimistic bias of analyst ex-post. As a sell-side analyst recommend or forecast more optimistic relative the analyst’s competing analysts, the analyst is likely to earn more votes from buy-side managers.

The Best Analyst for the Buy-Side Institution may not be Your Best Analyst : Investor Response and Relationship between Optimistic Bias and Ex-post Votes

Sang Koo Kang,Joonghyuk Kim 한국재무학회 2011 한국재무학회 학술대회 Vol.2011 No.09

Using buy-side managers’ evaluation of sell-side analysts via vote, we extract a sell-side analyst’s residual vote after controlling the analyst’s ability. When the residual vote is related to the analyst’s unexplained ability, e.g. good relationship, then sophisticated investor’s response after the analyst’s revision will be greater. When the residual is related to optimistic bias from possible affiliation, the analyst’s revision will be discounted. We find that after analyst’s earnings forecast changes, normalized net-trading volume of the buy-side institutions significantly follows the direction of the revision and responds more when the revision is by an analyst with larger residual vote. Individual investors significantly reverse on average but the response does not differ significantly conditional on the residual vote. After controlling both residual vote and revision size, buy-side institution seems to discount the response as the magnitude of the revision increases after revision of analysts with larger residual vote. The discounted response supports that the residual vote may be related to optimism. On the contrary individual investors follow the analyst’s revision more. As a result, individual investors are losing their money while buy-side institutions are making money depending on awareness optimism. The residual vote is indeed related to the optimistic bias of analyst ex-post. As a sell-side analyst recommend or forecast more optimistic relative the analyst’s competing analysts, the analyst is likely to earn more votes from buy-side managers.