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.

Conditional Relationship between Disress Risk and Stock Returns

윤수희,김정민 사람과세계경영학회 2022 Global Business and Finance Review Vol.27 No.1

Purpose: Previous research on the relationship between a firm’s distress risk and future stock returns produces inconsistent results. This study attempts to explain the conflicting results of earlier studies by showing that systematic distress risk leads to positive rewards, while unsystematic distress risk leads to low stock returns. In addition, this study intends to elucidate the factors of systematic distress risk and unsystematic distress risk, respectively. In this way, this study informs the rational investor what kind of distress risk they should take. Design/methodology/approach: This study considers two distress-predictor sets to show a possibility between distress risk and stock returns in both directions. The first set includes profitability ratio, excess returns, and volatility, and the second consists of leverage, firm size, and book-to-market ratio. Similar to the methodology proposed in Campbell et al. (2008), this study measures the distress risk using a dynamic logit model. Depending on which explanatory variables predict the distress risk, the relationship between distress risk and future stock returns could be in both ways. Findings: This study first shows that systematic and unsystematic distress risk factors are significant in predicting failures. However, the effects of the two distress risk factors on stock returns appear in opposite directions. Precisely, the systematic distress risk is estimated by the debt ratio, company size, and book-to-market ratio. The common factors of Fama and French (1993) explain the positive risk premium due to the systematic distress risk. In contrast, the unsystematic distress risk is predicted by profitability, momentum effect, and firm-specific volatility. The Fama-French common factors do not explain low stock returns due to unsystematic distress risk. Research limitations/implications: Because of the two different attributes of distress risk, investors must assume systematic distress risk and avoid unsystematic distress risk. Although the results of this study are based on the analysis of the Korean stock market, the main hypotheses can be tested in other countries’ stock markets as well. Originality/value: This study is the first to compromise the inconsistent results of existing studies, and it explicitly shows the factors of systematic and unsystematic distress risk.

단기투자기금(MMF)의 투자시 발생되는 위험요인분석과 그 대응전략

민형기 경주대학교 지역개발연구소 2000 地域開發論叢 Vol.- No.3

단기투자기금(MMF) 투자시 발생하는 위험으로는 비체계적 위험과 체계적 위험이 있다. 비체계적 위험이란 각각의 투자대상과 관련된 위험의 종류로 채무불이행위험이 이에 속한다. 채권의 채무불이행위험은 Ratingscala에 의해서 측정이 되며 이 Ratingscala는 Rating -Agent에 의해서 판단되어진다. 체계적 위험이란 모든 투자대상에 영향을 미치는 위험의 종류로 이자율변동위험이 이에 속한다. 단기적 투자에 의해 운영되는 단기투자기금의 특성을 반영하여 평균유효기간의 조정을 통해 제거 또는 극소화하는 전략을 구상하였다. The risk factors in the investment of money market funds are divided into two groups: the non-systematic risk and the systematic risk. The non-systematic risk refers to the kinds of risk related with investment-objects, for example, default of debts. The risk of default of security is measured by Ratingscala evaluated by Rating Agent. The systematic risk is applicable to the kinds of risk by which all of the investment-objects are affected. Interest rate risk belongs to this category. The systomatic risk is eliminated or minimized by controling average maturity when the characteristics of money market funds managed by short-term investment are considered.

Dynamics of systematic and systemic risk in credit indices

Geon Ho Choe,So Eun Choi,Hyun Jin Jang 한국경영과학회 2017 한국경영과학회 학술대회논문집 Vol.2017 No.10

This study investigates how to quantify and forecast systematic and systemic risk in a credit index using empirical and statistical analyses. Considering the inherent properties of each type of risk, a one-factor Marshall-Olkin copula model is employed to identify systematic risk, and an interacting intensity based-model is adopted to capture systemic risk. After collecting daily data for the iTraxx Europe index and its tranche prices from 2005 to 2014, we calibrate each model parameter as a time dynamic. Using the results, we predict one-step future levels of systematic and systemic risk using the time series models that have minimal forecasting errors according to several accuracy measures. Finally, we obtain important implications about the evolution of the two types of risk within the credit index under different macroeconomic conditions based on historical and future loss distributions.

Risk-Return Tradeoff and Capital Asset Pricing for Life Insurers: An Empirical Study

오평석 한국보험학회 2011 保險學會誌 Vol.90 No.-

This paper investigated relationship between risk and return of life insurers. The results indicate that systematic risk is not the only factor in determining the risk-return relationship in life insurance companies. Rather, empirical finding of this study reveals that nonsystematic risk is more important than systematic risk for life insurers. If historical relationship between both total risk and beta and various fundamental characteristics of insurers can be verified, it may be easier to forecast future risk. Since a life insurer's risk is conceptually the function of firm's underwriting and investment, insurers' managers may be able to control some of the specific variables in order to explain a very small amount of the variation in beta. Only a growth was found to be significant in explaining beta. Also, growth and dividend yield were to be significant in explaining total risk but overall explanatory power was weak. The empirical finding suggests that insurance industry should be careful in using beta as a proxy for the future estimate of return. Thus, the use of Insurance Capital Asset Pricing Model(ICAPM) in regulating insurance pricing(premium rate making) should be applied very cautiously.

군수품 정부품질보증 위험성 평가제도 개선을 위한 제언

안남수 한국품질경영학회 2023 품질경영학회지 Vol.51 No.2

Purpose: Nowadays, the risk assessment system is widely used in many industrial and public areas to reduce the possible risks. The system is used to determine the priorities of the government quality assurance works in Defense Agency for Technology and Quality. However, as the risk assessment system is used for other purposes, there are some items that need improvement, and in this study, we propose improvement plans by benchmarking the risk assessment systems of other institutions. Methods: In this paper, first, the procedures of risk assessment system used in many industrial sites were reviewed, and how each institution specialized and applied the system. Afterwards, by benchmarking various risk assessment systems, an improvement plan on how to operate the risk assessment system in the case of government quality assurance for centrally procured military supplies was presented, and practical application cases were presented to prove the usefulness of the improvement plan. Results: The proposed risk assessment system differs from the existing system in five major aspects. First, inputs, outputs, and key performance indicators were specified from the systematic point of view. Second, risk analysis was analyzed in four dimensions: probability of occurrence, impact, detection difficulty. Third, risk mitigation measures were classified, control, transfer, and sharing. Fourth, the risk mitigation measures were realized through document verification, product verification, process verification, and quality system evaluation. Finally, risk mitigation measures were implemented and the effectiveness of the risk mitigation measures was evaluated through effectiveness evaluation. Conclusions: In order for the risk assessment procedure proposed in this study to be applied to actual work, it is necessary to obtain the consent of the person involved in the work due to the increased time for risk identification and preparation of the government quality assurance log, and a change in the information system that performs the actual work is required. Therefore, the authors of this study plan to actively perform internal seminar presentations and work improvement suggestions to apply these research outputs to actual work.

국내 주식시장의 저위험 이상현상 패턴과 활용에 관한 연구

양기성,박찬,황동민 한국재무학회 2024 財務硏究 Vol.37 No.2

본 연구는 국내 주식시장의 위험-수익 관계를 종합적으로 분석하고 투자전략 측면에서 활용하는 방안을 논의한다. 이를 위해 장기 및 단기 총 변동성, 체계적 변동성, 고유 변동성, 시장베타 8개의 위험측도를 사용하여 1990년 7월부터 2021년 12월까지의 국내 유가증권시장의 위험-수익 관계를 분석하고, 그 결과를 이용하여 국내 저위험관련 ETF의 수익성을 개선하기 위한 다양한 실험을 수행하였다. 주요 결과는 다음과같다. 첫째, 전체 기간에서 국내 주식시장의 저위험 이상현상은 일별 수익률을 사용하여 측정한 단기 변동성 지표들에 대해서만 유의하였다. 저위험 프리미엄의 크기는롱-숏 포트폴리오는 소형 성장주 그룹에서, 매입 포트폴리오는 소형 가치주 그룹에서크게 나타났다. 둘째, 위험-수익 관계와 그 유의성은 위험측도와 기간별로 상이하였다. 셋째, 위험측도별 저위험 프리미엄 사이의 인과관계를 분석한 결과 국내 주식시장의 저위험 이상현상은 고유 변동성에 의한 것임을 확인하였다. 마지막으로, 실증 분석결과를 바탕으로 국내 주식 저위험 ETF 기초 지수의 수익성을 개선하기 위한 31가지수정안을 분석한 결과 투자성과가 유의하고 강건하게 향상되는 것을 확인하였다. 본 연구는 강건성과 위험 측도별 저위험 프리미엄간 관계 등 다양한 측면에서 국내주식 시장의 저위험 이상현상에 대한 이해도를 높이고, 투자상품 개발을 위해 실증결과를 활용하는 실무적인 방안을 구체적으로 제시하였다는 의의를 갖는다. This study comprehensively analyzes the patterns of risk and return relationship in the Korean stock market and applies them to portfolio management strategies. Total eight number of risk measures - long and short term total volatility, systematic volatility, idiosyncratic volatility, and market beta - are employed to analyze the risk-return relationship in the KOSPI market from July 1990 to December 2021. Furthermore, based on the results of the analysis, we conduct various empirical experiment to improve the profitability of the low-risk related ETFs traded in the Korean stock market. The key findings are as follows: First, we observe that the low-risk anomalies are significant over the entire period only for the short-term volatility measures. Small-growth groups show greater low-risk premiums for long-short portfolios, whereas small-value groups exhibit higher low-risk premiums for long-only portfolios. Second, the low-risk anomalies are not robust across the risk measures and measurement periods. Third, as a result of the causality analysis between the risk premiums from the different risk measures, we find that the low-risk anomalies in the Korean stock market are primarily driven by idiosyncratic volatility anomaly. Lastly, we find that the definition of underlying indices of the low-risk related ETFs currently traded in the Korean stock market does not adequately reflect the empirical patterns of the risk-return relationship. If we modify them in accordance with our empirical findings, the profitability of the low-risk indices significantly improve with robustness. This study has contributions in that it deepen the understanding of the low-risk anomalies in the Korean stock market and proposes practically useful applications of them to enhance portfolio management strategies.

기업의 사회적 책임 활동이 기업의 위험에 미치는 영향

강윤식(Yun-Sik Kang),위경우(Kyeong-Woo Wee) 한국무역연구원 2017 무역연구 Vol.13 No.1

This study empirically analyzes the effect of corporate social responsibility (CSR) activities on the risk of the firm by looking at their influences on total risk, systematic risk, idiosyncratic risk and business risk, respectively. The main results are as follows. First, there exists a significant negative relationship between the level of CSR activities and the total risk of the firm. This result is consistent with those of previous researches that assert the positive role of CSR activities. Second, there is a negative relationship between the level of CSR activities and systematic risk. This implies that firms with higher levels of CSR activities are likely to have less sensitivity to the risks associated with economic fluctuations. Third, there is also a negative relationship between the level of CSR activities and idiosyncratic risk. This may result from the fact that CSR activities lessen firm specific inefficiencies by reducing firm specific risks (such as litigation risk, brand and reputation risk, labor dispute, and consumer boycott) which are important factors of a firm’s profitability. Finally, we find that there is a significant negative relationship between the level of CSR activities and business risk. This result suggests that CSR activities have a real effect on the performance factors of the firm such as customer loyalty.

Analysis on the Risks Ensued during the 2022 Beijing Olympic Winter Games to Protect the Social SECURITY

Bai Xuefeng,Zhao Xuemei,Shin Hong-bum J-INSTITUTE 2020 Protection Convergence Vol.5 No.1

Beijing will host the 2022 Olympic Winter Games after the Summer Olympics in 2008. It is the first Winter Olympics for Beijing and the second capital city to host Olympic Games. The success of the Summer Olympics and expectations for the Winter Olympics will place higher demands to Beijing. Prevention and control to secure so-ciety will be the key to the success of the Games. Security of society is the momentous part in the whole process and the essence to ensure stability of society, especially under the changes of domestic and foreign circumstances, this work will face more severe challenges. Therefore, in order to ensure the social stability of political and eco-nomic center in China during winter Olympic Games and the successful hosting, this study is trying to employ systematic reviews of past research literatures, summarize risk factors that might cause social problems during the Beijing Olympic Winter Games, classify, and then screen them. Finally it also puts forward corresponding prevention and control suggestions. The results show that there are many risk factors that may cause social problems in Beijing during the winter Olympics. The characteristics of risk factors and the types that may cause social problems were classified into public security risks, life risks, economic risks, ecological environment risks, political risks, cultural risks and public health risks. Due to the large time span of retrieval, some risk factors are still possible to occur, but they are under control. Therefore, in order to further ensure the pertinence of the research results, this paper screened and removed the summarized factors according to the actual situation and relevant policies. Finally, the risk factors were identified as public security, living, and public health. Public security risk factors include public opinion and cyberbully; Living risk factors are the ones affecting the life of vulnerable groups; Public health risk factor is pan-demic outbreak. According to the results, this paper proposes the following prevention and control measures: 1. Strengthen the education and publicity of public security knowledge. The Chinese government has a relatively completed public security management system, so it should start with the education and publicity in the early stage to achieve the prevention of public opinion and cyberbully. 2. Establish service stations for vulnerable groups to ensure their normal life during the winter Olympics. 3. Create a real-name health monitoring mobile APP during the winter Olympics. Smart phones have already been popularized in China, and people can upload their personal health status anytime and anywhere through the APP, which can effectively assist the Chinese government on public health situation during the Beijing Olympic Winter Games.

기업의 건전성이 기업위험에 미치는 영향에 대한 연구

Cui Jinhua(최금화),강상구 한국자료분석학회 2019 Journal of the Korean Data Analysis Society Vol.21 No.1

This paper examines whether firms’ health decrease risk of non-financial firms listed in the KRX KOSPI during 2005-2016 period. Given previous empirical results that CSR decreases total risk and unsystematic risk, this paper examines that firms’ health in terms of corporate governance, investment, and financing can be a channel that CSR decreases total risk and unsystematic risk in Korea. Firms’ health is proxied by using health scores in the KEJI index, an annual firm-level CSR score, by citizens’ coalition for economic justice. Main results from OLS regression and firm fixed-effect regression are as follows. First, health is significantly and consistently decrease total risk and unsystematic risk. By contrast, negative relation between health and systematic risk is marginally significant in the OLS regression but disappears in the fixed-effect regression. The results imply that firms’ health can facilitate as a channel that CSR decreases total risk and unsystematic risk in Korea. Also the results support previous findings in Korea that both total risk and unsystematic risk is negatively related. The results are robust and qualitatively the same when beta and unsystematic risk is estimated from Fama-French 3-factor model. 본 연구는 기업의 건전성이 기업위험에 미치는 영향에 대해 분석하였다. 한국 주식시장에서 기업의 사회적 책임 활동(CSR)이 위험을 감소시킨다는 실증적 사실을 바탕으로 기업지배구조의 건전성, 투자지출의 건전성, 자금조달의 건전성이 CSR의 위험감소 효과의 경로로서 작용할 수 있는지 검증하였다. 2005년에서 2016년까지 한국증권거래소 유가증권시장(KRX KOSPI)에 상장된 비금융업 회사를 대상으로 경제정의연구소의 경제정의지수의 구성항목인 건전성(health) 점수와 총위험, 비체계적 위험, 체계적 위험의 관계에 대해 회귀분석과 기업 고정효과 모형을 통해 다음 결과를 보였다. 건전성은 CAPM의 베타와 잔차의 표준편차를 이용해 측정한 총위험, 비체계적 위험을 일관되게 유의하게 감소시키며, 이는 건전성이 CSR 활동의 위험감소 효과의 경로로서 작용함을 의미한다. 이러한 결과는 Fama, French의 3요인 모형을 이용해 체계적 위험, 비체계적 위험을 추정한 경우에도 같았다. 본 연구는 기업지배구조, 투자지출, 자금조달의 건전성이 CSR 활동에 따른 기업의 위험감소 효과의 한 경로로 작용할 수 있으며, 높은 건전성이 CSR 활동의 긍정적 효과를 얻을 수 있도록 하는 기능을 수행하는 점을 보였다는 점에서 의미가 있다.