기업 부실 위험에 따른 유동성 프리미엄 차이 연구 = Liquidity Premium Variation on Firm Distress Risk

다국어 초록 (Multilingual Abstract)

This paper investigates the relationship between the liquidity premium and distress risk in the Korean stock market. Empirical results show that the liquidity premium is highest in portfolios with the highest distress risk. Fama-MacBeth regression analysis also confirms that distress risk influences the pricing of liquidity after introducing control variables. These findings indicate that liquidity is more valuable for investors in high distress risk stocks compared to investors in low distress risk stocks. The underlying reasons for this result may be attributed to investors' "Flight to Quality" response to negative external shocks, as well as the higher margin requirements associated with stocks exhibiting higher distress risk. These findings suggest that stocks with high distress risk command a higher price for immediacy.

참고문헌 (Reference)

1 권택호, "한국주식시장의 유동성 프리미엄에 관한 연구" 13 : 223-259, 1997

2 양철원, "한국주식시장에서 유동성 측정치 비교" 한국재무학회 25 (25): 37-88, 2012

3 윤선흠 ; 최혁, "한국 주식시장의 유동성과 일중 주문불균형의 단기 수익률예측력" 한국재무관리학회 31 (31): 49-75, 2014

4 강장구 ; 심명화, "한국 주식시장의 매도, 매수 유동성 비대칭에 대한 연구" 한국증권학회 43 (43): 327-358, 2014

5 정기호 ; 강장구, "한국 주식시장에서의 Amihud 측도의 주식 수익률 예측과 거래량" 한국증권학회 47 (47): 543-577, 2018

6 강장구 ; 장지원, "주식시장 유동성의 실물경기변동 예측력에 관한 연구" 한국재무학회 28 (28): 71-108, 2015

7 양철원, "시장하락 충격이 개별주식의 거래유동성에 미치는 영향" 한국기업경영학회 20 (20): 103-124, 2013

8 박재성 ; 엄경식, "스프레드율을 통해 관찰된 비유동성 프리미엄 특성" 한국재무학회 21 (21): 77-114, 2008

9 전용호, "국내 주식시장에서 유동성 프리미엄의 장기적 변화에 대한 연구" 경영경제연구소 10 (10): 27-41, 2019

10 Lee, K. H., "The World Price of Liquidity Risk" 99 (99): 136-161, 2011

11 Polk, C., "The Stock Market and Corporate Investment : A Test of Catering Theory" 22 : 187-217, 2009

12 Amihud, Y., "The Illiquidity Premium : International Evidence" 117 (117): 350-368, 2015

13 Longstaff, F. A., "The Flight-to-Liquidity Premium in U. S. Treasury Bond Prices" 77 (77): 511-526, 2004

14 Brogaard, J., "The Effect of Stock Liquidity on Distress Risk" 124 (124): 486-502, 2017

15 Ben-Rephael, A., "The Diminishing Liquidity Premium" 50 (50): 197-229, 2015

16 Blume, M. E., "The Declining Credit Quality of US Corporate Debt: Myth or Reality?" 53 (53): 1389-1413, 1998

17 Næs, R., "Stock Market Liquidity and the Business Cycle" 66 (66): 139-176, 2011

18 Nadarajah, S., "Stock Liquidity and Default Risk around the World" 55 : 100597-, 2021

19 Kaplan, R. S., "Statistical Models of Bond Ratings : A Methodological Inquiry" 52 (52): 231-261, 1979

20 Chen, N., "Risk and Return of Value Stocks" 71 (71): 501-535, 1998

21 Lou, X., "Price Impact or Trading Volume : Why is the Amihud(2002)measure priced?" 30 : 4481-4520, 2017

22 Brennan, M. J., "Market Microstructure and Asset Pricing : On the Compensation for Illiquidity in Stock Returns" 41 : 441-464, 1996

23 Brunnermeier, M. K., "Market Liquidity and Funding Liquidity" 22 : 2201-2238, 2009

24 Goldstein, I., "Manipulation and the Allocational Role of Prices" 75 (75): 133-164, 2008

25 Lee, J. H., "Liquidity, Illiquidity, and Asset Pricing in the Korean Stock Market" 27 : 49-69, 2014

26 Cakici, N., "Liquidity and the Cross-section of International Stock Returns" 127 : 106123-, 2021

27 Pástor, Ľ., "Liquidity Risk and Expected Stock Returns" 111 : 642-685, 2003

28 Dichev, I. D., "Is the Risk of Bankruptcy a Systematic Risk?" 53 : 1131-1147, 1998

29 Jensen, G. R., "Inter-temporal variation in the illiquidity premium" 98 : 338-358, 2010

30 Campbell, J. Y., "In Search of Distress Risk" 63 : 2899-2939, 2008

31 Amihud, Y., "Illiquidity and Stock Returns : Cross-section and Time Series Effects" 5 (5): 31-56, 2002

32 Garlappi, L., "Financial Distress and the Cross-section of Equity Returns" 66 (66): 789-822, 2011

33 Boubaker, S., "Financial Contagion between the US and Selected Developed and Emerging Countries : The Case of the Subprime Crisis" 61 : 14-28, 2016

34 Altman, E. I., "Failure Prediction : Evidence from Korea" 6 (6): 230-249, 1995

35 Vassalou, M., "Distress Risk in Equity Returns" 59 : 831-868, 2004

36 Chordia, T., "Commonality in Liquidity" 56 : 3-28, 2000

37 Caballero, R., "Collective Risk Management in a Flight to Quality Episode" 63 (63): 2195-2230, 2008

38 Griffin, J. M., "Book-to-market Equity, Distress Risk, and Stock Returns" 57 : 2317-2336, 2002

39 Acharya, V., "Asset Pricing with Liquidity Risk" 77 : 375-410, 2005

40 Amihud, Y., "Asset Pricing and the Bid-ask Spread" 17 : 223-249, 1986

41 Molina, C. A., "Are Firms Underleveraged? An Examination of the Effect of Leverage on Default Probabilities" 60 : 1427-1459, 2005

42 Avramov, D., "Anomalies and Financial Distress" 108 (108): 139-159, 2013