발생액 이상현상과 차익거래기회에 관한 연구

국문 초록 (Abstract)

기업규모 대비 발생액이 낮은 기업들의 미래 주식수익률이 발생액이 높은 기업들보다 유의하게 높게 나타난다는 발생액 이상현상의 원인과 관련하여 본 연구에서는 발생액 이상현상이 투자자들의 차익거래위험이나 거래비용과 같은 장애요인에 기인하는 것인지를 검증하고 있다. 1987년부터 2006년까지 한국증권선물거래소의 유가증권시장에 상장된 국내 비금융업 기업들을 대상으로 실증 분석한 결과, 발생액이 낮았던 기업들의 주식을 매수하고 높았던 기업들의 주식을 매도하여 구성한 발생액 헤지포트폴리오가 연평균 14~17%의 높은 초과수익률을 제공하는 것으로 나타났다. 또한 기업고유위험으로 측정한 차익거래위험이 높은 주식들로 구성한 발생액 헤지포트폴리오가 연평균 23~28%의 유의한 양의 초과수익률을 얻는 것으로 나타나서 발생액 이상현상이 차익거래위험이 높은 주식들에 집중되는 것으로 분석되었다. 그리고 주식가격이 낮아서 거래비용이 높은 주식들로 구성한 발생액 헤지포트폴리오 역시 다른 그룹들보다 높은 연평균 21~24%의 초과수익률을 얻는 것으로 나타났다. 그러나 주식가격 이외의 다른 거래비용 대용치들을 이용한 결과에서는 발생액 이상현상이 집중되는 결과를 얻지 못함으로써, 거래비용이 발생액 이상현상에 미치는 효과는 차익거래위험보다 덜 체계적이라는 결과를 얻었다. 이러한 연구 결과는 발생액 이상현상이 시장비효율성에 전적으로 기인한다고 보기 보다는 차익거래기회를 제한하는 시장미시구조적 장애요인들에 의해서도 발생되고 있음을 시사하고 있다.

다국어 초록 (Multilingual Abstract)

This paper examines whether the accrual anomaly, initially proposed by Sloan(1996), can be caused by market microstructural obstacles such as arbitrage risks and transaction costs that risk-averse investors confront in implementing arbitrage transactions. Empirical results of this paper confirm the presence of the accrual anomaly in the Korean stock market over the period from 1987 to 2006. We find that the accrual hedge portfolio constructed by buying the lowest accrual stocks and selling the highest accrual stocks earns 14%~17% abnormal returns p.a., on average. We also find the accrual anomaly is concentrated in the sample stocks with high arbitrage risks and high transaction costs. For example, the accrual hedge portfolio constructed from the sample stocks with high idiosyncratic volatility earns the highest abnormal returns about 23%~28% p.a., and the accrual hedge portfolio constructed from those with low stock prices (or high transaction costs) earns the highest abnormal returns about 21%~24% p.a. However, in the case of other proxies for the transaction costs, such as trading amount, market capitalization, or Amihud`s (2002) illiquidity measures, we cannot find the evidence that the accrual anomaly is concentrated in stocks with high transaction costs. This indicates that the transaction costs affect the accrual anomaly less systematically than the arbitrage risks. These results of this paper imply that the accrual anomaly can be largely attributable to market microstructural obstacles which limit the arbitrage opportunities, but not entirely attributable to market inefficiency.

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