한국주식시장의 규모효과 특성과 투자자 거래행태
Investor Behaviour and Size Effect in Korean Stock Markets
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
본 연구는 2000년 7월부터 2023년 6월까지의 한국주식시장(코스피시장과 코스닥시장)의 자료를 대상으로 규모효과를 재검증하고 투자자별 거래행태가 규모효과에 미치는 영향을 분석하였다. 주요 결과는 다음과 같다: 첫째, 한국주식시장에서 규모효과는 주식수익률의 계절성이나 시장상황의 변화특성에 관계없이 유의하게 존재한다. 둘째, 이러한 규모효과는 기업특성변수의 영향에 관계없이 확인된다. 셋째, 소규모주식에 집중되어 발생하는 개인투자자의 높은 순매수활동이 기업규모와 미래 주식수익률 간의 음(-)의 관계를 이끄는 중요한 요인이다. 넷째, 규모포트폴리오 분류기준으로 양극단에 가까운 기준을 이용할수록 규모요인프리미엄은 더욱 크고 유의한 양(+)의 값을 갖는다. 나아가 해당기간에 이루어진 정부의 강력한 벤처지원정책은 소형주와 벤처기업 주식에 대한 개인투자자의 높은 매수활동을 촉발하고 이는 규모효과를 가져온 중요요인으로 작용하였다.
Abstract
This study revisits the size effect in the Korean stock market and analyzes the impact of investors' trading behavior on the size effect. The main findings are as follows: First, the size effect is significant in the Korean stock market regardless of the seasonality of stock returns or the dynamic nature of market conditions. Second, this result is independent of the effects of firm characteristics. Third, the high net buying activity of individual investors, concentrated in small-cap stocks, is an important factor driving the size effect. Fourth, the more polarized the size portfolio classification is, the larger and significantly positive the size factor premium is. The results of this study show that the strong venture support policy of the Korean government during the sample period triggered high buying activity of individual investors in small-cap and venture stocks, which is an important factor driving the size effect in the Korean stock market.
참고문헌 (50)
- 김동철, "시장위험의 구조적 변화와 주가수익률의 결정요인에 대한 재고찰", 한국증권학회지, 33(4), pp.95~134 (2004)
- 김상환, "우리나라 주식수익률의 결정요인 : 특성 도는 위험요인", 한국증권학회지, 38(3), pp.289~323 (2009)
- 김석진, "기업규모와 장부가", 시가 비율과 주식수익률의 관계, 2000, pp.13(2), 21~47
- 송영출, "규모와 가치비율의 수익률차이 설명력에 대한 연구", 증권학회지, 24(3), pp.83~103 (1999)
- 윤상용, "한국 주식시장에서 유동성 요인을 포함한 3요인 모형의 설명력에 관한 연구", 재무연구, 22(1), pp.1~44 (2009)
- 엄철준, "시장상황을 고려한 기대 주식수익률의 횡단면에 관한 재조사", 재무연구, 25(4), pp.599~639 (2012)
- 엄철준, "최적포트폴리오의 개선 : 새로운 상관행렬 개선방법", 보험금융연구, 31(3), pp.171~210 (2019)
- 엄철준, "한국 주식시장의 규모효과에 대한 재검증", 재무관리연구, 31(3), pp.113~151 (2014)
- Allen, F., "Handbook of China’s Financial System", pp.283~313 (2020), Princeton University Press
- Ang, A., "Downside Risk", Review of Financial Studies, 19(4), pp.1191~1239 (2006)
- Ang, A., "The Cross-section of Volatility and Expected Returns", Journal of Finance, 61(1), pp.259~299 (2006)
- Asem, E., "Market Dynamics and Momentum Profits", Journal of Financial and Quantitative Analysis, 45, pp.1549~1562 (2010)
- Bail, T. G., "Empirical Asset Pricing: The Cross Section of Stock Returns" (2016), Wiley
- Bali, T. G., "Maxing Out: Stocks as Lotteries and the Cross-section of Expected Returns", Journal of Financial Economics, 99, pp.427~446 (2011)
- Banz, R. W., "The Relationship between Return and Market Value of Common Stocks", Journal of Financial Economics, 9, pp.3~18 (1981)
- Barber, B. M., "All That Glitters : The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors", Review of Financial Studies, 21(2), pp.785~818 (2008)
- Barber, B. M., "Do Retail Trades Move Markets?", Review of Financial Studies, 22, pp.151~186 (2009)
- Black, F., "Noise", Journal of Finance, 41, pp.529~543 (1986)
- Blitz, D., "The Idiosyncratic Momentum Anomaly", International Review of Economics and Finance, 69, pp.932~957 (2020)
- Boyer, B., "Expected Idiosyncratic Skewness", Review of Financial Studies, 23, pp.169~202 (2010)
- Carhart, M. M., "On Persistence in Mutual Fund Performance", Journal of Finance, 52(1), pp.57~82 (1997)
- Chan, K. C., "Structural and Return Characteristics of Small and Large Firms", Journal of Finance, 46(4), pp.1467~1484 (1991)
- Chordia, T., "Order Imbalance, Liquidity, and Market Returns", Journal of Financial Economics, 65(1), pp.111~130 (2002)
- De Bondt, W. F. M., "Does the Stock Market Overreact?", Journal of Finance, 40(3), pp.793~805 (1985)
- Empirical Asset Pricing in Korean Stock Markets: A Review of Models and Anomalies, "Eom, C.", 1~80 (2022)
- Eom, C., "A New Method for Better Portfolio Investment : A Case of the Korean Stock Market", Pacific-Basin Finance Journal, 49, pp.213~231 (2018)
- Fama, E. F., "Two Pillars of Asset Pricing", American Economic Review, 104(6), pp.1467~1485 (2014)
- Fama, E. F., "The Cross-section of Expected Stock Returns", Journal of Finance, 47(2), pp.427~465 (1992)
- Fama, E. F., "Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics, 33, pp.3~56 (1993)
- Fama, E. F., "A Five-factor Asset Pricing Model", Journal of Financial Economics, 116, pp.1~22 (2015)
- Harvey, C. R., "... and the Cross-Section of Expected Returns", Review of Financial Studies, 29(1), pp.5~68 (2015)
- Harvey, C. R., "Conditional Skewness in Asset Pricing Tests", Journal of Finance, 55, pp.1263~1295 (2000)
- Horowitz, J. L., "Three Analyses of the Firm Size Premium", Journal of Empirical Finance, 7, pp.143~153 (2000)
- Hou, K., "Resurrecting the size effect: Firm Size, Profitability Shocks, and Expected Stock Returns", The Review of Financial Studies, 32(7), pp.2850~2889 (2019)
- A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum, "Hou, K.", 1~43 (2009)
- Hou, K., "Replicating Anomalies", Review of Financial Studies, 33, pp.2019~2133 (2020)
- Jegadeesh, N., "Evidence of Predictable Behavior of Security Returns", Journal of Finance, 45, pp.881~898 (1990)
- Jegadeesh, N., "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency", Journal of Finance, 48(1), pp.65~91 (1993)
- Kaniel, R., "Individual Investor Trading and Stock Returns", Journal of Finance, 63, pp.273~310 (2008)
- Knez, P. J., "On the Robustness of Size and Book-to-market in Cross-sectional Regressions", Journal of Finance, 52, pp.1355~1382 (1997)
- Kumar, A., "Who Gambles in the Stock Market?", Journal of Finance, 64(4), pp.1889~1933 (2009)
- Newey, W., "A Simple Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55, pp.703~708 (1987)
- Newey, W. K., "Automatic Lag Selection in Covariance Matrix Estimation", Review of Economic Studies, 61, pp.631~653 (1994)
- Rosenberg, B., "Persuasive Evidence of Market Inefficiency", Journal of Portfolio Management, 11(3), pp.9~16 (1985)
- Schwert, G. W., "Handbook of the Economics of Finance", pp.939~974 (2003)
- Sharpe, W. F., "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk", Journal of Finance, 19(3), pp.425~442 (1964)
- Simpson, M. W., "The Resurrected Size Effect Still Sleeps in the (Monetary) Winter", International Review of Financial Analysis, 92, pp.103081~ (2024)
- Stambaugh, R. F., "Mispricing Factors", Review of Financial Studies, 30(4), pp.1270~1315 (2017)
- Stoffman, N., "Who Trades with whom? Individuals, Institutions, and Returns", Journal of Financial Markets, 21, pp.50~75 (2014)
- Yang, C., "Investor Trading Behavior, Investor Sentiment and Asset Prices", North American Journal of Economics and Finance, 34, pp.42~62 (2015)