한국 주식시장에서의 수익성 프리미엄 발생 요인 분석
Dissecting Profitability Premium in Korean Stock Markets
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초록
본 논문에서는 2001년 7월부터 2017년 6월까지 국내 유가증권 시장 및 코스닥 시장에 상장된 기업들에서 나타나는 주식수익률 이상 현상 중 하나인 수익성 프리머엄의 발생 요인에 대해 실증적으로 분석하였다. 먼저, 수익성 프리미엄이 체계적 위험으로 인해 발생하는가에 대해 알아보기 위해 거시경제 요인 및 수익성 모방요인을 이용한 검증 결과, 수익성 프리미엄이 체계적 위험에 대한 보상이라는 증거를 발견하지 못했고, 오히려 정보 불확실성 및 주식의 차익거래 제한 정도가 높을수록 수익성 프리미엄이 강하게 나타났다. 또한 수익성 프리미엄의 장기 회귀가 나타나지 않아, 이로부터 투자자의 사후 과잉반응보다 사전 과소반응에 가깝다는 결론을 내렸다. 이를 토대로, 세 가지의 대표적인 투자자 과소 반응에 대한 행동 재무학 모형을 활용하여 비교 검증한 결과 Hong and Stein (1999)의 투자자 무관심 모형이 수익성 프리미엄을 가장 잘 설명하였으며 통계적으로 유의한 결과를 보였다.
Abstract
This study aims to investigate empirically the source of profitability-related anomaly in Korean stock markets in the periods from July 2001 to June 2017 based on whole stock sample listed in KSE and Kosdaq. First of all, the results of tests by using macroeconomic variables and the profitability mimicking-factor indicate that the systematic risk is unlikely to be the source of profitability premium. Instead, firms with higher information uncertainty and limit-to-arbitrage exhibit stronger profitability premium, which implying that the profitability premium might be caused by mispricing. Also, the profitability premium do not show long-run reversal, suggesting that it is more likely to be ex-ante underreaction rather than ex-post overreaction. Finally, throughout the tests on three leading behavioral models regarding investors’ underreaction to account for profitability premium, the overall results represent that the model proposed by Hong and Stein (1999), which implicates inattention-induced underreaction, explains the profitability premium the best, and the results are economically and statistically significant.
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