한국 회사채의 유동성 프리미엄과 유동성 지표
Liquidity Premium and Liquidity Proxies of Korean Corporate Bonds
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초록
본 논문은 우리나라 회사채 시장에서 유동성 프리미엄이 존재하는지, 만약 존재한다면 유동성 프리미엄을 가장 잘 설명하는 유동성 지표가 무엇인지를 검증하고자 한다. 이를 위해 본 논문은 2000년 1월부터 2010년 5월까지 약 9년 5개월 동안을 표본기간으로 하고, 금융투자협회가 제공한 회사채 장외시장 실거래 자료를 활용하여 분석하였다. Brennan and Subrahmanyam(1996)의 포트폴리오 기반 방법론을 적용하여 Gebhardt(2001)가 제안한 확장된 Fama-French(1993) 2요인 모형을 추정한 결과 다음과 같은 사실들을 발견하였다. 첫째, 우리나라 회사채 수익률을 설명하는데 Fama-French(1993) 2요인(신용스프레드 및 기간스프레드)이 높은 설명력을 가지고 있다. 둘째, 회사채 수익률 중 Fama-French(1993) 2요인이 설명하지 못하는 부분에 대해서 Gebhardt(2001)가 제안한 특성 변수인 신용등급과 잔존만기가 추가적인 설명력을 갖는 것으로 나타난다. 셋째, 거래량회전율, 발행금액, 거래일비중 등 유동성 지표 모두에 대해 시간불변적 유동성 프리미엄과 시간변동적 유동성 프리미엄이 존재함을 확인하지 못했다.
Abstract
We investigate whether liquidity is priced in Korean corporate bond markets. If priced, then we examine which liquidity proxies explain the liquidity premium better than others. We use the sample period from January 2000 to May 2010, which is relatively long compared with previous studies on corporate bond liquidity premium. Using OTC transaction data provided by Korean Financial Investment Association, we estimate an extended Fama-French (1993) 2-factor model proposed by Gebhardt (2001), based on Brennan and Subrahmanyam (1996) methodology of liquidity- sorted portfolio. We find the major findings as follows : First, Fama-French(1993) two factors, credit spread and term spread explain Korean corporate bond yields well. Second, rating and maturity, bond characteristics proposed by Gebhardt (2001) have explanatory power in corporate yields that are not explained by the two factors. Third, we find evidence that there exist time-invariant liquiditypremiums of corporate bonds, using liquidity proxies such as turnover ratio, issued amount and trading days ratio. However, we do not find any evidence that the liquidity premiumsare time-varying. Forth, it turns out that turnover ratio and trading day ratio explain the liquidity premiums better than issued amount do. This implies that disseminating information on both bond issuance and trading activities makes market participants get more accurate information on corporate bond liquidity and thus improves the efficiency of price discovery in corporate bond markets.
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