주식프리미엄(equity premium)의 비교 및 결정요인 분석
Comparison of Equity Premium and its Determinants in Korea
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본 연구에서는 우리나라의 주식프리미엄의 다양한 정의에 따른 비교와 주식프리미엄의 결정요인을 분석하기 위해 금융변수, 기술 요인 그리고 거시경제 변수를 이용하여 주식프리미엄 예측 모형을 구축하였다. 우리나라의 주식프리미엄은 1997년 외환위기와 같은 구조변화로 인해 경기변동에 따라 변동성이 상당한 것으로 나타났으나, 주식수익률 혹은 무위험이자율에 따른 차이는 크지 않았다. 2000년 이후의 우리나라 주식프리미엄은 주요 32개국과 비교하였을 해당 기간의 평균 기준으로 10위권 수준인데, 이는 최근의 주가 급등의 영향이 큰 것으로 보인다. 주식프리미엄의 변동성이 32개국 중 4위일 정도로 변동성이 컸으며, 주식프리미엄을 해당 기간 동안의 중위수를 기준으로 살펴보면 18위권으로 하락하게 된다. 주식프리미엄의 결정요인 분석에서는 금융변수, 기술 요인 그리고 거시변수 중에서 금융변수의 설명력이 높은 것으로 나타났는데, 주성분 분석에 따르면 금융변수가 어떤 요인으로 구성되어 있는지 알기 힘들다. 이에 따라 본고에서 사용된 Sparse 주성분의 로딩을 살펴보면, 금융의 첫 번째 요인은 수익(earning) 관련 변수로 구성되어 있고, 두 번째 금융 요인은 배당 관련 변수로 구성된 것으로 나타났다. 2000년 이후 분석에 따르면 기업의 수익 관련 변수는 주식프리미엄에 음의 영향을, 배당 관련 변수는 양의 영향을 주는 것으로 보인다. 한편, 세 가지 요인을 1개월 후 예측 모형을 통해 Out-of-sample 예측실험을 진행한 결과, 설명력 분석과 달리 거시경제 변수의 예측력이 다른 변수에 비해 약간 나은 모습을 보였다.
Abstract
In this study, a equity premium prediction model was constructed using financial variables, technological factors, and macroeconomic variables to compare the various definitions of the stock premium in Korea and to analyze the determinants of the equity premium. Korea's equity premium showed considerable volatility due to economic fluctuations due to structural changes such as the 1997 Asian financial crisis, but the difference was not significant according to stock returns or risk-free interest rates. Korea's equity premium since 2000 is ranked in the top 10 on an average basis for the period compared to 32 major countries, which seems to be largely due to the recent surge in stock prices. The volatility of the equity premium was so high that it ranked 4th out of 32 countries, and when looking at the equity premium based on the median value for the period, it fell to the 18th place. In the analysis of the determinants of equity premium, it was found that the explanatory power of financial variables was high among financial variables, technological factors, and macro variables. Accordingly, looking at the loading of the sparse principal component used in this paper, it was found that the first financial factor consists of earnings-related variables, and the second financial factor consists of dividend-related variables. According to the analysis since 2000, it seems that variables related to corporate earnings have a negative effect on equity premium and variables related to dividends have a positive effect. On the other hand, as a result of performing an out-of-sample prediction experiment through a predictive model for three factors one month later, the predictive power of macroeconomic variables was slightly better than that of other variables, unlike explanatory power analysis.
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