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고유변동성, 조건부 유동성, 그리고 주식수익률의 횡단면에 관한 연구

Idiosyncratic Volatility, Conditional Liquidity, and Cross-section of Stock Returns in Korea

조성순|박순홍|윤상용
경영경제연구소 (management & economic research institute)|2021.03|아태비즈니스연구 ((APJB) Asia Pacific Journal of Business)|제12권 제1호|pp. 121-134|DOI https://doi.org/10.32599/apjb.12.1.202103.121

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참고문헌

키워드

Liquidity RiskIdiosyncratic Volatility PuzzleHedge PortfolioCross-section of Stock ReturnsFlight-to-Liquidity

초록

Purpose - This study examines whether flight-to-liquidity (FTL) explains the dynamic liquidity risk on stock returns, and whether it has a significant influence on determinants the cross-section of stock returns. Design/methodology/approach - This study suggests a new risk factor, dynamic liquidity hedge portfolio (DLP), to reflect the dynamic impact of liquidity risk on stock returns and the Fama-MacBeth 2 stage regression analysis is employed in order to analyze the data. Findings - First, the DLP factor shows more positive and significant beta for the small or illiquidity stocks. Second, the DLP shows a different influence than SMB (size risk factor), HML (value risk factor), NMP (liquidity risk factor), FTVOL (total volatility factor) in determining the cross-section of stock returns. In addition, the DLP has a statistically significant risk premium of around 5%, which is relatively larger than other risk factors. Research implications or Originality - This study has academic value in terms of newly confirming that the DLP factor has a more significant impact on cross-sectional determination of stock returns than other risk factors by proposing a conditional liquidity factor that can explain the FTL phenomenon.

Abstract

Purpose - This study examines whether flight-to-liquidity (FTL) explains the dynamic liquidity risk on stock returns, and whether it has a significant influence on determinants the cross-section of stock returns. Design/methodology/approach - This study suggests a new risk factor, dynamic liquidity hedge portfolio (DLP), to reflect the dynamic impact of liquidity risk on stock returns and the Fama-MacBeth 2 stage regression analysis is employed in order to analyze the data. Findings - First, the DLP factor shows more positive and significant beta for the small or illiquidity stocks. Second, the DLP shows a different influence than SMB (size risk factor), HML (value risk factor), NMP (liquidity risk factor), FTVOL (total volatility factor) in determining the cross-section of stock returns. In addition, the DLP has a statistically significant risk premium of around 5%, which is relatively larger than other risk factors. Research implications or Originality - This study has academic value in terms of newly confirming that the DLP factor has a more significant impact on cross-sectional determination of stock returns than other risk factors by proposing a conditional liquidity factor that can explain the FTL phenomenon.

참고문헌 (46)

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야간수익률과 고유변동성이 기대수익률에 미치는 영향전용호경영경제연구소 · 아태비즈니스연구2023 · 제14권 제3호국내 주식시장에서 유동성 프리미엄의 장기적 변화에 대한 연구전용호경영경제연구소 · 아태비즈니스연구2019 · 제10권 제2호고유변동성과 기대수익률의 횡단면 관계 검증: Carhart(1997) 4요인 모형을 중심으로김정무, 옥영경보험연구원 · 보험금융연구2018 · 제29권 제1호Liquidity Risk and Asset Returns:The Case of the Korean Stock Market최혁, 양철원한국재무관리학회 · 재무관리연구2009 · 제26권 제4호한국 주식시장에서의 유동성위험의 평가김종대, 배성미, 안형태, 조문기한국기업경영학회 · 기업경영연구2016 · 제23권 제4호기업 부실 위험에 따른 유동성 프리미엄 차이 연구이선영한국재무관리학회 · 재무관리연구2023 · 제40권 제5호

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