유동성 공왜도 위험과 기대수익률
Liquidity Coskewness Risks and Expected Return
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초록
주식 유동성 관련 연구는 Amihud and Mendelson(1986)이 유동성 레벨과 주식 수익률과의 관계를 확인한 이후 Acharya and Pedersen(2005)의 유동성 공분산 위험과 주식 수익률과의 관계를 확인하는 연구로 진화하였다. 본 연구는 선행 연구보다 나아가 유동성 공왜도 위험을 이론적으로 도출하고 가격화되는 위험인지를 실증 검증하였다. 구체적으로 Acharya and Pedersen(2005)의 연구와 Harvey and Siddique(2000)의 연구를 통합하여 유동성 공왜도 위험을 이론적으로 도출하고 투자자가 보상을 요구하는 이유에 관한 직관을 제시하였다. 유동성 공왜도 위험의 가격화 여부를 실증 검증하기 위하여 6개 유동성 대용치를 이용하여 팩터모델과 확률할인요소모형(stochastic discount factor approach)을 적용, 유동성 공왜도 위험 포트폴리오의 수익률을 위험 조정하고 통계적 유의성을 실증 검증하였다. 실증 분석 결과 본 연구에서 제시한 5개의 유동성 공왜도 위험 중 4개의 유동성 공왜도 위험이 통계적으로 유의한 것으로 보인다.
Abstract
Following Amihud and Mendelson (1986)’s study on the relation between stock liquidity level and stock returns, many attempts have been made to investigate liquidity covariance risk and stock returns. Our study adds to the literature by theoretically deriving liquidity coskewness risks and by empirically examining whether they are priced risks. Our theoretical model is based on the works by Acharya and Pedersen (2005) and Harvey and Siddique (2000), based on which we explain why investors require premium on the liquidity coskewness risks. Also, using six liquidity proxies, we examine statistical significance of risk-adjusted returns of portfolios formed on liquidity coskewness risks. The portfolio returns are adjusted based on factor models and the stochastic discount factor approach. According to the empirical analysis, four of the five liquidity coskewness risks are statistically significant.
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