Liquidity and Skewness Risk in Stock Market: Does Measurement of Liquidity Matter?

Massaporn CHEUATHONGHUA(Massaporn CHEUATHONGHUA ),Woraphon WATTANATORN(Woraphon WATTANATORN ),Sarayut NATHAPHAN(Sarayut NATHAPHAN ) 한국유통과학회 2022 유통과학연구 Vol.20 No.12

Purpose: This study aims to explore the relationship between stock liquidity and skewness risk—tail risk (stock price crash risk) in an emerging market, in which problems on liquidity are more severe than in developed markets. Research design, data, and methodology: Based on the Thai market stock exchange over the period of 2000 to 2019, our sample include 13,462 firm-period observations. We employ a panel regression models regarding to five liquidity measures. These five liquidity measures cover three dimensions of liquidity namely the volume-based, price-based, and transaction cost-based measures for the liquidity-tail risk relationship. Results: We find a positively significant relationship between stock liquidity and tail risk in all cases. The finding here shows that the higher the stock liquidity, the larger the tail risk is. Conclusion: As the prior studies show inconclusive effect of stock liquidity on stock price crash risk, we demonstrate that mixed results found in prior studies are probably driven from the type of liquidity measure. The stock liquidity-tail risk association is present in the Stock Exchange of Thailand. The results remain the same regardless of the definition of tail risk and liquidity factors. An endogeneity issue is addressed by employing the two-stage least squares regression.

시장하락 충격이 개별주식의 거래유동성에 미치는 영향

양철원 한국기업경영학회 2013 기업경영연구 Vol.20 No.1

The globalization and opening of financial markets improve the market size and provide many opportunities for investor. Meanwhile, it also means that the Korean financial markets become weaker to the negative macroeconomic shock from the outside country. For example, the recent global financial crisis of 2008 influences the Korean financial markets. The Korean financial markets experience the severe decline in the stock prices and sudden rise of exchange rate. The purpose of this paper is to investigate how the macroeconomic market decline shock affects the market liquidity of individual stocks. This paper contributes to the literature as following. First, this study implements the time-series analyses to examine the dynamic movement of stock liquidity. Second, both demand and supply of liquidity are investigated respectively by using the market and limit orders of all trades. This could give us an implication for the route how to the market decline shock is transmitted into individual stocks. Third, the long-term sample period of 15 years with the high-frequency intraday data is adopted for this study. This paper casts two questions. Frist, does the macroeconomic market shock affect the trading liquidity of individual stock after controlling for other determinants of liquidity? Second, how can the macroeconomic market shock affect the liquidity of individual stocks in the side of supply and demand respectively? The time-series regressions are used as methodology. First, I run the time-series regression of each individual stock for the sample period. Then, the mean and t-value of cross sections are reported in the paper. The sample period is from January 1994 to December 2008 (total 777 weeks). The main findings in this paper are following. First, the market decline shock affects the liquidity of individual stocks after controlling for other determinants of liquidity such as volatility, volume and order imbalance. The 1% decline of market index return is related to the 0.018% increase of percentage quoted bid-ask spreads. This effects are maintained for two weeks, and its effect goes up to 0.026% in the market decline shock. Meanwhile, this effect is not found in the cases of the large increases in market index return. This asymmetric pattern means that the influence of market return is more prominent in the case of extreme market decrease than in the market increase. When individual stocks are sorted by their firm characteristics, the smaller and more volatile firms are more influenced by the negative shock. Second, the effect of the macroeconomic market shock on the demand and supply side of liquidity are investigated respectively. The liquidity demand is calculated from the market order volume of individual stock, and the supply is obtained from the limit order volume. After the market decline shock, at first week the decrease of limit buy order exceeds the increase of market sell order, and thereby appearing the phenomenon that liquidity supply in sell side is lack. It is because investors submit the limit sell order to sell their shares at the price they want to sell as far as possible rather than sell immediately. However, after two weeks the increases in market sell order are overwhelming in the market. It is consistent with the panic selling following the market decline shock. How does other financial market such as bond and exchange market react to the market decline shock is interesting topic beyond this paper. Further study on the interrelationship between stock and other financial market such as bond and exchange market is also promising. 최근 세계적인 경제위기의 여파로 거시적 시장하락 충격이 자국 시장에 미치는 영향에 대한 관심의 증대되고 있다. 본 연구는 한국 주식시장을 대상으로 하여 시장하락 충격이 개별주식의 유동성에 미치는 영향을 시계열 분석을 통해 살펴보고자 하였다. 구체적으로, 다음의 두 질문에 초점을 두고 있다. 시장하락 충격이 다른 요인들을 통제한 후에도 개별주식의 유동성에 유의적인 영향을 미치는가? 시장하락 충격이 개별주식의 유동성 공급과 수요 측면에서 어떤 영향을 미치는가? 분석결과를 요약하면 다음과 같다. 첫째, 시장하락 충격이 유동성에 영향을 주는 다른 요인들을 통제한 후에도 개별기업의 유동성에 유의하게 영향을 주었다. 즉, 시장하락 충격 후에 개별주식의 유동성은 크게 하락하였다. 시장하락 충격의 효과는 오랜 기간 지속되는데, 2주 동안의 효과를 측정하면 시장수익률 1%의 하락이 평균적으로 호가스프레드율 0.026%의 증가를 가져왔다. 이는 평상시에 시장수익률이 호가스프레드율에 미치는 영향력의 2배에 이르는 수치이다. 개별주식을 기업특성 별로 구분하였을 때, 소규모이며 변동성이 큰 주식일수록 시장하락 충격이 유동성에 미치는 영향이 더 컸다. 둘째, 시장하락 충격이 유동성의 수요와 공급에 어떤 영향을 미치는지를 매도와 매수 측면으로 나누어서 분석하였다. 시장하락 충격 후에 가장 빠르게 반응한 것은 매도부분의 유동성 공급의 하락이었다. 즉, 시장하락 충격 후에 지정가 매수주문의 급격한 하락을 확인할 수 있었다. 그 후에는 시장가 매도주문의 급격한 증가(매도 수요의 급증)가 발견되었는데, 이는 자산의 공황매도(panic selling) 현상으로 해석된다.

국내 주식시장에서 유동성 프리미엄의 장기적 변화에 대한 연구

전용호(Yong-Ho Cheon) 강원대학교 경영경제연구소 2019 Asia-Pacific Journal of Business Vol.10 No.2

Following the methodology of Ben-Rephael, Kadan and Wohl (2015), this paper examines whether firm-level liquidity premium exists and whether the premium exhibits a long-term trend in the Korean stock market. The results show that over the whole sample period (1998-2018), a liquidity premium of 0.083% exists in the cross-section of stocks. Interestingly, the pricing of liquidity declines significantly over the sample period. Sub-period analysis indicates that liquidity is priced mainly in the first sub-period (1998-2004) with a significant monthly premium of 0.304%, while the pricing of liquidity becomes weaker or insignificant in the second (2005-2011) and the third (2012-2018) period. I also find that the significance of the liquidity premium in the first period is attributed to small stocks. To explore underlying reasons that might affect the decline in the liquidity premium, I decompose liquidity premium into the product of firm-level liquidity and the sensitivity of expected stock returns on liquidity. The results reveal that the long-term decline is explained by both an increase in firm-level liquidity and a decrease in the sensitivity of expected returns on liquidity.

Economic Capital Allocation under Coherent Market Liquidity Constraints

( Mazin A. M. Al Janabi ) 한양대학교 경제연구소 2011 JOURNAL OF ECONOMIC RESEARCH Vol.16 No.2

Asset liquidity trading risk arises from the failure to recognize or address changes in market conditions that a.ect the ability to liquidate trading assets quickly and with minimal loss in value. Yet despite this universal recognition of the phenomena, there exist no precise mathematical definition of liquidity risk and traditional Value at Risk (VaR) models fail to recognize the impact of liquidity trading risk. In this work we do not o.er a definitive one either, but we develop measures of certain kinds of liquidity trading risk that is useful for completing the definition of market risk and for predicting liquidity-adjusted VaR (L-VaR) under illiquid market conditions and within a multivariate context. We argue that asset liquidity risk associated with the uncertainty of liquidating multiple-assets over a given holding period, particularly for thinly traded or emerging markets securities under adverse market conditions, is a key factor in formalizing and measuring overall trading risk and is therefore an important component to model. This paper proposes a practical framework for the quantification of asset liquidity risk, and its impact on economic capital allocations, for multiple assets` portfolios. We present a method whereby the holding periods are adjusted according to the particular needs of each trading portfolio; and this can be attained for the entire portfolio or for specific assets within the trading portfolio. This paper extends previous approaches by explicitly modeling the liquidation of trading portfolios, over the holding period, with the aid of an appropriate scaling of the multiple-assets` L-VaR matrix along with GARCH-M technique to forecast conditional volatility and expected return. The key methodological contribution is a different and a less conservative liquidity scaling factor than the conventional root-t multiplier. The proposed liquidity multiplier is a function of a predetermined liquidity threshold, de.ned as the maximum position which can be unwound without disturbing market prices during one trading day, and is quite straightforward to implement even by very large financial institutions and institutional portfolio managers. Using more than six years of daily return data of emerging Gulf Cooperation Council (GCC) stock markets, we analyze different trading portfolios (of both long and short-sales trading positions) and determine asset liquidity risk exposure and coherent annual economic capital allocations under different illiquid and adverse market conditions and under the notion of different correlation factors and unwinding periods.

Pricing Liquidity Risk in the Korean Corporate Bond Market

Kim Eunji,Jang Ga‐Young,Kim Soo‐Hyun 한국증권학회 2023 Asia-Pacific Journal of Financial Studies Vol.52 No.2

This study investigates the pricing of liquidity risk in the Korean corporate bond market. We use three different liquidity factors — namely, aggregate market liquidity, liquidity innovation, and predicted liquidity. The empirical results show that, while a liquidity premium exists in the Korean corporate bond market when measured by the market liquidity factor, a liquidity discount occurs when measured by the predicted liquidity factor. Drawing on prior studies, we further describe that the lower (higher) returns for portfolios with a high sensitivity to unexpected liquidity shocks may be attributable to the infrequent (frequent) trading of AAA(A)-rated bonds in the Korean market. Finally, our findings suggest that while a liquidity premium exists in expectation, investors are penalized for taking predicted liquidity risks in the Korean corporate bond market.

한국 주식시장에서의 유동성위험의 평가

배성미,김종대,안형태,조문기 한국기업경영학회 2016 기업경영연구 Vol.23 No.4

This study investigates if liquidity risk can explain individual stock returns as a systematic risk in the Korean stock market. And, it examines whether market liquidity and its unexpected change increase at times of liquidity crisis such as the foreign currency crisis during 1997-1999 and the global financial crisis during 2007-2009 periods. It also tests if the liquidity risk itself, a sensitivity of individual stock return to unexpected change in market liquidity, increases at times of liquidity crisis. The final sample of 139,468 firm-months for periods of 1992∼2012 that satisfy the sample selection criteria. All sample firms are listed in the Korean stock market. The results indicate that the liquidity risk is evaluated by the investors as a systematic risk in addition to the market beta, firm size and book-to-market ratio that are known as systematic risks. That is, a significant positive correlation was found between unexpected change in market liquidity and individual stock returns, consistent with the prior studies. It indicates that the liquidity risk is recognized as an additional source of systematic risk in the Korean stock market. The result implies that the more sensitive a stock is to the unexpected change in market liquidity, the higher liquidity premium is required by the investors. Analysis of the monthly movement of liquidity in the Korean stock market reveals that the market liquidity and its unexpected change increased sharply around the foreign currency crisis and the global financial crisis. It also shows the increase of liquidity risk, the sensitivity of individual stock return to the unexpected change in market liquidity, at times of liquidity risk. Many incidents have been occurring that bring about turbulences in financial market after the global financial crisis, and one of the underlying causes is referred to as lack of liquidity in the financial market. This study provides to the finance literature evidence of liquidity risk functioning as an additional source of systematic risk at Korean stock market, and it finds out that the liquidity risk itself differs depending on the level of market liquidity. This study contributes to the extant literature by presenting an additional evidence of liquidity risk as an additional systematic risk in the Korean stock market based on different sample period encompassing a world financial crisis. In addition, it uses a different definition and measurement of liquidity risk than the previous study. Despite those differences, this study ascertains the liquidity risk as a source of systematic risk in the Korean stock market. The result indicates that liquidity risk must be taken into account along with well-known risk factors in estimating expected return from assets. Also, it needs to be noted that unusual movement of liquidity at times of financial crisis increases the systematic risk of stocks. 본 연구의 목적은 국내 주식시장을 대상으로 유동성위험(liquidity risk)이 개별 기업의 기대수익률을 설명하는 체계적 위험 요인으로 작용하고 있는지를 검증한다. 또한 외환위기와 세계금융위기와 같은 유동성 위기 기간에 시장유동성과 비기대 시장유동성 변동이 어떠한 양상을 보이는지를 살펴보고, 이 시기 유동성위험의 크기가 그렇지 않은 기간과 어떠한 차이를 나타내는지를 확인하고자 한다. 이를 위해 1992년∼2012년까지 한국증권거래소에 상장된 기업들 중 표본 선정 기준을 만족한 139,468 기업-월 표본을 대상으로 실증분석을 실시한 결과, 이전 연구에서 개별 주식의 기대수익률에 영향을 미치는 요인들로 확인된 시장베타, 기업규모, BE/ME ratio를 통제한 후에도 유동성위험 변수와 개별 주식 초과수익률 간에 유의한 양(+)의 상관관계가 있음을 확인하였다. 이는 비기대 시장유동성 변동에 민감한 주식일수록 높은 유동성 프리미엄을 요구하고 있음을 보여준다. 본 연구의 결과는 해외 연구와 일관되는 것으로 국내 주식시장에서도 유동성위험이 존재하며, 시장참여자들에 의해 체계적 위험 요인으로 평가되고 있음을 제시한다. 월별 시장유동성 및 비기대 시장유동성 변동 패턴을 살펴본 결과에서도 1997년 외환위기와 2007년 세계금융위기 당시 우리나라 주식시장에서도 시장유동성뿐만 아니라 비기대 시장유동성 변동이 급격하게 증가하였으며, 유동성위험도 함께 증가하는 것으로 나타났다.

국내 저축은행의 유동성과 가계자금대출간 관련성

서지용 한국자료분석학회 2020 Journal of the Korean Data Analysis Society Vol.22 No.1

Current study focuses on recent lower base interest rate, relaxing regulation of household loan, and increasing sale of deposit with high rate in Korean savings banks. This study examines the relationship between household loan supply and bank liquidity in terms of forecasting the trend of household loan supply. Liquidity is categorized into liquidity risk suggested by Chen, Shen, Kao, Yeh (2018) and liquidity level representing ratio of real available funds. Main results are as follows. First, increasing household loan supply affects negatively liquidity. The increase of liquidity risk and the decrease of real available funds are broken out, and the evidences are line with the argument of Bonner (2016). Second, there is negative non-linear relationship between bank size and liquidity risk. The smaller bank is, the more increase liquidity risk is. Liquidity risk to big banks is abruptly decreased as size is grower, and this evidence supports to the result of Iannotta, Nocera, Sironi (2007). Third, savings banks’ characteristic variable leading to increasing liquidity risk is provision ratio, and liquidity level is enhanced if capital is expanded. Fourth, economic variable which makes liquidity risk decreased is high interest rate, and real available funds are decreased when economic expansion. As a result, the increase of household loan supply leads to limit funding capacity by increasing liquidity risk. 본 연구는 최근 기준금리 인하, 가계대출 총량규제 완화, 국내 저축은행들의 고금리 예금발행 증가에 주목하였다. 향후 가계대출 증가에 대한 전망을 가늠한다는 측면에서, 가계대출과 유동성간의 관련성을 분석하였다. 유동성은 Chen, Shen, Kao, Yeh(2018)가 제시한 유동성 위험, 실가용자금비율을 의미하는 유동성 수준으로 구분하였다. 본 연구를 통해 확인한 주요결과들은 다음과 같다. 첫째, 가계대출증가는 유동성에 부정적 영향을 미쳤다. 즉, 유동성 위험의 증가, 실가용자금의 감소가 나타남으로써, Bonner(2016)의 주장이 입증되었다. 둘째, 은행 규모와 유동성 위험간에 부(-)의 비선형관계가 존재하였다. 소규모 은행일수록 유동성 위험증가 경향이 있으며, 대형은행일수록 유동성 위험이 급격히 감소하였다. 해당 결과는 Iannotta, Nocera, Sironi(2007)의 주장과 부합된다. 셋째, 유동성 위험을 증가시키는 저축은행 특성변수는 대손충당금 적립비율이며, 자본확충시 유동성이 제고되었다. 넷째, 유동성 위험을 감소시키는 경제변수는 높은 금리수준이며, 경제 확장국면에 은행의 실가용자금비중이 감소하였다. 결론적으로 가계부채 증가는 저축은행의 유동성 위험을 증가시켜 자금조달여력이 제한을 받을 가능성이 있다.

中国商业银行流动性风险的决定要因

우뢰,방성철,유광현 아시아.유럽미래학회 2013 유라시아연구 Vol.10 No.1

With China’s accession to the World Trade Organization (WTO), many foreign banks have started to enter into China while Chinese banking and insurance industries have been deepening and opening up. Commercial banks will pay more attention to profit and abandon appropriate liquidity in order to survive in fierce competition. Particularly in recent years, liquidity risk caused by the US sub-prime mortgage crisis has lead banks and many financial institutions to collapse and has also been bringing the devastating impact on the global economy. In 1978, Chinese government began to implement the reform and opening up, and in the meanwhile began to reform the banking sector, which interrupted the banking monopoly and led in competition system into banking sector. During the Asian financial crisis in 1997, China’s banking sector experienced liquidity crises due to over competition, leading to the bankruptcy of Hainan Development Bank because of exhausted liquidity. The bankruptcy of Hainan Development Bank resulted in the loss of nearly 4 billion yuan of People’s Bank of China, which had a graveness influence on China’s banking sector. In addition, China’s long-term trade surplus and a large inflow of foreign capital lead to the excess liquidity in the banking sector. In the pressure of such excess liquidity, banks will blindly decrease lending rates to get inter-bank rate lower than bank-deposit rate appearing interest rate inversion phenomenon to decrease bank returns. In the long term, this will probably accelerate the accumulation of non-performing loan of bank. When the economy changes, asset bubbles of bank will quickly be shattered, which will directly result in the systematic financial crisis in the banking sector. Meanwhile, China as a largest trading partner of South Korea has been a key factor on its economy. However, South Korea is lacking of understanding of potential various uncertainties and liquidity risk in China’s Economy, which bases on banking. In this case, South Korea will be significantly influenced due to its highly dependence on China’s Economy if Chinese commercial banks suffer from liquidity risk. Especially, Korean companies already invested in China and global financial companies constantly attempting to expand all over of China should be directly affected. Therefore, this paper is to analyze the determinants of the bank’s liquidity risk in Chinese commercial banks and what difference between large commercial banks and small-medium commercial banks. The banking data used in this paper were extracted from the database BankScope IBCA-Fitch, the People’s Bank of China and China Statistical Yearbook. We used panel data of 25 commercial banks over the period from 2004 to 2011 to estimate the determinants of liquidity risk by panel OLS, the fixed effects and random effects regression. The results of the empirical analysis are as follows: first, internal factors in banks did not affect the liquidity of the commercial banks in China, but it was affected by macro-economic factors negatively. It implies that the People’s Bank of China will be able to adjust liquidity and manage liquidity risk in commercial banks in China using monetary policy. Second, in terms of asset size of banks, both internal factors in banks and macro-economic factors have influence on the liquidity of large commercial banks in China, however, small-medium commercial banks have only been affected by non-performance loans ratio and macro-economic factors.

과소투자 문제와 유동성위험의 맥락에서 기업의 부채만기가 레버리지에 미치는 영향

신민식,김수은 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.05

본 연구에서는 2000년 1월 1일부터 2010년 12월 31일까지 한국거래소의 유가증권시장과 코스닥시장에 상장된 기업을 대상으로 과소투자 문제와 유동성위험의 맥락에서 부채만기가 레버리지에 미치는 영향을 실증분석 하였으며, 주요한 분석 결과는 다음과 같다. 부채만기는 레버리지 비율에 양(+)의 영향을 미친다. 즉, 부채만기를 단축시키면 레버리지가 축소되고, 부채만기를 연장시키면 레버리지가 확대된다. 따라서 부채만기를 단축시켜 단기부채의 비중을 증가시키 면, 유동성위험이 증가하여 파산비용이 증가하고 부채수용력이 약화되어 레버리지가 감소한다. 성장기회 는 레버리지에 음(-)의 영향을 미치며, 성장기회와 부채만기간의 상호작용변수도 레버리지에 음(-)의 영 향을 미치는데, 이는 부채만기 단축이 성장기회가 레버리지 비율에 미치는 음(-)의 영향, 즉 과소투자 문 제를 완화시킴을 의미한다. 부채만기 단축이 레버리지에 미치는 두 가지 상반된 효과, 즉 과소투자 문제 완화효과와 유동성위험 증가효과를 서로 상쇄시킨 순효과는 기업의 신용도에 따라 달라진다. 신용도가 낮은 기업은 부채만기 단 축으로 인한 유동성위험 증가효과가 과소투자 문제 완화효과보다 더 크기 때문에 부채만기 단축이 레버 리지를 감소시킨다. 그러나 신용도가 높은 기업은 과소투자 문제 완화효과가 유동성위험 증가효과보다 더 크기 때문에 부채만기 단축이 레버리지를 증가시킨다. 따라서 신용도가 높은 기업은 유동성위험 증가 를 이유로 레버리지를 축소시키지 않고도 부채만기 단축을 통해 과소투자 문제를 완화시킬 수 있다. 레버리지 비율은 부채만기에 양(+)의 영향을 미친다. 즉, 레버리지를 축소시키면 부채만기가 단축되고, 레버리지를 확대시키면 부채만기가 연장된다. 이러한 결과는 부채만기 단축(연장)과 레버리지 축소(확대) 는 유동성위험에 대한 대체수단으로 사용될 수 있음을 시사한다. 성장기회는 부채만기에 음(-)의 영향을 미치지만, 성장기회와 레버리지 비율간의 상호작용변수는 부채만기에 양(+)의 영향을 미치는데, 이는 레 버리지가 성장기회가 부채만기에 미치는 음(-)의 영향, 즉, 과소투자 문제를 완화시킴을 의미한다. 즉, 성 장기회 그 자체는 부채만기를 직접적으로 단축시키지만, 성장기회와 레버리지 비율간의 상호작용변수는 부채만기를 간접적으로 연장시키므로, 이 두 가지 효과를 합한 총효과는 성장기회의 크기에 관계없이 양 (+)의 값이 된다. 따라서 레버리지 단축을 통하여 과소투자 문제를 충분히 통제할 수 있는 기업은 성장 기회가 부채만기에 미치는 음(-)의 영향을 대부분 제거시킬 수 있다. 결론적으로, 부채만기가 과소투자 문제와 유동성위험의 맥락에서 레버리지에 미치는 영향을 체계적으로 분석할 필요가 있다. 부채만기는 그 자체뿐만 아니라, 성장기회와의 상호작용변수가 과소투자 문제와 유동성위 험에 미치는 상반된 효과를 통하여 레버리지에 영향을 미친다. 또한, 부채만기가 레버리지에 미치는 영향을 기 업의 신용도에 따라 달라진다. 이러한 연구결과는 부채만기와 레버리지 정책에 대한 중요한 시사점을 제시한다. In this paper, we analyze empirically the effects of debt maturity on leverage in the context of underinvestment problems and liquidity risk of firms listed on Korea Exchange. In terms of methodology, we develop the simultaneous equations model that integrates leverage and debt maturity model. The main results of this study can be summarized as follows. Debt maturity has a significant and positive effect on leverage. This result supports the liquidity risk hypothesis that predicts a positive relation between debt maturity and leverage(Diamond, 1991 and 1993). Growth opportunities have a significant and negative effect on leverage. This result provides strong support for the underinvestment hypothesis(Myers, 1977). Interaction variable between debt maturity and growth opportunities has a significant and negative effect on leverage, implying that for high growth firms, the overall positive relation between debt maturity and leverage may become weaker. With respect to the overall effect of debt maturity itself and the interaction between debt maturity and growth opportunities on leverage, debt maturity has a significant and positive effect on leverage. The liquidity risk effects of debt maturity on leverage should be more important for lower credit quality firms and firms that cannot easily lengthen their debt maturity. Low credit quality firms that face greater liquidity risk may demand longer term debt to reduce this risk, but find no lenders willing to supply it at reasonable cost. In contrast, higher credit quality firms likely face lower liquidity risk, and can also borrow longer term debt if liquidity risk concerns do arise. For lower credit quality firms, the relatively large liquidity risk effect outweighs the attenuation effect of underinvestment problems so that the net effect of shortening debt maturity on leverage is negative. Thus, lower credit quality firms can try to attenuate the negative effect of growth opportunities by shortening debt maturity, but on the end this does not increase leverage. On the contrary, the negative direct effect of the increased liquidity risk on leverage more than offsets the positive attenuation effect, producing a net reduction in leverage. These results are consistent with Mauer and Ott's(1998) theoretical model in which firms that shorten debt maturity to reduce underinvestment problems can also reduce leverage to avoid liquidity risk. For higher credit quality firms, the positive effect of reducing underinvestment problems outweighs the effect of increasing liquidity risk so that the net effect of shortening debt maturity on leverage is positive. Thus, higher credit quality firms can shorten debt maturity to reduce underinvestment problems without having to reduce leverage because of liquidity risk. Leverage has a significant and positive effect on debt maturity, which is consistent with the result in the leverage model. It provides further evidence that high liquidity risk caused by high leverage policy can be moderated by longer term debt maturity and that longer term(shorter term) debt maturity and high(low) leverage can be used as supplementary strategies to avoid the threat of suboptimal liquidation. Growth opportunities have a significant and negative effect on debt maturity. This suggests that there is economic relation between growth opportunities and debt maturity. Interaction variable between leverage and growth opportunities has a significant and positive effect on leverage, implying that for high growth firms, the overall positive relation between leverage and debt maturity may become stronger. With respect to the overall effect of leverage itself and the interaction between leverage and growth opportunities on debt maturity, leverage has a significant and positive effect on debt maturity. In conclusion, it is necessary to examine the potential dynamics of debt maturity on leverage in the context of underinvestment problems and liquidity risk. Our results provide a number of fresh insights into the overall effects of debt maturity on leverage and the interactions between debt maturity and growth opportunities on leverage. This paper may have a few limitations because it may be an only early study about the effects of debt maturity on leverage in the context of underinvestment problems and liquidity risk of Korean firms. Therefore, we think that it is necessary to expand sample firms and control variables, and use more elaborate analysis methods in the future studies.

한국 회사채의 유동성 프리미엄과 유동성 지표

선정훈,오승현 한국재무관리학회 2012 財務管理硏究 Vol.29 No.2

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. 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.