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역베타 요인을 이용한 차입제약과 주식수익률의 관계에 대한 실증연구

  • 김태형 한국전력공사
  • 한재훈 연세대학교 경영대학 부교수
본 연구는 차입제약과 베타, 그리고 주식수익률의 관계에 대한 Frazzini and Pedersen (2014)의 이론과 방법론을 바탕으로 한국주식시장에서 차입제약과 주식수익률의 관계를 역베타(betting against beta) 요인을 통해서 실증적으로 분석한 논문이다. 역베타 요인은 고베타 주식을 공매도하고 차입을 이용해 저베타 자산을 매수하되 그 비율을 조정하여 사전적 베타가 0이 되도록 하는 베타중립적인 포트폴리오이며 차입제약으로 인해서 저베타 주식은 저평가되고 고베타 주식은 고평가되는 현상이 존재한다면 역베타 요인은 시장균형 하에서 양(+)의 기대수익률을 가지게 된다. 또한 차입제약의 정도가 완화되면 역베타 요인은 양(+)의 수익률을 실현하고 그 기대수익률은 낮아지게 된다. 한국 유가증권시장의 주식을 대상으로 역베타 요인을 구성하여 실증분석을 수행한 결과 역베타 요인의 월평균 수익률과 위험조정 초과수익률이 통계적으로 유의적인 양(+)의 값을 가지는 것을 확인했다. 또한 차입제약의 관련지표와 역베타 요인 수익률과의 관계를 분석해본 결과 차입제약의 정도가 완화되면 역베타 요인의 실현수익률이 증가한다는 것을 알 수 있었다. 본 연구의 결과는 차입제약으로 인해서 저베타 주식이 저평가되고 고베타 주식이 고평가되는 현상이 한국에서도 유의적으로 존재하며 역베타 요인의 수익률을 통해서 차입제약과 주식수익률의 관계를 포착할 수 있음을 시사한다.
베타,위험조정 초과수익률,차입제약,역베타(BAB) 요인

On the Relationship between Leverage Constraints and Stock Returns : An Empirical Investigation using the “Betting against Beta” Factor in Korea

  • Taehyung Kim
  • Jaehoon Hahn
We construct the “betting against beta” (BAB) factor in Frazzini and Pedersen (2014) using Korean stock market data, and investigate the relationship between leverage constraints and stock returns. Frazzini and Pedersen (2014) extend Black’s (1972) capital asset pricing model (CAPM) with restricted borrowing by explicitly considering leverage and margin constraints that vary across investors and time. According to their model, investors who cannot use leverage overweight the high-beta assets in their portfolios, leading to the overpricing of those assets and subsequent lower returns. Unconstrained investors, in contrast, underweight (or short-sell) overpriced high-beta assets and buy low-beta assets with leverage. Frazzini and Pedersen (2014) show that their model with leverage constraints produces a security market line that is flatter than that predicted by the CAPM, with the slope depending on the tightness of the leverage constraints that investors face on average. Frazzini and Pedersen (2014) derive several testable predictions from their model, and they propose a BAB factor as a central portfolio whose pattern of returns captures the asset pricing effect of leverage constraints implied by their model. The BAB factor is a portfolio that holds low-beta assets, leveraged to a beta of one, and shorts high-beta assets, de-leveraged to a beta of one. The returns on the BAB factor correspond to a zero-cost (self-financing) investment strategy that longs low-beta assets and shorts high-beta assets, with the weights on the long and short positions adjusted in combination with leverage to ensure that the factor’s ex ante beta is zero. Frazzini and Pedersen’s (2014) model predicts the BAB factor to have a positive expected return and a realized return that decreases when leverage constraints become more binding. They test their model’s predictions by constructing BAB factors in a wide range of asset classes, including 20 international equity markets, Treasury markets, and corporate bonds and futures markets, and find evidence to support its predictions. We construct a BAB factor using the stocks listed on the Korea Stock Exchange, and investigate whether the relationship among leverage constraints, the beta, and risk-adjusted returns exhibits patterns consistent with the predictions of Frazzini and Pedersen’s (2014) model. The sample period is from April 1990 to Mach 2014. We find the average monthly return on the BAB factor to be significant both economically (1.32%) and statistically (t-statistic of 2.85). Its alphas (risk-adjusted abnormal returns) are also of sizable magnitude (CAPM alpha of 1.33% and Fama-French three-factor alpha of 1.25%) and statistically significant. These findings are consistent with the overpricing of high-beta stocks and underpricing of low-beta stocks arising from leverage constraints, as predicted by Frazzini and Pedersen’s (2014) model. The BAB factor is constructed using beta-ranked portfolio weights: lower-beta stocks have greater weight in the low-beta portfolio (a long position in the BAB factor), and higher-beta stocks have greater weightin the high-beta portfolio (short position in the BAB factor). This weighting scheme is designed to strengthen the beta’s effect on the alpha (i.e., the alpha is decreasing in the beta) in returns on the BAB factor. We examine the effect of different portfolio weighting schemes on the average returns on the BAB factor by constructing the factor using more conventional value-weighting and equal-weighting schemes. The results show the risk-adjusted return on the BAB factor to be substantially reduced in size and to loseits statistical significance when value-weighting is used, which indicates that the effect of leverage constraints on the underpricing of low-beta stocks is likely to be concentrated in small capitalization stocks in Korea. Accordingly, we classify stocks into three groups by market capitalization and construct a BAB factor within each group. We find that the BAB factor constructed within the small capitalization group shows a larger average (and risk-adjusted) return with stronger statistical significance. Moreover, when the proportion of trading by institutional and foreign investors is considered in addition to market capitalization when forming the BAB factor, we find the risk-adjusted return on the factor to be sizable and statistically significant when it is constructed using small capitalization stocks with a lower proportion of trading by institutional and foreign investors. These results suggest that the pricing effects of leverage constraints in Korea are concentrated primarily in small capitalization stocks heavily traded by individual investors. We also investigate the hypothesis of Frazzini and Pedersen’s (2014) model that the realized return on the BAB factor decreases when leverage constraints become more binding. We find that changes in the 91-day CP-CD spread and 3-year AA-rated corporate bond-government bond spread are negatively associated with contemporaneous returns on the BAB factor in Korea. These results are consistent with Frazzini and Pedersen’s (2014) finding that changes in the TED spread are negatively associated with contemporaneous returns on the BAB factor in the U.S. Taken together, our findings suggest that the pattern of returns on the BAB factor in Korea captures the asset pricing effect of leverage constraints faced by investors, as postulated by Frazzini and Pedersen (2014).
CAPM,Leverage Constraints,Margin Requirements,CAPM,Beta,Alpha