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투자자의 사적 정보와 지정가 주문 선호에 대한 연구

  • 이교임 서울대학교 경영대학 박사과정
본 연구는 단기에 주가에 반영되지 않을 사적 정보를 가진 투자자가 지정가 주문을 선호하는지를 실증적으로 검정한다. 유가증권 시장에서 1999년 1월~2009년 8월에 기관, 개인, 외국인투자자가 보통주를 거래한 모든 내역이 수록된 자료를 이용하여, 1) 주가가 크게 상승(하락)하기 전에 각 투자자의 매수(매도) 중 지정가 주문의 비중이 증가하는지, 그리고 2) 이들의 지정가 주문불균형이 미래 주가 수익을 예측하는지를 검정한다. 기관투자자의 경우, 4주 동안의 큰 주가 상승(하락)에 앞서 매수(매도) 중 지정가 주문의 비중이 증가하고, 지정가 주문불균형이 대형주를 중심으로 4~12주 주가 수익을 강건하게 예측한다. 개인투자자는 주가의 큰 등락 전에 사적 정보와 관련한 지정가 주문 비중의 변동이 없고 전반적으로 거래가 정보에 기반하지 않아 보이나, 지정가 주문불균형이 소형주의 4~52주 수익을 예측한다. 사적 정보는 기관과 개인 투자자 중 일부에 한정되고, 특히 소수의 개인이 소형주의 정보를 가지는 것으로 판단된다. 외국인투자자는 표본 기간 동안 사적 정보의 보유의 근거가 약하다. 본 연구는 비교적 덜 활발한 분야인 사적 정보에 기반한 주문 선택에 대한 논의에 기여한다. 또한, 국내 투자자들의 거래의 미래 수익 예측력에 대한 기존 결과들이 엇갈림과 관련해서도 중요한 보완이 된다.
주문 선택; 정보비대칭; 사적 정보; 수익 예측력; 주문불균형;Order Choice; Information Asymmetry; Private Information Return Predictability; Order Imbalance

Investors’ Private Information and Order Choice : A Korean Evidence

  • Kyoim Lee
The informed investors’ order choice problem has been generally under-discussed, although this problem can exert a pervasive influence on trading and asset prices. In the literature, it has been long assumed that informed investors rely solely on market orders. Theoretical modeling of order choice under conditions of information asymmetry has been widely perceived to be complicated so far. Few empirical studies have been done on this subject, and even fewer have considered non-highfrequency data, primarily because detailed order and transaction data are rarely available. This article builds on the implications of several studies, and this article tests the hypothesis that investors with long-term private information prefer limit orders. When investors have information that is unlikely to spread among other market participants in the near future, the execution risk is low. In that case, the investors would wait discreetly for their limit orders to be executed at hopefully favorable prices and avoid influencing the market price, rather than rushing to take trading opportunities at a premium by placing market orders. As investors have information, the risk of adverse selection problem also remains low. To test this hypothesis, I investigate the trading practices of domestic institutional and individual investors. Compared with individual investors, institutional investors have been widely assumed to be better informed about future stock returns, at least for the intermediate-term of under a year. As institutional investors manage larger funds, they are more likely to spend resources to produce long-lived private information, and are concerned about the possibility of impacting prices. Individual investors are not usually considered to have superior information, but some evidences support their ability to predict future returns. In my simple preliminary analysis, I find that institutional investors are commonly able to predict the future returns for large stocks, and individual investors are often able to predict the future returns for small stocks. To provide empirical evidence regarding the aforementioned hypothesis, I use a unique dataset that includes every order and transaction of equity shares on the Korean Stock Exchange between January of 1999 and August 2009. I find that institutional investors make significantly more limit orders in purchasing (selling) stocks whose ex-post four-week returns are in the highest (lowest) quintile, and that they also return to use more limit orders after prices start to rise (fall) rapidly along with the general increase in market orders. In addition, according to our Fama-MacBeth (1973) cross-sectional regressions similar to those of Kelley and Tetlock (2013), institutional investors’ limit order imbalance positively predicts the following 4- to 12-week returns. In particular, the institutional investors’ return predictability on the biggest 30% stocks in particular is significant, both statistically and economically. These predictions do not reverse until 52 weeks later. These findings are robust when the order imbalances of individual and foreign investors are included as additional explanatory variables. The market order imbalances of institutional investors generally do not predict future returns. Concerning individual investors, no evidence is found that they use more limit orders when purchasing the stocks whose ex-post four-week returns are in the highest quintile. These investors use more limit orders in selling ex-post loser stocks, but the insignificant predictability of their negative limit order imbalances for predict future returns suggests that this increase in limit orders is unrelated to having private information. During the upward (downward) price movements, individual investors only tend to increase their market orders steadily for purchasing (selling) those winner (loser) stocks. Thus, on average, individual investors seem to be no better informed than the market as a whole. However, the limit order imbalances of individual investors strongly predict the 4- to 52-week returns on small stocks, especially when these limit order imbalances are positive. These overall results of individual investors can be compatible if a small number of individual investors do hold superior information on small-cap stocks, whereas it is more difficult for average investors to acquire information on these stocks, due to their deeper information asymmetry. In general, the market order imbalances of individual investors do not predict these stocks’ future returns. In summary, institutional investors prefer limit orders when they trade on the basis of private information on large stocks, and individual investors prefer limit orders when they trade small stocks on the basis of positive private information. Only a small fraction of the institutional investors and a smaller fraction of the individual investors seem to acquire high-quality long-lived information before prices fully converge to the reservation prices. My findings suggest that in some situations, investors can take profits due to having superior information. Such information can remain unrevealed to the public for longer periods than has been previously assumed according to efficient market theory. This article contributes to the discussion of order choice problems under information asymmetry. My findings can also help to reconcile the inconsistencies that domestic institutional and individual investors’ predictions on future returns show mixed results.