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THE KOREAN JOURNAL OF FINANCE ASSOCIATION

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수록정보
수록범위 : 1권0호(1988)~33권3호(2020) |수록논문 수 : 508
재무연구
33권3호(2020년 08월) 수록논문
최근 권호 논문
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KCI등재

1회사채 시장에서의 모멘텀 현상

저자 : 한민연 ( Minyeon Han ) , 우제문 ( Jemoon Woo ) , 강형구 ( Hyounggoo Kang )

발행기관 : 한국재무학회 간행물 : 재무연구 33권 3호 발행 연도 : 2020 페이지 : pp. 301-338 (38 pages)

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본 연구는 국내 회사채 시장에서의 모멘텀 현상에 대해 분석하였다. 첫 번째, 회사채시장에서 모멘텀 현상이 발견되었으며, 이는 기존의 채권과 주식에 대한 체계적인 위험 요인들(Fama and French, 1993, Carhart 1997)로 설명되지 않았다. 두 번째, 모멘텀 전략의 수익성은 주로 평가기간과 보유기간이 6개월 이내로 짧은 경우에 강하게 나타났다. 세 번째, 회사채 모멘텀 전략의 수익성은 금융위기를 제외한 기간과 경기 확장기에서 강하게 나타났다. 네 번째, 회사채 모멘텀 현상은 주로 신용등급이 낮은 그룹에서 강하게 나타났다. 다섯 번째, 모멘텀 현상이 크게 나타나는 신용등급이 낮은 채권 그룹들은 주로 규모가 작고, 유동성이 낮았다. 이러한 결과로 볼 때, 모멘텀 효과가 신용등급이 낮은 쪽에서 발생하는 것은 정보의 지연 반응 효과(Hong and Stein, 1999)에 의한 가능성이 있는 것으로 추측할 수 있다. 여섯 번째, 과거 연구(Gerbhart, Hvidkjaer and Swaminathan, 2005)에서 발견되었던 주식과 채권 모멘텀 간의 전이효과(Spillover)는 나타나지 않았다. 마지막으로 채권의 신용등급이 상향 조정되어 발생하는 수익률의 증가는 모멘텀에 큰 영향을 끼치지 못했다.


The momentum effect is the phenomenon whereby the higher the past return on an asset, the more persistent this return will be in the future. The momentum effect can be found not only in equity, but also in several other asset classes. For example, recent studies show that momentum occurs in the corporate bond market (Pospisil and Zhang, 2010; Jostova et al., 2013; Israel et al. 2017; Houweling and Zundert, 2017, Ho and Wang, 2018). This phenomenon has been documented in the U.S. and various other regions, where various strategies for promoting momentum are appearing. However, empirical studies on the momentum effect in Korea are mostly limited to stocks. AAlthough bonds represent a large proportion of Korea's financial market, studies of the existence of momentum in this market are still rare. Therefore, we attempt to determine whether the momentum effect exists in the Korean corporate bond market, and if so, what drives this effect. We focus on the corporate bond market, not the government (treasury) bond market, for the following reasons. Depending on the characteristics of the firm that issues a corporate bond, the speed at which investors respond to this information may vary. Given the characteristics of corporate bond issuers, the momentum effect is more likely to occur if there are differences in the speed at which information is reflected. In contrast, in the government bond market, issuers are not diverse. Therefore, the information asymmetry among market participants is smaller for government than corporate bonds, so investors have less influence in the government bond market. Participants in the corporate bond market are more likely to interpret private or public information differently from each other than their counterparts in the government bond market are. Our main results are as follows. First, the higher the past return of a bond, the higher its future return. In other words, we verify the momentum effect. A momentum strategy comprising a six month formation period and a six month holding period shows an average return of 0.17% per month (2.02% per year). The momentum in the corporate bond market is not explained by previously observed systematic risk factors for bonds and stocks (Fama and French, 1993, Carhart 1997). Thus, we cannot conclude that the observed momentum of corporate bonds is associated with compensation for systematic risk. The profitability of the abovementioned corporate bond momentum strategy remains robust even when we control for various characteristics, such as the duration and age of the bond. Second, the profitability of the bond momentum strategy is strong when the formation period and holding period are the short-term periods of three to six months each. The corporate bond momentum is mostly sustained in the short term. Third, the bond momentum strategy is profitable during the period excluding financial crisis and economic expansion, but not during the period including financial crisis and contraction. Fourth, the corporate bond momentum is strong in the low credit rating group. In other words, the higher the past return, the higher the future return in the group of firms with low credit ratings. Fifth, we find that most of the firms in the low credit rating group, which shows a significant momentum effect, are small and have low liquidity. Accordingly, we suggest that the momentum effect occurs at the lower credit level due to the gradual information diffusion phenomenon reported by Hong and Stein (1999). For example, momentum is high under small market capitalization, when private information is difficult to spread. In addition, it is difficult to interpret information from firms with low credit ratings. Sixth, we do not find evidence of the spillover between stock momentum and bond momentum reported in previous studies (Gerbhart, Hvidkjaer, and Swaminathan, 2005). For example, we do not observe a significant relationship between high stock returns in the past and high future bond returns. Finally, after controlling for the effect of bond rating changes on bond returns, the performance of the momentum strategy remains statistically and economically significant. Our study has the following academic and practical implications. First, it reveals a momentum phenomenon in non-stock assets, namely corporate bonds, in the Korean market. Many studies focus on the momentum phenomenon in stock markets. Our results suggest that we also need to research the momentum phenomenon that can occur in various asset classes in Korea. Second, portfolio managers can use our findings to develop an effective bond investment strategy. In the overall asset management industry in Korea, investments in corporate bonds are increasing, especially among institutional investors such as pension funds and insurance companies. Therefore, based on the results of this study, the abovementioned momentum strategy can be used to obtain excess returns in the Korean bond market.

KCI등재

2신용등급이 M&A 활동에 미치는 영향

저자 : 김선현 ( Seonhyeon Kim ) , 김창기 ( Changki Kim )

발행기관 : 한국재무학회 간행물 : 재무연구 33권 3호 발행 연도 : 2020 페이지 : pp. 339-375 (37 pages)

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신용등급의 여부는 정보 비대칭 문제와 관련하여, 신용등급의 수준은 채무불이행 가능성과 관련하여 기업의 M&A 활동에 영향을 미칠 수 있다. 본 연구는 다음과 같은 세 가지 주요 결과를 발견했다. 첫째, 신용등급이 있는 기업이 M&A에 참여할 가능성이 크며, 이와 같은 영향은 정보 비대칭이 크다고 예상되는 기업군에서 더 크게 나타난다는 것을 발견했다. 또한, 신용등급이 있는 기업이 갖는 정보 이점은 인수기업의 누적초과 수익률에도 유의한 양(+)의 영향을 미쳤다. 둘째, 신용등급의 수준은 인수기업이 될 가능성과 피인수 기업이 될 가능성 모두에 음(-)의 영향을 보였다. 하지만 재무적 제약 지수로 분석할 경우 재무제약이 작은 기업이 인수기업이 될 가능성이 컸다. 마지막으로, 인수기업의 신용등급 수준과 누적초과수익률 간에는 역-U자형 관계가 있음을 확인하였다. 이는 신용등급이 매우 높은 구간에서는 잉여현금흐름 가설과 관련하여 대리인 문제가 나타날 수 있다는 점을 시사한다.


Credit rating agencies give firms credit ratings to indicate their creditworthiness. As these agencies have sophisticated methodologies for evaluating managerial, affiliate, industry, business, and financial risks, they play an important role in the financial market. In addition, credit rating agencies play the monitoring role of managers and mitigate information asymmetry problems (Fulghieri et al., 2014; Surendranath et al., 2016) in the debt market by producing and delivering information. Many studies argue that credit ratings are related to firms' financial constraints and/or ability to access the debt market (Faulkender and Petersen, 2006; Campello et al., 2010; Karampatsas et al., 2014). There is evidence that credit ratings affect the investment activities of domestic firms (Kim and Shin, 2017). For example, credit ratings may affect corporate mergers and acquisitions (M&A), which are complex processes reflecting relatively large corporate investment decisions. However, there is little research on the influence of credit ratings on M&A activities in Korea, despite studies of this topic in other countries (Harford and Uysal, 2014; Karampatsas et al., 2014, Aktas et al., 2018). If credit rating agencies deliver information through credit ratings (Fulgieri et al., 2014, Surrendranath et al., 2016), companies that have received credit ratings (i.e., rated firms) will have fewer information asymmetry problems than those that have not. Boeh (2011) states that mitigating information asymmetry reduces the transaction and contract costs associated with M&A. As information asymmetry in the domestic stock market is a risk factor that increases the required return (Choe and Yang, 2007), credit ratings affect M&A activities. Therefore, rated firms are more likely to participate in M&A than non-rated firms are. A firm's credit rating level represents its financial constraints (Faulkender and Petersen, 2006; Campello et al., 2010; Karampatsas et al., 2014). As M&A increase the risk of bank- ruptcy (Bessembinder et al., 2009; Furfine and Rosen, 2011), companies with low credit ratings are highly likely to avoid acquiring other firms. Therefore, firms with high credit ratings are more likely to be bidders in M&A transactions than are firms with low credit ratings. However, M&A transactions can also efficiently relocate the assets of bankrupt firms (Hotchkiss and Mooradian, 1998). As financially distressed firms have a motive to sell their assets (Weitzel and Jonsson, 1989), they are more likely to sell their assets than non-distressed firms are. Therefore, this study argues that firms with low credit ratings are more likely to be M&A targets s than firms with high credit ratings are. This study yields three main findings. First, rated firms are more likely to participate in M&A than non-rated firms are, whether as bidders or as targets. This finding is more pronounced when firms face information asymmetry problems. We measure information asymmetry by the number of analysts and the competitiveness of the product market. When the number of analysts is zero (vs. one or more) or the market is non-competitive (vs. competitive), rated firms are more likely to be bidders (or targets). Therefore, a firm's credit rating affects its M&A activities through the benefit of information. In addition, the benefit of reduced information asymmetry available to rated firms affects the market reaction when acquirers announce their M&A projects. Second, we find that a firm's rating level affects its probability of being a target of M&A. Firms with very low credit ratings face particularly high levels of default risk and financial distress. When a firm is financially constrained or experiencing bad sales, or when a global financial crisis is underway, the negative effect of credit rating level on the firmatiprobability of being a target is more pronounced. Under the same circumstances, the effect of credit rating level on a firm's probability of being a bidder is also negative. These findings reject our hypothesis that a firm that is better able to conduct capital financing is more likely to be an acquirer. Third, we find that credit rating level and biddersrating level and r. is moreore pronouninverted U-shaped relationship. Our results suggest that firms with very low credit ratings are undervalued by investors in in terms of M&A projectswith very low credit ratings they have a high required or expected rate of return. In addition, managers of firms with very high credit ratings are likely to have high discretion in their investment decisions, because their firms have high credit quality. Such managers are also likely to pursue private benefits; an observation related to the free cash flow hypothesis. This study contributes to the empirical literature on credit ratings and firms' investment decisions. Research on the relationship between credit ratings and M&A activities is particularly scarce. We present new evidence that firms gain an information benefit through credit ratings. We also show that the principal– agent problem is particularly pronounced when firms have very high ratings.

KCI등재

3신용등급 하향 조정이 동일업종 내 경쟁기업의 재무정책에 미치는 영향

저자 : 이영주 ( Youngjoo Lee ) , 전진규 ( Jin Q Jeon )

발행기관 : 한국재무학회 간행물 : 재무연구 33권 3호 발행 연도 : 2020 페이지 : pp. 377-402 (26 pages)

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본 연구에서는 기업 신용등급의 하향 조정이 동일업종 내 경쟁기업의 재무정책에 미치는 영향에 대하여, 전이효과 가설과 경쟁효과 가설이라는 두 가지 상반된 가설을 검증하였다. 2005년부터 2018년까지 유가증권시장 상장기업을 대상으로 분석한 결과, 신용등급 하향이 발생한 경우 동일업종 내 상장기업들은 일반적으로 보수적인 재무정책을 견지하는 것으로 나타났다. 그러나 이러한 현상은 업종 내 경쟁적 지위에 따라 다르게 나타났다. 매출 기준 상위 25% 내 경쟁적 지위가 높은 기업들은 업종 내 등급하향이 발생한 경우 보수적인 재무정책을 견지하는 것으로 나타났다. 특히 이와 같은 현상은 등급하향 발생기업 역시 매출 기준 상위 25% 이내인 기업인 경우보다 유의하게 나타났다. 이는 전이효과 가설과 일치한 결과이다. 반면 매출 기준 하위 25% 내 기업들은 업종 내 신용등급 하향이 발생한 경우 보다 적극적인 재무정책을 견지하는 것으로 나타났으며, 등급하향 발생기업이 경쟁적 위치가 비슷한 매출 기준 하위 25% 내 기업일 경우 더욱 유의하게 나타났다. 경쟁효과 가설과 일치한다. 이와 같은 현상은 업종 경쟁도가 강할수록 경제적·통계적으로 더욱 유의하게 나타났다. 본 연구는 신용등급 조정이 경쟁기업의 재무정책에 미치는 영향을 최초로 분석하였으며, 기업 재무정책의 새로운 결정요인을 제시하였다는 점에서 의의가 있다.


This paper analyzes the impact of a downgrade in corporate credit rating on the financial policies of competitors in the same industry. Most previous research on credit ratings provides a model for estimating credit ratings based on firms' financial characteristics; the pattern of stock or bond returns after credit rating changes; the competitiveness of the credit rating market; or the reliability of ratings before or after the global financial crisis. Credit rating adjustment, however, is under-researched. This important event provides investors and other stakeholders with information on firm valuation and has a direct impact on financing costs, thus profoundly affecting firm growth and financial stability. We investigate the following two conflicting hypotheses. First, downgrading the credit rating of a particular firm may act as an industry-wide negative signal to the market. This will affect the investment returns of competing firms, which may lead competing firms within the industry to be more conservative in their financial policies, due to concern about the risk of a corresponding downgrade in their credit ratings. The second hypothesis is that downgrading the credit rating of a particular firm may increase the financial costs of the firm and thereby reduce the intensity of competition in the industry. This may lower the growth potential of the firm, which competitors can use as an opportunity to increase their investment by implementing a more aggressive financial policy. We call the effect described in the former hypothesis the “contagion effect,” and that described in the latter the “competition effect.” To test these conflicting hypotheses, we obtain all of the bond rating data of firms listed on the Korea Composite Stock Price Index from 2005 to 2018 and examine the changes in their corporate financial policy in three dimensions: cash holdings, capital expenditure, and long-term leverage. Studies document that cashing holdings are affected by market risk as well as the risk associated with firms' business activities. A change in credit ratings can also affect the method of raising funds. Increasing leverage leads to a decline in liquidity due to high interest payments. In addition, an increase in financing costs due to an increase in firm default risk tends to limit external financing for future investments. In addition, the impact of credit rating adjustments within an industry may vary depending on the competitive position of a firm experiencing a credit rating downgrade, the competitive position of competing firms, and the degree of competition in the industry. Firms in a less competitive industry can more aggressively use opportunities to implement financial policies, while firms in a more competitive industry may have to make more aggressive investments to survive. Our empirical results show that a credit rating downgrade tends to lead firms in the same industry to maintain a conservative financial policy by increasing their cash holdings and decreasing their capital expenditure and long leverage. However, this phenomenon varies across competitive positions within an industry. Firms taking a strong competitive position in the top 25th percentile of revenue are more likely to maintain a conservative financial policy when a rating downgrade occurs in their industry. This relationship is more significant when firms whose ratings have been downgraded are in the same competitive position, i.e., in the top 25th percentile of revenue. The results are consistent with the contagion effect hypothesis. In contrast, firms taking a weak competitive position, i.e., in the bottom 25th percentile of revenue, tend to maintain an aggressive financial policy. This relationship is also more significant, both statistically and economically, if firms whose credit ratings have been downgraded are in the weakly competitive group, i.e., the bottom 25th percentile of revenue. This finding is consistent with the competition effect hypothesis. We also find that the results above, linking the contagion effect with highly competitive firms and the competitive effect with weakly competitive firms, are more significant when the industry is more competitive, as measured by the Herfindahl-Hirschman Index. Most existing studies of credit ratings analyze credit rating prediction models, the stock and bond yield behaviors of firms with rating changes, or the reliability of credit ratings and related systems. This paper contributes to the credit rating literature by examining the effects of credit rating changes on the financial policies of competing firms. It also makes an important contribution to the literature on corporate finance, specifically corporate capital structure theory, by providing evidence that changes to firms' credit ratings are a key determinant of the financial and investment policies of competing firms in the industry. In addition, the finding that risk-seeking behavior varies with the competitive position of a firm may have important policy implications for relevant financial authorities seeking to enhance firms' financial soundness.

KCI등재

4가격오류와 고유변동성을 반영한 ESG 투자성과 분석

저자 : 이준서 ( Junesuh Yi )

발행기관 : 한국재무학회 간행물 : 재무연구 33권 3호 발행 연도 : 2020 페이지 : pp. 403-437 (35 pages)

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본 연구는 ESG 성과와 기업가치간 역관계의 원인을 가격오류와 고유변동성을 통해 모색한다. 이를 위해 ESG등급과 가격오류, 고유변동성의 등급별 수익률을 산출한다. 또한 ESG성과와 가격오류 및 고유변동성의 결합으로 구성된 그룹 포트폴리오의 수익률을 측정한다. 이와 함께 투자자별 ESG 등급에 따른 순매수비율을 산출하고, ESG와 가격오류 및 고유변동성의 결합으로 구성된 그룹 포트폴리오의 순매수비율과 수익률 비교를 통해 투자자별 투자성과도 측정한다. 분석결과 ESG성과와 수익률은 반비례하는 것으로 밝혀졌다. 다만 A+등급의 경우에는 예외적으로 높은 수익률을 시현했다. 고유변동성은 수익률과 음(-)의 관계를 보인반면 가격오류는 수익률과 양(+)의 관계를 보여 가격오류에 따른 재정거래 기회는 존재하지 않는 것으로 밝혀졌다. ESG 등급과 가격오류정도의 결합으로 구성된 그룹 포트폴리오의 수익률 분석 결과, 전반적으로 과대평가된 주식일수록 수익률이 높아 분기단위로는 가격오류의 시정이 이루어지지 않음을 보였다. 특히 A이상 등급의 경우 과소평가된 그룹에서 유난히 큰 폭의 음(-)의 수익률을 시현했다. ESG 등급과 고유변동성정도의 결합으로 구성된 그룹 포트폴리오의 수익률 분석에서는 대체적으로 고유변동성이 낮은 그룹이 높은 그룹보다 수익률이 더 높게 나타났다. 반면 A이상 등급의 경우 고유변동성이 낮은 그룹에서 음(-)의 수익률을 시현했다. 이 같이 과소평가되고 낮은 고유변동성을 갖는 A이상 등급 포트폴리오의 수익률 저하 현상은 가격오류와 성과지속성, ESG 등급 등 3차원 결합을 통해 구성한 그룹에서도 발견되었다. 따라서 이를 ESG우수등급 수익률 이상 현상의 원인으로 지적한다. 한편 지배구조의 경우 다른 세부부문과 다소 상이한 결과를 도출했다. A이상 등급의 경우 과소평가되고 낮은 고유변동성을 갖는 그룹에서 더 높은 수익률을 보였다. 또한 가격오류, 고유변동성, 등급 등 3차원으로 구성한 그룹에서도 과소평가되고 낮은 고유변동성을 갖는 그룹(LL)의 수익률이 2번째로 높았다. 이에 따라 시장에서는 지배구조 등급에 대해 어느 정도 신뢰를 부여하고 있는 것으로 추론한다. 투자주체별 ESG 등급에 대한 순매수비율 분석 결과, 연기금이 등급에 가장 충실한 매매전략을 수행하고 있는 것으로 밝혀졌다. 연기금은 ESG 성과가 존재하는 모든 부문과 등급에 대해 순매수를 기록했고 우수등급일수록 순매수비율이 높았다. 반면 기관은 지배구조 A이상을 제외한 모든 경우에 순매도를 기록했고 특히 등급이 우수할수록 매도비율이 더 높았다. 투자주체별 가격오류 및 고유변동성과 ESG등급으로 구성된 그룹의 순매수비율분석 결과, 기관, 연기금, 개인은 전반적으로 과대평가되고 높은 고유변동성을 갖는 포트폴리오에 대한 순매수비율이 더 높았으나 외국인은 낮은 고유변동성 주식에 대한 순매수비율이 더 높았다. 이에 따라 투자성과도 외국인이 가장 좋은 것으로 밝혀졌다. 가격오류 측면에서는 기관, 연기금과 동일했으나 고유변동성 측면에서 이들을 압도했다. 반면 개인의 투자성과는 가장 저조했다.


This study explores the cause of the adverse relationship between ESG performance and corporate value through mispricing and idiosyncratic volatility. It calculates the rate of return for each ESG grade and the rate of return based on the degree of mispricing and idiosyncratic volatility. It also measures the returns of the group portfolios, which consist of a combination of the ESG grade and the degree of mispricing or the degree of idiosyncratic volatility. In addition, it calculates the net buying ratio by investor types on the ESG rating, and measures the investment performance by investor types by comparing the net buying ratio and returns of the group portfolios composed of ESG and mispricing or idiosyncratic volatility. This study finds that the ESG grade inversely relates with the rate of return. However, A+ grades display exceptionaly high returns. While idiosyncratic volatility presents a negative relationship with the rate of return, mispricing presents a positive relationship with the rate of return; thus, it is found that there is no arbitrage opportunity for financial transactions due to mispricing. On return analysis of the group portfolios composed of both ESG ratings and mispricing, the overvalued stock shows a higher return, so that mispricing is not corrected on a quarterly basis. Particularly, in the case of grade A or higher, the underestimated group displays a very large negative return. The return analysis of the group portfolios consisting of a combination of ESG rating and a degree of idiosyncratic volatility shows that the group with low idiosyncratic volatility presents higher returns than the group with high volatility. On the other hand, in the case of grades A and above, the group with low idiosyncratic volatility shows negative returns. A similar lower level of return for grade A or higher with undervalued and low idiosyncratic volatility portfolios is also found in groups composed of three-dimensional combinations of mispricing, performance persistence, and ESG ratings. Therefore, this is taken to be the cause of the return abnormality of the ESG excellence grade. On the other hand, corporate governance as sub-sector of ESG presents somewhat different results from environment or social responsibility. It shows higher returns in the group of grade A or higher corporate governance with underestimated and low idiosyncratic volatility. In addition, even in groups composed of three dimensions such as mispricing, idiosyncratic volatility, and governance ratings, the group (LL) with undervalued and low idiosyncratic volatility displays the second highest return. Accordingly, it is inferred that the market gives some degree of confidence in the level of governance. Upon analysis of the net purchase ratio for the ESG ratings by investor types, it is found that pension funds carry out the most faithful trading strategy on the ratings. The pension funds record net purchases for all grades of sub-sectors and demonstrate that the higher the grade on sub-sectors, the higher the net purchase ratio. In contrast, institutional investors present net sales in all cases except in the group of A or higher governance structure. On analyses of the groups consisting of ESG grades and mispricing or idiosyncratic volatility by investor types, institutional investors, pension funds, and individual investors present a higher net purchasing ratio on groups with overestimated and higher idiosyncratic volatility while foreign investors accomplish a higher net purchasing ratio on groups with lower idiosyncratic volatility. Consequently, the foreign investors present the best performance through smart trading strategy that they show net purchase to overestimated stocks, net sales of underestimated stock, and higher net purchase of low idiosyncratic volatility stocks whereas individual investors exhibit the lowest performance.

KCI등재

5P2P 대출과 공급망 금융

저자 : 박대현 ( Daehyeon Park ) , 류두진 ( Doojin Ryu )

발행기관 : 한국재무학회 간행물 : 재무연구 33권 3호 발행 연도 : 2020 페이지 : pp. 439-463 (25 pages)

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본 논문은 전자상거래에서의 선정산 서비스를 자금공급자에 따라 P2P 대출중개 플랫폼의 선정산 서비스와 은행의 선정산 서비스로 구분하고, 대안금융의 측면에서 비교한다. 이를 위해 뉴스벤더 모형을 바탕으로 수요함수를 구성하고, P2P 대출이 갖는 역경매의 특성을 바탕으로 공급함수를 구성하여 새로운 모형을 제시한다. 본 논문의 모형을 통해, 자금공급자별로 선정산 서비스의 균형할인율을 도출하고, 균형할인율의 결정요인에 따라 은행과 P2P 플랫폼의 할인율을 비교한다. 분석결과, 소매업자에게 더 낮은 할인율의 선정산 서비스를 제공할 수 있는 주체는 시장의 상황에 따라 다르게 나타난다. 즉, 판매시장의 상황이 소매업자에게 불리할수록, 유동성에 대한 선호가 작을수록, P2P 투자자의 위험회피성향이 작을수록, P2P 투자자가 전자상거래 플랫폼의 신용위험을 정확하게 추정할수록, P2P 플랫폼이 제시하는 할인율이 은행의 할인율보다 작게 된다. 은행의 할인율이 경직적이면 소상공인의 부담을 줄이기 위해서 P2P 플랫폼의 할인율을 낮출 필요가 있으며, 이를 위해 P2P 대출 활성화를 위한 논의가 필요하다는 정책적 함의를 제시한다.


This paper analyzes reverse factoring in e-commerce, which is currently receiving increasing attention. As Internet technology advances during the Fourth Industrial Revolution, the e-commerce market is also growing. However, e-commerce retailers cannot keep up with the growth of the market, due to capital constraints. Supply chain finance can offer a solution to the capital constraints of e-commerce retailers. In particular, reverse factoring, a kind of supply chain finance, is a service that exchanges accounts receivable for discounted cash. It can ease the capital constraints of e-commerce retailers. Recently, peer-to-peer (P2P) lending platforms have begun to offer reverse factoring services to fill gaps in the provision of traditional financial institutions, such as banks. Supplying these reverse factoring services at a relatively low discount rate is conducive to the growth of e-commerce retailers. Therefore, we compare the discount rate of reverse factoring services according to whether the bank or the P2P platform provides the service. The existing literature on supply chain finance focuses on exploring whether retailers use supply chain finance. However, this paper compares the types of service provider used. Therefore, the models used in previous discussions are not directly applicable to the analysis in this paper. We extend the newsvendor model by reflecting the characteristics of P2P lending in our supply chain financial service analysis. We construct a demand function for retailers utilizing the newsvendor model. We also construct a supply function for each financer. We focus on the reverse auction system to explain the characteristics of P2P lending. A reverse auction is the opposite of a general auction. In the former, which many sellers compete in offering a price to a single consumer buying a product. In P2P lending, the P2P platform presents the target amount and rate of return for each loan. In this process, the platform sets the rate of return to the level at which the target amount can be raised, considering the competition among the investors. Therefore, P2P lending takes the form of a reverse auction. We consider the reverse auction form when constructing the supply of the P2P platform. This paper diverges from previous research in analyzing the demand for and supply of reverse factoring to calculate an equilibrium. The analysis reveals that the financer that can provide retailers with a low discount rate depends on market conditions: the situation in the sales market, the retailer's preference for liquidity, and the retailer's estimation of the credit risk of the e-commerce platform. The reverse factoring supply is divided into supply by the bank and supply by the P2P platform. Factors affecting the supply by the bank are the rate of return that the bank can obtain from an alternative investment option and the estimated credit risk of the e-commerce platform. Lastly, the risk aversion of P2P investors and the estimated credit risk of the e-commerce platform affect the supply by the P2P platform. We present policy implications based on these analyses. Given that P2P financing is a type of alternative financing, it is expected to offer a reverse factoring service to e-commerce retailers at a low discount rate. However, contrary to expectations, banks are currently offering services at a lower discount rate than P2P platforms are. This seems to be due to the inherent information asymmetry in the P2P lending market, which leads P2P investors to overestimate the credit risk of e-commerce platforms. This plays a key role in reducing the supply of reverse factoring through P2P platforms. If the bank's discount rate is rigid, the discount rate of the P2P platform must be reduced to reduce the burden on small e-commerce retailers. Therefore, policy discussions on ways of boosting P2P lending should be carried out. It is also essential to mitigate information asymmetry in the P2P lending market.

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