우선주가격 및 수익률 결정요인에 관한 연구

• 영문명: Determinants of the Prices and Returns of Preferred Stocks
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 김산(San Kim) 원재환(Chae-Hwan Won) 원영웅(Young-Woong Won)
• 간행물 정보: 『아태비즈니스연구』제11권 제2호, 159~171쪽, 전체 13쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2020.06.30

영문 초록

Purpose - The purpose of this study is to investigate economic variables which have impact on the prices and returns of preferred stocks and to provide investors, underwriters, and policy makers with information regarding correlations and causal relations between them. Design/methodology/approach - This study collected 98 monthly data from Korea Exchange and Bank of Korea. The Granger causal relation analysis, unit-root test and the multiple regression analysis were hired in order to analyze the data. Findings - First, our study derives the economic variables affecting the prices and returns of preferred stocks and their implications, while previous studies focused mainly on the differential characteristics and related economic factors between common and preferred stocks. Empirical results show that the significant variables influencing the prices and returns of preffered stocks are consumer sentiment index, consumer price index, industrial production index, KOSPI volatility index, and exchange rate between Korean won and US dollar. Second, consumer sentiment index, consumer price index, and industrial production index have significant casual relations with the returns of preferred stocks, providing market participants with important information regarding investment in preferred stocks. Research implications or Originality - This study is different from previous studies in that preferred stocks themselves are investigated rather than the gap between common stocks and preferred stocks. In addition, we derive the major macro variables affecting the prices and returns of preferred stocks and find some useful causal relations between the macro variables and returns of preferred stocks. These findings give important implications to market participants, including stock investors, underwriters, and policy makers.

목차

Ⅰ. 서론

Ⅱ. 우선주와 우선주지수 현황

Ⅲ. 선행연구

Ⅳ. 실증분석 결과

Ⅴ. 토론 및 결론

References

키워드

Preferred Stock Index Consumer Sentiment Index Consumer Price Index Industry Production Index Granger Causal Relation