우선주-보통주 괴리율이 우선주 수익률 및 종가에 미치는 영향

• 영문명: The Effects of the Price Difference Ratios between Preferred and Common Stocks on Preferred Stocks: Evidence from Dynamic Panel Models
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 최수정(Sujung Choi)
• 간행물 정보: 『아태비즈니스연구』제15권 제2호, 207~222쪽, 전체 16쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2024.06.30

국문 초록

Purpose- This study investigates whether the lagged price difference ratio between preferred and common stocks is related to the return and closing price of the preferred stock using three panel models. Design/methodology/approach- As a first step, we use a two-way fixed effect panel model with stationary preferred stock returns as a dependent variable. For robustness, we then apply the autoregressive distributed lag model (ARDL) and error correction model (ECM) with nonstationary closing prices of the preferred stocks as a dependent variable and compare the results of each model. The ARDL and ECM models provide an advantage of estimating a long-run equilibrium equation together if a long-run relationship exists between the two time-series variables compared to the fixed effect model. Findings- Our sample consists of 107 preferred stocks with at least four years of daily observations as of the end of December 2023. The coefficients of the error correction terms in the ARDL and ECM models are highly statistically significant, approximately -0.08. This indicates that the disequilibrium between the closing prices of common and preferred stocks adjusts by about 8% per day toward equilibrium. In all three models, the price difference ratio on day t-1 was statistically significant in explaining the preferred stock returns or closing prices on day t, implying that trading based on the previous day's price difference ratio is effective for one day. Research implications or Originality- Furthermore, the returns on preferred stocks are higher for firms with a lower proportion of foreign investors or a lower foreign market capitalization of preferred stocks. This suggests that foreign investors with informational advantages do not actively engage in profit-taking by trading preferred stocks, thus not narrowing the price difference. In summary, the recent surge in preferred stock prices is likely driven mainly by the irrational behavior of retail investors.

목차

Ⅰ. 서론

Ⅱ. 패널 단위근·공적분 검정

Ⅲ. 두 시계열의 장기 균형 관계를 포함한 분석

Ⅳ. 결론 및 논의

References

키워드

Preferred Stock Price Difference Panel Fixed Model ARDL Model ECM Model