機關投資家의 愼重한 투자法則 遵守에 관한 연구

Abstract

One of the most important developments in financial markets in recent years throughout the world has been the institutionalization of saving associated with the institutional investors. Institutional investors exercise a dominant influence on the developments in primary and secondary securities markets, in the money market and in the foreign exchange market. Within the DECD area, institutional investors recorded increases in their assets(on average 12 per cent) over the period 1990-1998. In case of Korea the percentage shares controlled by institutional investors in the Korean stock market increased up to 28% in 1990 from 8.16% in 1980. Due to the aftereffects of Asian currency crisis the ratio dropped to 14.76% in 2000. As the economic situation is normalized the institutional investors' common stockholding will be increasing again. The institutional investors are required to conform to the prudent man rule in the United States. There are equivalent rules to the prudent man rule of the United States in Korea. The Korean civil law and the Trust law require all kinds of trustees to exercise the duty of precaution as a good manager. Due to this fiduciary responsibility institutional investors are concerned with the appearance of their portfolios and avoid extremes. For example, institutional investors avoid stocks with either high or low beta, debt ratio, or return on assets. Given the influence wielded by the institutional investors, it is surprising that relatively few studies have examined the determinants of institutional demand for common stock around the world. In particular there is not a single study on this subject as of now. This paper investigate the relationship between the level of institutional ownership and various firm specific factors mainly based on the model developed by Eakins, Stansell and Werteim. I select a variety of firm specific characteristics and ratios to determine whether institutional investors appear to choose those firms most likely to be considered prudent investments. The variable selection includes Beta, current ratio, debt to asset ratio, dividend payout ratio, market equity, price to earning ratio(PER), ratings, return on assets, total asset turnover, turnover ratio. The sample used in this study included all 357 firms listed on Korean Stock Market excluding financial institutions continuously between 1990 and 1999. The percentage shares held by institutions in each firm is computed by summing the number share held by institutions and dividing by the total number of shares outstanding. The percentage is regressed on the 10 variables. The results of the tests on the full sample are following as: The results of the tests on the full sample ◁표 삽입▷(원문을 참조하세요) The above results reported here only weakly support the prudent man investment hypothesis. Therefore I further investigate the relationships to determine whether nonlinearities are distorting my results. Using the data for each year, I first sorted the data by the size of the variable under examination. I then divided the data into size quintiles and ran the multivariate regression for each quintile separately. The results of the tests by quintile are following as: The results of the tests by quintile ◁표 삽입▷(원문을 참조하세요) The conclusions suggested by the results of the quintile analysis differs substantially from those from the full sample analysis reported. The quintile regression results indicate a preference for the mid-range and an avoidance of the extremes. This evidence support that Korean institutions also try to conform to the prudence even though the country does not have the prudent man rule.