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ELS 시장의 금융혁신자 이익에 대한 연구

  • 지현준 한국투자증권 투자공학부
  • 엄영호 연세대학교 경영대학 교수
  • 장운욱 연세대학교 정경대학 교수
한국에서 주가연계증권(equity linked securities, ELS) 시장은 2003년에 처음 개설 되었다. 본 연구에서는 한국의 ELS 시장에 최초로 진입하여 새로운 상품을 개발하는 금융기관을 혁신자로 인식하여 전체 시장에서 혁신자가 후발자에 비해 어떠한 방식으로 이익을 얻는지 살펴보았다. 금융혁신에 대한 선행연구들은 금융상품은 특허권(patent) 등을 통해 보호되지 않으며 후발자에 의해 쉽게 모방이 이뤄지기 때문에 혁신으로 인한 초기 이익보다는 시장점유율을 높이는 방향으로 이익을 추구하게 된다고 보고 하였다. 하지만 한국의 ELS 시장 자료를 대상으로 상품의 구조적 특성 및 판매유형을 통제하고 진행한 실증분석결과 혁신자가 후발자에 비해 높은 발행 이익을 추구하였음을 확인할 수 있었다. 이와 같이 ELS 시장에서의 혁신자의 이익추구방식이 나타나는 것은 시장 진입에 제약이 있었기 때문으로 보인다. 시장 진입장벽은 혁신자가 금융혁신을 통해 단위당 수익을 높이는 방식으로 이익을 극대화할 수 있는 여건을 제공해 줄 수 있었으며 이와 같은 ELS 시장 초기의 혁신자들의 높은 발행수익 추구는 국내 대부분의 증권사가 후발자로 진입한 이후에도 계속되었다. 또한 혁신자들은 공모보다는 사모로 ELS를 판매하는 경우 더 높은 발행이익을 얻을 수 있었음을 밝힐 수 있었다.
주가연계상품; 주가연계예금; 주가연계증권; 금융혁신; 시장점유율; Equity-linked products; Equity Linked Deposits; Equity Linked Security; Financial Innovations; Market Share

On the Profits of the Financial Innovators : The Case of Korea ELS Markets

  • Hyun Jun Ji
  • Young Ho Eom
  • Woon Wook Jang
By the name of financial innovations, a large number of new financial products related to derivatives have been introduced into the global financial market for the last few decades. The Korean financial market was not an exception to this development. Among new financial products in Korea, the Equity-Linked Securities (hereafter ELS) may be considered one of the most successful products, judging from its market size. Since it was first introduced in 2002, the ELS have been very popular to individual investors who were cautious of downside risk of their investments. The ELS provided them with new tools to manage their future wealth. Therefore, the ELS can be thought as a good example of financial innovations in the Korean financial market. It is broadly accepted that financial innovations are originated by market imperfections, whereas there have been two competing theories about what drives financial institutions to invent new products. Because, unlike innovations in other industries, new products in financial industry are not protected by the patent law and should be disclosed publicly, financial innovations may have some different features from those in other industries. For instance, one could argue that that the benefit to financial innovator is not an excess profit. Bhattacharyya and Nanda (2000) assumed that the imitation occurred immediately in the financial market, so they suggested that an innovator made an effort to increase the market share rather than to take excess profits. Herrera and Schroth (2003) also agreed that financial innovators could notmake more profits than imitators could. Moreover, they thought that the information about potential clients was the main source for innovators to be able to increase their market shares. These theories were supported by the empirical research of Tufano (1989). He tested this hypothesis with data related to corporate securities and MBS (Mortgage-Backed Securities) and found that financial innovators could not impose higher margin, while they could extend their market shares. In contrast, Van Horne (1985) argued that financial innovators could take profits before imitators appeared even though there was no legal protection in the financial market. His theory was based on the traditional monopoly theory and it was empirically supported by Carrow (1999) and Schroth (2002). Carrow (1999) found that innovator’s profit decreased as more rivals came into the market and Schroth (2002) reported that the source of innovator’s excess margin was the superior knowledge about a new product. Using 4,521 issuance data during the early stage of ELS market in Korea, this paper empirically examines whether first movers, or innovators, earn more profits than imitators do. We also test whether the profit of innovators declines as the time passes by. As a proxy for profit, we estimate the total margin of ELS, the difference between the actual issue price and the theoretical price of ELS divided by the actual issue price. This measure represents the proportion of issuer’s margin to the total price of ELS and it gives us the information about how much innovators charge on different products. In creating new products, the characteristics of embedded option in ELS are at the issuer’s discretion and the issuer’s profit is mainly determined by how the embedded option component is valued. Thus, for the robustness of our empirical results, we also estimate the margin of embedded option in ELS, the difference of the value of the embedded option in ELS and its theoretical value divided by the value of embedded option. Then we perform regression analysis with the total margin or the option margin as a dependent variable. To control the effects of hedging costs, we also use the product type, the number of underlying asset type, the maturity, and the embedded option type, and issue type (private/public issue) for controlling variables. The empirical results show that innovators in the ELS market could earn more margin than imitators do. These results are inconsistent with the theory of Bhattacharyya and Nanda (2000). However, margins decline as the market becomes more competitive. The results also show that the large sized financial institutions innovate more frequently and earn higher margins than lower sized firms do. Our empirical results have important implications for regulatory policy regarding entry barrier. To issue the ELS in the Korean market, securities firms should get permission from the regulatory authority. Therefore, in the Korean ELS market, innovators protected by the regulatory barrier could have taken excess profits, despite of the fact that some competitors exist in the market. Moreover, they can maintain their margin policies after competitors come in. The regulation of Korean ELS market was aimed to protect investors from issuers’ insolvency. However, it resulted in protecting first-movers from followers as well. As a consequence, innovators in the ELS market become superior to imitators, which prevent a fair competition. In the future, the regulation authority should consider both the investor protection and the market competition.