주가연계증권(ELS)에 있어서 발행사와 투자자 사이의 이해상충

ELS(Equity Linked Securities) market has rapidly grown since its introduction in 2003 and it takes a large portion of domestic OTC derivatives market. Nevertheless, the researcher pays scant attention to the conflict of interest in ELS between issuer and investors. This paper shows that the interest of the ELS issuer who tries to avoid price risk of underlying stock through delta hedging and that of investors who expect the stock price to be maintained over the redemption price can conflict with each other on redemption determination date. This paper claims that to manage a conflict of interest properly, the issuing firm should hedge price risk of underlying stock in the way not affecting fair formulation of stock price and not infringing investor's interest and faith. This paper also claims that the massive sell-off of underlying stock on redemption determination date, though it is caused by delta hedging, cannot be justified as far as it affects the price of underlying stock.