국내 ELS 공모시장에서 발행사 신용위험이 발행가격에 미치는 영향에 대한 실증분석

The retail structured products markets for Europe and US have stagnated since the sub-prime mortgage crisis has hit the global financial market, however, in Korea, the market is still on growing, and retail structured products are touted as an alternative to public investment vehicles such as stocks, bonds, or mutual funds. Among the many types of structures product, Equity Linked Securities (ELS), of which payoff is reverse convertible type and is contingent on the performances of two different individual firms’ tocks, are the most famous structured product for retail investors in Korea and mostly their interests as well as principals are non-guaranteed by the third party. This non-guaranteeing feature of structured products raises another important issue in respect of default risk of issuers. The problem of “Lehman related securities”is a historical lesson showing that a structured product, which is a liability of the issuer, should not be treated like a conventional mutual fund, and implying that the default risk of his/her should have been factored into its issuance price. The defunct Lehman Brothers had issued attractive high yield structured products to retail investors aggressively as an alternative source of funding during 2007 and 2008, when it had suffered from a rise in its credit risk. However, it left the holders waiting in line with other unsecured creditors for residuals. In this paper, using publicly offered ELS data, we investigate whether issuers of Equity Linked Securities are compensating investors for their credit risk in Korea retail structured product market. For our purpose, we classify the ELS data into several categories based on three criteria; payoff structure, number of underlying assets, and type of underlying assets. First, we estimate the theoretical prices of the ELS using Monte Carlo simulation method, and then calculate their mark-up premium at the time of issuance as the discrepancy between its offering price and the theoretical price. And then, to reduce the potential pricing model error and hedging costs that may be contained in the mark-up premium, we control the effect of model parameters such as volatility of underlying assets, correlation between underlying assets, risk-free rate, and nominal issued amount. Next, as a proxy for default risk of the issuer, we measure issuers’credit spreads from their issued corporate bond market data, and control the time effect by which every corporate bond rates are affected in common. According to our extensive analysis, the differences of default risks and the differences of the issue premia, both of which are among issuers,are found to be negatively correlated, which implies that default risks of issuers are factored into issue prices. In specific, regressing the model-error and hedging effect controlled mark-up premium variations on the credit spread variations by the product categories, we estimate, in most product categories, statistically significant negative regression parameters identifying the relation between issuer credit risk and the price at the issuance. And thought we find either positive or statistically insignificant relationships in several product categories, however, we doubt that such results may arise from the small sample size problems of those product categories, and resulting the inefficiency or the bias in the estimation. To sum up, our empirical findings lead us to conclude that, in Korean retail structured product market, retail investors are compensated for the credit risk of issuers as a whole. Further, the observations provide another interesting implication regarding the role of issuer reputations in a retail structured product market. Usually, it would be a possible but difficult task for retail investors to find theoretical values of structured products precisely. If so, how do they ask rewards for perceived credit risk of issuers as observed in the data? An issuer’s reputation may be the answer on a realistic assessment. One’s reputation is a public perception allowing easy access for the unsophisticated retail investors, while it is closely connected with his/her credit risk in general. Then, it implies that a retail investor who concerns about issuer reputations may instigate them to reward for credit risk by asking reputation premium.