'● 제목: Analysis of Financial Assets Return in Korea: Return-related Anomalies and Their Implications for Financial System
(한글 제목: 우리나라 금융자산 수익률 분석: 수익률 관련 이상현상 및 이의 금융시스템에 대한 의미)

● 저자: Jae-Hwan Soh*
* Assistant Professor of Business Administration Department, Duksung Women’s University. (Email: jhsoh@duksung.ac.kr)

● 개요: This paper analyses the arithmetic mean, minimum, maximum, variance and standard deviation of returns of key financial assets in Korea, such as stocks, corporate bonds, government bonds, time deposits and rates of inflation at various sub-periods from 1971 to 2004, using time series of 34 years.
Major findings are return-related anomalies of the Korean financial market, i.e. ‘time deposit return anomaly’, ‘equity return anomaly’ and ‘equity risk premium anomaly’. They are unique in the point that they widely exist as return-related anomalies in financial assets, including time deposits, bonds, governmental bonds and stock, and are frequently observed across various periods in research. Among the various results, there is anomaly, in particular, relative to Kang’s ‘Equity Discount Puzzle (EDP)’ from 1980 to 2000, which is reconfirmed in this research. There also are return-related anomalies that are interpreted irrelevant, in part, with Park and Park (2005) and Chang (2005), which introduced normal array of risk-return spectrum.
In regard to the implication of the results, the focus of discussion is on the identification and justification of ‘return-related anomaly – financial system’ nexus. Further, this paper exploits the rationale, by which the results of this descriptive statistics analysis could be utilized for the assessment of the role of stock market, thereby financial system’s intermediation development.
Lastly, the ‘return-related anomalies-financial system’ nexus is encouraged by Kang (2001)’s rationale for his own EDP (1980-2000), which indicates long practice of low dividend payout ratio due to the chief stockholder’s evasion of high dividend payout as a cause of EDP. The nexus is also supported by the result of correlation analysis between financial system development variables and economic growth, which shows relative stagnation of stock market intermediation development, following the bond market intermediation in various periods (1971-2001), (1971-97), (1980-1997) and (1989-1997), but the reverse in the post-1997 financial crisis period (1998-2001).
In conclusion, this simple descriptive statistics analysis of annual returns of financial assets is expected to be conducive in assessing financial systems by introducing a new supplementary criterion to appraise the role of financial market, thereby show the development of a financial system. It also may contribute to accumulate the knowledge in regard to the risk-return performance of financial assets, as well as to enrich the educational data of financial assets investment in Korea.

● 주제어: Financial Assets Return, Comparison of Risk Premium, Equity Discount Puzzle, Equity Risk Premium Anomaly, Return-related Anomalies, Assessment of Financial System'