April 29, 2021 Quant Strategy Short -selling ban coming to an end; check changes in balance of securities on loan
Mirae Asset Securities Co., Ltd. Myoung-gan Yoo [email protected]
Short -sell ing ban to be lifted in Short selling to resume after 14 -month hiatus May ó Starting on May 3, investors will be able to borrow and short KOSPI 200 and KOSDAQ 150 stocks. Since the ban on short selling was introduced on Mar. 14, 2020, the KOSPI and the KOSDAQ have soared 88% and 104%, respectively. ó Short selling was previously restricted from Oct. 2008 to May 2009 and again from Aug. 2011 to Nov. 2011. During those periods, the KOSPI posted a 3.0% fall and a 5.6% gain, respectively, while the KOSDAQ surged 19.9% and 12.3%, respectively. After the restrictions were lifted, however, the KOSDAQ underperformed the KOSPI in the short term (subsequent one-month returns: -7% and -0.1% for the KOSDAQ vs. -0.5% and +0.3% for the KOSPI ). Over the longer run, the indices moved in sync with changes in earnings and macroeconomic factors. ó In the Korean stock market, short selling is mainly driven by foreign investors. From May 2017 to Mar. 2020, foreign and domestic institutional investors on average accounted for 65% and 35% of short selling on the KOSPI and 74% and 25% of short selling on the KOSDAQ , respectively. ó Given that Korean companies are currently enjoying solid earnings momentum, foreign investors are unlikely to take massive short-selling positions after the ban is lifted. Notably, after previous short-selling bans were lifted (in May 2009 and Nov. 2011), the KOSPI’s 12- month forward EPS and foreign buying/selling exhibited synchronized movements. Tha t said, we note that the KOSPI’s valuation is currently higher than it was before the outbreak of the pandemic and introduction of the latest short-selling ban.
Check changes in balance of Keep eye on b alance of securities on loan (indicator of short -selling pressure ) securities on loan ó In the Korean stock market, short selling and the balance of securities on loan are highly correlated, because naked shorting is not allowed. In the past, short balances tended to closely track securities loan balances. ó Accordingly, we advise investors to exercise caution on stocks with increased securities loan balance ratios (ratio of securities loan balance to market cap). When short selling resumed in May 2009, stocks whose ratios had climbed in the month immediately prior to the resumption on average underperformed those whose ratios had declined, by 2.8%p over the subsequent one-month period and by 6.1%p over the subsequent three-month period. (We exclude 2011 figures because short selling was banned only briefly on that occasion, and securities loan balance ratios did not change much.) ó Since end-Mar. 2021, t he combined securities loan balance ratio of KOSPI 200 and KOSDAQ 150 stocks has slid 0.13%p (-W0.26tr). The sectors whose ratios have climbed the most are telecom (+0.80%p), media (+0.60%p), consumer staples (+0.49%p), IT appliances (+0.43%p), and retail (+0.24%p). Meanwhile, shipbuilding (-1.15%p), cosmetics/apparel (-0.91%p), trading/capital goods (-0.59%p), IT hardware (-0.57%p), software (-0.53%p), and energy (-0.51%p) have seen their ratios fall sharply
Analysts who prepared this report are registered as research analysts in Korea but not in any other jurisdiction, including t he US. PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES AND DISCLAIMERS IN APPENDIX 1 AT THE END OF REPORT. April 29, 2021 Quant Strategy
Figure 1. KOSPI and KOSDAQ performance after lifting of previous short-selling bans
(%) 20 1D 1W 1M 3M 14.7 15
10 5.0 5 2.3 1.4 2.0 0.1 0.3 0 -0.1 -0.5 -0.1 -5 -2.7 -2.3 -3.4 -4.1 -4.9 -7.0 -10 KOSPI KOSDAQ KOSPI KOSDAQ After lifting of short-selling ban in May 2009 After lifting of short-selling ban in Nov. 2011
Note: Short selling was restricted from Oct. 1, 2008 to May 29, 2009 and from Aug. 10, 2011 to Nov. 9, 2011. Source: WISEfn, Mirae Asset Securities Research
Figure 2. Foreign investors account for a large portion of Figure 3. Short balance ratios of KOSPI and KOSDAQ stood at short selling around 0.7% before short selling was banned
(%) (%) KOSPI short balance ratio 100 KOSPI KOSDAQ 1.0 KOSDAQ short balance ratio
80 73.8 0.8 64.7 60 0.6
40 34.6 0.4 24.4 20 0.2
0 Foreign investors' short-selling Domestic institutions' short-selling 0.0 contribution contribution 6/18 12/18 6/19 12/19 6/20 12/20
Note: Avg. from May 2017 to Mar. 2020 Source: WISEfn, Mirae Asset Securities Research Source: WISEfn, Mirae Asset Securities Research
Figure 4. KOSPI performance and cumulative foreign net Figure 5. Foreign buying/selling moved in sync with buying trends when short selling was banned fundamentals over the long run
(P) (Wtr) (W) (x) 2,400 KOSPI Foreign net buying 30 9,000 KOSPI 12MF EPS KOSPI 12MF P/E 14
2,200 8,000 20 12 2,000 7,000 10 10 1,800 6,000
1,600 0 5,000 8
1,400 -10 4,000 6 1,200 3,000 -20 4 1,000 2,000 -30 2 800 1,000
600 -40 0 0 1/08 7/08 1/09 7/09 1/10 7/10 1/11 7/11 1/12 1/08 7/08 1/09 7/09 1/10 7/10 1/11 7/11 1/12
Note: Highlights indicate periods when short selling was banned. Note: Highlights indicate periods when short selling was banned. Source: WISEfn, Mirae Asset Securities Research Source: WISEfn, Mirae Asset Securities Research
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Figure 6. KOSPI securities loan balance trends when short Figure 7. Securities loan balance ratio has fallen to around 2% selling was banned amid latest short-selling ban
(Wtr) Securities loan balance (%) (Wtr) Securities loan balance (%) 40 Securities loan balance ratio 5 70 Securities loan balance ratio 6
35 60 5 4 30 50 4 25 3 40 20 3 30 15 2 2 20 10 1 1 5 10
0 0 0 0 1/08 7/08 1/09 7/09 1/10 7/10 1/11 7/11 1/12 7/19 10/19 1/20 4/20 7/20 10/20 1/21 4/21
Note: Highlights indicate periods when short selling was banned. Source: WISEfn, Mirae Asset Securities Research Source: WISEfn, Mirae Asset Securities Research
Figure 8. Foreign net selling has continued since 2020 Figure 9. Solid earnings momentum vs. high valuations
(P) (Wtr) (W) (x) 3,500 KOSPI Foreign net buying 5 10,000 KOSPI 12MF EPS KOSPI 12MF P/E 16
0 15 9,000 3,000 -5 14 8,000 13 -10 2,500 12 -15 7,000 11 -20 6,000 2,000 10 -25 5,000 9 1,500 -30 8 4,000 -35 7 1,000 -40 3,000 6 7/19 10/19 1/20 4/20 7/20 10/20 1/21 4/21 7/19 10/19 1/20 4/20 7/20 10/20 1/21 4/21 Source: WISEfn, Mirae Asset Securities Research Source: WISEfn, Mirae Asset Securities Research
Figure 10. Stock performances after lifting of short-selling Figure 11. Industrial materials and software, which had seen ban in May 2009 increases in securities loan balance ratios, underperformed
(%) (%, 1M after lifting of ban) Stocks with rising securities loan balance ratios (1M before lifting of ban) 15 10 Stocks with falling securities loan balance ratios (1M before lifting of ban) Semiconductors 12 5 Media 9.7 Retail Utilities Display Autos Cons. staples Non-ferrous 9 metals 0 Steel 6.2 IT appliances Hotel/leisure 6 -5 Chemicals Energy 3 Transportation Construction -10 Software 0 Shipbuilding -15 Machinery -0.9 -3 Trading/capital goods -3.4 -20 -6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0 1M after lifting of short-selling ban 3M after lifting of short-selling ban (%p, 1M chg. in securities loan balance after lifting of ban)
Note: Excluding financial stocks, for which the short-selling ban was extended Note: After lifting of short-selling ban in May 2009 Source: WISEfn, Mirae Asset Securities Research Source: WISEfn, Mirae Asset Securities Research
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Figure 12. Changes in securities loan balance ratios between Mar. 31 and Apr. 27, 2021
(%) 1.0 1M chg.
0.5
0.0
-0.5
-1.0
-1.5
Note: KOSPI 200 and KOSDAQ 150 stocks Source: WISEfn, Mirae Asset Securities Research
Table 1. Changes in securities loan balance ratios and earnings momentum (%, Wbn, %p) Securities loan Securities loan Share price chg. Ratio OP growth 2021F OP growth Sector balance ( 3/31 ) balance ( 4/27 ) chg. 1M 3M Balance Ratio Balance Ratio (%p) 2021F 2022F 1M 3M Energy 22.0 7.6 912 2.4 854 1.9 -0.5 TTB 19.8 21.9 23.3 Chemicals 10.6 4.1 4,156 3.5 4,481 3.5 0.0 130.1 9.5 9.3 21.4 Non -ferrous 12.6 15.0 116 1.3 113 1.2 -0.1 7.8 3.2 -1.5 -0.1 metals Steel 23.7 48.5 559 1.6 719 1.7 0.1 141.9 2.9 17.2 38.5 Construction 14.8 20.0 478 1.6 599 1.8 0.2 29.0 18.4 4.3 7.2 Machinery 9.6 8.6 416 2.1 411 2.0 -0.1 29.9 11.8 3.7 4.6 Shipbuilding 4.1 15.4 780 3.9 590 2.7 -1.2 TTB 119.6 -36.8 -53.1 Trading/capital 9.9 0.1 1,861 2.4 1,524 1.8 -0.6 95.3 16.7 -2.1 -5.7 goods Transportation 0.9 17.5 1,137 2.8 1,142 2.6 -0.2 84.2 3.4 10.2 34.5 Autos 1.8 -9.9 3,500 2.7 3,051 2.3 -0.3 114.2 13.6 0.6 6.1 Cosmetics/ 4.1 8.7 1,922 2.9 1,346 2.0 -0.9 32.7 16.8 1.6 3.0 apparel Hotel/leisure -2.6 2.0 451 4.0 436 3.9 -0.1 RR TTB TTR TTR Media/ 4.0 8.1 274 1.8 363 2.4 0.6 135.4 40.1 -5.3 -11.6 education Retail -1.2 5.6 414 1.9 457 2.2 0.2 62.4 19.5 2.0 6.1 Consumer 3.0 5.6 311 1.1 447 1.6 0.5 5.2 7.0 -0.8 -2.5 staples Healthcare 2.3 -8.3 5,724 3.8 5,333 3.6 -0.2 36.5 11.6 -1.2 -1.3 Banks 6.3 24.0 1,789 2.4 1,602 2.1 -0.3 13.5 4.6 6.3 10.2 Securities 17.2 15.5 351 1.7 413 1.7 0.1 18.8 -7.0 7.9 17.2 Insurance 8.6 16.2 510 1.4 435 1.2 -0.3 -14.4 -4.6 4.2 22.3 Software 5.1 9.7 5,596 3.4 5,006 2.8 -0.5 30.5 28.5 -2.5 -3.5 IT hardware 4.7 -2.7 1,626 4.7 1,473 4.2 -0.6 64.2 15.7 2.1 3.8 Semicon. 2.0 -1.3 14,017 2.3 15,216 2.5 0.1 44.4 35.2 2.4 5.5 IT appliances 9.1 -8.5 1,617 2.0 2,099 2.5 0.4 35.3 17.2 7.4 4.6 Display 14.3 8.4 965 5.7 1,155 5.9 0.1 422.2 -2.3 8.4 73.1 Telcos 11.5 22.3 108 0.3 436 1.1 0.8 11.3 10.4 -0.1 0.0 Utilities 8.8 6.4 169 0.9 216 1.1 0.2 -29.7 27.6 -5.0 -24.2 Note: Based on 4/27/21 closing prices
Source: WISEfn, Mirae Asset Securities Research
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Table 2. Companies whose securities loan balance ratios have risen by over 1%p since end-Mar. 2021 (Wbn, %, %p) Securities loan Ratio Market Share price chg. OP growth 2021F OP growth Ticker Company Market Sector balance ratio chg. cap 1M 3M 3/31 4/27 (%p) 2021F 2022F 1M 3M 096530 Seegene KQ150 Healthcare 2,689 55.8 19.8 3.2 12.4 9.2 14.7 -23.6 -4.5 14.6 Media/ 079160 CJ CGV KS200 918 -7.9 -10.3 2.3 10.1 7.8 RR TTB RR TTR education 068240 Dawonsys KQ150 IT hardware 543 7.2 1.1 2.5 7.5 5.0 091700 Partron KQ150 IT hardware 596 1.9 -3.9 5.0 7.3 2.3 82.3 12.0 -4.3 -7.4 084990 Helixmith KQ150 Healthcare 1,086 34.9 17.2 3.9 5.7 1.8 012630 HDC Holdings KS200 Construction 720 7.1 3.4 0.8 2.6 1.8 088800 Ace Technologies KQ150 IT hardware 815 -5.2 -15.3 2.3 4.1 1.8 TTB 65.4 0.0 -10.5 086900 Medytox KQ150 Healthcare 1,153 -4.9 41.6 6.1 7.9 1.7 TTB 667.2 0.0 -43.7 Consumer 007310 Ottogi KS200 2,060 -1.4 -3.6 1.0 2.4 1.4 -9.9 7.8 -7.2 -6.5 staples 083790 CrystalGenomics KQ150 Healthcare 603 -16.3 -14.9 2.5 3.9 1.4 030200 KT KS200 Telcos 7,690 4.1 22.5 0.0 1.4 1.4 12.5 9.5 -0.7 -1.9 034020 Doosan Heavy KS200 Machinery 5,894 9.8 6.1 3.4 4.7 1.3 078600 Daejoo KQ150 IT hardware 816 27.1 9.6 1.4 2.7 1.3 089980 SFTC KQ150 IT appliances 852 8.6 2.3 0.6 2.0 1.3 128.9 77.5 0.0 -1.2 093370 Foosung KS200 Chemicals 1,028 3.7 -11.9 2.2 3.5 1.3 1,211.0 101.9 0.0 -11.0 Media/ 041510 SM Entertainment KQ150 719 2.9 -6.0 2.7 3.9 1.2 507.8 51.5 -2.7 -8.9 education 007570 Ilyang Pharm KS200 Healthcare 812 25.2 -19.1 1.0 2.2 1.2 007070 GS Retail KS200 Retail 2,884 -3.1 4.3 5.5 6.7 1.2 9.7 21.6 -1.4 -9.7 137400 P&T KQ150 IT appliances 557 5.4 -8.8 2.5 3.6 1.1 180640 Hanjin KAL KS200 Transportation 3,644 -6.1 -13.0 1.2 2.3 1.1 067630 HLB Life Science KQ150 Healthcare 1,074 -12.0 -1.9 3.9 5.0 1.1 073240 Kumho Tire KS200 Autos 1,153 5.1 -4.4 0.3 1.4 1.1 032500 KMW KQ150 IT hardware 2,330 -9.9 -23.5 13.7 14.7 1.0 181.1 72.7 -22.4 -54.1 Consumer 001680 Daesang KS200 908 3.8 -6.4 1.4 2.3 1.0 10.1 8.8 2.5 -0.2 staples 019170 Shinpoong Pharm KS200 Healthcare 4,265 -12.5 -10.2 1.1 2.0 1.0 Note: Based on 4/27/21 closing prices Source: WISEfn, Mirae Asset Securities Research
Table 3. Companies with short balance ratios of over 5% before ban was introduced on Mar. 15, 2020 (Wbn, %) Pre -ban short Current short Market Share price chg. OP growth 2021F OP growth Ticker Company Market Sector balance balance (Apr. 23) cap 1M 3M Balance Ratio Balance Ratio 2021F 2022F 1M 3M 084990 Helixmith KQ150 Healthcare 1,086 34.9 17.2 179.6 13.6 8.0 0.8 028300 HLB KQ150 Shipbuilding 3,681 -15.6 -23.1 431.1 12.2 166.4 4.6 032500 KMW KQ150 IT hardware 2,330 -9.9 -23.5 185.0 10.7 117.4 4.8 181.1 72.7 -22.4 -54.1 263750 PearlAbyss KQ150 Software 3,931 -2.7 -6.0 167.8 7.8 4.5 0.1 20.3 67.0 -4.6 3.5 067630 HLB Life Science KQ150 Healthcare 1,074 -12.0 -1.9 51.0 6.0 13.6 1.3 Consumer 007390 NatureCell KQ150 613 -2.9 6.4 23.5 5.8 11.9 1.9 staples Consumer 140410 Mezzion KQ150 1,387 -8.2 11.0 57.6 5.7 14.4 1.1 staples 090460 BH KQ150 IT hardware 632 4.2 -20.9 29.8 5.6 11.9 1.9 123.5 33.5 -3.7 -22.5 Non -ferrous 078130 Kuk-il Paper KQ150 880 17.3 52.6 28.9 5.4 14.1 1.7 metals HDC Hyundai 294870 KS200 Construction 1,882 -5.0 -1.4 34.1 5.4 1.2 0.1 -18.4 12.9 -2.4 -2.0 Development 008770 Hotel Shilla KS200 Hotel/leisure 3,301 -3.6 0.5 156.3 5.3 104.5 3.2 TTB 213.8 -5.5 -37.1 108230 Toptec KQ150 Display 489 1.6 -0.8 18.4 5.2 10.1 2.0 Note: Based on 4/27/21 closing prices Source: WISEfn, Mirae Asset Securities Research
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Appendix 1
Important disclosures and disclaimers Analyst certification The research analysts who prepared this report (the “Analysts”) are registered with the Korea Financial Investment Association and are subject to Korean securities regulations. They are neither registered as research analysts in any other jurisdiction nor subject to the laws or regulations thereof. Each Analyst responsible for the preparation of this report certifies that (i) all views expressed in this report accurately reflect the personal views of the Analyst about any and all of the issuers and securities named in this report and (ii) no part of the compensation of the Analyst was, is, or will be directly or indirectly related to the specific recommendations or views contained in this report. Mirae Asset Securities Co., Ltd. (“Mirae Asset Securities”) policy prohibits its Analysts and members of their households from owning securities of any company in the Analyst’s area of coverage, and the Analysts do not serve as an officer, director or advisory board member of the subject companies. Except as otherwise specified herein, the Analysts have not received any compensation or any other benefits from the subject companies in the past 12 months and have not been promised the same in connection with this report. Like all employees of Mirae Asset Securities, the Analysts receive compensation that is determined by overall firm profitability, which includes revenues from, among other business units, the institutional equities, investment banking, proprietary trading, and private client divisions. At the time of publication of this report, the Analysts do not know or have reason to know of any actual, material conflict of interest of the Analyst or Mirae Asset Securities except as otherwise stated herein.
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