저작권료 참여청구권 자산과 포트폴리오 성과에 관한 연구

Jinhee Kim ; Saeyeul Park ; Seung Hyun Kim

(First Author) Hongik University jh_kim@hongik.ac.kr
(Corresponding Author) Yonsei University sypark16@yonsei.ac.kr
(Co-Author) Yonsei University seungkim@yonsei.ac.kr

Music Copyright-backed Securities and Portfolio Performance

Copyright 2011 THE KOREAN ACADEMIC SOCIETY OF BUSINESS ADMINISTRATION
This is an open access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

Despite the growing interest in intellectual property assets, research on the characteristics and performance of investments in intellectual property rights has been scant. By analyzing the transaction data collected from Musicow, the world's first trading platform of music copyright, we examine the characteristics of the music copyright-backed security and the performance of the portfolio including these assets. Our analysis reveals that the annualized return for this asset was as high as 35.8% during the period between January 2018 and June 2021, also exhibiting the properties of both high dividend assets and lottery-like assets. Furthermore, the music copyright-backed security can serve as an effective hedge by reducing the risk of a portfolio and improving the Sharpe ratio index because their returns are not correlated with those for traditional assets. Interestingly, our analysis of cointegration finds that the return on the portfolio of stocks in the Korean music entertainment industry is preceded by the return on the portfolio of the music copyright-backed assets by 5 trading days. Our findings offer important implications of a new type of investment asset based on intellectual property for both academics and investors.

Keywords:

intellectual property, music copyright, portfolio performance, mean–variance portfolio optimization, cointegration

Acknowledgments

This research is supported by the Yonsei Business Research Institute (YBRI) Research Fund in 2021.

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∙ The author Jinhee Kim is an Assistant Professor of Finance at Hongik University School of Business Administration. Professor Kim received her BA in Business Administration from Yonsei University, MS in Finance from Seoul National University, and PhD in Finance from Purdue University. Her research interests include corporate governance, international finance, ownership structure, and behavioral finance.

∙ The author Saeyeul Park is an Assistant Professor of Finance at Yonsei University School of Business. Professor Park received his BA in Business Administration and MS in Finance from Yonsei University, and his PhD in Finance from the University of Georgia. His research interests include corporate finance, inter-firm network, corporate diversification, and dividend policy.

∙ The author Seung Hyun Kim is a Professor of Information Systems at Yonsei University School of Business. Professor Kim received his BA in Business Administration from Yonsei University, his MS and PhD in Information Systems from Carnegie Mellon University. His research interests include big data, AI, digital platforms, IT strategy, and information security.