저작권료 참여청구권 자산과 포트폴리오 성과에 관한 연구

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.