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The impact of ESG ratings on corporate value during COVID-19 pandemic: evidence from China and South Korea COVID-19大流行期间ESG评级对企业价值的影响：来自中国和韩国的证据
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2024-07-18 DOI: 10.1108/jdqs-03-2024-0015
Donghoon Kim, Sun-Joong Yoon
{"title":"The impact of ESG ratings on corporate value during COVID-19 pandemic: evidence from China and South Korea","authors":"Donghoon Kim, Sun-Joong Yoon","doi":"10.1108/jdqs-03-2024-0015","DOIUrl":"https://doi.org/10.1108/jdqs-03-2024-0015","url":null,"abstract":"The COVID-19 pandemic has significantly disrupted global economies, posing unprecedented business challenges worldwide. This study examines the influence of Environmental, Social, and Governance (ESG) factors on corporate value in the context of the pandemic, focusing on China and South Korea. Using empirical analysis and data from Chinese A-share and South Korean KOSPI-listed companies, our research reveals complex dynamics. ESG had a negative impact on corporate value during the pandemic. However, firms with higher ESG scores demonstrated an insurance effect, mitigating risk. This effect held in both China and South Korea, highlighting the importance of ESG principles for resilience and sustainable growth in contemporary business practices. This research provides implications for ESG-focused businesses during crises.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"50 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141639953","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Informational role of investment and liquidation values 投资和清算价值的信息作用
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2024-05-24 DOI: 10.1108/jdqs-02-2024-0007
Hyun Soo Doh, Yiyao Wang
{"title":"Informational role of investment and liquidation values","authors":"Hyun Soo Doh, Yiyao Wang","doi":"10.1108/jdqs-02-2024-0007","DOIUrl":"https://doi.org/10.1108/jdqs-02-2024-0007","url":null,"abstract":"We develop a credit-risk model to study the informational role of investment in an economy susceptible to large liquidity shocks. Firms' investment decisions carry information about their asset quality, thereby mitigating informational frictions when firms enter bankruptcy. An increase in aggregate investment can reduce the informational value of investment, depressing firms' recovery values. Therefore, policies boosting investment can decrease debt and firm values by reducing the informational value of investment. The presence of debt overhang may enhance firm value by making firms' investment decisions more informative. We present suggestive empirical evidence consistent with model predictions on the relation between firms' investments and recovery rates.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141098642","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Word-of-mouth effects in individual investors’ trading: evidence from Korea 个人投资者交易中的口碑效应：来自韩国的证据
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2024-05-24 DOI: 10.1108/jdqs-11-2023-0041
Sujung Choi
{"title":"Word-of-mouth effects in individual investors’ trading: evidence from Korea","authors":"Sujung Choi","doi":"10.1108/jdqs-11-2023-0041","DOIUrl":"https://doi.org/10.1108/jdqs-11-2023-0041","url":null,"abstract":"This paper examines the hypothesis of local herding (i.e. own-area effects) by individual investors on a particular stock-month. Using a unique dataset on online and offline individual investors’ trading records in Korea, we analyze buying and selling transactions involving 10,000 accounts from February 1999 to December 2005. We find that both online and offline investors in the same area tend to exhibit stronger local herding compared to investors’ trades who are geographically remote. Interestingly, online investors not only present stronger own-area effects but also exhibit more pronounced other-area effects compared with offline investors. Furthermore, our analysis indicates that gender and religious affiliation are important in investment behavior, with male and non-religious investors displaying a greater stock market participation in contrast to investors who are female and Protestant.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"32 7","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141102775","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Renegotiable debt, liquidity injections and financial instability 可重新谈判的债务、流动性注入和金融不稳定
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2024-05-07 DOI: 10.1108/jdqs-01-2024-0003
H. Doh, Guanhao Feng
{"title":"Renegotiable debt, liquidity injections and financial instability","authors":"H. Doh, Guanhao Feng","doi":"10.1108/jdqs-01-2024-0003","DOIUrl":"https://doi.org/10.1108/jdqs-01-2024-0003","url":null,"abstract":"This paper develops a debt-run model to study the effects of liquidity injections on debt markets in the presence of a renegotiation option. In the model, creditors decide when to withdraw their funding and equityholders can renegotiate the contract terms of debt. We show that when equityholders have a large bargaining power, liquidity injections into distressed firms can rather cause more aggressive runs from their creditors, hurting the debt value. This outcome occurs because equityholders can strategically utilize the renegotiation option as a bankruptcy threat, pushing down the debt value below the potential liquidation value of the firm. In such a scenario, a deterred default resulting from emergency capital injections could be detrimental to creditors.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"12 10","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141004872","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The role of arbitrage risk in the MAX effect: evidence from the Korean stock market 套利风险在 MAX 效应中的作用：来自韩国股市的证据
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2024-04-02 DOI: 10.1108/jdqs-09-2023-0031
Jihoon Goh, Donghoon Kim
{"title":"The role of arbitrage risk in the MAX effect: evidence from the Korean stock market","authors":"Jihoon Goh, Donghoon Kim","doi":"10.1108/jdqs-09-2023-0031","DOIUrl":"https://doi.org/10.1108/jdqs-09-2023-0031","url":null,"abstract":"In this study, we investigate what drives the MAX effect in the South Korean stock market. We find that the MAX effect is significant only for overpriced stocks categorized by the composite mispricing index. Our results suggest that investors' demand for the lottery and the arbitrage risk effect of MAX may overlap and negate each other. Furthermore, MAX itself has independent information apart from idiosyncratic volatility (IVOL), which assures that the high positive correlation between IVOL and MAX does not directly cause our empirical findings. Finally, by analyzing the direct trading behavior of investors, our results suggest that investors' buying pressure for lottery-like stocks is concentrated among overpriced stocks.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"25 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140352434","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The relationship between changes in corporate payout policy and capital structure 公司派息政策变化与资本结构之间的关系
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2024-03-01 DOI: 10.1108/jdqs-09-2023-0030
Songhee Kim, Jaeuk Khil, Yu Kyung Lee
{"title":"The relationship between changes in corporate payout policy and capital structure","authors":"Songhee Kim, Jaeuk Khil, Yu Kyung Lee","doi":"10.1108/jdqs-09-2023-0030","DOIUrl":"https://doi.org/10.1108/jdqs-09-2023-0030","url":null,"abstract":"This paper aims to investigate the impact of corporate dividend policy on the capital structure in the Korean stock market. To distinctly discern the voluntariness of changes in corporate dividend policy, we analyze companies that, following a substantial increase, do not reduce dividends for the subsequent two years or, after a significant decrease, do not raise dividends for the following two years. Our empirical findings indicate that companies that increase dividends experience a significant decrease in both book and market leverage, even after controlling for variables such as target leverage ratios. This result suggests that a large increase in dividends can effectively reduce information asymmetry, leading to a lower cost of equity. On the contrary, after a decrease in dividends, both book leverage and market leverage significantly increase, revealing a symmetric relationship between dividend policy and capital structure. In conclusion, large dividend increases in Korean companies not only reduce information asymmetry but also lower the cost of equity capital, resulting in observable changes in the leverage ratio.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"5 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140090978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does information environment affect information spillover between the CDS and stock markets in Korea? 信息环境是否会影响韩国 CDS 市场和股票市场之间的信息溢出？
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2024-02-26 DOI: 10.1108/jdqs-09-2023-0029
Heewoo Park, Yuen Jung Park
{"title":"Does information environment affect information spillover between the CDS and stock markets in Korea?","authors":"Heewoo Park, Yuen Jung Park","doi":"10.1108/jdqs-09-2023-0029","DOIUrl":"https://doi.org/10.1108/jdqs-09-2023-0029","url":null,"abstract":"This study analyzes the impact of the information environment (IE) and credit default swap (CDS) transaction costs on information transmission between the stock and CDS markets. Using the daily regression analysis on the Korean firm’s stock and CDS data from 2004 to 2023, the results show that companies with superior IE in the stock market exhibit a larger and more sensitive total information flow from the stock market to the CDS market. Companies with lower transaction costs in the CDS market demonstrate faster information flow. In the case of companies with superior IE, fundamental information is reflected in stock prices with high weight and thus the CDS spreads change reflecting information about stock prices. According to this study’s findings, the primary factor influencing the information flow from the stock market to the CDS market is the information environment of the company in the stock market, rather than transaction costs in the CDS market.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"45 6","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140429560","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Whose option ratios contain information about future stock prices? 谁的期权比率包含未来股票价格的信息？
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2024-02-23 DOI: 10.1108/jdqs-11-2023-0036
Bonha Koo, Ryumi Kim
{"title":"Whose option ratios contain information about future stock prices?","authors":"Bonha Koo, Ryumi Kim","doi":"10.1108/jdqs-11-2023-0036","DOIUrl":"https://doi.org/10.1108/jdqs-11-2023-0036","url":null,"abstract":"Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios – i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio, which is the put volume scaled by total put and call volume – with future returns. We find that O/S ratios are positively related to future returns, but P/C ratios have no significant association with returns. We calculate individual, institutional, and foreign investors’ option ratios to determine which ratios are significantly related to future returns and find that, for all investors, higher O/S ratios predict higher future returns. The predictability of P/C depends on the investors: institutional and individual investors’ P/C ratios are not related to returns, but foreign P/C predicts negative next-day returns. For net-buying O/S ratios, institutional net-buying put-to-stock ratios consistently predict negative future returns. Institutions’ buying and selling put ratios also predict returns. In short, institutional put-to-share ratios predict future returns when we use various option ratios, but individual option ratios do not.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"107 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140438070","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Network of public equity funds and investment performance in South Korea 韩国公共股票基金网络和投资业绩
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2024-01-25 DOI: 10.1108/jdqs-05-2023-0011
Yongwon Kim, Inwook Song, Young Kyu Park
{"title":"Network of public equity funds and investment performance in South Korea","authors":"Yongwon Kim, Inwook Song, Young Kyu Park","doi":"10.1108/jdqs-05-2023-0011","DOIUrl":"https://doi.org/10.1108/jdqs-05-2023-0011","url":null,"abstract":"Using overlapped portfolio data on public equity funds in Korea, the authors construct several types of fund-stock weighted bipartite networks and measure fund network centrality. The authors also examine the relationship between network centrality and fund investment performance. The authors' results are three-fold. First, the authors find that the fund centrality of the network in which funds and stocks are connected based on the most active investing behavior positively affects the fund performance. Second, the funds with a high centrality level based on the same network generate higher returns by holding stocks with high value uncertainty. Third, the authors find that fund centrality is not associated with herd behavior. Based on these results, the authors argue that fund centrality is a proxy of information advantage and skill of fund managers. The authors' paper shows that network analysis could be a new way to identify funds with better performance and measure the skill and information advantage to construct an optimal portfolio.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"33 6","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139596502","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Changes in repo markets and the necessity for CCPs in Korea 回购市场的变化与韩国建立中央交易对 手系统的必要性
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-12-12 DOI: 10.1108/jdqs-07-2023-0016
Sun-Joong Yoon
{"title":"Changes in repo markets and the necessity for CCPs in Korea","authors":"Sun-Joong Yoon","doi":"10.1108/jdqs-07-2023-0016","DOIUrl":"https://doi.org/10.1108/jdqs-07-2023-0016","url":null,"abstract":"In 2022, US financial regulators proposed to mandate a single central clearing mechanism for treasury bonds and repo transactions to stabilize financial markets. The systemic risks inherent in repo markets were first highlighted by the global financial crisis and, as a response, global financial authorities such as the Financial Stability Board (FSB) and Bank for International Settlements (BIS) have advocated for the introduction of a central counterparty (CCP). This study examines the structural characteristics of Korean repo markets and proposes the introduction of CCPs as a way to mitigate systemic risk. To this end, the author analyzes the structural differences between US and European repo markets and estimates the potential consequences of introducing CCP clearing in local repo markets. In general, CCPs offer two benefits: they can reduce required capital through netting in multilateral transactions, and they can mitigate the effects of risk transfer by isolating counterparty risk during periods of turbulence. In Korea, the latter effect is expected to play a pivotal role in mitigating potential risks.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"29 7","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138633189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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