Korean Journal of Financial Studies最新文献_第6页

The Effect of Managerial Share Pledges on the Cost of Debt 管理层股权质押对债务成本的影响

Korean Journal of Financial Studies Pub Date : 2021-12-31 DOI: 10.26845/kjfs.2021.12.50.6.617

Soon-hong Park, H. Kim, Byungkwon Lim

{"title":"The Effect of Managerial Share Pledges on the Cost of Debt","authors":"Soon-hong Park, H. Kim, Byungkwon Lim","doi":"10.26845/kjfs.2021.12.50.6.617","DOIUrl":"https://doi.org/10.26845/kjfs.2021.12.50.6.617","url":null,"abstract":"We examines whether share pledges by controlling shareholders influence a firm’s cost of debt. We also investigate whether the relationship between share pledges and the cost of debt stems from the managerial risk-taking incentives or pursuing the private benefits of controlling shareholders. We make three major findings. First, we find the cost of debt is higher in firms with share pledges than in firms without share pledges. Furthermore, we identify a positive relationship between the cost of debt and the level of share pledges. Second, we find that there is no increased corporate financial leverage or investment activities in firms with share pledges. Finally, our empirical evidence demonstrates that the positive relationship between share pledges and cost of debt is more pronounced for lower foreign institutional investor stakes or higher controlling shareholders ownership. Overall, the results indicate that share pledges by controlling shareholders negatively affect the cost of debt. However, the effect of share pledges on the cost of debt is differently influenced by a firm’s ownership structure. Our findings suggest that share pledges induce stockholder-bondholder conflict, and the bondholder requires more risk premium due to the decrease of firm value.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115209925","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

Competition in the Outsourced Chief Investment Officer Market: A Game Theory Approach 外包首席投资官市场的竞争:一种博弈论方法

Korean Journal of Financial Studies Pub Date : 2021-10-31 DOI: 10.26845/kjfs.2021.10.50.5.497

Daehyeon Park, Doojin Ryu

引用次数: 2

Spillover Effects of Analyst Coverage on IPO Firms 分析师覆盖对IPO公司的溢出效应

Korean Journal of Financial Studies Pub Date : 2021-10-31 DOI: 10.26845/kjfs.2021.10.50.5.473

Jin Q. Jeon

{"title":"Spillover Effects of Analyst Coverage on IPO Firms","authors":"Jin Q. Jeon","doi":"10.26845/kjfs.2021.10.50.5.473","DOIUrl":"https://doi.org/10.26845/kjfs.2021.10.50.5.473","url":null,"abstract":"This study investigates the effect of analysts’ recommendations and earnings forecasts for newly listed firms in the same industry. IPO underpricing is significantly lower as the number of firms whose investment recommendations are upgraded increases, supporting the contagion effect hypothesis that a high affinity for the industry has a positive effect on the IPO offer price. However, as the number of listed firms with higher earnings forecasts increases, IPO underpricing is higher, which supports the competitive effect hypothesis that the profit growth of competitors negatively affects IPO firms’ competitiveness. The effects vary depending on the competitive positions of both listed firms and IPO firms within the industry. The results also show that in industries with high concentration (i.e. low competition) , analyst information on listed firms has a greater contagion effect, while the competition effect hypothesis that better earnings forecasts for rival firms negatively affect IPO firms’ competitive position is not supported. This study contributes to the literature by analyzing the information spillover effect of analyst coverage in the IPO market by showing that the effects vary depending on the firms’ competitive positions as well as industry competition.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130452609","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

Is There an Issuance Premium for SRI Bonds?: Evidence from the Periods Before and After the COVID-19 Outbreak SRI债券有发行溢价吗?: COVID-19爆发前后的证据

Korean Journal of Financial Studies Pub Date : 2021-08-20 DOI: 10.26845/kjfs.2021.08.50.4.369

Haksoon Kim, Hee-Joon Ahn

{"title":"Is There an Issuance Premium for SRI Bonds?: Evidence from the Periods Before and After the COVID-19 Outbreak","authors":"Haksoon Kim, Hee-Joon Ahn","doi":"10.26845/kjfs.2021.08.50.4.369","DOIUrl":"https://doi.org/10.26845/kjfs.2021.08.50.4.369","url":null,"abstract":"This study empirically examines whether there are any issuance premia for Socially Responsible Investment (SRI) bonds, using the data from the South Korean bond market from May 2018 to December 2020. We classify SRI bonds into three types: green, social, and sustainability. We divide the sample period into pre-COVID-19 and post-COVID-19 to understand how the pandemic has impacted the pricing of SRI bonds. We employ two empirical approaches: a matching sample analysis and a regression analysis that controls various bond and market characteristics. We find the following. First, significant issuance premia of at least 8bp existed for our sample of social bonds. However, we do not find any evidence of an issuance premium from the other two types of bonds. The premia on social bonds decreased significantly after the outbreak of COVID-19. As most studies have focused on green bonds, the literature on SRI bonds has largely been silent about social bonds and sustainability bonds. By focusing on these two less researched SRI bond types in addition to green bonds, we help expand our knowledge on SRI bond markets. Moreover, to the best of our knowledge, this is the first study to examine the SRI bond market in South Korea.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116871839","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: 4

Changes in Market Response to Stock Repurchases during the COVID-19 Crisis COVID-19危机期间市场对股票回购的反应变化

Korean Journal of Financial Studies Pub Date : 2021-08-20 DOI: 10.26845/kjfs.2021.08.50.4.411

K. Park

{"title":"Changes in Market Response to Stock Repurchases during the COVID-19 Crisis","authors":"K. Park","doi":"10.26845/kjfs.2021.08.50.4.411","DOIUrl":"https://doi.org/10.26845/kjfs.2021.08.50.4.411","url":null,"abstract":"This study analyzed the impact of COVID-19, which, in 2020, globally increased uncertainty about the stock repurchase of South Korean listed companies. The results suggest that the market reaction to stock repurchases during the COVID-19 period was significantly subdued. In particular, the market reaction to KOSPI companies, on stock repurchase, was positive, while it was negative in the case of KOSDAQ companies. It has also been reported that the market ranks lower on the reliability of the signal after the onset of COVID-19. This means that if a company discloses a stock repurchase in a situation where the value of the market as a whole has declined, it cannot be accepted as an undervalued signal. Furthermore, it was revealed that the market responded more positively to the announcement of repurchases by companies that had actively managed shareholder wealth by repeatedly making stock repurchases before COVID-19. These results suggest that companies should always be aware of this, as the market response to stock repurchases in market shockers such as COVID-19 is weaker. Additionally, managers can manage their stock prices more effectively through stock repurchases during market shockers if they consistently manage their stock prices through stock repurchases when companies are undervalued.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"118 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130458722","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: 1

A Study of the Performance of Option Strategy Benchmark Index in Global Option Markets 期权策略基准指数在全球期权市场上的表现研究

Korean Journal of Financial Studies Pub Date : 2021-08-20 DOI: 10.26845/kjfs.2021.08.50.4.439

Byunghoon Kang, C. Eom, Woo–baik Lee, Uk Chang, J. Park

{"title":"A Study of the Performance of Option Strategy Benchmark Index in Global Option Markets","authors":"Byunghoon Kang, C. Eom, Woo–baik Lee, Uk Chang, J. Park","doi":"10.26845/kjfs.2021.08.50.4.439","DOIUrl":"https://doi.org/10.26845/kjfs.2021.08.50.4.439","url":null,"abstract":"While most previous studies have analyzed the performance of the Option Strategy Benchmark Index (SBI) in a specific market such as S&P500 and KOSPI200, this study comprehensively investigates the performance of the option SBIs in nine global options markets in Europe, Asia, and Oceania. In the empirical analysis using the sample data from September 2008 to April 2019, the main results of this study are as follows. First, most of the option SBIs generally provide better performance than the simple buy-and-hold strategy, which is mainly due to a reduction in risk rather than improvement in returns. Second, the option SBIs based on straddle or protective put, one of the most popular option trading strategies, perform poorly in almost all markets, whereas the option SBIs based on covered call or (cash) covered put show relatively good performance. Finally, there is no significant difference in the performance of the option SBIs between markets in the same region or those with a similar level of development. However, we found significant differences in the performance of the option SBIs between Europe and Asia and developed and emerging markets.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"128 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123130631","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: 1

Evaluating the Conditional CAPM using Consumption-based State Variables: Evidence from the Korean Stock Market 基于消费的状态变量评估条件CAPM:来自韩国股票市场的证据

Korean Journal of Financial Studies Pub Date : 2021-06-30 DOI: 10.26845/kjfs.2021.06.50.3.339

Dojoon Park, Young Ho Eom, Jaehoon Hahn

{"title":"Evaluating the Conditional CAPM using Consumption-based State Variables: Evidence from the Korean Stock Market","authors":"Dojoon Park, Young Ho Eom, Jaehoon Hahn","doi":"10.26845/kjfs.2021.06.50.3.339","DOIUrl":"https://doi.org/10.26845/kjfs.2021.06.50.3.339","url":null,"abstract":"In this study, we evaluate the empirical performance of conditional asset pricing models using consumption-based measures as state variables. We incorporate three consumption variables known to forecast the equity risk premium as conditioning variables to capture time variations in the risk premium. These three variables are the consumption-aggregate wealth ratio, the surplus consumption ratio, and the labor income to consumption ratio. The asset pricing models evaluated in this study are the CAPM, the CAPM with human capital, the consumption CAPM, and the Fama-French three-factor model. We compare the unconditional and conditional specifications of these four asset pricing models using the two-pass cross-sectional regression methodology, using the size, book-to-market, turnover, and idiosyncratic risk sorted portfolios and sector portfolios as test assets. We demonstrate that the conditional CAPM with human capital performs far better than the unconditional specifications and about as well as the Fama and French three-factor model in explaining the crosssection of average stock returns in Korea.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134546812","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

Herd Behavior of Investors and Default Risks of P2P Online Lending 投资者羊群行为与P2P网络借贷违约风险

Korean Journal of Financial Studies Pub Date : 2021-06-30 DOI: 10.26845/kjfs.2021.06.50.3.315

Junghoon Seon, Sukman Han

{"title":"Herd Behavior of Investors and Default Risks of P2P Online Lending","authors":"Junghoon Seon, Sukman Han","doi":"10.26845/kjfs.2021.06.50.3.315","DOIUrl":"https://doi.org/10.26845/kjfs.2021.06.50.3.315","url":null,"abstract":"We examine the impact of investors’ herding on the default risk of P2P online loans. More specifically, we first decompose the number of investors in each loan into two components: the component caused by public information and the component reflecting factors other than public information. Then we investigate the effect of each component on the default risk of loans, using an ordered probit analysis. We use the data on 3,720 loans that were traded through 8percent, a Korean price-posted P2P platform from February 2015 to December 2017. We find the results as follows: First, the number of investors is determined by information that are provided by the platform and macro-economic variables (hereafter public information). Second, the number of investors explained by public information decreases the default risk of the loans. However, the number of investors reflecting factors other than public information increases the default risk of the loans. These results are interpreted as an evidence supporting ‘herding’ hypothesis: Investors follow intentionally other investors’ investment decision. These results suggest that the quantity increasement and quality improvement of public information provided by a P2P platform can improve the efficiency of P2P lending market reducing herding caused by factors other than public information.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122240754","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

A Study of the Relationship between Corporate Governance and Non-business Real Estate 公司治理与非经营性房地产关系研究

Korean Journal of Financial Studies Pub Date : 2021-06-30 DOI: 10.26845/kjfs.2021.06.50.3.279

전 찬구, 최 향미

{"title":"A Study of the Relationship between Corporate Governance and Non-business Real Estate","authors":"전 찬구, 최 향미","doi":"10.26845/kjfs.2021.06.50.3.279","DOIUrl":"https://doi.org/10.26845/kjfs.2021.06.50.3.279","url":null,"abstract":"Corporate non-business real estate can be used for the private benefits of controlling shareholders, but is also likely to enhance shareholder wealth. This study explores the impact of corporate governance to address this contradiction, particularly the ownership-control disparity on non-business real estate. We further examine the moderating effect of foreign blockholders on the relationship, then conduct additional analyses on the relationship between non-business real estate and firm value. The results are as follows. First, the disparity has a consistently positive relationship with non-business real estate, which implies that corporate non-business real estate can be utilized for expropriation for the benefit of controlling shareholders. Second, the relationship between the disparity and non-business real estate is mitigated by foreign blockholders. Third, we find that non-business real estate has a negative relationship with firm value. This result implicates the inefficiency of non-business real estate and the possibility of agency problem. Forth, investment in non-business real estate is likely to decrease firm value, compared with investment in core business. This study revisits and extends corporate governance research in terms of non-business real estate by identifying the presence of agency problems and monitoring effects of outside blockholders.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128352036","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

Investment Performance of ETPs Related to Crude Oil 原油相关etp的投资绩效

Korean Journal of Financial Studies Pub Date : 2021-04-30 DOI: 10.26845/KJFS.2021.04.50.2.247

Jae-Seung Baek, Sungkyu Kim, Myeonghoon Yoem

{"title":"Investment Performance of ETPs Related to Crude Oil","authors":"Jae-Seung Baek, Sungkyu Kim, Myeonghoon Yoem","doi":"10.26845/KJFS.2021.04.50.2.247","DOIUrl":"https://doi.org/10.26845/KJFS.2021.04.50.2.247","url":null,"abstract":"The unprecedented COVID-19 pandemic at the beginning of 2020 jeopardized the entire world. Meanwhile, the Russia–Saudi Arabia oil war led a crude oil market going out of the frying pan into the fire. This research has two main purposes. First, we investigate structures of the crude oil related exchange-traded products (ETPs) in terms of operation and cost. Second, we analyze the correlation and investment performance of the crude oil related ETPs and West Texas Intermediate spot market. The major findings are as follows: (1) there is a positive correlation between the crude oil spot and the crude oil producing firm, (2) the investment performance of the crude oil related ETPs is inferior to that of the crude oil spot due to the rollover cost, (3) the investment performance of the crude oil related leverage ETNs (Exchange-Traded Notes) or inverse ETPs has deteriorated because their managing structure tracks the daily return which leads to the compounding effects. These empirical results show the characteristics of the gain and loss of the crude oil-related ETPs, which enhance conceptual understanding and offer implications to policymakers and authorities for the efficiency of the alternative investment strategy.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133843906","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