Korean Journal of Financial Studies最新文献_第7页

Determinants and Sensitivity of Credit Ratings: A Panel Data Analysis 信用评级的决定因素和敏感性:面板数据分析

Korean Journal of Financial Studies Pub Date : 2020-12-31 DOI: 10.26845/KJFS.2020.12.49.6.833

Onnuri Ha, Jae-Joon Han

{"title":"Determinants and Sensitivity of Credit Ratings: A Panel Data Analysis","authors":"Onnuri Ha, Jae-Joon Han","doi":"10.26845/KJFS.2020.12.49.6.833","DOIUrl":"https://doi.org/10.26845/KJFS.2020.12.49.6.833","url":null,"abstract":"1) <Abstract> Using panel ordinal logit model from 2009 to 2019, this study analyzed the determinants of corporate bond credit ratings. Although credit rating agencies consider both market and financial factors to determine rating (Agency Rating, AR), most literature only considers the effect of financial factors on AR. This study attempts to fill this gap by adding market risk measure and analyzing the effect on bond-implied rating (BIR) determination. We also analyze the sensitivity difference between AR and BIR. Our finding reveals that both AR and BIR are significantly improved when volatilities in sales and operating profit increase. Regarding rating inflation (mismatches), increases in assets further improve AR, while net exports and industrial activity lower BIR, leading to rating inflation. The increase in M2 (broad measure of money supply) worsens AR while improving BIR, leading to rating deflation. Finally, the effects of large enterprises, recession, and construction industries on the rating inflation is analyzed through dummy variables. The results revealed that, unlike in previous studies, the dummy variable of large enterprises was not significant. The relative worsening of BIR during the recession resulted in rating inflation. Finally, the stigma effect on construction industry was observed, which shows significant rating inflation.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127210003","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 Effect of Private Fund Expansion on Financial Stability 私募基金扩张对金融稳定的影响

Korean Journal of Financial Studies Pub Date : 2020-12-31 DOI: 10.26845/KJFS.2020.12.49.6.777

Junesuh Yi

{"title":"The Effect of Private Fund Expansion on Financial Stability","authors":"Junesuh Yi","doi":"10.26845/KJFS.2020.12.49.6.777","DOIUrl":"https://doi.org/10.26845/KJFS.2020.12.49.6.777","url":null,"abstract":"1) <Abstract> This study examines the effect of the expansion of the private fund market on financial stability. Specifically, it analyzes the effect of private fund growth on financial markets’ as well as financial institutions’ returns and on financial stability indicators. Overall, the expansion of the private fund market is found to have a negative effect on the financial market, which varies depending on the fund type. The increase in private fund deteriorates the returns on the stock and alternative investment markets. In addition, the growth of private funds is observed to have a negative effect on financial stability. The expansion ratio in private funds is positively correlated with the Financial Stability Index (FSI) and joint probability of default (JPoD), and has a statistically significant effect on the JPoD growth rate. By fund type, the increase in real estate and special asset funds amplify the increase in FSI growth rate, whereas the increase in bond funds lead to a decrease in all financial stability indicators, helping to maintain financial stability. Consequently, the result raises policy implications that it is necessary to apply a separate management method for each type of private fund.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117161167","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

Equity Mutual Funds: Current Status and Issues 股票共同基金:现状和问题

Korean Journal of Financial Studies Pub Date : 2020-12-31 DOI: 10.26845/KJFS.2020.12.49.6.913

Kwangsoo Ko

引用次数: 0

The Effects of Investor Sentiment and Limits-to-Arbitrage on the Idiosyncratic Volatility Puzzle 投资者情绪和套利限制对特质波动率之谜的影响

Korean Journal of Financial Studies Pub Date : 2020-12-31 DOI: 10.26845/KJFS.2020.12.49.6.871

Hoyoung Ryu, Taehyuk Kim, Daesung Jung

{"title":"The Effects of Investor Sentiment and Limits-to-Arbitrage on the Idiosyncratic Volatility Puzzle","authors":"Hoyoung Ryu, Taehyuk Kim, Daesung Jung","doi":"10.26845/KJFS.2020.12.49.6.871","DOIUrl":"https://doi.org/10.26845/KJFS.2020.12.49.6.871","url":null,"abstract":"1) <Abstract> This study examined the effects of investor sentiment and limits-to-arbitrage on the idiosyncratic volatility (IVOL) puzzle in the Korean stock market. The IVOL portfolio analysis revealed that IVOL is negatively associated with stock returns. It indicates the existence of the IVOL puzzle in the Korean stock market. Additionally, the IVOL puzzle observed in the Korean stock market is time-varying. Therefore, this study analyzed whether the IVOL return premium becomes stronger due to investor sentiment and limits-to-arbitrage. According to the results, all the investor sentiment portfolios had a negative IVOL return premium regardless of whether investor sentiment was high or low, and no patterns of the IVOL puzzle due to investor sentiment were found. On the other hand, the IVOL puzzle is observed when limits-to-arbitrage were high as compared to when they were low. Furthermore, the higher the limits-to-arbitrage, the higher the negative IVOL return premium. These results suggest that the IVOL puzzle is caused by stocks with high limits-to-arbitrage and is intensified when limits-to-arbitrage are high.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131177410","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

The Effect of KRX Halts on Overheated Short-selling Stocks 韩国证券交易所停牌对卖空过热股票的影响

Korean Journal of Financial Studies Pub Date : 2020-10-31 DOI: 10.26845/kjfs.2020.10.49.5.741

Woo–baik Lee

{"title":"The Effect of KRX Halts on Overheated Short-selling Stocks","authors":"Woo–baik Lee","doi":"10.26845/kjfs.2020.10.49.5.741","DOIUrl":"https://doi.org/10.26845/kjfs.2020.10.49.5.741","url":null,"abstract":"Korea Exchange (KRX) has adopted several measures to ease temporary overheating of short-selling stocks in the market since March 27, 2017. These measures aim to curb excessive volatility and unfair trade, promoting efficient price discovery. This study examines the effect of overheated short-selling halts using the sample data from these KRX measures during the period of September 2017 to October 2019. The major empirical results are: first, the drop in prices of overheated short-selling stocks on a downward trend slows significantly after KRX announcement. Moreover, the stock price rise on the triggering day shows no additional increase in the period after the trigger. Second, for the stocks so triggered, the volatility in the period after the halt announcement shows no significant difference from the pre-halt period. This can be attributed to the resolution of the information asymmetry by calling investors’ attention to overheated short-selling. Third, the ratio of short-selling to trading after halt suggests no statistically significant difference from the period before the trigger. These results imply that the measures to ease overheated short sale of stocks in KRX are effective in controlling excessive temporary volatility and unfair trading.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114182929","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

Investors’ Risk Preference and Age in Korean Defined Contribution Plans 韩国固定缴款计划投资者的风险偏好与年龄

Korean Journal of Financial Studies Pub Date : 2019-12-31 DOI: 10.26845/kjfs.2019.12.48.6.675

Inwook Song, Kyonghee Lee

{"title":"Investors’ Risk Preference and Age in Korean Defined Contribution Plans","authors":"Inwook Song, Kyonghee Lee","doi":"10.26845/kjfs.2019.12.48.6.675","DOIUrl":"https://doi.org/10.26845/kjfs.2019.12.48.6.675","url":null,"abstract":"1) <Abstract> Our study investigates the relationship between investors’ age and investment risk preference. We use a unique dataset—defined contribution plan account data (observations = 18,781), provided by a Korean financial institute (a recording-keeping service provider). Investment risk preference is measured by three variables: share of equity, five-year volatility of selected funds, and share of principal guaranteed products. While controlling for individual characteristics such as gender, employee status, plan duration, wage, accumulated assets, and number of employees, we test the relationship between individuals’ age and investment risk preference in asset allocation. Echoing the results of previous studies, we find that age is significantly related to investment risk preference. Both equity share and volatility have an inverted-U-shaped relationship with age, and the share of principal guaranteed products has a U-shaped curve coinciding with age. Our results indicate that age is associated with increased risk preference due to learning effects and greater financial understanding. However, after reaching a certain point, risk preference decreases because of the need for a secure retirement income. Finally, the estimated coefficients of the interaction effect variables show that some individual groups—executives, high earners, and large asset holders—are more risk-taking than are other same-age groups.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115099749","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

Effects of Managerial Overconfidence on the Relationship between Corporate Risk-Taking and Firm Value 管理者过度自信对企业风险承担与企业价值关系的影响

Korean Journal of Financial Studies Pub Date : 2019-10-31 DOI: 10.26845/kjfs.2019.10.48.5.497

H. Kim, T. Kwon

{"title":"Effects of Managerial Overconfidence on the Relationship between Corporate Risk-Taking and Firm Value","authors":"H. Kim, T. Kwon","doi":"10.26845/kjfs.2019.10.48.5.497","DOIUrl":"https://doi.org/10.26845/kjfs.2019.10.48.5.497","url":null,"abstract":"1) <Abstract> This study investigates two issues pertinent to managerial overconfidence (hereafter, MOC) and risk-taking from the perspective of behavioral corporate finance: (1) Does MOC influence the relationship between corporate risk-taking and firm value? (2) Can the effects of MOC be moderated through certain internal and external governance or personal factors? Using the KOSPI for non-financial firms from 2002 to 2015, this study examines the issues by identifying the firms with MOC from the measurement variables that are related to both the determinants and outcome of MOC. The main findings are as follows. First, firms with overconfident managers tend to experience lower firm value compared to those with nonoverconfident managers because of their inappropriate or excessive risk-taking behavior. This finding suggests that in addition to agency problems, MOC can have negative effects on the relationship between risk-taking and firm value in Korean firms. Second, there are no significant internal or external governance control effects, such as outside directors’ control over obligations, a sound board of directors, the control of chaebols, a less-competitive indus-try, and less economic policy uncertainty over the negative effects of MOC, on the relation-ship between risk-taking and firm value. In contrast, the negative effects of MOC turn weak in terms of personal factors when the managers become older. These results show that con-trolling for the negative effects of MOC through internal or external governance mechanisms is not easy, even though these mechanisms may be helpful to control for the agency problem in Korean firms. Nevertheless, the results confirm that the effects of MOC depend on managers’ personal traits. This study shows that managers should be wary of their own overconfidence and restrain themselves from making irrational decisions. Furthermore, this study suggests that the board of directors needs to react against MOC and improve the board’s control over MOC in order to avoid its negative effects.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123780201","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: 2

Effect of IPO Underpricing on Seasoned Offerings IPO定价过低对上市经验的影响

Korean Journal of Financial Studies Pub Date : 2019-10-31 DOI: 10.26845/kjfs.2019.10.48.5.589

Chi-Seung Song, Jin Q. Jeon

{"title":"Effect of IPO Underpricing on Seasoned Offerings","authors":"Chi-Seung Song, Jin Q. Jeon","doi":"10.26845/kjfs.2019.10.48.5.589","DOIUrl":"https://doi.org/10.26845/kjfs.2019.10.48.5.589","url":null,"abstract":"1) According to IPO signaling theory, IPO underpricing is used under information asymme-try, where an issuing firm has better information on firm quality to signal the firm’s true value. This signaling is costly, but may enable the firm to return to the market and sell se-curities on better terms at a later date. The empirical implications of IPO signaling theory is that underpricing has a favorable and significant effect on the probability, size, and speed of subsequent security offerings. This study examines IPO signaling theory using an IPO sample in the KOSDAQ market. We consider the upper or lower price limit in Korea and define underpricing as the first-day return as well as the 10-day and 20-day return after IPOs. We examine the IPO samples in the KOSDAQ market to find that, consistent with the signaling theory, underpricing significantly increases the probability of seasoned securities. This result holds when we estimate the instrumental variable probit model and control for endogeneity. However, we find that the size and period taken for seasoned offerings are not significantly correlated with underpricing. The contribution of this study to the IPO literature is that it is the first study to investigate IPO signaling theory in the Korean market. Furthermore, the finding that underpricing is statistically correlated with the probability of seasoned securities offerings but not statistically correlated with the size and time of such offerings has important academic and practical implications.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126916360","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: 2

Common Ownership and Product Market Competition: Evidence from the U.S. Airline Industry 共同所有权与产品市场竞争:来自美国航空业的证据

Korean Journal of Financial Studies Pub Date : 2019-10-31 DOI: 10.26845/kjfs.2019.10.48.5.617

A. Park, Kyoungwon Seo

引用次数: 8

Short Interest and Market Risk Premium: The Case of the Korean Market 短期利率与市场风险溢价:以韩国市场为例

Korean Journal of Financial Studies Pub Date : 2019-10-31 DOI: 10.26845/kjfs.2019.10.48.5.541

Do Lee, Dohyun Chun, Hoon Cho

引用次数: 0