This study investigates the wealth effects of open market stock repurchases on shareholders and bondholders and tests the relative importance of the signaling hypothesis and wealth transfer hypothesis regarding the motivation of stock repurchases. The empirical results show that the CAR around the announcement of share repurchases is 2.70%, while the YSC (Yield Spread Change) is -0.13%, which implies that both values of stocks and bonds increase at repurchase announcements. In addition, the correlation between the shareholder's wealth and the bondholder's wealth is positive only in the firms with speculative-grade debt. However, considering that both shareholders' and bondholders' wealth increase even in the firms with investment-grade debt, the signaling hypothesis seems more persuasive than the wealth transfer hypothesis.

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Using the concept of extreme value theory and copula, this paper shows how to estimate association across financial markets. We select Peaks-Over-Threshold(POT) method and use Generalized Pareto Distribution(GPD) as the marginal distribution. We use the most popular used Gumbel copula as well as other three copulas. We fit these copulas to daily stock index returns of six countries and use upper and lower tail dependence to identify and quantify the tail dependence among stock returns.Empirical result show that asymptotic dependence exist between Asian-Pacific markets. And such extremal dependence become stronger after Asian Financial Crisis. But we failed to detect asymptotic dependence between US and Asian-Pacific markets.

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In this study, we investigated the market and operating performances and their determinants of spin-offs for Korean firms. Firms generally increase focus by spinning off unrelated business. Thus, it is expected that spin-offs have a significantly positive influence on the performance of spin-offs parents.The first of our main results was that spin-offs had significantly positive short-term and long-term abnormal returns. Also, we found a significant improvement in operating performance in the year after spinning off. Second, it was found that corporate focus increased significantly and the level of information asymmetry decreased insignificantly after the completion of spin-offs. The results support the focusing hypothesis rather than information asymmetry hypothesis for the spin-off. Third, there was a positive relationship between focus increase and both of market and operating performances. That is, the performance of focus-increasing spin-offs outperformed non-focus-increasing spin-offs. Thus, this result also confirms the focusing hypothesis. In addition, the evidence on capital-raising activities and cross-sectional regression also support the focusing hypothesis.

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Major empirical regularities in the distribution of time series of financial asset return data are their skewness and excess kurtosis. To capture the non-normality in estimating financial time series using GARCH models, many researchers have introduced more flexible parametric distributions than the normal distribution such as Student-t and GED. While considerable attempts have been made in modeling conditional distribution in univariate GARCH models, there has been little work on the multivariate conditional distribution function in multivariate GARCH models. Most academic studies in multivariate GARCH models have relied on multivariate normal distribution. The purpose of this paper is to introduce into the multivariate GARCH models a flexible multivariate parametric distribution in order to capture the non-normality of financial time series in a multivariate dimension. For an illustrative purpose, we apply the new bivariate distribution function to modeling time varying dependence of returns on KOSPI and won/dollar exchange rate, and compare the results with those of normal and Student-t models.

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We investigate the impact of market opening to foreign investors in 12 emerging markets using firm-level data as well as market-level data. As International Capital Asset Pricing Model (ICAPM) predicts, our results show apparent revaluation effects after market liberalization. More importantly, the results show significantly different impact based on firm size, which is used as a proxy for foreign investors' demand. Large firms, believed to be preferred by foreign investors, show much larger revaluation effect than small firms. This study eventually provide a better understanding of the market liberalization, especially using the firm-level data we could understand the real market liberalization impact based on the real demand from foreign investors.

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In this paper, we investigated the relative market efficiency of the international market indices in 16 countries, using the approximate entropy (ApEn) method proposed by Pincus (1991), which quantifies a complexity, irregularity and unpredictability in time series. We present our results as follows.First, we found that the ApEn for the random walk is larger than one for non-random walks. Second, we found that the ApEn from the international market indices in 16 countries are shown to be smaller than one from theoretical data generated by the fractional brownian motion (FBM) method with the hurst exponent, H=0.5, which reflects the inefficiency of the market. Therefore, we can not deny an existence of repeated patterns in the empirical time series. Third, the ApEn observed for the various sub-period of the empirical time series have also smaller than one for the random walk.According to the fact that the ApEn are increased, the complexity or irregularity of the present international stock market indices have increased larger than the past. Finally, we found that the ApEn for the some international market indices have the specific behavior which rapidly fell after increases at the market crisis situations.

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Existing studies focus on differential voting rights as they attempt to explain the discount pricing of preferred (non-voting) stocks compared to common (voting) stocks in the Korean market. In this study, we take into account liquidity differentials as well as voting right differentials in explaining cross-sectional variation of relative prices of preferred stocks. Based on the data from 1990 to 2003, we find that liquidity differentials appear to be an important determinant of price differentials between common and preferred stocks. During our sample period, the size of outstanding preferred stocks relative to that of common stocks has been decreasing, since Korean firms tend to shy away from financing through preferred stocks. This trend has helped deteriorate the liquidity of preferred stocks relative to common stocks, resulting in increased trading costs for preferred stocks. Our results are consistent with the view that the discount pricing of preferred stocks reflects increased required rates of return to compensate for the relative lack of liquidity associated with preferred stocks.

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Traditional methods for project evaluation, like the net present value (NPV), the internal rate of return (IRR), and the tree models, are inadequate because they underestimate IT investment projects that require huge initial cost and have high uncertainty of future cash flows and a high upside potential. Thus, lately IT project evaluation using real options has been an important subject of much research. However, most research related to valuation of IT investment projects as real options has been limited to the application of Black-Scholes formula or tree models under the assumption of risk-neutral investor. This paper develops a continuous two-factor (present value of cash flow and risk rates) model to take into account individual risks and their dynamic changes. To estimate the model the paper adopts least squares Monte Carlo (LSMC) simulation method presented by Longstaff and Schwartz (2001).The empirical study applying the model to the case of software platform investment (Taudes, et al., 2000) shows that the increase of uncertainty has conflicting effects on the option values. That is, while the uncertainty increases the option values, it gives rise to risk causing relatively slight reduction of the option values. The paper provides IT managers with the appropriate real option model to assist evaluating and justifying IT investment.

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This research investigates the relationship between the performance and cashflow of equity fund based on monthly as well as weekly data. Several interesting result are found. First, I found that both simple excess return over benchmark and risk adjusted excess return are important determinant of equity fund cashflow. Second, it is also found that fund size, age, beta, SMB coefficient, and HML coefficient play significant roles to determine the cashflow of equity fund. Third, not only the performance of individual fund, but also the performance of same category funds and of investment company seems to determine the cashflow of individual fund. On the other hand, there was no evidence that cashflow in general influence the performance of equity fund. Only large amount of cash outflows have negative impact on equity fund performance and make fund managers respond with the increase in the risk level trying to recover the loss.

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