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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This paper analyzes the effects of the cross equity investment, the business structure, and the regulation on cross equity investment within a corporate conglomerate. In equilibrium, the cross equity investment increases as the controlling shareholder can extract f perquisite more easily. The business structure of a conglomerate becomes more closely related as the potential synergy is larger. The conglomerate expands cross equity investment if the potential synergy is small, and emphasizes risk management otherwise. Perquisite not only directly hampers distributive fairness, but also indirectly improves allocative efficiency by mitigating agency problem of outside equity. Thus, the influence of the regulation on cross equity investment depends on the parameters of the model. Such regulation improves fairness without hampering efficiency if the potential synergy is sufficiently large.

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This study explores the relationship between the arrival of public information and the intraday volatility in the Korean stock market using the GARCH model under the assumption of the existence of conditional heteroskedasticity in the intraday stock return. The number of E-daily news headlines in a certain time interval for the period of 2001~2003 has been used as the proxy for public information, whereas the KOSPI return and the trading volume for the same period have been used for the market activity variables. The addition of news variable in the conditional variance equation in the GARCH model results the increasing effect on the market volatility. But, as the time interval has been increased, the relative impact of public information has decreased the market volatility. It indicates that the market volatility has been affected mainly by the arrival of public news in short term, but the investors have reacted on those news as well as some private information very shortly. Finally, the domestic and international news has separately been tested in that how those news affect the magnitude of the persistence of volatility. It turns out that domestic news has decreased the level of persistence more than the international news, and the relative impact of international news is larger than that of domestic news.

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This paper reports the empirical evidence on the relation between family ownership and firm performance using the 1,616 non-financial firms at the Korean Stock Market. We find that the family ownership is a significant determinant of the firm performance. The family firms significantly outperform the non-family firms, and the performances in the young-family firms and the old-family firms are indifferent. We classify the family ownership into direct and indirect one which the indirect-family firm is governed by the affiliated companies. The indirect-family firms as well as the direct-family ones perform better than non-family firms. Our results provide the family firms are prevalent and effective business structure in Korea, and support the convergence of interest hypothesis.

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