Asian Review of Financial Research

pISSN: 1229-0351
eISSN: 2713-6531

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Asian Review of Financial Research / December 2003 Vol. 16 No. 2

Stalth Trading on the Korea Stock Market

Hyuk Choe;Jay M. Chung;Woo-Baik Lee

Asian Review of Financial Research :: Vol.16 No.2 pp.1-29

Abstract
Stalth Trading on the Korea Stock Market ×

USing a transactions database for stocks traded on the Korea Stock Exchange, we find strong evidence supporting the stealth trading hypothesis advanced by Barclay and Warner (1993). Medium-size trades are associated with a disproportionately large cumulative price change relative to their proportion of all trades , share vOlume, and won v이 ume. We also find that the price contribution of medium-size trades increases as the measurement interval increases. This result indicates that medium-size trades contain information on medium- to long-term price trends. Small-size trades contribute to the cumulative stock price change negatively, which is consistent with a common perception that small investors tend to chase very short-term profits. Surprisingly, we find evidence suggesting that large-size trades may

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Study on Determinants of the Asymmetric Volatility in Stock Return

Jong-Cook Byun;Jung-Il Jo;Ki-Woong Cheong

Asian Review of Financial Research :: Vol.16 No.2 pp.31-65

Abstract
Study on Determinants of the Asymmetric Volatility in Stock Return ×

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Tests on the Predictive Ability of the Technical Trading Rules

Sang Whan Kim;TaeKeun Cho

Asian Review of Financial Research :: Vol.16 No.2 pp.67-93

Abstract
Tests on the Predictive Ability of the Technical Trading Rules ×

In this paper we tested the hypothesis that the performance of the best technical trading rule is no better than that of the buy-and-hold strategy, uSing White's Reality Check and Hansen's Superior Predictive Ability test. We find that the null hypothesis was not rejected in the Korea Stock Exchange (KSE) market when the investment performance is measured with the simple return , but rejected based on the Sharpe ratio criterion. Therefore, we cannot be confident that the technical trading produces economically valuable signals in the KSE But in the KOSDAQ market the technical trading showed better investment performances on both evaluation criterions , which implies that the investment performance of the technical trading rule comes from its predictive ability, not from the simple luck. Empirical studies on the performance of technical trading applied to the stock price indices of small , medium and large-capital size show that the investment performance of the technical trading rule was not reliable , irrespective of the capital size, when the performance is evaluated with the simple returns. But the investment performance on the small-capital size was statistically trustworthy

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Long-term Performance following Convertible Debt Issuance

Mookwon Jung

Asian Review of Financial Research :: Vol.16 No.2 pp.95-127

Abstract
Long-term Performance following Convertible Debt Issuance ×

Firms issuing convertible debt significantly underperform their matching firms of similar firm size and book-to-market ratio when we measure long-term performance uSing cumulative abnormal returns. Cross-sectional tests reveal that the stock underperformance is positively related with the subsequent operating performance whi le it is negatively related with pre-event stock performance. These empirical results support the notions that the market underreacts at the time of the debt offering announcement and that convertible debt is usually issued when the firm is overvalued. However, the long-term underperformance is not clear when we use the Fama-French intercept and the Calendar-Time Abnormal Returns to overcome

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The Long-Term Performance of Repurchased Stocks

Sung-Chang Jung;Yong-Gyo Lee

Asian Review of Financial Research :: Vol.16 No.2 pp.129-162

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The Long-Term Performance of Repurchased Stocks ×

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Valuation Effect of the Equity Investment of Korean Firms

Taehong Jinn;Hongsun Song

Asian Review of Financial Research :: Vol.16 No.2 pp.163-193

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Valuation Effect of the Equity Investment of Korean Firms ×

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Determinants of Dividend Porlicy of Korean Firms

Kyung Suh Park;Eunjung Lee;Inmoo Lee

Asian Review of Financial Research :: Vol.16 No.2 pp.195-229

Abstract
Determinants of Dividend Porlicy of Korean Firms ×

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Firm Performance Following CEO turnover

James Jinho Chang;Hyun-Han Shin

Asian Review of Financial Research :: Vol.16 No.2 pp.231-256

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Firm Performance Following CEO turnover ×

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Risk and Regulation of a Financial Holding Company

Jung-Bum Wee

Asian Review of Financial Research :: Vol.16 No.2 pp.257-307

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Risk and Regulation of a Financial Holding Company ×

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