Asian Review of Financial Research

pISSN: 1229-0351
eISSN: 2713-6531

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Asian Review of Financial Research / December 2005 Vol. 18 No. 2

대규모 기업집단의 지배-소유 괴리도와 기업가치 및 경영성과 간의 관계분석

Won Kang;Hyun-Han Shin;Jin-Ho Chang

Asian Review of Financial Research :: Vol.18 No.2 pp.1-39

Abstract
대규모 기업집단의 지배-소유 괴리도와 기업가치 및 경영성과 간의 관계분석 ×

Using the ownership structure of large business groups, we investigate the effect of a disparity between cash flow right and voting right of business group member firms on their firm value and performance. We find that there is no significant negative relation between the disparity and the firm value proxied by market-to-book ratio. Using the multivariate regression using control variables such as firm size, capital structure, and firm age that might affect firm value, we also failed to find a statistically significant relation between the disparity and the firm value. In order to control for a possible endogeneity problem of the disparity, we use the firm value three years after the measure of the disparity as welll as two-stage least squares method. However, the results are qualitatively the same. In addition to the analysis of publicly traded member firms, we include private firms to investigate the relation beween the disparity and the operating performance such as operating income return on asset and EBITDA return on asset. We also fail to find any significant relation between the disparity and operating performance in the univariate analysis as well as in the regression analysis. The findings in this paper do not support the notion that the disparity negatively affects the firm value and operating performance of large business group member firms.

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대규모 기업집단의 지배-소유 괴리도와 기업가치 및 경영성과 간의 관계분석 ×
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Private Property Donation of Manager and Efficiency of Business Restructuring

Sang Woo Lee

Asian Review of Financial Research :: Vol.18 No.2 pp.41-65

Abstract
Private Property Donation of Manager and Efficiency of Business Restructuring ×

After foreign currency crisis in 1997, many firms went bankruptcy, and their restructurings have been one of major issues in financial economics. Under perfect information, viable firms must be restructured quickly and actively. But debtholders do not have perfect information about viability of bankrupt firms.In this situation, debtholders do not take active actions such as debt-equity swap or liquidation. They may take passive action - maturity extension. Maturity extension will be best action for the debthoders, but it will result in lower resturction performance.In this study, I analyse private property donation of manager. The manager knows much about firm's viability than debthoders and this private property donation will play a signal of firm's viability.I investigate under which situation, manager will propose private property donation and efficiency of restructuring process will be improved.

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Private Property Donation of Manager and Efficiency of Business Restructuring ×
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The Wealth Effects of Stock Repurchases on Shareholders and Bondholders

Mookwon Jung

Asian Review of Financial Research :: Vol.18 No.2 pp.67-99

Abstract
The Wealth Effects of Stock Repurchases on Shareholders and Bondholders ×

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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The Wealth Effects of Stock Repurchases on Shareholders and Bondholders ×
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Dependence Analysis of Stock Markets Using Extreme Value Distribution and Copula

Tae-Hyuk Kim;Hui-Jing Zhao

Asian Review of Financial Research :: Vol.18 No.2 pp.101-138

Abstract
Dependence Analysis of Stock Markets Using Extreme Value Distribution and Copula ×

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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Dependence Analysis of Stock Markets Using Extreme Value Distribution and Copula ×
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Determinants of the Performance through Spin-offs

Chi Soo Kim;Jeong Il Jo

Asian Review of Financial Research :: Vol.18 No.2 pp.139-183

Abstract
Determinants of the Performance through Spin-offs ×

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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Estimating GARCH Models Using a New Multivariate Distribution Function

Pilsun Choi

Asian Review of Financial Research :: Vol.18 No.2 pp.185-208

Abstract
Estimating GARCH Models Using a New Multivariate Distribution Function ×

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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Emerging Stock Market Liberalization and its Real Impacts on Stock Returns

Hyunchul Chung

Asian Review of Financial Research :: Vol.18 No.2 pp.209-237

Abstract
Emerging Stock Market Liberalization and its Real Impacts on Stock Returns ×

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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Emerging Stock Market Liberalization and its Real Impacts on Stock Returns ×
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국제시장지수의 상대적 시장효율성에 관한 비교연구:Approximate Entropy 방법을 중심으로

Taehyuk Kim;Cheoljun Um;Gabjin Oh

Asian Review of Financial Research :: Vol.18 No.2 pp.239-262

Abstract
국제시장지수의 상대적 시장효율성에 관한 비교연구:Approximate Entropy 방법을 중심으로 ×

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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국제시장지수의 상대적 시장효율성에 관한 비교연구:Approximate Entropy 방법을 중심으로 ×
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보통주와 우선주의 가격 차이에 관한 연구:유동성 프리미엄의 영향을 중심으로

Jong-Bom Chay;Pan-Soo Moon

Asian Review of Financial Research :: Vol.18 No.2 pp.263-287

Abstract
보통주와 우선주의 가격 차이에 관한 연구:유동성 프리미엄의 영향을 중심으로 ×

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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보통주와 우선주의 가격 차이에 관한 연구:유동성 프리미엄의 영향을 중심으로 ×
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Is the Liquidity Common Factor a Priced Risk in the Korean Stock Markets?

Sang-Koo Nam;Jong-Ho Park;Kyong Shik Eom

Asian Review of Financial Research :: Vol.18 No.2 pp.289-319

Abstract
Is the Liquidity Common Factor a Priced Risk in the Korean Stock Markets? ×

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Is the Liquidity Common Factor a Priced Risk in the Korean Stock Markets? ×
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