• The Journal of Industrial Distribution & Business
• /
• v.8 no.5
• /
• pp.87-93
• /
• 2017

Purpose - This paper investigates whether managerial overconfidence is associated with firm-specific crash risk. Overconfidence leads managers to overestimate the returns of their investment projects, and misperceive negative net present value projects as value creating. They even use voluntary disclosures to convey their optimistic beliefs about the firms' long-term prospects to the stock market. Thus, the overconfidence bias can lead to managerial bad news hoarding behavior. When bad news accumulates and crosses some tipping point, it will come out all at once, resulting in a stock price crash. Research design, data and methodology - 7,385 firm-years used for the main analysis are from the KIS Value database between 2006 and 2013. This database covers KOSPI-listed and KOSDAQ-listed firms in Korea. The proxy for overconfidence is based on excess investment in assets. A residual from the regression of total asset growth on sales growth run by industry-year is used as an independent variable. If a firm has at least one crash week during a year, it is referred to as a high crash risk firm. The dependant variable is a dummy variable that equals 1 if a firm is a high crash risk firm, and zero otherwise. After explaining the relationship between managerial overconfidence and crash risk, the total sample was divided into two sub-samples; chaebol firms and non-chaebol firms. The relation between how I overconfidence and crash risk varies with business group affiliation was investigated. Results - The results showed that managerial overconfidence is positively related to crash risk. Specifically, the coefficient of OVERC is significantly positive, supporting the prediction. The results are strong and robust in non-chaebol firms. Conclusions - The results show that firms with overconfident managers are likely to experience stock price crashes. This study is related to past literature that examines the impact of managerial overconfidence on the stock market. This study contributes to the literature by examining whether overconfidence can explain a firm's future crashes.

• Journal of Technology Innovation
• /
• v.10 no.1
• /
• pp.98-123
• /
• 2002

This study develops a Korean R&D Scoreboard which has originated from the R&D Scoreboard in United Kingdom. The Scoreboard contains details of the R&D investment, sales, growth, profits and employee numbers for Korean companies which are extracted from company annual reports and key ratios calculated, with some movements over time. Companies are classified by the Korea Standard Industrial Classification. The Scoreboard contains 190 companies which consist of 100 largest companies and 30 middle-or small-sized firms listed in Korea Stock Exchange (KSE), and 30 ventures and 30 other firms listed in KOSDAQ. The overall company R&D intensity (R&D as a percentage of sales) is 2.1% compared to the international average of 4.2%. Korea has an unusually large R&D percentage of sales in IT hardware (4.9%) and telecommunication (3.7%). R&D intensity is positively correlated with company performance measures such as profitability, sales growth, productivity and market value. For largest companies listed in KSE and ventures listed in KOSDAQ, the ratio of operating profit to sales is greater for high R&D intensity companies. Sales growth is in proportion to R&D intensity for all companies. Plots of value added per employee or sales per employee vs R&D per employee rise together for the sectors studied, especially for the chemical sectors and automobile sectors, demonstrating a correlation with productivity. The average market value of high R&D companies in the KSE has risen more than 1.6 times that of the KOSPI 200 index. Given the correlation between R&D intensity and company performance and given that R&D is a smaller percentage of surplus (profits plus R&D) than international level (both overall and in several sectors), the challenges facing Korean companies are to maintain the leading position in IT hardware and telecommunication, and to increase the intensity of R&D in many medium-intensive R&D sectors where Korea has an average intensity well below international or US levels.

• Asia-Pacific Journal of Business
• /
• v.11 no.2
• /
• pp.159-172
• /
• 2020

Purpose - The purpose of this study is to investigate economic variables which have impact on the prices and returns of preferred stocks and to provide investors, underwriters, and policy makers with information regarding correlations and causal relations between them. Design/methodology/approach - This study collected 98 monthly data from Korea Exchange and Bank of Korea. The Granger causal relation analysis, unit-root test and the multiple regression analysis were hired in order to analyze the data. Findings - First, our study derives the economic variables affecting the prices and returns of preferred stocks and their implications, while previous studies focused mainly on the differential characteristics and related economic factors between common and preferred stocks. Empirical results show that the significant variables influencing the prices and returns of preffered stocks are consumer sentiment index, consumer price index, industrial production index, KOSPI volatility index, and exchange rate between Korean won and US dollar. Second, consumer sentiment index, consumer price index, and industrial production index have significant casual relations with the returns of preferred stocks, providing market participants with important information regarding investment in preferred stocks. Research implications or Originality - This study is different from previous studies in that preferred stocks themselves are investigated rather than the gap between common stocks and preferred stocks. In addition, we derive the major macro variables affecting the prices and returns of preferred stocks and find some useful causal relations between the macro variables and returns of preferred stocks. These findings give important implications to market participants, including stock investors, underwriters, and policy makers.

• Journal of the Korea Society of Computer and Information
• /
• v.29 no.2
• /
• pp.51-59
• /
• 2024

This study examines the relationship between the release of the news and the individual stock returns. Investors utilize a variety of information sources to maximize stock returns when establishing investment strategies. News companies publish their articles based on stock recommendation reports of analysts, enhancing the reliability of the information. Defining release of a stock-recommendation news article as an event, we examine its economic impacts and propose a binary classification model that predicts the stock return 10 days after the event. XGBoost and LightGBM models are applied for the study with accuracy of 75%, 71% respectively. In addition, after categorizing the recommended stocks based on the listed market(KOSPI/KOSDAQ) and market capitalization(Big/Small), this study verifies difference in the accuracy of models across four sub-datasets. Finally, by conducting SHAP(Shapley Additive exPlanations) analysis, we identify the key variables in each model, reinforcing the interpretability of models.

• Land and Housing Review
• /
• v.2 no.4
• /
• pp.367-377
• /
• 2011

This paper investigates the determination factors' variation of real estate price after sub-prime financial crisis, in korea, using a VAR model. The model includes land price, housing price, housing rent (Jensei) price, which time period is from 2000:1Q to 2011:2Q and uses interest rate, real GDP, consumer price index, KOSPI, the number of housing construction, the amount of land sales and practices to impulse response and variance decomposition analysis. Data cover two sub-periods and divided by 2008:3Q that occurred the sub-prime crisis; one is a period of 2000:1Q to 2008:3Q, the other is based a period of 2000:1Q to 2011:2Q. As a result, Comparing sub-prime crisis before and after, land price come out that the influence of real GDP is expanding, but current interest rate's variation is weaken due to the stagnation of current economic status and housing construction market. Housing price is few influenced to interest rate and real GDP, but it is influenced its own variation or Jensei price's variation. According to the Jensei price's rapidly increasing in nowadays, housing price might be increasing a rising possibility. Jensei price is also weaken the influence of all economic index, housing price, comparing before sub-prime financial crisis and it is influenced its own variation the same housing price. As you know, real estate price is weakened market basic value factors such as, interest rate, real GDP, because it is influenced exogenous economic factors such as population structural changes. Economic participators, economic officials, consumer, construction supplyers need to access an accurate observation about current real estate market and economic status.

• Korean Journal of Construction Engineering and Management
• /
• v.9 no.2
• /
• pp.146-158
• /
• 2008

This paper examines the relationship between the real estate policies of Korean government and the stock market of Korea. It is the purpose of this paper whether the government policies are effective or not when the Korean government release new real estate policies outlining higher taxes and more housing supply as part of its plan to suppress speculation. This paper studies the properties of daily stock returns of the construction sector in Korea securities market when the government announcements of the real estate policies are released. On the demand side, multiple home owners and those purchasing property for speculative purposes are expected to be hit the hardest If the government policies are effective. The empirical results of this paper show that most of the cumulative abnormal returns(CARs) are statistically significant from the year 2002 to the year 2006 except the year 2004.

• Journal of Internet of Things and Convergence
• /
• v.8 no.1
• /
• pp.1-10
• /
• 2022

The purpose of this study is to establish a foundation for IoT-related industries to secure financial soundness and to dominate the global market after COVID-19. Through this study, the quantitative management status of IoT-related companies was checked. It also was attempted to preemptively prepare for corporate insolvency by examining the relationship between financial ratios in accordance with stock price fluctuations and designation of management items. This study selected 502 companies that were listed on the KOSPI and KOSDAQ in the stock market from 2019 to 2020. For statistical analysis, multiple regression analysis, difference analysis and logistic regression analysis were performed. The research results are as follows. First, it was found that the impact of IoT company accounting information on stock prices differs depending on before and after COVID-19. Second, it was found that there is a difference in the closing stock prices of IoT companies before and after COVID-19. Third, it was found that financial ratios according to stock price fluctuations exist differently after COVID-19. Fourth, it was found that the financial ratios according to the designation of management items after COVID-19 exist differently. Through these studies, some suggestions were made to secure the financial soundness of IoT companies and to lay the groundwork for leaping into the global market after COVID-19. Through the results of this study, it is expected that it will lead the growth of IoT companies and contribute to growth as a decacorn company of the future that can guarantee financial soundness in the changing financial market.

• Asia pacific journal of information systems
• /
• v.24 no.4
• /
• pp.559-575
• /
• 2014

Individual investors are increasingly flocking to message boards to seek, clarify, and exchange information. Businesses like Seekingalpha.com and business magazines like Fortune are evaluating, synthesizing, and reporting the comments made on message boards or blogs. In March of 2012, Yahoo! Finance Message Boards recorded 45 million unique visitors per month followed by AOL Money and Finance (19.8 million), and Google Finance (1.6 million) [McIntyre, 2012]. Previous studies in the finance literature suggest that online communities often provide more accurate information than analyst forecasts [Bagnoli et al., 1999; Clarkson et al., 2006]. Some studies empirically show that the volume of posts in online communities have a positive relationship with market activities (e.g., trading volumes) [Antweiler and Frank, 2004; Bagnoli et al., 1999; Das and Chen, 2007; Tumarkin and Whitelaw, 2001]. The findings indicate that information in online communities does impact investors' investment decisions and trading behaviors. However, research explicating the correlation between information on online communities and stock market activities (e.g., trading volume) is still evolving. Thus, it is important to ask whether a volume of posts on online communities influences trading volumes and whether trading volumes also influence these communities. Online stock message boards offer two different types of information, which can be explained using an economic and a psychological perspective. From a purely economic perspective, one would expect that stock message boards would have a beneficial effect, since they provide timely information at a much lower cost [Bagnoli et al., 1999; Clarkson et al., 2006; Birchler and Butler, 2007]. This indicates that information in stock message boards may provide valuable information investors can use to predict stock market activities and thus may use to make better investment decisions. On the other hand, psychological studies have shown that stock message boards may not necessarily make investors more informed. The related literature argues that confirmation bias causes investors to seek other investors with the same opinions on these stock message boards [Chen and Gu, 2009; Park et al., 2013]. For example, investors may want to share their painful investment experiences with others on stock message boards and are relieved to find they are not alone. In this case, the information on these stock message boards mainly reflects past experience or past information and not valuable and predictable information for market activities. This study thus investigates the two roles of stock message boards-providing valuable information to make future investment decisions or sharing past experiences that reflect mainly investors' painful or boastful stories. If stock message boards do provide valuable information for stock investment decisions, then investors will use this information and thereby influence stock market activities (e.g., trading volume). On the contrary, if investors made investment decisions and visit stock message boards later, they will mainly share their past experiences with others. In this case, past activities in the stock market will influence the stock message boards. These arguments indicate that there is a correlation between information posted on stock message boards and stock market activities. The previous literature has examined the impact of stock sentiments or the number of posts on stock market activities (e.g., trading volume, volatility, stock prices). However, the studies related to stock sentiments found it difficult to obtain significant results. It is not easy to identify useful information among the millions of posts, many of which can be just noise. As a result, the overall sentiments of stock message boards often carry little information for future stock movements [Das and Chen, 2001; Antweiler and Frank, 2004]. This study notes that as a dependent variable, trading volume is more reliable for capturing the effect of stock message board activities. The finance literature argues that trading volume is an indicator of stock price movements [Das et al., 2005; Das and Chen, 2007]. In this regard, this study investigates the correlation between a number of posts (information on stock message boards) and trading volume (stock market activity). We collected about 100,000 messages of 40 companies at KOSPI (Korea Composite Stock Price Index) from Paxnet, the most popular Korean online stock message board. The messages we collected were divided into in-trading and after-trading hours to examine the correlation between the numbers of posts and trading volumes in detail. Also we collected the volume of the stock of the 40 companies. The vector regression analysis and the granger causality test, 3SLS analysis were performed on our panel data sets. We found that the number of posts on online stock message boards is positively related to prior stock trade volume. Also, we found that the impact of the number of posts on stock trading volumes is not statistically significant. Also, we empirically showed the correlation between stock trading volumes and the number of posts on stock message boards. The results of this study contribute to the IS and finance literature in that we identified online stock message board's two roles. Also, this study suggests that stock trading managers should carefully monitor information on stock message boards to understand stock market activities in advance.

• The Korean Journal of Applied Statistics
• /
• v.23 no.1
• /
• pp.63-71
• /
• 2010

Business entrepreneurs reflect their views of domestic and foreign economic activities on their operation for the growth of their business. The decision, forecasting, and planning based on their economic sentiment affect business operation such as production, investment, and hiring and consequently affect condition of national economy. Business survey index(BSI) is compiled to get the information of business entrepreneurs' economic sentiment for the analysis of business condition. BSI has been used as an important variable in the short-term forecasting models for business cycle analysis, especially during the the period of extreme business fluctuations. Recent financial crisis has arised extreme business fluctuations similar to those caused by currency crisis at the end of 1997, and brought back the importance of BSI as a variable for the economic forecasting. In this paper, the meaning of BSI as an economic sentiment index is reviewed and a GUIDE regression tree is constructed to find out the factors which affect on BSI. The result shows that the variables related to the stability of financial market such as kospi index(Korea composite stock price index) and exchange rate as well as manufacturing operation ratio and consumer goods sales are main factors which affect business entrepreneurs' economic sentiment.

• The Journal of Industrial Distribution & Business
• /
• v.9 no.7
• /
• pp.53-59
• /
• 2018

Purpose - This study examines the effect of control-ownership wedge on stock crash risk. In Korea, controlling shareholders have exclusive control rights compared to their cash flow rights. With increasing disparity, controlling shareholders abuse their power and extract private benefits at the expense of the minority shareholders. Managers who are controlling shareholders of the companies tend not to disclose critical information that would prevent them from pursuing private interests. They accumulate negative information in the firm. When the accumulated bad news crosses a tipping point, it will be suddenly released to the market at once, resulting in an abrupt decline in stock prices. We predict that stock price crash likelihood due to information opaqueness increases as the wedge increases. Research design, data, and methodology - 831 KOSPI-listed firm-year observations are from KisValue database from 2005 to 2011. Control-ownership wedge is measured as the ratio (UCO -UCF)/UCO where UCF(UCO) is the ultimate cash-flow(control) rights of the largest controlling shareholder. Dependent variable CRASH is a dummy variable that equals one if the firm has at least 1 crash week during a year, and zero otherwise. Logistic regression is used to examine the relationship between control-ownership wedge and stock price crash risk. Results - Using a sample of KOSPI-listed firms in KisValue database for the period 2005-2011, we find that stock price crash risk increases as the disparity increases. Specifically, we find that the coefficient of WEDGE is significantly positive, supporting our prediction. The result implies that as controlling shareholders' ownership increases, controlling shareholders tend to withhold bad news. Conclusions - Our results show that agency problems arising from the divergence between control rights and cash flow rights increase the opaqueness of accounting information. Eventually, the accumulated bad news is released all at once, leading to stock price crashes. It could be seen that companies with high control-ownership wedge are likely to experience future stock price crashes. Our study is related to a broader literature that examined the effect of the control-ownership wedge on stock markets. Our findings suggest that the disparity is a meaningful predictor for future stock price crash risk. The results are expected to provide useful implications for firms, regulators, and investors.