• 경영과정보연구
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• 제25권
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• pp.83-114
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• 2008

We examine whether spinoffs improve long-run stock returns and analyze the factors of long run stock returns. The measures of long run stock returns are CAR(Cumulative Abnormal Returns) and BHAR(Buy and Hold Abnormal Returns). The expected factors of abnormal returns are methods of spinoffs, size, BV/MV, administrative costs, cashflow and Herfindahl index. We find that long-run returns of the case such as carve-out methods, small size, high BV/MV, low administrative costs, low cashflow and low Herfindahl index are larger than those of other cases. We show positive relationship between spinoffs and long-run stock returns(CAR and BHAR). The results supports spinoffs, as the methods of focusing on core business, are very usefulness of corporate restructuring.

• 산업경영시스템학회지
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• 제44권4호
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• pp.98-105
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• 2021

Using the frequency-based decomposition, I decompose the consumption growth to explain well-known patterns of stock returns in the Korean market. To be more specific, the consumption growth is decomposed by its half-life of shocks. The component over four years of half-life is called the business-cycle consumption component, and the components with half-lives under four years are short-run components. I compute the long-run and short-run components of stock excess returns as well and use component-by-component sensitivities to price stock portfolios. As a result, the business-cycle consumption risk with half-life of over four years is useful in explaining the cross-section of size-book-to-market portfolios and size-momentum portfolios in the Korean stock market. The short-run components have their own pricing abilities with mixed direction, so that the restricted one short-term factor model is rejected. The explanatory power with short- and long-run components is comparable to that of the Fama-French three-factor model. The components with one- to four-year half-lives are also helpful in explaining the returns. The results about the long-run components emphasize the importance of long-run component in consumption growth to explain the asset returns.

• The Journal of Asian Finance, Economics and Business
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• 제9권4호
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• pp.173-183
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• 2022

The objective of this research is to examine the influence of the COVID-19 pandemic on stock markets in a few developing and developed countries. This study uses daily data from January 2020 to May 2021 and obtained from World Health Organization and Thomson Reuters. The secondary data was evaluated through panel econometric methodology that includes different unit root tests, and to analyze the long-run relationship between variables, panel cointegration techniques were applied. The long-run causality among variables was examined through Panel Vector Error Correction Model. The overall findings of this study suggest a long-run association exists between several cases and death with the stock returns of the GCC and other stock markets. Furthermore, the VECM model also identified a long-run causality running from COVID cases and death towards the stock rerun of both sets of stock markets. However, a subsequent Wald test yielded mixed results, indicating no short-run causality between cases and deaths and stock returns in both groups; however, in the case of GCC, several COVID-19 cases are having a causal impact on stock markets, which is notable in light of the fact that the death rate in GCC is significantly lower than in many developed and developing countries.

• 한국데이터정보과학회:학술대회논문집
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• 한국데이터정보과학회 2002년도 춘계학술대회
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• pp.75-84
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• 2002

This paper compares long-run returns of privatization initial public offerings to those of domestic stock markets of respective countries using a sample of 196 privatization initial public offerings from 39 countries. The evidence indicates that the privatization initial public offerings (IPOs) significantly outperform their domestic stock markets. There are substantial differences in the long-run performance of privatization IPOs depending on the return estimation techniques, however. Evidence indicates that the inference based either on conventional t or on skewness-adjusted t statistics may yield misspecified test statistics. The quality of estimation tends to be improved by simply eliminating the outliers from the sample, especially for the buy-and-hold abnormal return technique.

• 한국디지털정책학회:학술대회논문집
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• 한국디지털정책학회 2004년도 International Conference on Digital Policy & Management
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• pp.25-37
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• 2004

This paper compares long-run buy-and-hold returns of privatization initial public offerings to those of domestic stock markets of respective countries using a sample of 29 privatized telecom initial public offerings from 27 countries. The evidence indicates that the privatization IPOs significantly outperform their domestic stock markets if the returns are equally-weighted while they do not outperform the markets if value-weighted. In addition, this paper analyzes the cross-sectional determinants of long-run buy-and- hold returns of privatized telecom shares. The results indicate that the long-run performance of privatized telecom IPOs is moderately related to the proxies of policy uncertainty or systematic risk while the size of the firm and some market wide variables such as the accounting standard, origin of commercial law, and the corporate governance scheme significantly affect the stock performance of privatized telecom shares.

• The Journal of Asian Finance, Economics and Business
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• 제8권4호
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• pp.741-749
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• 2021

The research paper endeavors to investigate the presence of seasonal anomalies in the Indian equity market. It also aims to verify the notion that equity markets are for long-term investors. The study employs daily index data of Sensex, Bombay Stock Exchange, to understand its volatility for the period ranging from January 2001 to August 2020. To analyze the seasonal effects in the stock market of India, multiple regression techniques along with descriptive analysis, graphical analysis and various statistical tests are used. The study also employs the rolling returns at different time intervals in order to understand the underlying risks and volatility involved in equity returns. The results from the analysis reveal that daily and monthly seasonality is not present in Sensex returns i.e., investors cannot earn abnormal returns by timing their investment decisions. Hence, the major finding of this study is that the Indian stock market performance is random, and the returns are efficient. The other major conclusion of the research is that the equity returns are profitable in the long run providing investors a hope that they can make gains and compensate for the loss in one period by a superior performance in some other periods.

• 재무관리연구
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• 제24권1호
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• pp.149-182
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• 2007

본 연구는 한국유가증권시장(거래소시장)에 상장된 기업 중 1997년부터 2002년까지 스톡옵션을 부여한 기업을 소유경영기업과 전문경영기업으로 분류하여 스톡옵션 도입 후 장기성과에 영향을 주는 요인을 분석한다. 스톡옵션 제도의 도입목적이 주주와 경영자 사이의 대리인비용 절감이라면, 소유경영기업보다는 전문경영기업이 스톡옵션 도입 후 장기성과를 분석하는데 적합할 것이다. 선행연구에서는 주주와 경영자 사이의 대리인비용은 경영자지분과 시가장부가비율이 낮을수록, 현금흐름률, 매출성장률이 높을수록 높다고 주장하였다. 본 연구는 다양한 대리인비용의 대용치를 사용하여 스톡옵션 부여 후 장기주가성과를 분석하였다. 연구결과 전문경영기업의 장기주가성과는 경영자지분 및 시가장부가비율과는 음의관계를, 매출 성장률, 일인당 옵션규모와는 양의 관계를 갖는다. 반면에 소유경영기업의 장기주가성과는 현금흐름률 및 매출성장률과는 음의관계를, 자산규모와는 양의관계를 갖는다. 이러한 결과는 전문경영기업에서는 주주와 경영자 사이의 대리인비용이 스톡옵션 도입 후 성과를 결정하는 중요한 요소임을 의미한다. 그러나 소유경영기업에서는 스톡옵션이 주주와 경영자 사이의 대리인비용 절감 보다는 비현금보상, 신호, 기업 내 대리인비용 절감 등의 목적으로 이용된다는 가능성을 제시한다. 본 연구는 기업특성과 목적에 부합하도록 스톡옵션을 활용하는 것이 기업 성과 향상에 기여한다는 해석과 일관성이 있다.

• 아태비즈니스연구
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• 제12권2호
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• pp.97-114
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• 2021

Purpose - The purpose of this study was to examine the effects of privatization of Chinese state-owned enterprises (SOEs) on their initial returns and long-term performance after initial public offering(IPO). Design/methodology/approach - This study used 1,599 Chinese IPO firms, some of which were SOEs. The multivariate regression analyses were implemented to analyze their effects. Findings - First, the privatization of SOEs does not have any statistically significant effect on the initial return of IPO firms. Second, the shareholdings of government prior to IPOs for both privatizing of SOEs and non-privatizing firms and for both exchanges of Shanghai and Shenzhen have a statistically significant positive effect on the initial return of IPO firms. Third, the privatization of SOEs has statistically significant negative effect on the long-term returns of IPO firms. Fourth, the state-shareholdings prior to IPOs have statistically significant negative effects on the long-term return of IPO firms. Fifth, the state-shareholdings of the privatizing SOEs prior to IPOs have statistically significant positive effects on the long-term return of IPO firms. Research implications or Originality - The results imply that the higher shareholdings and ownership of the Chinese government on SOEs reduce the information asymmetry for the investors of IPO shares or maybe due to inefficiency of SOEs prior to IPOs lead to lower offer prices or higher opening prices leading to severe underpricing and relatively lower stock market returns in the long-run both for the privatizing firms and for the higher state-shareholding firms, while both factors interactively improve their long-term stock market returns.

• The Journal of Asian Finance, Economics and Business
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• 제8권1호
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• pp.81-91
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• 2021

This paper investigates the long run hedging ability of precious metals against the risks associated with adverse conditions of economic and financial variables for Pakistan, the USA, China, and India. Monthly data of gold, silver, platinum, stock returns, exchange rate, industrial production, and inflation was collected for the selected economies. Saikkonen and Lutkepohl (2002) unit root test was employed to access the unit root properties of the data series and identify the break dates. Furthermore, this study used the Johansen cointegration test with and without structural breaks to identify the long-run relationship between metals prices and different financial and economic variables. The findings suggest that the time series under study have unit root problem at level with and without structural breaks. Without considering structural breaks, the Johansen trace test indicates that in Pakistan and China, gold, silver, and platinum hold a cointegrating relationship with macroeconomic and financial variables. For the US, gold indicates cointegration which supports the hedging ability of gold against inflation, stock, and industrial production in the long run. The results of the cointegration test after incorporating the structural breaks provide even stronger evidence of the long-run relationship of precious metals and consumer prices, exchange rate, and stock prices.

• 아태비즈니스연구
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• 제15권2호
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• pp.207-222
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• 2024

Purpose - This study investigates whether the lagged price difference ratio between preferred and common stocks is related to the return and closing price of the preferred stock using three panel models. Design/methodology/approach - As a first step, we use a two-way fixed effect panel model with stationary preferred stock returns as a dependent variable. For robustness, we then apply the autoregressive distributed lag model (ARDL) and error correction model (ECM) with nonstationary closing prices of the preferred stocks as a dependent variable and compare the results of each model. The ARDL and ECM models provide an advantage of estimating a long-run equilibrium equation together if a long-run relationship exists between the two time-series variables compared to the fixed effect model. Findings - Our sample consists of 107 preferred stocks with at least four years of daily observations as of the end of December 2023. The coefficients of the error correction terms in the ARDL and ECM models are highly statistically significant, approximately -0.08. This indicates that the disequilibrium between the closing prices of common and preferred stocks adjusts by about 8% per day toward equilibrium. In all three models, the price difference ratio on day t-1 was statistically significant in explaining the preferred stock returns or closing prices on day t, implying that trading based on the previous day's price difference ratio is effective for one day. Research implications or Originality - Furthermore, the returns on preferred stocks are higher for firms with a lower proportion of foreign investors or a lower foreign market capitalization of preferred stocks. This suggests that foreign investors with informational advantages do not actively engage in profit-taking by trading preferred stocks, thus not narrowing the price difference. In summary, the recent surge in preferred stock prices is likely driven mainly by the irrational behavior of retail investors.