• The Korean Journal of Financial Management
• /
• v.24 no.1
• /
• pp.1-27
• /
• 2007

In this study, we investigated the market long-term performance of stock splits by using the Korean Stock Market data from 1998 through 2002. We measured the performance by the event-time portfolio approach with the buy-and-hold abnormal return(BHAR) and the cumulative average abnormal return(CAAR). Also, the calendar-time portfolio approach with one-factor and three factor model were used for avoiding the misspecification model problem. The first of main results in this study was that the stock splits had significantly positive abnormal returns around the month of the stock splits announcements. However, the period BHAR and CAAR after the announcement month were significantly negative. This negative long-term abnormal returns were confirmed by the calendar-time portfolio approach. The results suggested that the abnormal return followed by the stock splits seemed to be positive in the short-term period. Second, there was no the difference of the long term performance between the high and the low split ratios. The operating income performance in the periods followed by the stock splits announcements grew worse. Therefore, the signalling effects, the managers of the firm under considering the stock splits would make use of splits as a form of signals for the upward changes in the cash flow or profits, could not be found. Finally, in contrast to Fama, Fisher, Jensen and Roll(1969), the significant negative abnormal returns following the stock splits were still found irrespective of the change of dividend payout ratio.

• The Journal of Asian Finance, Economics and Business
• /
• v.9 no.2
• /
• pp.363-370
• /
• 2022

The study aims to probe the impact of foreign ownership on Vietnamese listed firms' capital structure. This study employs panel data of 288 non-financial firms listed on the Ho Chi Minh City stock exchange (HOSE) and Ha Noi stock exchange (HNX) in 2015-2019. In this research, we applied a Bayesian linear regression method to provide probabilistic explanations of the model uncertainty and effect of foreign ownership on the capital structure of non-financial listed enterprises in Vietnam. The findings of experimental analysis by Bayesian linear regression method through Markov chain Monte Carlo (MCMC) technique combined with Gibbs sampler suggest that foreign ownership has substantial adverse effects on the firms' capital structure. Our findings also indicate that a firm's size, age, and growth opportunities all have a strong positive and significant effect on its debt ratio. We found that the firms' profitability, tangible assets, and liquidity negatively and strongly affect firms' capital structure. Meanwhile, there is a low negative impact of dividends and inflation on the debt ratio. This research has ramifications for business managers since it improves a company's financial resources by developing a strong capital structure and considering foreign investment as a source of funding.

• 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.

• The Korean Journal of Financial Management
• /
• v.23 no.2
• /
• pp.1-25
• /
• 2006

This paper studied the performance of momentum strategy and contrarian strategy based or past stock return ratio of Korean stock market. The comparative study shows that the volatility of stock markets that can be found the performance of momentum strategy is smaller than that of emerging stock market. Accordingly, This paper examines that the performances of momentum strategy and contrarian strategy are affected by the larger volatility in Korean stock market. Further analysis using the 6 years sub-portfolios reveals that the momentum strategy is significant only during 1980 to 1986 time period when it had the least market volatility. Additionally, we investigate whether firm-level volatility as well as market volatility influence on the performance of contrarian strategy, and figure out that the momentum strategy is significant for the portfolio composed of firms with smaller volatility for previous period, while not significant for the portfolio composed of firms with larger volatility.

• Korean Journal of Construction Engineering and Management
• /
• v.20 no.5
• /
• pp.3-11
• /
• 2019

This study is designed to examine the stock price of construction firms which are affected by the deregulation of new apartment sales price. As empirical methodology, it uses the traditional event study analysis to test the influence of the deregulation of new apartment sales price and the regression analysis to test which variables are related. The results of this study are summarized as follows : First, the cumulative abnormal return of stock is positive when government announced the deregulation of new apartment sales price. The cumulative abnormal return of stock for 21 trading day before -10 to +10 day is 25.51% which is significant different from zero at 1 percent level. This result suggests that the deregulation of new apartment sales price conveys good information to stock market that the firms performance will be good in the future. Second, in the regression analysis this study shows that the cumulative abnormal return of stock is related to firm's profit margin ratio.

• The Journal of Asian Finance, Economics and Business
• /
• v.6 no.3
• /
• pp.91-101
• /
• 2019

This paper finds some stylized facts about executive pay in South Korea. Using aggregate data of the listed companies since 2002, we find that 1) the director's remuneration has risen faster than the employee compensation, thus, the pay ratio of executive and employee has escalated from 3.0 to 4.5; 2) the executive compensation for large business group fluctuates more widely than that for small and medium enterprises does, hence the pay ratio for large firms changes widely too; 3) the median pay ratio has not grown monotonically but it rather rises to remain still around year 2011, which is accounted for mostly by small and medium enterprises. New information on executive compensation by compulsory disclosure starting from 2013 made further analysis of CEO compensation attainable. Based on the conventional regression analysis for 2013-2017, we find that 1) the elasticity of CEO pay with respect to firm value is about 0.18; 2) the volatility of stock return is negatively related to CEO pay; 3) contemporaneous stock return is positively associated with the pay; 4) there is insufficient evidence that large business groups pay their CEOs more than small and medium enterprises do. These results are robust under various model specifications.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.1
• /
• pp.873-880
• /
• 2021

The purpose of this study is to investigate the impact of internal control on credit risk of joint stock commercial banks in Vietnam from 2007 to 2018. Furthermore, we specify bank-specific characteristics and macroeconomic conditions, and analyze how these factors affect credit risk of banks: the number of board members, the number of board members with banking or finance background as ratio of total board members, loans to total assets ratio, loans to deposit ratio, the number of days between the year-end and the publication of the financial statements, and the use of top four auditing firms proxy for five elements of internal control. By using the dataset of 30 Vietnamese joint stock commercial banks and Bayesian linear regression via Random-walk Metropolis Hastings algorithm, the results of this study show that five elements of internal control have a impact on bank credit risk, namely, control environment, risk assessment, control activities, information and communication, and monitoring activities. For factors of banks' characteristics, bank size and financial leverage have a negative impact on banks' credit risk, and bank age has a positive effect. For macroeconomic factors, inflation has a positive impact and economic growth has a negative impact on banks' credit risk.

• Fisheries and Aquatic Sciences
• /
• v.9 no.1
• /
• pp.7-13
• /
• 2006

Using biochemical methods, we determined the potential of local female shrimp populations as breeding stock to select the best adult prawns for improving larval production. As condition indexes, we selected total RNA, DNA, their ratio, and trypsin activity. The DNA content in the pleopods of each local population was similar, i.e., between $0.90{\pm}0.06\;and\;1.02{\pm}0.04(SE){\mu}g/mg$. In comparison, the RNA contents differed markedly between $2.00{\pm}0.09$ and $0.96{\pm}0.08\;{\mu}g/mg$. Therefore, the RNA/DNA (R/D) ratio in the pleopod could be used as a condition index because it represents a biochemical characteristic of the population. The mean pleopodal R/D ratio of the Goheung population was the highest at $2.52{\pm}0.19$, which indicated the best condition. Trypsin activity was influenced little by shrimp condition and more by the amount of food ingested. The gonadosomatic index (GSI) and R/D ratio in the gonads provided offsetting information about the instantaneous gonad maturity. The Goheung population had the highest instantaneous GSI, despite some spawning. Based on the condition indexes and time of gonad maturation, the Goheung shrimp population is suitable for use as breeding stock.

• Journal of Intelligence and Information Systems
• /
• v.18 no.2
• /
• pp.143-156
• /
• 2012

People easily believe that news and stock index are closely related. They think that securing news before anyone else can help them forecast the stock prices and enjoy great profit, or perhaps capture the investment opportunity. However, it is no easy feat to determine to what extent the two are related, come up with the investment decision based on news, or find out such investment information is valid. If the significance of news and its impact on the stock market are analyzed, it will be possible to extract the information that can assist the investment decisions. The reality however is that the world is inundated with a massive wave of news in real time. And news is not patterned text. This study suggests the stock-index invest model based on "News Big Data" opinion mining that systematically collects, categorizes and analyzes the news and creates investment information. To verify the validity of the model, the relationship between the result of news opinion mining and stock-index was empirically analyzed by using statistics. Steps in the mining that converts news into information for investment decision making, are as follows. First, it is indexing information of news after getting a supply of news from news provider that collects news on real-time basis. Not only contents of news but also various information such as media, time, and news type and so on are collected and classified, and then are reworked as variable from which investment decision making can be inferred. Next step is to derive word that can judge polarity by separating text of news contents into morpheme, and to tag positive/negative polarity of each word by comparing this with sentimental dictionary. Third, positive/negative polarity of news is judged by using indexed classification information and scoring rule, and then final investment decision making information is derived according to daily scoring criteria. For this study, KOSPI index and its fluctuation range has been collected for 63 days that stock market was open during 3 months from July 2011 to September in Korea Exchange, and news data was collected by parsing 766 articles of economic news media M company on web page among article carried on stock information>news>main news of portal site Naver.com. In change of the price index of stocks during 3 months, it rose on 33 days and fell on 30 days, and news contents included 197 news articles before opening of stock market, 385 news articles during the session, 184 news articles after closing of market. Results of mining of collected news contents and of comparison with stock price showed that positive/negative opinion of news contents had significant relation with stock price, and change of the price index of stocks could be better explained in case of applying news opinion by deriving in positive/negative ratio instead of judging between simplified positive and negative opinion. And in order to check whether news had an effect on fluctuation of stock price, or at least went ahead of fluctuation of stock price, in the results that change of stock price was compared only with news happening before opening of stock market, it was verified to be statistically significant as well. In addition, because news contained various type and information such as social, economic, and overseas news, and corporate earnings, the present condition of type of industry, market outlook, the present condition of market and so on, it was expected that influence on stock market or significance of the relation would be different according to the type of news, and therefore each type of news was compared with fluctuation of stock price, and the results showed that market condition, outlook, and overseas news was the most useful to explain fluctuation of news. On the contrary, news about individual company was not statistically significant, but opinion mining value showed tendency opposite to stock price, and the reason can be thought to be the appearance of promotional and planned news for preventing stock price from falling. Finally, multiple regression analysis and logistic regression analysis was carried out in order to derive function of investment decision making on the basis of relation between positive/negative opinion of news and stock price, and the results showed that regression equation using variable of market conditions, outlook, and overseas news before opening of stock market was statistically significant, and classification accuracy of logistic regression accuracy results was shown to be 70.0% in rise of stock price, 78.8% in fall of stock price, and 74.6% on average. This study first analyzed relation between news and stock price through analyzing and quantifying sensitivity of atypical news contents by using opinion mining among big data analysis techniques, and furthermore, proposed and verified smart investment decision making model that could systematically carry out opinion mining and derive and support investment information. This shows that news can be used as variable to predict the price index of stocks for investment, and it is expected the model can be used as real investment support system if it is implemented as system and verified in the future.

• The Korean Journal of Financial Management
• /
• v.24 no.4
• /
• pp.201-232
• /
• 2007

In this study, we investigated public announcements of stock splits using the Korean Stock Market data from 2000 through 2007. The purposes of this study are to examine whether stock splits have the information contents in the Korean capital markets, and to investigate the possible cause of the market reactions. We measured the market reactions with abnormal returns, cumulative abnormal returns and cumulative average abnormal returns. For the purpose, two specific hypotheses were tested. One is 'Signalling Effects' where stock splits function as a signal through which managers transmit a favorable information for investors. The other is 'Liquidity Effects' where stock splits increase the trading convenience. We have th following results. Firstly, positive market effects were found when stock splits were announced. Secondly, there was difference in trading convenience between the high and the low split ratios. Finally, the long term performance through stock splits in the Korean capital markets was not significant.