• The Journal of Asian Finance, Economics and Business
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• v.7 no.9
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• pp.125-134
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• 2020

This study examines the nominal price anomaly in the Vietnamese stock market, that is, whether stocks with low nominal price outperform stocks with high nominal price. Using a sample of all 351 companies listed on the Ho Chi Minh Stock Exchange (HOSE) from June 2009 to March 2018, we confirm our hypothesis and document that cheaper stocks yield higher subsequent abnormal returns. The results are robust after controlling for various stock characteristics that have been documented to be value-relevant in prior literature, including firm size, book-to-market ratio, intermediate-term momentum, short-term reversal, skewness, market risk, idiosyncratic risk, illiquidity and extreme daily returns, using both the portfolio analysis and the Fama-MacBeth cross-sectional regression. The negative effect persists in the long term (i.e., after up to 12 months), implying a slow adjustment of stock prices to their intrinsic value. Further analysis show that the observed nominal price anomaly is mainly driven by mispricing but not a latent risk factor proxied by stock price, thus the observed anomaly reflects a mispricing but not a fundamental risk. The study highlights the irrational behaviour of investors and market inefficiency in the Vietnamese stock market and provides important implication for investors in the market.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.7
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• pp.63-76
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• 2016

Most previous studies found a positive relationship between the value of a firm and its R&D investments. This research measures the impact of the timescale of the R&D investment of a firm on its value using panel vector autoregression. By measuring the time required for R&D to impact the value of a firm, this study demonstrates that the lead time is an essential factor in the analysis of the effect of R&D investment on a firm's value. Our study finds that the length of the lead time varies according to the firm's size, industry concentration, and book to market ratio. Firms with a higher industry concentration show a shorter lead time. Also, firms with a larger size and higher book to market ratio generally show a shorter lead time.

• The Korean Journal of Financial Management
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• v.26 no.3
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• pp.1-29
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• 2009

Since convertible debt has both characteristics of stocks and bonds, its issuance can be related to both interests of stockholders and bondholders. Nevertheless, the existing studies focused mainly on the wealth effect on stockholders. In this paper we revisit the hypotheses on the issue of convertible debt especially from the viewpoint of a firm's growth, by making an additional investigation into bondholders' wealth effects. We find that stockholders' wealth increases with bondholders' wealth in the firm whose book-to-market ratio is low and thus is considered a growth firm. This finding seems consistent with the hypothesis in which the issue of convertible debt mitigates the agency cost of debt in the high-growth firm.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.41 no.4
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• pp.81-90
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• 2018

Modern investment theory has empirically proved that stock returns can be explained by several factors such as market risk, firm size, and book-to-market ratio. Other unknown factors affecting stock returns are also believed to still exist yet to be found. We believe that one of such factors is the operational efficiency of firms in transforming inputs to outputs, considering the fact that operations is a fundamental and primary function of any type of businesses. To support this belief, this study intends to empirically study the relationship between firm efficiency and stock price performance. Firm efficiency is measured using data envelopment analysis (DEA) with inputs and outputs obtained from financial statements. We employ cross-efficiency evaluation to enhance the discrimination power of DEA with a secondary objective function of aggressive formulation. Using the CAPM-based performance regression model, we test the performance of equally weighted portfolios of different sizes selected based upon DEA cross-efficiency scores along with a buy & hold trading strategy. For the empirical test, we collect financial data of domestic firms listed in KOSPI over the period of 2000~2016 from well-known financial databases. As a result, we find that the porfolios with highly efficient firms included outperform the benchmark market portfolio after controlling for the market risk, which indicates that firm efficiency plays a important role in explaining stock returns.

• Asia-Pacific Journal of Business
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• v.11 no.4
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• pp.243-254
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• 2020

Purpose - This paper explores whether overnight returns measured from the last closing price to today's opening price explain the cross-section of stock returns. Design/methodology/approach - This study is conducted using the Korean stock market data from 1998 to 2018, obtained from DataGuide database. The analysis begins with portfolio-level tests, followed by firm-level cross-sectional regressions. Findings - First, when decile portfolios sorted on the daily average of overnight returns in the previous months, the highest decile portfolio exhibits a significant negative risk-adjusted return. This suggests that stocks with higher average overnight returns are temporarily overvalued due to buying pressure from investors. Second, at least 6 months of persistence exists in average overnight returns, which is in line with the results reported by Barber, Odean and Zhu (2009) that investor sentiment persists over several weeks. Finally, Fama-MacBeth cross-sectional regression of expected returns after controlling for a variety of firm characteristic variables such as firm size, book-to-market ratio, market beta, momentum, liquidity, short-term reversal, the slope coefficient for overnight returns remains negative and statistically significant. Research implications or Originality - Overall, the evidence consistently suggests that overnight return is considered as a new priced factor in the cross-section of expected returns. The findings of this paper not only adds to finance literature, but also could be useful to practitioners in making stock investment decision.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.7-14
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• 2021

This paper examines the impact of foreign ownership on stock price volatility in an emerging market, namely, Thailand. The data were obtained from SETSMART, the database of the Stock Exchange of Thailand (SET). After removing financial firms, banks, and insurance companies as well as filtering outliers, the final sample covers 1,755 firm-year observations from 371 nonfinancial firms listed on the SET over the five-year period from 2014 to 2018. The regression model consists of stock price volatility, measured by two methods, as the dependent variable, foreign ownership as the main independent variable, and firm characteristics including firm size, leverage, market-to book ratio, and stock turnover as the control variables. The pooled OLS, fixed effects, and random effects estimations are employed to examine the relationship between foreign ownership and stock price volatility. The results reveal that foreign ownership has a negative and significant impact on stock price volatility. The two-stage least squares (2SLS) are also performed to address potential endogeneity problem. The results still indicate a negative relationship between foreign ownership and stock price volatility. Taken together, the findings of this study suggest that foreign investors help reduce stock price volatility and thus stabilize share price in the Thai stock market.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.12 no.2
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• pp.699-711
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• 2011

This study is to perform several major analyses to find any differences in the leverage between the pre- and post-period of the currency crisis. Moreover, another aspect is to investigate a financial aspect which has received relatively little attention to the firms and/or industries in the emerging capital markets in comparison to those in the advanced markets. The purpose of this empirical study is to confirm whether or not, it is myth or reality that Korean business conglomerate, chaebol, firms with subsidized financing from government-owned domestic financial institutions in the pre-financial turmoil, may still maintain their higher leverage, even after the crisis. It was found that firms belonging to the chaebol in Korea maintained higher average book-value and market-value based debt ratios, relative to their counterparts not belonging to the chaebol across all of the tested models. There were positive relationships of IND3(=the chemical industry) and Ind5(=the construction industry) to the book-value leverage. This study identified that there were no differences in the explanatory variables included, between the tested models (that is, without and with including the present value of an operating lease) related to each debt ratio. Since the Korean government continue to improve the corporate governance of the domestic firms in terms of accounting transparency and corporate ownership, it would be more efficient, if utilizing this "new" ratio considering an operating lease as an effective measurement of the level of leverage. In terms of the capital structure, it may also be possible for foreign firms to utilize and benefit from the results obtained in this study when operating their new businesses in Korea, given the economic circumstances such as the ongoing progress of the Korea-America FTA or the Korea-China FTA.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.735-740
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• 2021

The purpose of this study is to assess how accounting conservatism is practiced in the Jordanian pharmaceuticals and medical industry. It assesses the association between accounting conservatism and intellectual capital (IC) in this industry. This study measures IC performance using the market price per share less book value. Accounting conservatism is measured using the book-to-price ratio, and the data was collected from company annual reports and the Amman Stock Exchange (ASE) website. The data was collected for the period of six years (2014 to 2019). The sample was made up of four companies in the industry listed in the ASE. The data was analyzed using the SPSS program though the ordinary least squares regression model to assess how accounting conservatism is associated with IC. The findings indicate a negative association with companies having higher IC performance and reporting lower accounting conservatism. IC is applied more in these companies, although it might be lower than in other companies in other sectors. This study provides empirical evidence on how IC is applied in the industry and how it might be negatively associated with accounting conservatism. Findings indicate the need for more effective policies to promote recognition of intangible assets in the sector.

• Korean Management Science Review
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• v.28 no.3
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• pp.61-72
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• 2011

This study suggests a DEA(Data Envelopment Analysis) based model to evaluate the value of corporate stock. The model integrating PER(Price-Earning Ratio), PBR(Price-BookValue Ratio), PSR(Price-Sales Ratio) and volatility in DEA structure has an advantage of overcome the limitation of traditional financial ratio based models. In order to show the effectiveness of the suggested model. we compare the performance of portfolio composed by DEA approach with those of portfolios made by traditional approaches such as PER, PBR, and PSR in terms of stock return and volatility. Specifically, we use the data of all the enterprises listed on the S&P 500 in the U.S. in 2007 and 2009 as the sample data for the experiments. The results of the experiments show that the performance of the DEA approach is clearly better than those of other approaches. Particularly, in sharply plummeting market, the performance of the DEA approach is shown to be prominently better than those of other approaches as the DEA approach reflects investment risk as well as profitability and growth. The DEA score combining the existing investment indices may serve as a useful barometer for selecting a stable and profitable portfolio.

• The Journal of Asian Finance, Economics and Business
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• v.10 no.2
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• pp.163-174
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• 2023

This study aims to investigate the effect of the composition of the board and ownership structure on a firm's value in Jordanian firms. Specifically, it aims to determine the effect of board size, (CEO) duality, and family, foreign, institutional, and government ownership on a firm's value. An ordinary least square regression (OLS) was employed to examine the study hypotheses in a sample of 35 Jordanian industrial firms (175 firm-year observation) for a period of five years from 2016-2020. As measured by Tobin's Q (Q ratio) and market-to-book (MB ratio) for Jordanian industrial firms listed on Amman Stock Exchange (ASE). The result found that foreign ownership, institutional ownership, and family ownership have a significant and positive effect on firm value. By contrast, government ownership does not have a significant effect on firm value. With respect to board composition (CEO duality and board size), the study results found no evidence to support the effect of board composition on firm value. The study recommended the concerned authorities with several recommendations, most notably: taking the necessary measures to ensure the continuity and growth of family businesses because of their positive impact on the value of the company and economic growth, spreading awareness about how governance protects the interests of investors.