• 재무관리연구
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• 제25권2호
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• pp.69-101
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• 2008

본 연구는 결정적변동성 옵션가격결정모형보다 더 일반적인 조건에서도 성립되는 옵션의 레버리지효과와 기초자산을 일차원확산과정으로 제약할 경우에만 성립되는 여분가정의 성립여부를 실증적으로 검증하였다. 다음으로 여분가정이 기각될 경우 해당원인을 규명하기 위해, 기초자산과의 선형적인 관계하에서의 레버리지 이외에 KOSPI 200 지수옵션의 가격동학에 내재된 추가적인 체계적 위험요인들을 규명하였다. 분석결과 이론과 일치하는 레버리지패턴이 존재하였지만 여분 자산가정은 기각되었다. 여분가정이 기각되는 원인을 분석한 결과, 선형적인 레버리지하에서의 기초자산의 불확실성에 대한 프리미엄 이외에, 비선형적인 수익구조하에서의 체계적 고차적률에 대한 선호와 체계적 확률변동성위험에 대한 음의 프리미엄이 옵션의 시장가격에 반영되어 있는 것으로 나타났다. 그러나 점프위험에 대한 선호여부는 명확하지 않으며 이에 대한 추가적인 연구가 요구되었다.

• 한국산학기술학회논문지
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• 제13권4호
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• pp.1625-1632
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• 2012

본 연구는 2000년부터 2007년 말까지 일본의 상장제조기업 중에서 자산을 매각한 기업과 그것을 구입한 기업을 대상으로 자산매각의 경제적 성과를 측정하고 이에 영향을 미치는 요인을 분석하였다. 사건연구 방법에 의한 분석결과, 자산매각 공시전후의 단기간에는 매각기업의 경우 양(+)의 초과 수익률을 얻었지만, 매수기업의 주주의 손익에는 변화가 없었다. 하지만, 같은 자산을 매각한 기업과 매수한 기업만을 분석한 결과 매각기업과 매수기업의 초과수익률은 유의한 양(+)이며 합동 초과수익률 또한 유의한 양(+)으로 나타났으므로 자산매각은 기업가치를 증가시키는 거래라고 결론지을 수 있다. 기업성과와 재무적 특성과의 횡단면회귀분석의 결과를 보면, 매각기업의 공시효과와 ROA, 부채는 유의적인 양(+)의 관계를 갖고 있고, 매수기업의 공시효과는 부채, 외국인 주주비율과 유의적인 양(+)을 보였지만 기업규모와는 유의적인 양(-)의 관계를 나타냈다. 그 외의 토빈의 q와 임원주주비율, 은행주주비율은 중요한 요인이 되지 못하고 있다.

• 재무관리연구
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• 제21권2호
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• pp.65-98
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• 2004

본 연구는 다양한 수익률 기간에서 미국 달러와 일본 엔화에 대한 우리나라 기업의 환노출과 비대칭성을 분석하고, 환노출이 어떠한 변수에 의해 영향을 받는지를 검토하는데 목적이 있다. 달러와 엔에 대한 외환위기 이후의 환노출을 분석한 결과, 장기수익률과 환노출 사이에 단조 증가하는 형태가 아니라 2개월이나 3개월 수익률에서 높은 환노출을 보이다가 감소한 후 다시 증가하는 모습을 보이고 있다. 또한 환노출의 결정요인 가운데는 성장기회가 두 통화 모두 대부분의 분석기간과 수익률에서 유의한 관계를 보이고 있다. 기업규모는 환노출과 음의 관계를 갖고 있으며, 외환위기 이후 단기 환노출에서만 발생하고 있다. 수출비중과 레버리지는 분석기간과 수익률에 따라 다양한 결과를 보이며, 유동성 변수는 미미한 영향을 보이는 것으로 나타났다. 비대칭성에 대한 분석 결과, 우리나라 기업의 환노출은 비대칭성을 갖고 있으며, 이는 시장점유율 이론으로 설명할 수 있는 것으로 나타났다. 또한 비대칭을 설명하는 요인 가운데는 수출비중이 공통적으로 나타나고 있어, 수출비중이 환노출의 비대칭성을 발생시키는 주요 원인인 것으로 분석되었다.

• 부동산연구
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• 제27권3호
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• pp.23-40
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• 2017

본 연구는 다양한 내부특성에 기초하여 기업의 부동산 자산 매각과 매입 의사결정의 동기와 유인을 파악한다. 실증분석결과, 기업은 부채비율이 높을수록, 보유한 현금수준과 매출액 성장률이 낮을수록 적극적으로 부동산 자산을 매각하는 것으로 확인되었다. 이러한 결과는, 재무적 제약, 내부 자금여력 및 성장기회가 부동산 매각을 결정하는 주요한 요인임을 확인시켜주는 결과로 해석될 수 있다. 반면, 부동산 자산 매입 가능성은 부채비율이 낮은 기업에서 상승하는 것으로 관찰되어 안정적인 재무구조가 동 의사결정 이전에 선행되어야 함을 확인할 수 있었다. 한편, 기업의 부동산 자산 매각과 매입 거래규모와 기업특성 간의 관계 역시 앞선 결과와 유사한 행태가 관찰되었다. 본 연구는 기업의 부동산 자산 활용에 대한 다양한 견해가 제기되고 있는 가운데, 보다 엄밀한 접근방식을 통해 그 동기와 유인을 파악함으로써 관련한 경영행태의 이해도를 개선시키고, 향후 관련 규제 도입과 경영 활성화 전략 수립 시 기초자료를 제공한다는 실무적 시사점을 가질 것으로 예상된다.

• 아태비즈니스연구
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• 제15권1호
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• pp.209-223
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• 2024

Purpose - This article analyzes the impact of macroeconomic variables of the United States, China, and Korea on KOSPI and VKOSPI, in that United States and China have a great influence on Korea, having an export-driven economy. Design/methodology/approach - The influence of US, China, and Korea interest rates, industrial production index, consumer price index, US employment index, Chinese real estate index, and Korea's foreign exchange reserves on KOSPI and VKOSPI is analyzed on monthly basis from Jan 2012 to Aug 2023, using multifactor model. Findings - The KOSPI showed a positive relationship with the U.S. industrial production index and Korea's foreign exchange reserves, and a negative relationship with the U.S. employment index and Chinese real estate index. The VKOSPI showed a positive relationship with the Chinese consumer price index, and a negative relationship with the U.S. interest rates, and Korean foreign exchange reserves. Next, dividing the analysis into two periods with the Covid crisis and the analysis by country, the impact of US macroeconomic variables on KOSPI was greater than Chinese ones and the impact of Chinese macroeconomic variables on VKOSPI was greater than US ones. The result of the forward predictive failure test confirmed that it was appropriate to divide the period into two periods with economic event, the Covid Crisis. After the Covid crisis, the impact of macroeconomic variables on KOSPI and VKOSPI increased. This reflects the financial market co-movements due to governments' policy coordination and central bank liquidity supply to overcome the crisis in the pandemic situation. Research implications or Originality - This study is meaningful in that it analyzed the effects of macroeconomic variables on KOSPI and VKOSPI simultaneously. In addition, the leverage effect can also be confirmed through the relationship between macroeconomic variables and KOSPI and VKOSPI. This article examined the fundamental changes in the Korean and global financial markets following the shock of Corona by applying this research model before and after Covid crisis.

• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.177-184
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• 2020

This paper analyzes factors affecting corporate investment decisions in economic groups listed on the Vietnam stock market. The panel data of the research sample includes 39 economic groups listed on the Vietnam stock market from 2009 to 2019. The Generalized Least Square (GLS) is employed to address econometric issues and to improve the accuracy of the regression coefficients. In this research, the investment rate is a dependent variable. Cash-flow (CF), Investment opportunities (ROA), Fixed capital intensity (FCI), Leverage (LEV), Sales growth (GR), Size (SZ), Business risk (RISK) are independent variables in the study. The model results show that cash flow and sales growth have the same impact on investment decisions of economic groups in Vietnam. In addition, investment opportunities have a negative impact on the capital investment decisions of economic groups. The remaining factors include fixed capital intensity, leverage, firm size, and business risks that have a weak and insignificant impact on capital investment decisions of economic groups in Vietnam. The findings of this article are useful for business administrators, and helping business managers make the right financial decisions. Besides, the research results are also meaningful to money management agencies. The authors recommend that the State Bank of Vietnam should maintain a sustainable monetary policy.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.243-253
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• 2021

This study aims to examine (1) the association between the chief executive officer tenure and audit quality, (2) the relationship between chief executive officer duality and audit quality, (3) the association between board independence and audit quality, (4) the relationship between board size and audit quality, and (5) the role of controlling variables (client size, leverage debt, and business complexity) in controlling these relationships. The research sample includes 325 financial reports from manufacturing firms listed in Amman Stock exchange over the 2014-2018 period. The study relationships are tested by using logistic regression. The results revealed a negative relationship, but not significant between CEO tenure and independent directors with audit quality. In addition, the results showed there is a negative effect of CEO duality on audit quality; also the results revealed that there is a statistically significant effect on the board of directors (board size) on the AQ. In general, the coefficient estimates of controlling variables show that client size and leverage debt positively affect audit quality, and on the contrary, business complexity has an insignificant positive relationship with audit quality. The summary of the study findings play an active role to external auditor opinion on business practice in towered the corporate governance system.

• The Journal of Asian Finance, Economics and Business
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• 제8권1호
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• pp.733-739
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• 2021

This study investigates the relationships of energy firm-level characteristics, namely; firm size, firm leverage, and firm performance with board diligence among companies listed in Saudi Stock Exchange (Tadawul) for the periods ranging from 2012 to 2019. The final sample of this study consists of 32 firm-year observations. A quantitative approach was adopted to test 3 specific hypotheses developed for the board diligence model. Using the Pooled OLS regression, this study finds that firm size and firm performance are negatively associated with board diligence. The results of this study indicate an insignificant association of firm leverage with board diligence. Besides, firm performance is related negatively to board diligence. This indicates that the board of companies with poor performance increases the number of its meetings because of the increased pressure on the board to improve its oversight operations and address the severe performance challenges. The increased number of board meetings observe the daily management of the company, increase the chances for discussions concerning the performance challenges, and come up with solutions faster. The directors are also likely to encounter heightened pressure to appear more engaged during a company's financial distress since lenders require a meeting of the board or with the board.

• The Journal of Asian Finance, Economics and Business
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• 제8권1호
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• pp.45-52
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• 2021

The capital structure is one of the hot financial topics among researchers and scholars. Its importance comes from the fact that capital structure is closely related to companies' ability to meet different stakeholders' needs. A suitable capital structure will boost the business and create a competitive advantage in the context of fierce competition. Many companies choose an optimal debt level based on the trade-off between interest and debt costs. This study aimed to test the existence of trade-off theory in capital structure, the case of Vietnam's real estate companies, which are growing very fast recently. Instead of considering constant optimal leverage to test the trade-off model, we take advantage of the dynamic capital structure determined by growth opportunities, profitability, tax incentives, tangibility, liquidity, and firm size. The dynamic panel data regression was estimated by the system Generalized Method of Moment (Sys-GMM). The empirical evidence showed that real estate companies listed in the Vietnamese stock market might change their leverage toward a target capital structure determined by influential factors in a long-term perspective. In particular, the debt-to-asset ratio will change by approximately 14 percent, positively, in response to the difference between the current debt-to-asset ratio and the dynamic target debt-to-asset ratio.

• The Journal of Asian Finance, Economics and Business
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• 제9권2호
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• pp.169-175
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• 2022

Unexpected events, such as the COVID-19 pandemic, can occur at any time and have an influence on all countries. The COVID-19 pandemic has infected more than 200 nations, including Indonesia. As a result of this phenomenon, Indonesia's state revenue system will need to be adjusted. Therefore, the goal of this research is to see if there are any differences in taxation in Indonesia as a result of the COVID-19 incident. The data was collected using the base years of 2018, 2019, and 2020. The information came from the financial statements of companies in the industrial sector that are publicly traded on the Indonesian Stock Exchange (IDX). Purposive sampling was used, and there were 54 companies represented in the samples that met the criterion. In this study, the difference test was used as an analytical technique. According to the findings, there was no difference in the pattern of tax avoidance between pre-COVID-19 in 2019 and during the COVID-19 period in terms of leverage and fixed asset intensity. It occurred because the tax avoidance policy was implemented as a short-term fiscal strategy to ensure the company's existence. Finally, because these findings were restricted to the Indonesian environment, their generalizability was limited.