• Korean Journal of Rural Living Science
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• v.6 no.2
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• pp.173-183
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• 1995

On the basis of intertemporal utility maximization theory and stock-adjustment hypothesis, a multivariate stock-adjustment credit demand model, which included on- and cross-adjustment effects of credit and cross-adjustment effects of assets was developed. With weighted four-year panel data from 1983 and 1986 Surveys of Consumer Finances, the theoretical model was tested using two-stage estimation method for tobit model. The results supported the hypothesis that, in general, the household demand for a certain type of credit was related to the demand for other types of credit and asset components in the portfolio. The household demand for mortgage credit, installment credit and revolving credit card debt depended not only on the disequilibrium of itself but on the disequilibrium of the other types of credit and asset components in the portfolio. The household demand for non-installment credit was related not to the disequilibrium of itself and other types of credit but to the disequilibria of asset components in the portfolio.

• 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.

• The Journal of Industrial Distribution & Business
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• v.4 no.1
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• pp.15-21
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• 2013

Purpose - Our goal was to determine whether there is a relationship between actual profits' deviation from the profits expected in earnings per share's adjustment announcements and the degree of apparent earnings management in annual financial statements. Research design, data, and methodology - The samples consisted of 133 companies from ten industries. The companies were selected among those listed in the stock exchange, and their data were examined covering the two-year period from 2008 to 2010. Tests were conducted using a regression model and SPSS statistical software. Results - The findings indicate the following. There is no significantly positive relationship among the last earnings per share's adjustment forecast, the first earnings forecast per share, and earnings management. Moreover, the amount of the latest earnings per share's adjustment forecast relative to its first forecast is not associated with the companies' discretionary accruals items. Finally, the hypothesis that a relationship exists between companies' latest adjustments of their earnings per share and earnings management was tested the results indicate that there is no such relationship. Conclusions - The study's results suggest that the amount of earnings per share's adjustment is not a motivation for earnings management.

• KDI Journal of Economic Policy
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• v.27 no.2
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• pp.123-154
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• 2005

Using Korean household data, this paper examines how consumption of durable goods is determined. Previous studies report that the standard Permanent Income Hypothesis (PIH), while being broadly consistent with non-durable goods consumption, provides little explanation for durable goods consumption. In this paper, we consider the (S, s) model as an alternative to the standard PIH. The (S, s) model predicts that, because of fixed adjustment costs, consumers make no adjustment to the durable goods stock until deviation from the optimal level becomes large. When the adjustments are made, the durable goods stock attains the optimal level. In order to test this prediction, we examine the intra-temporal relationship between non-durable goods and durable goods consumption and intertemporal changes in durable goods consumption, using data from the Korean Household Panel Study. The results show that, while the standard PIH is rejected by the data, the (S, s) model is not.

• International Area Studies Review
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• v.13 no.2
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• pp.277-297
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• 2009

This paper empirically investigates a long-run and short-run equilibrium relationships for exchange rate and stock prices in Korea and Japan from January 1998 to July 2008. Because using monthly data in my study, analyzes unit root test and VEC model including seasonality to overcome bias that happen in seasonal adjustment. The empirical evidence suggests that exists strong evidence supporting the long-run cointegration relationships between exchange rates and stock prices of the Korea and Japan. This implies that it is possible to predict one market from another for both countries, which seems to violate the efficient market hypothesis. In the long-run a negative relationship running from the KRW/JPY real exchange rate to the stock prices of Korea strongly argues for the traditional approach.

• The Korean Journal of Applied Statistics
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• v.16 no.1
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• pp.87-100
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• 2003

Most of statistical data are generated by a set of dynamic, stochastic, and simultaneous relations. An important question is how to specify statistical models so that they are consistent with the dynamic feature of those data. A general hypothesis is that the lagged effect of a change in an explanatory variable is not felt all at once at a single point in time, but The impact is distributed over a number of future points in time. In other words, current control variables are determined by a function that can be reduced to a distributed lag function of past observations. It is possible to explain the relationship between variables in different points of time and to estimate the long-run impacts of a change in a variable on another if time lag series of explanatory variables are incorporated in the model specification. In this study, distributed lag structure is applied to the domestic stock market model to capture the dynamic response of the market by exogenous shocks. The Domestic market is found more responsive to the changes in foreign market factors both in the short and the long run.

• Korean small business review
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• v.31 no.4
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• pp.67-93
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• 2009

The purpose of this paper is to explore the relations between financial constraints and dividend smoothing of innovative small and medium sized enterprises(SMEs) listed on Korea Securities Market and Kosdaq Market of Korea Exchange. The innovative SMEs is defined as the firms with high level of R&D intensity which is measured by (R&D investment/total sales) ratio, according to Chauvin and Hirschey (1993). The R&D investment plays an important role as the innovative driver that can increase the future growth opportunity and profitability of the firms. Therefore, the R&D investment have large, positive, and consistent influences on the market value of the firm. In this point of view, we expect that the innovative SMEs can adjust dividend payment faster than the noninnovative SMEs, on the ground of their future growth opportunity and profitability. And also, we expect that the financial unconstrained firms can adjust dividend payment faster than the financial constrained firms, on the ground of their financing ability of investment funds through the market accessibility. Aivazian et al.(2006) exert that the financial unconstrained firms with the high accessibility to capital market can adjust dividend payment faster than the financial constrained firms. We collect the sample firms among the total SMEs listed on Korea Securities Market and Kosdaq Market of Korea Exchange during the periods from January 1999 to December 2007 from the KIS Value Library database. The total number of firm-year observations of the total sample firms throughout the entire period is 5,544, the number of firm-year observations of the dividend firms is 2,919, and the number of firm-year observations of the non-dividend firms is 2,625. About 53%(or 2,919) of these total 5,544 observations involve firms that make a dividend payment. The dividend firms are divided into two groups according to the R&D intensity, such as the innovative SMEs with larger than median of R&D intensity and the noninnovative SMEs with smaller than median of R&D intensity. The number of firm-year observations of the innovative SMEs is 1,506, and the number of firm-year observations of the noninnovative SMEs is 1,413. Furthermore, the innovative SMEs are divided into two groups according to level of financial constraints, such as the financial unconstrained firms and the financial constrained firms. The number of firm-year observations of the former is 894, and the number of firm-year observations of the latter is 612. Although all available firm-year observations of the dividend firms are collected, deletions are made in the case of financial industries such as banks, securities company, insurance company, and other financial services company, because their capital structure and business style are widely different from the general manufacturing firms. The stock repurchase was involved in dividend payment because Grullon and Michaely (2002) examined the substitution hypothesis between dividends and stock repurchases. However, our data structure is an unbalanced panel data since there is no requirement that the firm-year observations data are all available for each firms during the entire periods from January 1999 to December 2007 from the KIS Value Library database. We firstly estimate the classic Lintner(1956) dividend adjustment model, where the decision to smooth dividend or to adopt a residual dividend policy depends on financial constraints measured by market accessibility. Lintner model indicates that firms maintain stable and long run target payout ratio, and that firms adjust partially the gap between current payout rato and target payout ratio each year. In the Lintner model, dependent variable is the current dividend per share(DPS_t), and independent variables are the past dividend per share(DPS_t-1) and the current earnings per share(EPS_t). We hypothesized that firms adjust partially the gap between the current dividend per share(DPS_t) and the target payout ratio(Ω) each year, when the past dividend per share(DPS_t-1) deviate from the target payout ratio(Ω). We secondly estimate the expansion model that extend the Lintner model by including the determinants suggested by the major theories of dividend, namely, residual dividend theory, dividend signaling theory, agency theory, catering theory, and transactions cost theory. In the expansion model, dependent variable is the current dividend per share(DPS_t), explanatory variables are the past dividend per share(DPS_t-1) and the current earnings per share(EPS_t), and control variables are the current capital expenditure ratio(CEA_t), the current leverage ratio(LEV_t), the current operating return on assets(ROA_t), the current business risk(RISK_t), the current trading volume turnover ratio(TURN_t), and the current dividend premium(DPREM_t). In these control variables, CEA_t, LEV_t, and ROA_t are the determinants suggested by the residual dividend theory and the agency theory, ROA_t and RISK_t are the determinants suggested by the dividend signaling theory, TURN_t is the determinant suggested by the transactions cost theory, and DPREM_t is the determinant suggested by the catering theory. Furthermore, we thirdly estimate the Lintner model and the expansion model by using the panel data of the financial unconstrained firms and the financial constrained firms, that are divided into two groups according to level of financial constraints. We expect that the financial unconstrained firms can adjust dividend payment faster than the financial constrained firms, because the former can finance more easily the investment funds through the market accessibility than the latter. We analyzed descriptive statistics such as mean, standard deviation, and median to delete the outliers from the panel data, conducted one way analysis of variance to check up the industry-specfic effects, and conducted difference test of firms characteristic variables between innovative SMEs and noninnovative SMEs as well as difference test of firms characteristic variables between financial unconstrained firms and financial constrained firms. We also conducted the correlation analysis and the variance inflation factors analysis to detect any multicollinearity among the independent variables. Both of the correlation coefficients and the variance inflation factors are roughly low to the extent that may be ignored the multicollinearity among the independent variables. Furthermore, we estimate both of the Lintner model and the expansion model using the panel regression analysis. We firstly test the time-specific effects and the firm-specific effects may be involved in our panel data through the Lagrange multiplier test that was proposed by Breusch and Pagan(1980), and secondly conduct Hausman test to prove that fixed effect model is fitter with our panel data than the random effect model. The main results of this study can be summarized as follows. The determinants suggested by the major theories of dividend, namely, residual dividend theory, dividend signaling theory, agency theory, catering theory, and transactions cost theory explain significantly the dividend policy of the innovative SMEs. Lintner model indicates that firms maintain stable and long run target payout ratio, and that firms adjust partially the gap between the current payout ratio and the target payout ratio each year. In the core variables of Lintner model, the past dividend per share has more effects to dividend smoothing than the current earnings per share. These results suggest that the innovative SMEs maintain stable and long run dividend policy which sustains the past dividend per share level without corporate special reasons. The main results show that dividend adjustment speed of the innovative SMEs is faster than that of the noninnovative SMEs. This means that the innovative SMEs with high level of R&D intensity can adjust dividend payment faster than the noninnovative SMEs, on the ground of their future growth opportunity and profitability. The other main results show that dividend adjustment speed of the financial unconstrained SMEs is faster than that of the financial constrained SMEs. This means that the financial unconstrained firms with high accessibility to capital market can adjust dividend payment faster than the financial constrained firms, on the ground of their financing ability of investment funds through the market accessibility. Futhermore, the other additional results show that dividend adjustment speed of the innovative SMEs classified by the Small and Medium Business Administration is faster than that of the unclassified SMEs. They are linked with various financial policies and services such as credit guaranteed service, policy fund for SMEs, venture investment fund, insurance program, and so on. In conclusion, the past dividend per share and the current earnings per share suggested by the Lintner model explain mainly dividend adjustment speed of the innovative SMEs, and also the financial constraints explain partially. Therefore, if managers can properly understand of the relations between financial constraints and dividend smoothing of innovative SMEs, they can maintain stable and long run dividend policy of the innovative SMEs through dividend smoothing. These are encouraging results for Korea government, that is, the Small and Medium Business Administration as it has implemented many policies to commit to the innovative SMEs. This paper may have a few limitations because it may be only early study about the relations between financial constraints and dividend smoothing of the innovative SMEs. Specifically, this paper may not adequately capture all of the subtle features of the innovative SMEs and the financial unconstrained SMEs. Therefore, we think that it is necessary to expand sample firms and control variables, and use more elaborate analysis methods in the future studies.