Earticle

초록

영어

Almost all prior studies on the Korean accrual anomaly focus on the stock market. In contrast to prior studies, our study examines whether or not the accrual anomaly exists in the Korean corporate bond market. Using the corporate bond data traded in the Korean market from 2000 to 2011, we find supporting evidence of the accrual anomaly in the Korean corporate bond market using three approaches: (1) hedge portfolio return test, (2) the Fama-French five factor (three equity market factors plus two bond market factors) time series regression test, and (3) the Fama-MacBeth cross sectional test. Next, we examine whether the unique Korean corporate governance system, chaebol, affects the magnitude of the accrual mispricing in the corporate bond market and find evidence that the accrual anomaly exists only for bonds issued by non-chaebol firms. This finding indicates that bond investors’ expectation about explicit or implicit subsidy from chaebol-affiliated subsidiaries dampens accrual mispricing of a chaebol firm. Taken together, our results suggest that investors in the Korean corporate bond market fixate on earnings, in particular, for non-chaebol firms.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. Data and Variable Definition
 Ⅲ. Results
 Ⅳ. Conclusion
 References

키워드

저자

• Young Jun Kim [ College of Business, Hankuk University of Foreign Studies ]
• Hyoung-Goo Kang [ Department of Finance, Hanyang University Business School ]
• Sewon Kwon [ Department of Business Administration, Sejong University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330