Earticle

Home

Issues

재무연구 [Asian Review of Financial Research]

간행물 정보
  • 자료유형
    학술지
  • 발행기관
    한국재무학회 [The Korean Finance Association]
  • ISSN
    1229-0351
  • 간기
    계간
  • 수록기간
    1988~2019
  • 등재여부
    KCI 등재
  • 주제분류
    사회과학 > 경영학
  • 십진분류
    KDC 325 DDC 658.46
제15권 제2호 (10건)
No
1

스톡옵션의 공시효과와 기업 특성

김창수

한국재무학회 재무연구 제15권 제2호 2002.10 pp.1-42

※ 기관로그인 시 무료 이용이 가능합니다.

This paper investigates the relationship between firm characteristics and the capital market response to the introduction of stock options. The capital market responds positively to the announcement of adopting stock options. However, the positive response is significant only over the period of clustered announcement dates. In addition, the announcement effect of manufacturing firms is significantly positive, while that of financial companies is negative For manufacturing firms, the announcement effect has a positive relationship with the growth potential and capital efficiency and a negative relationship with the size, liquidity, labor costs and leverage. Thus, the smaller growing firms with liquidity constraints and low leverage adopt stock options to get over the agency problem and compensate a relatively low salary of their employees. However, the variables for chaebol affiliation and the stock price volatility are not significant. The results for financial firms are almost identical except for the positive coefficient of liquidy variable.

8,800원

2

가격제한, 주식옵션의 본질 및 위험중립평가법

유진

한국재무학회 재무연구 제15권 제2호 2002.10 pp.43-65

※ 기관로그인 시 무료 이용이 가능합니다.

본고에서는 주가에 가격제한이 존재할때의 주식옵션의 본질적 특성을 두 가지 관점에서 규명하였다. 첫 번째 본질적 특성은, 이 옵션은 가격제한이 없는 경우의 옵션들과 무위험 무이표 채권으로 구성된 포트폴리오와 동등한 자산으로 간주될 수 있다 는 것이다. 두 번째 특성은, 가격제한이 존재하면 기초자산인 주가가 경로종속적 속성을 가지가 때문에 이 옵션은 경로종속적 옵션이 되고, 그러므로 이 옵션의 이론가를 산출하기 위한 모형은 이 특성을 적절히 반영하여야 한다. 마지막으로 이러한 옵션의 이론가 산정을 위하여 기준 연구에서 충분한 논의 없이 사용되었던 위험중립평가법의 방법론적 타당성을 논의한다
This paper reveals two properties of equity options in a market with price limits on their underlying assets. The first one is that an eq 비 ty option in such a market is equivalent to a portf이 io of a risk-free zero-coupon bond and equity options without price limits. The second one is that an equi ty option with price limits is path-dependent. This paper also discusses whether it is legitimate to use the risk-neutral valuation to price such an option. Finally this paper exemplifies a simplified numerical approach to identify the payo什distribution of such an option, incorporating its path-dependency.

6,000원

3

벤처기업의 사업가치 평가모형과 지식자산 기여도에 관한 실증 연구

이원흠, 최수미

한국재무학회 재무연구 제15권 제2호 2002.10 pp.67-106

※ 기관로그인 시 무료 이용이 가능합니다.

We introduce a theoretical valuation model of the venture company’s firm value. The most important characteristic of this model is its capacity to estimate the value of intellectual assets. as well as the enterprise. uSing publicly disclosed financial data. The valuation model consists of six groups of publicly available information ; namely. current financial assets. current and the prior period’s tangible asset, current and the prior period ’s net working capitals. current operating income, current expenses of knowledge management, and current investment assets. Because this makes the model very practical to apply in anal yses, it is possible to apply this model of firm value valuation to suit individual venture companies. The results of the positive study are as f이 lows . First, the size of intellectual assets. which is estimated from the expenses of knowledge management and networking investment turns out to be sizable. The estimated size of intellectual assets is reported to be 0.7 to 1.0 times of total assets in the balance sheet Second. the venture company valuation model can be used to estimate the proportion of the traditional value (including tangible asset value, working capital value and earnings’ value) , and the intellectual asset value (including technology. marketing, management, and networking asset values). The weight of each asset value is reported to be 40% : 60% in case of venture companies and 33% : 67% for internet companies.

8,500원

4

워크아웃기업의 출자전환에 관한 연구

박경서, 이은정, 장하성

한국재무학회 재무연구 제15권 제2호 2002.10 pp.107-141

※ 기관로그인 시 무료 이용이 가능합니다.

This paper analyzes the incentives of credit banks and firms that face financial crisis, focusing on their debt-equity swaps. Empirical analyses show that firms with larger asset sizes, higher debt ratios, lower debt coverage ratios, lower ownership by largest shareholder, and smaller fixed assets tend to implement debt-equity swaps. It also shows that banks with lower BIS ratios and higher loan concentration prefer debt-equity swaps as a way of restructuring failing corporate customers. These results provide an indirect evidence that supports too-big-to-fail hypothesis in corporate loan market.

7,800원

5

7,000원

6

국채선물을 이용한 헤지모형의 성과비교에 관한 연구

정진호, 임병진, 원종현

한국재무학회 재무연구 제15권 제2호 2002.10 pp.173-204

※ 기관로그인 시 무료 이용이 가능합니다.

This study investigates hedging performance of KTB futures with respect to KTB and various bond portfolios uSing VECM, VAR, Bivariate GARCH (1 ,1) and OLS regression models. Both weekly and daily hedging performance is evaluated. The sample period covers from January 4, 2000 to June 30, 2001. We found the f이 lowing results. Firstly, unit roots are found in KTB futures and various spot prices. Secondly, we can not find statistical differences among hedge ratios estimated from VECM, VAR. Bivariate GARCH (1 , 1) and OLS regression models. Thirdly, there are no significant differences in hedging performance among various models. Fourthly, weekly hedging produces the better hedging performance than daily hedging. Finally, overall hedging performance of KTB futures is relatively poor. This result implies that underlying spot bond portf이 io comprising KTB futures does not represent spot interest rate movements very well. It seems that we need more various futures products in KTB futures to enhance the hedging performance.

7,300원

7

구조적 변화를 고려한 주가지수와 거시경제변수와의 장기 균형관계

정성창, 정석영

한국재무학회 재무연구 제15권 제2호 2002.10 pp.205-235

※ 기관로그인 시 무료 이용이 가능합니다.

This paper investigates the long-run equilibrium relationship between stock prices and six macroeconomic variables, using Jonhansen’s co-integration analysis. In addition, using Hansen and Johansen (1993)’s recursive likelihood ratio test of the constant cointegration space, this study analyzes the stability of cointegraing vectors, i.e, the structural shift of the relationships between the macroeconomic variables We find that the Korean market is cointegrated with six macroecomonic forces However , the regime shift was found some time in 1987. Thus, with the dummy variable for the structural changes, this study investigates the long-run relationship between the stock prices and macroeconomic variables and shows that the signs of co-integrating vector are the same as the signs expected by the hypotheses. The stock prices are negatively related with the long-term interest rate, the oil prices and Korean won against the US dollars, and positively related with the inflation, the industrial production, and the supply of money.

7,200원

8

인터넷뱅킹의 진입과 생산비용

유극렬

한국재무학회 재무연구 제15권 제2호 2002.10 pp.237-259

※ 기관로그인 시 무료 이용이 가능합니다.

Introduction of internet banking will expand banking market, lower marginal production costs and make customers more sensitive to interest rates of financial products. The sensitivity can be represented by hazard rate. It is expected that market price will fall and quantity demanded will rise in equilibrium. Whether a bank introduces internet banking relies on the entry cost, the marginal cost reduction , the hazard rate and the degree of market expansion It is more likely for an incumbent bank to introduce internet banking when the entry cost is lower, the marginal cost reduction is higher the hazard rate is higher or the degree of market expansion is greater ‘ Introducing internet banking can be used as an entry deterrence measure.

6,000원

9

내부 반란, 사장의 연봉, 그리고 최적의 투자

송수영

한국재무학회 재무연구 제15권 제2호 2002.10 pp.261-296

※ 기관로그인 시 무료 이용이 가능합니다.

Most principal-agent literature has focused on how to control inefficiency caused by the information asymmetry. This article also addresses the control issue with regard to the compensation structure on how a board of directors as a principal could achieve an effective internal control over the CEO as an agent. Due to the unavol dable information asymmetry on the investment size between the board of directors and the CEO, the CEO is able to exploit the rents and use them as bribe not only to entrench himself but also to exploit more rents in the future. In the game theoretic model , the CEO chooses investment level , the second man decides to launch a palace coup or not, and the board of directors determines the pay gap between the CEO and the second man respectively. In equilibrium, the CEO chooses the optimal (or non optimal) investment for the shareholders when the pay gap between the CEO and the second man is larger (smaller) than that of the exploited rents. To our surprise, the second man’s equilibrium strategy ends up with no oalace coup regardless of whether the pay gap is larger than rents or not. In addition, the more able a CEO is, the larger the pay gap will be. Therefore , in equilibrium the board of directors could contr이 the CEO’s incentive by making the palace coup threat credible with the large pay gap. This article provides a new perspective on the role of the increased pay gap as an outcome of effective internal control, rather than an outcome of internal control failure

7,900원

10

위험 채권의 평가

이준희, 김윤태

한국재무학회 재무연구 제15권 제2호 2002.10 pp.297-329

※ 기관로그인 시 무료 이용이 가능합니다.

This paper presents a pricing formulas of the defaultable bond under the reduced-form model. The market value of the firm ’s asset, as the first state variable, is assumed to follow the jump-diffusion process which reflects the sudden changes of the firm value, and to exhibit a mean reverting. A new probability measure, “default risk adjusted forward measure", is defined and used to price the FRN. This new measure has a strong advantage of calculating interest rate derivatives with the default risk. The model is also extended to price the defaultable bond with the counterparty default risk.

7,500원

 
페이지 저장