재무연구 제16권 제2호::한국재무학회

1

최혁, 정재만, 이우백

한국재무학회 재무연구 제16권 제2호 2003.10 pp.1-29

※ 기관로그인 시 무료 이용이 가능합니다.

6,900원

USing a transactions database for stocks traded on the Korea Stock Exchange, we find strong evidence supporting the stealth trading hypothesis advanced by Barclay and Warner (1993). Medium-size trades are associated with a disproportionately large cumulative price change relative to their proportion of all trades , share vOlume, and won v이 ume. We also find that the price contribution of medium-size trades increases as the measurement interval increases. This result indicates that medium-size trades contain information on medium- to long-term price trends. Small-size trades contribute to the cumulative stock price change negatively, which is consistent with a common perception that small investors tend to chase very short-term profits. Surprisingly, we find evidence suggesting that large-size trades may

2

주식수익률의 비대칭적 변동성의 결정요인에 관한 연구

변종국, 조정일, 정기웅

한국재무학회 재무연구 제16권 제2호 2003.10 pp.31-65

※ 기관로그인 시 무료 이용이 가능합니다.

7,800원

3

기술적 거래전략의 예측력 검정

김상환, 조태근

한국재무학회 재무연구 제16권 제2호 2003.10 pp.67-93

※ 기관로그인 시 무료 이용이 가능합니다.

6,600원

In this paper we tested the hypothesis that the performance of the best technical trading rule is no better than that of the buy-and-hold strategy, uSing White’s Reality Check and Hansen’s Superior Predictive Ability test. We find that the null hypothesis was not rejected in the Korea Stock Exchange (KSE) market when the investment performance is measured with the simple return , but rejected based on the Sharpe ratio criterion. Therefore, we cannot be confident that the technical trading produces economically valuable signals in the KSE But in the KOSDAQ market the technical trading showed better investment performances on both evaluation criterions , which implies that the investment performance of the technical trading rule comes from its predictive ability, not from the simple luck. Empirical studies on the performance of technical trading applied to the stock price indices of small , medium and large-capital size show that the investment performance of the technical trading rule was not reliable , irrespective of the capital size, when the performance is evaluated with the simple returns. But the investment performance on the small-capital size was statistically trustworthy

4

전환사채 발행회사의 장기성과

정무권

한국재무학회 재무연구 제16권 제2호 2003.10 pp.95-127

※ 기관로그인 시 무료 이용이 가능합니다.

7,500원

Firms issuing convertible debt significantly underperform their matching firms of similar firm size and book-to-market ratio when we measure long-term performance uSing cumulative abnormal returns. Cross-sectional tests reveal that the stock underperformance is positively related with the subsequent operating performance whi le it is negatively related with pre-event stock performance. These empirical results support the notions that the market underreacts at the time of the debt offering announcement and that convertible debt is usually issued when the firm is overvalued. However, the long-term underperformance is not clear when we use the Fama-French intercept and the Calendar-Time Abnormal Returns to overcome

5

자사주 취득 기업들의 장기성과에 관한 연구

정성창, Yong-Gyo Lee

한국재무학회 재무연구 제16권 제2호 2003.10 pp.129-162

※ 기관로그인 시 무료 이용이 가능합니다.

7,600원

6

기업 출자의 효율성에 관한 실증 연구

진태홍, 송홍선

한국재무학회 재무연구 제16권 제2호 2003.10 pp.163-193

※ 기관로그인 시 무료 이용이 가능합니다.

7,200원