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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
제24권 제3호 (7건)
No
1

Structural Breaks or Long Memory for Stock Market Volatility and Volatility Forecasting

Hojin Lee

한국재무학회 재무연구 제24권 제3호 2011.08 pp.725-756

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In this study we examine whether daily S&P 500 index volatility can be modeled parametrically as a long-memory process by extending an integrated process to a fractionally integrated one. The modified R/S test statistic and others are significant at the 1% level of significance, so we reject the null hypothesis of no long-term dependence. We have found that there is strong evidence for long memory in the series analyzed. We compare the out-of-sample forecasting performance of volatility models from 1962 to 2009. For various forecasting horizons, the long-memory FIGARCH model tends to make more accurate forecasts. Our empirical finding that the index volatility has long memory is consistent with prior evidence showing that an asset market volatility model such as plain GARCH puts too much weight on recent observations in the estimation process relative to those of the past. The forecasting model with the lowest MSFE and VaR forecast error among the models we consider is the FIGARCH model. In terms of forecasting accuracy, it dominates the widely accepted GARCH and rolling window GARCH models. We find that the White’s reality check p-values for the FIGARCH (1, 1) expanding window model reject the hypothesis that there exists a better model than the two benchmark models. The Hansen’s p-values report the same results.

7,300원

2

Managerial Incentives and Risk-Taking Behaviors of Fund Managers

Seungyeon Won, Jae Joon Han, Shin Dong Jeung

한국재무학회 재무연구 제24권 제3호 2011.08 pp.757-788

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This study was based on the hypothesis that a fund manager has incentive to take more risk with funds to conceal his actual management ability. A theoretical model was built to test this hypothesis. According to the model, when a fund manager’s ability is not observable, a poor fund manager may increase a fund’s risk to conceal his real ability, so that poor performance may be attributed to external market factors rather than ability. Previous studies have usually suggested that the different risk-taking behavior of fund managers is encouraged by the asymmetric delivery of information on fund returns. Unlike previous studies, this study focuses on real-world situations where a fund investor has more access to information about fund returns, and his decisions are often affected by concerns about fund reputation. This study highlights the fact that a fund manager has incentive to utilize fund investors’ imperfect preception on his own managerial ability even under the condition that fund returns are all disclosed to fund investors. Additionally, this study applies Korean Equity fund data to empirically demonstrate that funds with lower risk-adjusted returns take more risks in the next period than do those with higher risk-adjusted returns, a finding that supports the results of the theoretical model.

7,300원

3

국내외 외부 주요주주가 기업의 투자결정에 미치는 영향

Young Hwan Kim, Sung-Chang Jung

한국재무학회 재무연구 제24권 제3호 2011.08 pp.789-817

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최근 들어, 기업의 투자가 부진한 이유를 외국인 투자자가 기업의 투자에 부정적인 영향을 주어서 발생한 것으로 보고 있다. 본 연구에서는 외국인 투자자가 기업의 투 자의사 결정에 부정적인 영향을 미치는 있는지 파악하기 위해 정보비대칭에 의한 자 본제약이론 관점에서 국내 주요주주와 외국 주요주주가 기업의 투자결정에 미치는 영향이 다른지 분석하고자 한다. 2000년부터 2008년까지 유가증권에 상장된 비금융 업 12월 결산법인 중에서 주식을 5% 이상 대량보유한 주요주주가 있는 기업을 대상 으로 국내 외부 주요주주 지분과 국외 외부 주요주주 지분이 실물투자인 설비투자율 과 연구개발투자인 연구개발투자율에 미치는 영향을 정태적 패널분석을 실시하여 분 석하였다. 분석결과는 첫째, 국외 외부 주요주주가 국내 외부 주요주주보다 자본제약 기업의 투 자-현금흐름 민감도를 감소시키는 역할을 하고 있다. 둘째, 연구개발투자율을 종속 변수로 분석한 결과, 국외 외부 주요주주가 국내 외부 주요주주보다 통계적으로 유의 하게 연구개발 투자를 증대시키고 있으며, 투자-현금흐름 민감도를 감소시키고 있 음을 보이고 있다. 따라서, 외국인 투자자는 국내 투자자 보다 상대적으로 정보비대 칭을 완화함으로써 기업의 투자에 긍정적인 영향을 주고 있음을 보이고 있다고 할 수 있다.
The purpose of this study is to investigate how the foreign outside blockholders affect a firm's investment policy. Since the Asian financial crisis, Korean corporation’s total investment has been decreasing. To name a few, they are structural obstacles to investment (Jeon, Kim, and Ha, 2005), increase in the cost of capital caused by decrease in debt ratio (Jeon, 2006), market and policy uncertainty (Lee, 2004), and increase in foreign ownership. The structural obstacles include the decreases in profitable investment opportunities, the globalization of production bases and Chinese growth, and weakened entrepreneurial momentum. This study particularly focuses on how foreign blockholders influence firms’ investment decisions. If, for instance, foreign investors have only short-term interest under the limitation of information asymmetry, they are not likely to be interested in firms’ long-run investment policies while demanding high dividend payout to recoup their investment as early as possible. The sharp increase in foreign ownership ratio may also create the market environment inductive to more hostile M&As in Korea. Therefore, it has been argued that firms had to spend a lot of cash to repurchase their own shares in the capital market, thereby decreasing investments. As such, this study analyzes the effects of foreign shareholders on firms’ investment policy from the view point of the theory of financial constraints under information asymmetry. Myers and Majluf (1984) argue that the firms with financial constraints have under-investment problems and prefer inside financing to outside capital, when there is an information asymmetry between inside managers and outside investors. Fazzari, Hubbard, and Petersen (1988) and Agca and Mozumdar (2008) also show that as the degree of information asymmetry (financial constraints) is mitigated, the investment-cash flow sensitivity decreases, while the investment of firms increases. Thus, this study argues that if the foreign investors are not disadvantaged by more information asymmetry than domestic shareholders are, they are more likely to play leading roles in increasing the investment of firms by facilitating the firms’ access to capital under reduced financial constraints. On the other hand, if the foreign shareholders suffer more information asymmetry than domestic shareholders do, they may be interested in short-term performance and demand higher dividend payout to the shareholders, consequently leading to the decrease of corporate investment. The previous studies with regards to this issue have shown conflicting results. Park (2004) and Sul (2006) argue that as foreign ownership increases, the corporate investment in facilities decreases. In contrast, Bin and Cho (2005), Lee (2005), Bae and Hwang (2006) show that the increases in foreign ownership do not directly affect firms’ investments in facilities. Kim (2003), Park and Lee (2006), Cho and Sul (2006) show that the foreign ownership is positively related with the R&D investments. However, Lee (2006) argues that the foreign shareholders do not necessarily affect firms’ investment in R&D. This study is different from the previous literature in that this analysis uses both fixed assets and R&D as the variables affecting firms’ investment decision. In addition, we conduct our studies on a separate pool of domestic and foreign outside blockholders who have more than 5% ownership from the rest of blockholders. Further, this study looks into whether and how domestic and foreign outside blockholders affect investment-cash flow sensitivity. Finally, we use the financial variables of all the non-financial companies listed in Korea exchange for the period of year 2000 through 2008. All the data are collected from the annual reports provided in the DART system of Financial Supervisory Service and KIS-value data base. After deleting some outliers having 1% extreme financial variables, 391 firms’ variables are used for this study. The static panel analysis is employed because this model considers the time series and cross-sectional characteristics as follows: INVit = α + βMajorownit - 1 + x' it - 1 r + uit , where INVit is the investment level of a firm i and year t as a dependent variable. Firms’ investments in both facilities and R&D are used as dependent variables, separately. Majorouwn it-1 is the ownership of major shareholders, and x it - 1 reflects control variables including cash flow, cost of capital, profitability, inside ownership, firm size, and growth rate. The results of our analysis are summarized as follows: Firstly, the panel analysis of the investments in plant and equipment as a dependent variable shows that outside foreign shareholders often end up decreasing the investment-cash flow sensitivity of firms by increasing the firms’ financial constraints. This result implies that outside foreign shareholders in the end play positive roles in reducing information asymmetry. Secondly, the panel analysis of firms’ R&D investment shows that more outside foreign shareholders’ involvement increases R&D investment significantly more than that of outside domestic blockholders; in short, foreign shareholders bring about the effect of decreasing investment-cash flow sensitivity of firms while tightening capital constraints. These observations imply that outside foreign investors play important roles in mitigating the information asymmetry problem while increasing the investments in R&D more than domestic blockholders do. That is, the foreign investors have contributed to the increase in the investments by making firms’ capital financing easier through the mitigation of information asymmetry. Some limitations in this study may arise due to some potential measurement errors of the firm size and retained earning/equity, used for the proxies of information asymmetry.

6,900원

4

조건부 도산확률을 이용한 은행부문의 시스템리스크 측정

Seung Hwan Lee

한국재무학회 재무연구 제24권 제3호 2011.08 pp.819-847

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본 연구는 한 금융기관의 도산이 다른 금융기관의 도산에 미치는 영향을 나타내는 조 건부 도산확률(conditional probability of default; CoPD)을 추정하고 이를 이용하 여 시스템리스크를 측정하는 방법을 제안하였다. 모의실험 결과 CoPD를 이용한 시 스템리스크 측정은 Adrian and Brunnermeier(2009)의 CoVaR의 문제점인 극단의 존성에 대한 측정오류를 해결할 수 있을 뿐만 아니라 금융기관의 재무건전성 정보를 반영하는 장점이 있는 것으로 나타났다. 6개 국내 은행을 대상으로 CoPD를 이용한 시스템리스크 측정 방법을 적용하여 시스템리스크 지표를 시산하였다. 시산 결과 시 스템리스크 지표는 2003년 신용카드 사태 이후 상당기간 안정세를 보이다가 글로벌 금융위기가 진행되었던 2007∼2009년 중에는 크게 상승하는 모습을 보였다. 또한 BIS자기자본비율과 외화유동성 비율이 시스템리스크 지표와 반대방향으로 2∼3분기 선행하여 변동하는 것으로 나타나 시스템리스크에 영향을 미치는 주요 요인으로 분 석되었다.
The 2007~2009 global financial crisis has highlighted the danger of systemic risk, largely caused by interconnectedness and externality among financial institutions. Generally, systemic risk is a difficult concept to define and measure accuately, making it even more challenging for policy makers to effectively address the issue. Although no clear consensus has been established on a formal definition of systemic risk, it usually denotes the risk related to all the potential results followed by the collapse of a whole financial system, consisting of many interacting financial institutions. In order to effectively prevent such systemic risk, it is necessary to first develop a reliable method to measure such risk. The previous studies on the systemic risk can be divided into two structural approaches: using contingent claims analysis (Lehar, 2005, Gray, Merton, and Bodie, 2008, and Gray and Jobst, 2009) and reduced- form approaches focusing on the statistical tail behavior of financial institutions’ asset returns (Adrian and Brunnermeier, 2009, and Chan-Lau, 2010). In this paper, we propose a new method to gauge systemic risk: the conditional probability of default (CoPD), which is derived from the joint probability distributions of banks’ asset returns. In order to obtain CoPD, we first estimate the joint probability distributions of asset returns and the default points of banks in the system. Since the market values of bank assets are unobservable, we estimate asset returns using stock prices and debt maturity structures following Merton (1974) and Crosbie and Bohn (2003). To maximize the consistency between asset values and asset volatilities, we estimate them using the recursive exponentially weighted moving average algorithm developed by Lee (2010). In doing so, we assume that a bank is in default if the market value of its assets is less than the default point, which is estimated based on the debt maturity structure of banks. We define CoPD as a default probability of a bank, conditional on other banks being in default. The difference between CoPD and unconditional PD, CoPD, contains useful information on systemic risk.CoPD denotes the change in default probability of bank i when bank j goes bankrupt. The stronger the interdependence between bank i and bank j gets, the higher CoPD becomes. This method allows us to develop systemic risk indicators which measure how much the default possibility of banks increases when other banks in the system go bankrupt. The systemic risk indicator (SRI) can be calculated based on the n×n CoPD matrix, whose element CoPD denotes the difference between CoPD and unconditional PD  . The overall systemic risk may be captured by the mean value of all off-diagonal elements in the matrix. SRI measures the increase in default probability of a bank on average when a bank in the system falls default. If there are no direct and indirect connections between banks, SRI approaches 0. The stronger the interdependence within the banking system gets, the higher SRI will be. In order to measure how much the default probabilities of other banks increase when the bank goes bankrupt, we also develop the systemic importance indicator (SII) of each individual bank as well as the systemic vulnerability indicator (SVI), which are supplementary information of the systemic risk indicator. We may calculate SII as the column mean of the CoPD matrix. On the other hand, the systemic vulnerability indicator of an individual bank measures how much the default probability of the bank increases when other banks go bankrupt. Thus, SVI can be calculated as the row mean of the CoPD matrix. Meanwhile, Adrian and Brunnermeier (2009) have proposed a popular systemic risk measure: CoVaR, which may evaluate the systemic risk contribution of an individual bank. However, this method entails some serious measurement errors on tail dependence. The concept of tail dependence generates a measure for extreme co-movements in the lower and upper tail of asset return distributions, respectively. A reliable systemic risk measure must correctly capture the lower tail dependence among the involved banks. Simulation results suggest that CoVaR underestimates the systemic risk if lower tail dependence is significant, whereas it overestimates the systemic risk if upper tail dependence is strong. The Monte-Carlo experiments show that CoPD can accurately address the problem with CoVaR on tail dependence. The CoPD may also reflect the information about the financial strength of banks. In this study, we calculate the systemic risk indicators for six Korean domestic banks by applying our method. The empirical results show that the systemic risk indicator of the Korean banking system had remained stable for a long period of time after the 2003 credit card crisis until the sub-prime mortgage crisis broke out (2007~2009). Since then the systemic risk of the Korean banking system has dramatically increased again. Secondly, large banks’ systemic importance is considerably high, while low-capital banks are systemically vulnerable. Finally, the BIS capital ratio and the FX liquidity ratio have changed in the opposite direction of the systemic risk indicator with a lead of two or three quarters.

6,900원

5

Empirical Studies in Exchange Rates and Foreign Exchange Markets : A Survey

Daekeun Park

한국재무학회 재무연구 제24권 제3호 2011.08 pp.851-908

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This paper presents a selective survey of the recent empirical research on exchange rates and foreign exchange markets in Korea. This paper focuses on four basic areas: purchasing power parity and real exchange rates, nominal exchange rate dynamics, foreign exchange market efficiency and market microstructure, and corporate finance issues of exchange rates including foreign exchange risk hedging. First of all, we introduce empirical studies that investigate whether the won/dollar exchange rate satisfies the purchasing power parity relationship in the long run and examine the determinants of short-run fluctuations in the won/dollar real exchange rate. Then, we introduce research about nominal exchange rate dynamics and exchange rate forecasting. Research based on the asset market approach is presented including those investigating the effect of “news” on nominal exchange rates. In addition, empirical studies about foreign exchange markets covering diverse topics such as market efficiency, foreign exchange market intervention and the market microstructure approach are discussed. Finally, studies that measure the foreign exchange exposure and identify the factors that determine the foreign exchange exposure of Korean firms are introduced together with studies that investigate the effect of foreign exchange risk on the return from international portfolio investment.

11,200원

6

A Survey of the Korean Literature on Corporate Governance

Chae-Yeol Yang

한국재무학회 재무연구 제24권 제3호 2011.08 pp.909-951

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Finance is unique in that researchers question even the integrity of managers. Researchers in other disciplines in management sciences consider managers to be agents with good intentions. They focus on supplying good instruments for managers to put into practice, failing to question the intent of managers. But researchers in corporate finance equipped with agency theory question the more fundamental problems and ask what if managers are bad or if managers are plagued with agency problems? These kinds of questions are the topics of corporate governance. Researchers in corporate finance who have a way of seeing things differently have brought and will bring many spectacular achievements in both the academic and practical world. This paper reviews the empirical literature on the corporate governance issues in the Korean capital market setting, where corporate governance issues are important because Korea’s chaebols, family-owned conglomerates, are blamed for minority shareholder expropriation via unlawful inheritances and accounting fraud with all the success in international markets. This survey focuses on the effectiveness of internal governance and external markets to monitor and control managers. The topics covered in the following four sections are: (1) The effect of corporate governance structure on corporate policy, (2) Corporate governance and firm value, (3) Market discipline, and (4) Determinants of governance structure. Finally, the discussion and conclusion are presented in the last section.

9,000원

7

Studies on Korean Capital Markets from the Perspective of Behavioral Finance

Keunsoo Kim, Jinho Byun

한국재무학회 재무연구 제24권 제3호 2011.08 pp.953-1020

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Behavioral finance encompasses research that gives up the traditional assumptions of expected utility maximization with rational investors in an efficient market. It is defined as the application of psychology to financial decision making and financial markets. Based on this definition, our review essay summarizes recent work of behavioral studies in Korean capital markets along with some pioneering papers in the behavioral finance literature. In Korea, behavioral studies are in their early stages of development. First, we start with discussion of the limits of arbitrage as a foundation of behavioral finance. We discuss the limits of arbitrage to explain why Friedman’s (1953) paradigm of arbitrage may not eliminate pricing errors in capital markets. Second, the prospect theory of Kahneman and Tversky (1979) and its related empirical results are reviewed. Third, empirical results related to overreaction and underreaction are addressed. Fourth, investors’ trading behaviors and return patterns as influenced by psychological biases are discussed. In conclusion, we address several areas to explore as promising research fields. First, experimental investigation with psychologists is warranted. Second, regional anomalies need be explored from behavioral perspectives. Investors’ behavior across cultures is also an interesting topic in behavioral finance. Third, collaborative work with other business areas is needed. Finally, corporate behavioral finance has much room for further investigation.

12,700원

 
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