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본 연구는 자본시장 개방을 전후한 장기적 관점의 베타특성 검증을 목표로 한다. 또한 산업군별 분석을 통해 베타 비대칭성의 산업군별 특성을 찾고자 시도하였다. 본 연구의 결과는 다음과 같이 요약된다. 첫째, 우리나라 주식시장의 전체 기간을 대상으로 상승장과 하락장에 대한 다양한 범주 하에서 비대칭 베타의 존재를 일관되게 확인하였다. 둘째, 우리나라의 자본시장 개방 이후 상승장에 대해서는 모든 장세구분 범주에서 개방 이전보다 민감도가 증가하였다. 그러나 하락장에 대해서는 다소 혼재된 결과를 보여 하락장 베타의 민감도가 확대되었다는 증거는 미약한 것으로 나타났다. 셋째, 우리나라와 국제 자본시장 간 동조화 현상을 검증한 결과, 개방 이후 동조화 현상이 높아졌으며 해외시장의 움직임을 조건부로 한 베타가 유의하게 높아짐을 확인하였다. 넷째, 산업군별 분석을 시행한 결과 비대칭 베타의 존재는 모든 산업군이 아닌 특정 산업군에서 집중적으로 나타났다. 다섯째, 세부 산업군 분석을 추가로 시행한 결과 유의한 비대칭 베타를 보인 산업군 내에서도 하위 산업군별로 차이가 존재함을 확인하였다. 결국 자본시장 개방의 효과는 산업군별로 서로 다른 충격과 이후 변화를 가져왔으며 글로벌 경기의 움직임을 투자지표로 하는 투자행태가 산업군별로 차별적으로 적용되어야 함을 시사한다.
This paper reports an overall regime shift in asymmetric beta upon liberalization of the Korean stock market. There are various researches for effects of market liberalization. Especially, the global financial crisis in recent triggers great controversy over the capital market liberalization and global financial integration. And after many emerging countries, even developed countries go through unexpected capital flow, such controversy is deepening. It leads for us to consider the liberalization of the Korean stock market discreetly. Previous studies mainly concentrate the impact to the foreign-exchange market and real economy or the effectiveness of foreign investment. However, the structural change of capital market itself has been ignored. We attempt to organize specific arguments and previous discussions upon economic impact of the liberalization. We verify the long-term beta features using the longest data before and after Korean capital market liberalization. And we also attempt to identify the industrial characteristics of asymmetric beta. Hence, our study can be considered as associative study of capital market liberalization issue and asymmetric beta issue. The empirical results are summarized as follows. First, over the sample period, we consistently observe the existence ofasymmetric beta under the diverse categories of bull market (bear market). Our finding is consistent with previous studies such that the investors recognize the upside gain and down loss differently. Second, the sensitivity of beta under a bull market has increased after the liberalization. However, we find only weak evidences of beta expansion in bear market. These results denote that the typical paradigm that the sensitivity to down loss is higher is maintained, however, the investors are more conscious about the upside after the liberalization. In other words, the investors actively start to reflect the upside signal after the liberalization. Third, we find an intensified co-movement of Korean capital market and the foreign capital markets, Additionally, the conditional beta by the foreign market’s direction increases significantly. However, PND, the simplest criteria, shows the opposite results. It denotes that the investment strategy based on PND criteria may make an erroneous decision. Forth, the intensity of asymmetry beta varies in the cross-section of industrial sectors. Based on KSIC, we only observe asymmetric beta in ‘manufacturing’, ‘construction’, ‘financial and insurance business’, and ‘professional and scientific service’ sectors. Specially, in the majority of sectors, downward beta is higher than upside beta, however, the opposite result is derived in ‘financial and insurance business’ sector. It denotes that ‘financial and insurance business’ sector takes the leading role in increasing for the upside beta after the liberalization. Fifth, from the detailed analysis with industrial sub-sectors, we verify the significant differences among sub-sectors despite the significant upper-sectors. As a result, the capital market liberalization affects separate impacts and post changes by the industry sector. A practical implication suggests sector-based differentiation in portfolio management facing global market risks. We ask for careful attention to interpret our results. Korean capital market has experienced a considerable change by complex policies after the liberalization. Therefore, restricted interpretation such that our empirical findings are not derived only from the liberalization, but rather the liberalization becomes a turning point of the structural change and there is a possibility such that the discriminative impacts by industrial sectors after the liberalization is appropriate.
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본 연구는 회계정보의 질이 자본시장 참여자들의 정보비대칭을 완화시켜 기업의 자본 비용을 감소시키는지 분석하였다. 본 논문의 주된 분석결과는 다음과 같다. 첫째, 회계정보의 질과 자기자본비용 사이에는 통계적으로 유의한 음(-)의 상관관계가 존재 하는 것으로 나타났다. 둘째, 기존의 선행연구들과는 다르게 기업지배구조 및 재무분석 가의 이익예측치 변동성에 대한 변수는 자기자본비용과 통계적으로 유의한 상관관계를 보이지 않는 것으로 나타났다. 이 결과들은 높은 수준의 회계정보가 자본시장에서 그 기업의 정보위험을 줄여주고, 이는 해당기업의 자기자본비용을 간접적으로 감소시키는 효과가 있다는 Bhattacharya, Ecker, Olsson, and Schipper(2012)의 연구결과와 동일하다. 또한 회계정보의 질이 가지는 영향이 기업지배구조나 재무분석가의 이익예측치에 대한 변동성이 가지는 정보효과 보다 크다는 것을 의미한다. 회계정보의 질과 자기자본비용간의 음(-)의 상관 관계는 Easton(2004)의 자기자본비용 변수들을 이용한 추가 분석에서도 동일하게 나타났다. 이상의 결과들을 종합해 보면 발생액의 질로 측정한 회계정보의 질은 국내 기업의 자기자본비용에 상당한 영향을 미치고 있으며, 이것의 정보효과는 기업지배 구조나 이익예측치의 변동성이 가지는 정보효과 보다 훨씬 큰 것으로 판단된다.
The information asymmetry between managers and outside investors is a significant cost to firms. The related literature suggests that there is a negative relationship between information quality and cost of equity. The poor information quality represents imprecise information about firms’ future cash flows and is associated with higher information asymmetry, such that it increases the cost of equity capital. Bhattacharya et al. (2012) show that both accounting information quality and information asymmetry are related to the cost of equity. We measure firms’ accounting information quality based on the earnings accruals model in Francis et al. (2005), in which accounting information quality proxied by accruals quality is estimated based on the extended model of Dechow and Dichev (2002). The extended model posits an association between current period working capital accruals and operating cash flows in the prior, current and future periods, controlling for changes in revenues, property, plant and equipment as additional explanatory variables. Francis et al. (2005) show that working capital accruals reflect managerial estimates of cash flows, and the extent to which those accruals do not map into cash flows and, changes in revenues, property, plant and equipment is an inverse measure of accruals quality. They use an accruals measure that does not distinguish between intentionalearnings management and unintentional estimation errors from the model, as both measures imply poor accounting information quality. A cost to firms is measured by the implied cost of equity capital (ICOE) from an extension of the residual income valuation model (Ohlson, 1995). The ability to reliably estimate the cost of equity capital is an important issue for both academics and practitioners. In financial decision making, the ex-ante cost of equity capital is one of the most important factors, as it affects the value of a project or asset. However, as it is not easily observable in the market, we must estimate the ex-ante cost of equity capital. The literature suggests an approach (the residual income valuation model, or RIM) that calculates the internal rate of return by equating the stock prices with the present value of all future cash flows to common shareholders based on contemporaneous earnings forecasts. Gebhardt et al. (2001) estimate the rate of return (ICOE) that the market implicitly uses to discount a firm’s expected future cash flows. They find that the ICOE based on the RIM is a reliable proxy for the ex-ante cost of equity capital. Lee and Masulis (2009) measure a firm’s information asymmetry by its accounting information quality based on the extended earnings accruals model of Dechow and Dichev (2002). Lee and Masulis (2009) investigate whether poor accounting information quality raises uncertainty about a firm’s financial condition among outside investors, resulting in higher flotation costs in seasoned equity offerings. They find a significant and negative relationship between accounting information quality and flotation costs, and thus claim that their measures of accounting information quality are credible proxies for the information asymmetry. In this paper, we investigate the association between accounting information quality and the implied cost of equity capital. Specifically, we examine whether high- quality accounting information proxied by quality of accruals can alleviate information asymmetry among participants in the market, effectively reducing the cost of firms’ equity capital. To test our main hypothesis, we use a sample period from 2003 to 2007 and our alignment of accounting information quality and the implied cost of equity variables is based on the fiscal years used to measure the quality of accruals. Our sample includes only non-financial companies listed on the Korea Exchange. The final sample comprises 474 firm years. Our results reveal a statistically significant and negative relationship between accounting information quality (measured by accruals quality), as estimated by Francis et al. (2005), and the implied cost of equity capital, estimated from the residual income valuation model (Gebhardt et al., 2001), which is consistent with the literature. This finding implies that high-quality accounting information about firms’ future cash flows reduces information asymmetry between insiders and outside investors, thus lowering the cost of equity capital. However, the common proxies for information asymmetry, such as corporate governance indices and analysts’ earnings forecast errors, are not related to the implied costs of equity. We also find a significantly negative association between accounting information quality and the cost of equity capital estimated from Easton’s (2004) model. In conclusion, the results of our analysis suggest that higher- quality accounting information is a more effective way of reducing the cost of equity capital than good corporate governance and low volatility of earnings forecasts.
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본 연구는 한국 주식시장 자료를 이용하여 금융시장 유동성과 경기변동 간의 인과관계에 대한 새로운 증거를 제시한다. 1987년 1분기부터 2013년 2분기까지 한국거래소(KRX) 유가증권시장에 상장된 주식의 일별 거래자료를 이용하여 구성한 주식시장 유동성 지표와 실질 GDP, 소비 및 투자 성장률과 실업증가율 등 실물경기지표의 분기 시계열을 분석한 결과, 유동성이 실물경기지표보다 선행하며 미래의 경기변동을 예측할 수 있음을 확인한다. 예측모형의 추정 결과, 주식시장 유동성의 개선은 향후 실물경기의 성장을, 유동성의 악화는 실물경기의 둔화를 예측하며, 다른 금융시장 변수의 통제 하에서도 예측력이 사라지지 않는다. 이 결과는 주식시장 유동성이 미래의 실물경기변동에 대하여 주식을 비롯한 여러 금융자산의 가격변수가 가지지 않은 추가적인 정보를 담고 있으며, 투자자들의 거래활동이 미래의 실물경기에 대한 기대를 바탕으로 이루어지고 있음을 시사한다. 유동성의 경기 예측력은 기업규모가 작고 배당성향이 낮은 주식에서 특히 강하게 나타나며, 유동성 척도의 선택에 따라 길게는 2년 뒤의 경기변동을 예측할 수 있다. 유동성의 실물경기 예측력은 표본 외 예측에서도 여전히 유효한 반면, 실물경기 변동의 주식시장 유동성 예측력은 통계적으로 유의하지 않다.
The world economy has experienced several historical events in which liquidity dry-ups were accompanied by real economic recessions, including the Asian crisis in the late 1990s and the global financial crisis in the late 2000s. Since then, financial market liquidity has been extensively studied and several recent empirical studies have documented evidence of time variation in liquidity and its relation to the macroeconomy (Fujimoto, 2004; Lu and Glascock, 2010; Næs, Skjeltorp, and Ødegaard, 2011). While there is a consensus about the close link between financial market liquidity and the real economy, previous studies provide conflicting views on the lead-lag relation, or causality between them. In this study, we use Korean stock market data to provide new empirical evidence that financial market liquidity has leading information on the real economy. To this end, we examine the time-series relation between stock market liquidity and the real economy using the daily data of stocks listed on the Korean Stock Exchange and quarterly macroeconomic variables over the 1987 to 2013 period. Specifically, we construct two aggregate liquidity measures at a quarterly frequency following Amihud (2002, Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets 5, 31-56) and Pastor and Stambaugh (2003, Liquidity risk and expected stock returns, Journal of Political Economy 111, 642-685), and we also use real GDP, real consumption, real investment and unemployment rate as proxies for the state of the real economy. Our empirical findings are as follows. First, we find that stock market liquidity varies before a change in real economy, and that liquidity has significantforecasting power for future real economic growth. The estimation results of our predictive models indicate that improved stock market liquidity predicts real economic growth, whereas deteriorating stock market liquidity predicts a slowdown in the real economy. The predictability of stock market liquidity is highly significant even after controlling for various financial market variables known to be important predictors of the real economy, such as monetary liquidity, interest rate, dividend yield, market excess returns and market volatility. This implies that stock market liquidity contains leading information not contained in other asset price predictors for future economic conditions. Second, from Granger causality tests, we find evidence that stock market liquidity causes changes in the real economy, whereas the real economic variables do not have significant forecasting power for future stock market liquidity. This result provides new evidence for conflicting views about the lead-lag relation between liquidity and the macroeconomy in the literature, and further highlights the critical role of stock market liquidity as a predictor of the real economy. Third, we analyze the effects of firm characteristics on the predictability of liquidity, and find that the liquidity of stocks with low market capitalization and low payout ratio contains more significant information about future economic conditions than that of large and high-payout-ratio firms. Given that small and low -payout-ratio stocks are more likely to be affected by a recessionary shock in the real economy than large and high-payout ratio stocks, investors may trade those stocks according to the prediction of future economic conditions, resulting in the market liquidity of those stocks being highly informative. The result implies that the predictability of stock market liquidity comes from investors’ trading activities based on rational expectations of future economic states. Finally, our results are robust for choice of liquidity measures and real economic indicators, and the out- of-sample predictability is also statistically significant. We also document that stock market liquidity can significantly forecast up to two-year-ahead economic conditions. Moreover, the predictability of liquidity is not much affected when the specific periods of the Asian crisis and the global financial crisis are excluded from the sample. Overall, our findings are consistent with flight-to-quality, the phenomenon wherein investors suddenly shift their portfolios from risky assets to safe ones during economic downturns, creating a negative shock in the liquidity of risky assets. This implies that stock market liquidity contains valuable information about future economic states not contained in other asset price variables, and highlights the role of liquidity in financial markets as a predictor of the real economy. Our study contributes to the literature on the time variation of liquidity in emerging markets by taking a closer look at the Korean economy. Although numerous studies have examined the effects of financial market liquidity on asset pricing and the macroeconomy, most of them have focused on major developed markets, including the U.S. stock market. Given that several emerging economies including Korea have suffered from a lack of liquidity during financial crises, they are suitable for investigating the relation between liquidity and economic states. In particular, empirical research on liquidity in the Korean stock market has been mainly confined to market microstructure issues. Our findings provide a new direction for future research on financial market liquidity in Korea.
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기관투자자는 경영진에 대한 감시활동을 통해 기업가치를 높일 수 있는(e.g., Kaplan and Minton, 1994; Chung, Firth, and Kim, 2002) 반면, 기관투자자 또한 자신의 이익을 극대화하기 위하여 경영진의 기회주의적 행위를 방조하거나 회계이익의 질을 낮추도록 유도할 수도 있다(e.g., Agrawal and Knoeber, 1996; Black, 1998; Parrino, Sias, and Starks, 2003). 이러한 결과는 기관투자자가 기업지배구조에 미치는 영향이 기관투자자의 성격이나 투자행태에 따라서 달라질 수 있음을 시사한다. 본 연구는 기관투자자의 투자행태가 재무보고 시 내부통제의 효율성에 미치는 영향을 분석하기 위하여, 기관투자자의 투자기간(Institutional investor horizon)이 내부통제의 취약점 (internal control weakness)에 미치는 영향을 분석하였다. 실증분석 결과, 기관투자자의 지분율은 내부통제 취약점 보고의 확률과 건수를 모두 감소시키는 반면, 이와 같은 순기능은 기관투자자의 투자기간이 짧아질 경우에 현저히 약화되는 것으로 나타났다. 본 연구의 분석결과는 기관투자자가 자금운용을 위탁한 최종수익자의 대리인으로 수익자가 단기투자를 선호할 경우 장기적 성과보다는 단기적 성과를 보다 중시할 것이 라는 가설에 부합되는 것이다.
Institutional investors have increased their presence in financial markets (Gompers and Metrick, 2011), securing positions as dominant players by becoming actively involved in firms’ operations. Active institutions influence the board of directors and management, thus bringing about changes in corporate policies, influencing governance, and affecting the quality of financial reporting and corporate disclosure. While some studies have found that institutional investors actively monitor firms’ management and mitigate managerial agency problems (e.g., Kaplan and Minton 1994; Chung, Firth, and Kim 2002), other studies have argued that institutional investors seeking to maximize personal benefits influence firm management, prompting managerial opportunism such as earnings management (e.g., Agrawal and Knoeber, 1996; Black, 1998; Parrino, Siasand, and Starks, 2003). Recent papers have focused on the investment horizons of institutional investors, such that long-term institutional ownership improves corporate governance (Lee and Chung, 2012), exhibits less tax avoidance (Khurana and Moser, 2013), and increases investment (Derrien, Kecskés, and Thesmar, 2012). Firms with large portions of transient institutions are more likely to reduce research and development expenditures (Bushee, 1988) and get lower premiums at acquisitions (Gasperet al., 2005). In Korea, domestic institutional investors exhibit short-term trading behavior and fail to contribute to the increase in earnings quality (Cheon, 2003). Likewise, Kwon (2007) classified institutional investors into four types: financial institutions, security companies, insurance companies, and foreign investors. He found that foreign investors and insurance companies improved earnings quality, whereas other local institutional investors tended to focus on short-term profits and did not contribute to the increase in earnings quality. Research has indicated that short-term investors have less incentive to engage in improving a firm’s long-term performance, but use their informational advantage to enjoy the personal benefits of short-term stock trading (Park and Song, 2014). Thus, the monitoring role played by institutional investors is closely related to their investment behavior. In this paper, we study the effect of the investment horizons of institutional investors on the effectiveness of internal control systems over financial reporting. Specifically, we examine how the investment horizons of institutional investors effect the disclosure of material weaknesses in internal control over financial reporting under Section 404 of the Sarbanes-Oxley ACT of 2002. We measure institutional investors’ portfolio turnover using churn rate, as introduced by Gasper et al. (2005), which measures how frequently an institution buys and sells its stocks. Our measure of a firm’s investment horizon is the weighted average of the total portfolio churn rates of its institutional investors. We find that institutional investor ownership decreases both the frequency and the number of material weaknesses under the SOX 404. However, this positive relationship is weakened as institutional investors’ investment horizon for each firm is short-term. These findings suggest that institutional investors’ influence over the effectiveness of internal control is closely dependent on their investment horizons. Our results contribute to the literature that the role of institutional investors in enhancing internal control systems is closely related to institutions’ investment horizons.
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본 연구에서는 2001년 1월부터 2013년 5월까지 국내 주식형펀드의 인플레이션 헤지 능력에 대해 살펴본다. 선행연구에서 볼 수 있듯이, 인플레이션 헤지능력은 여러 가지 방법으로 측정될 수 있지만, 본 연구에서는 Bekaert and Wang(2010)과 Ang, Biere, and Signori(2012)에서와 같이, 주식형펀드 수익률이 인플레이션과 양(+)의 관계를 가지는 경우 그 주식형펀드는 인플레이션 헤지능력이 있다고 정의한다. 또한, 주식형펀드에서의 인플레이션 헤지능력이 펀드매니저의 능력(skill)에 기인한 것인지, 표본추출오차(sampling variation)에 의한 운(luck)에 기인한 것인지를 구분하기 위해 부트스트랩(bootstrap)을 이용한 횡단면 운분포(cross-sectional luck distribution)을 이용한다. 분석결과, 실제 인플레이션과 기대인플레이션을 이용한 분석에서는 소수의 주식형펀드가 인플레이션과 양(+)의 관계를 가지는 것으로 나타났으나, 횡단면 운분포를 이용하여 검토한 결과, 이러한 결과는 펀드매니저의 능력이라기보다는 운에 의한 것으로 조사 되었다. 또한, 인플레이션 베타가 시간가변적이기 때문에, 표본기간을 두 기간으로 구분하여 분석하였다. 그 결과 두 하위 표본기간 모두에서 운에 의해서 일부 주식형펀드가 인플레이션과 유의한 양(+)의 관계를 가지는 것으로 나타났다. 강건성을 검증하기 위해 시이브 부트스트랩(sieve bootstrap)과 안정적 부트스트랩(stationary bootstrap)을 이용하였으며, 이 분석에서도 운에 의해, 즉 표본 추출오차에 의해, 소수의 주식형펀드 에서 인플레이션과 유의한 양(+)의 관계가 나타나는 것을 나타났다. 또한, 펀드의 운용 스타일을 ‘대형/소형’ 그리고 ‘가치/성장’으로 구분하여 추정한 결과 역시 전체 표본을 이용한 분석결과와 유사하게 나타났다. 마지막으로 인플레이션 헤지능력의 지속성을 검토해 보았을 때, 국내 주식형펀드에서는 지속성이 관찰되지 않았다. 이는 투자자들이 인플레이션 헤지능력을 가진 펀드로 포트폴리오를 구성하기는 쉽지 않다는 것을 의미한다.
Since the seminal work of Irving Fisher, the question of how stocks covary with inflation has been extensively examined because inflation risk erodes purchasing power and threatens invetor’s long-term objectives (Ang et al., 2012). Most studies found that nominal stock market returns and inflation are negatively correlated. However, there are some evidence that some non-cyclical industries tend to covary positively with inflation, even though the inflation beta is not significant. In addition, the previous literature has focused on the hedging ability of aggregate stock market indices. Recently, Ang et al. (2012) found that some stocks have the ability to be good inflation hedges, suggesting that an investor seeking to hedge inflation risk would optimally hold this firm-level constructed portfolio rather than a market-weighted index. Therefore, if equity funds construct their portfolios based on individual stocks whose returns covary strongly with inflation, those funds have the potential to provide a better inflation hedge for investors, especially who want to avoid inflation risk. Based on this conjecture, this paper examines the inflation hedging ability of Korean equity funds during the January 2001 to May 2013 period. To measure the inflation hedging ability of individual equity funds, we compute fund-level inflation betas following Bekaert and Wang (2010), by regressing individual fund returns on inflation. This allows us to conduct an ex-post analysis of which funds provided the strongest realized covariation between fund returns and inflation. As Jiang, Yao, and Yu (2007) noted, evidence of timing ability can result simply from “luck.” For instance, even if no funds have timing ability, when there are a large number of them, some will have significant timing measures based on t-statistics, due to random chance (Jiang et al., 2007)and the sampling variation. To consider this problem and identify whether the inflation hedging ability is genuine, we use the cross-sectional luck distribution, estimated using the bootstrap approach, to distinguish between skill and luck (due to sampling variation), as proposed by Kosowski et al. (2006). The advantage of the cross- sectional bootstrap approach is that it allows researchers to obtain a distribution of the inflation betas for all funds; specifically, it does not consider the luck distribution of a particular fund but, rather, considers that of all funds, which allows us to draw a statistical inference of funds in the extreme tails of the cross-sectional distribution (i.e., extreme positive inflation betas). When using the realized and expected inflation, we find that while some Korean equity funds have inflation hedging ability, it is due more to fund managers’ luck (or sampling variation) than skill. Some previous studies have shown that inflation betas are time-varying. To consider this finding, we divide our sample period into two sub-periods ranging from January 2001 to December 2005 and from January 2006 to May 2013, respectively. This sub-period analysis shows that slightly more funds have returns that covary significantly and positively, in the second sub-period than in the first period. However, the significantly positive inflation betas in both periods are due to luck, consistent with those of the whole- period analysis. The bootstrap procedure used by Kosowski et al. (2006) assumed that the residuals from the regression analysis were independently and identically distributed for funds. However, it is possible that the residuals have serial dependence over time or cross-sectional correlations across funds. To evaluate their effect on the bootstrap results for inflation hedging skill, we adopt the sieve and stationary bootstrap approaches. The empirical results for these two approaches do not differ from those of the previous results. Lee and Jeon (2012) found that most Korean equity funds tend to invest in large and growth stocks relative to the KOSPI 200 index, implying that their inflation hedging ability may influence our results. To examine this effect, we divide our sample funds into their investment styles: large/small and value/growth using the Fama-French three-factor model. The results for their investment styles are consistent with those of whole sample funds. Finally, examining the persistence of Korean equity funds’ inflation hedging ability reveals no persistence, indicating that it is difficult for fund investors to construct portfolios of equity funds that are good inflation hedges. Overall, our results indicate that the good inflation hedging abilities of some Korean equity funds are merely the result of luck (or due to sampling variation) rather than fund managers’ skills.
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