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한국파생상품학회> 선물연구> Foreign investment horizons, corporate governance and payout policy

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Foreign investment horizons, corporate governance and payout policy

Eun Jung Lee , Sungmin Kim , Yongwon Jang
  • : 한국파생상품학회
  • : 선물연구 30권3호
  • : 연속간행물
  • : 2022년 09월
  • : 219-244(26pages)
선물연구

DOI

10.1108/JDQS-02-2022-0004


목차

1. Introduction
2. Hypothesis development
3. Sample, variable descriptions and summary statistics
4. Empirical results
5. Robustness checks
6. Conclusion
References
Appendix

키워드 보기


초록 보기

This paper examines whether long-term foreign investors may force firms to use a costly dividend to mitigate inefficient managerial behavior. The authors also hypothesize that the relation between foreign investment horizons and payout policy depends upon the extent of the corporate governance. The authors find that firms held by long-term foreign investors make dividend more often in the subsequent years. The authors also find that foreign investors with long-term investments do not cause firms to pay dividends when firms have strong corporate governance. It suggests that long-term foreign investors serve as a substitute for strong corporate governance with respect to controlling agency conflicts.

UCI(KEPA)

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  • : KCI등재
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  • : 1229-988x
  • : 2713-6647
  • : 학술지
  • : 연속간행물
  • : 1993-2022
  • : 390


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1How does sovereign bond volatility interact between African countries?

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발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 4호 발행 연도 : 2022 페이지 : pp. 246-259 (14 pages)

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The importance of sovereign bond as a source of financing revenue deficit, benchmarking for corporate bonds and debt management in Africa, calls for continual monitoring of its volatility dynamics. This study evaluates the nature of sovereign bond volatility interaction between African countries using bivariate BEKK-GARCH (1, 1) model. Based on a sample of eight African countries, the results show evidence of unidirectional volatility spillover from Morocco sovereign bond to Egypt sovereign bond. Next, the results show absence of volatility interaction between Ghana and Nigeria sovereign bonds. The results further show the existence of bidirectional volatility transmission between Uganda and Kenya. Finally, the results indicate evidence of bidirectional volatility interaction between Botswana and South Africa. Overall, the results show existence of full interaction between Uganda-Kenya and Botswana-South Africa sovereign bond returns, partial interaction between Egypt and Morocco sovereign bond returns and no interaction between Ghana and Nigeria sovereign bonds markets. Thus, these results provide valuable implications for sovereign and corporate credit risk management, as well as strategy for monitoring and minimising negative effect of sovereign bond volatility spillover in Africa.

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2The turn-of-the-month effect and investor trading activities in the KOSDAQ stock market

저자 : Ryumi Kim

발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 4호 발행 연도 : 2022 페이지 : pp. 260-277 (18 pages)

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The turn-of-the-month (TOM) effect is observed as one of the seasonalities in many markets. The author examines the TOM effect in the KOSDAQ market and finds that the effect is significant. The TOM effect in the KOSDAQ market is not due to size, turn-of-the-year, turn-of-the-quarter or index rebalancing effect. The author also finds that individual and institutional traders do not trade and buy more stocks at the TOM than on the rest days, not consistent with existing explanations of the increased liquidity by individual investors or institutional window-dressing activity. When the author investigated the net buying volume and net turnover of each investor, the net volume and turnover of individual investors at the TOM were significantly lower than those on the other days, rejecting the hypothesis of their increased demand. Interestingly, net foreign volumes at the TOM are significantly higher than on the other days. Finally, using panel regressions, the author finds that stocks with a higher net buying volume of foreigners for theTOMperiod tend to have higher returns, while stocks with a higher net buying volume of individual traders for the TOM period are likely to have lower returns. The results confirm that the TOM effect is not due to the increased demand of individual investors. Instead, higher net buying volume by foreigners may partially cause the TOM effect. Therefore, this study contributes to the literature by revealing the presence of theTOMeffect in the KOSDAQmarket and the foreign role in the anomaly in the market even mainly traded by retail investors.

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3A comparative study on determinants of housing mortgage prepayment of individual borrowers

저자 : Sang Won Lee , Su Bok Ryu , Tae Young Kim , Jin Q. Jeon

발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 4호 발행 연도 : 2022 페이지 : pp. 278-295 (18 pages)

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This paper examines how the macroeconomic environment affects the determinants of prepayment of mortgage loans from October 2004 to February 2020. For more accurate analysis, the authors define the timing of prepayment not only before the loan maturity but also at the time when 50% or more of the loan principal is repaid. The results show that, during the global financial crisis as well as the recent period of low interest rates, macroeconomic variables such as interest rate spreads and housing prices have a different effect compared to the normal situation. Also, significant explanatory variables, such as debt to income (DTI) ratio, loan amount ratio and poor credit score, have different effects depending on the macroenvironment. On the other hand, in all periods, the possibility of prepayment increases as comprehensive loan to value (CLTV) increases, and the younger the age, the shorter the loan maturity. The results suggest that, in the case of ultralong (40 years) mortgage loans recently introduced to support young people purchasing houses, the prepayment risk can be, at least partially, migrated by offsetting the increase in prepayment by young people and the decrease in prepayment due to long loan maturity. In addition, this study confirms that the accelerated time failure model compared to the logit model and COX proportional risk model has the potential to be more appropriate as a prepayment model for individual borrower analysis in terms of the explanatory power.

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4The optimal insurance demand under an ambiguity aversion

저자 : Jimin Hong

발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 4호 발행 연도 : 2022 페이지 : pp. 296-308 (13 pages)

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This study investigates insurance demand in a two-period model when a decision-maker (DM) is averse to the ambiguity of loss distributions. This study derives sufficient conditions such that the ambiguity-averse DM purchases more insurance than an ambiguity-neutral one when the DM maximises the expected utility. It also derives each sufficient condition to increase insurance demand as ambiguity aversion, ambiguity and downside ambiguity increase, respectively.

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1Stock lending and short-selling: evidence from national pension service in Korea

저자 : Kuan-hui Lee , Shu-feng Wang

발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 3호 발행 연도 : 2022 페이지 : pp. 146-171 (26 pages)

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The National Pension Service (NPS) of Korea suddenly announced that they would suspend their stock lending business from October 22, 2018. Using this ideal setting, the authors investigate the effects of this suspension on market quality and short-selling activities. The authors find that stock return does not increase after the suspension of stock lending for both the KOSPI and KOSDAQmarkets. However, the returns of stocks with NPS ownership decline less than thosewithout NPS ownership. The authors also find that the institutional and foreign investors' short sales did not increase in both markets after the lending business suspension by the NPS. In addition, the effect of suspension of stock lending onmarket quality is mixed, so the authors cannot conclude that market quality has improved. Overall, the authors' results indicate that the stockmarket, especially for short-sales activity, has not been affected by the suspension of the stock lending service by the NPS.

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2Market impact cost asymmetry of the National Pension Service and its determinant analysis

저자 : Yunsung Eom , Mincheol Woo

발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 3호 발행 연도 : 2022 페이지 : pp. 172-196 (25 pages)

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As of March 2021, the National Pension Service (NPS) is the world's 3rd largest pension fund with 872.5tn won (KRW) in management. Recently, the NPS proposed a policy to gradually reduce the proportion of domestic stocks in the portfolio in the future. This change in the asset allocation strategy is related to the NPS's exit strategy for domestic stocks. This study aims to examine the market impact cost asymmetry between buys and sells of the NPS and suggest a trading strategy for mitigating the market impact cost. The results are as follows. First, there is an asymmetry between buys and sells in the market impact cost of the NPS. The market impact cost of the NPS is gradually increasing over time. In particular, the market impact cost from selling has increased significantly in recent years. Second, past returns, volatility, liquidity and trading intensity can be found as external factors affecting the asymmetric market impact cost of the NPS. Although there is no difference between the buying and selling ratios of the NPS, the market impact cost from sells is relatively higher than that from buys. Third, after controlling for the order execution size of the NPS, the longer the trade execution period, the lower the market impact cost. This result implies that the strategy of splitting orders as a way to reduce the market impact cost is effective. The trading behavior of the NPS directly or indirectly affects other investors. If the sell of the NPS incurs excessive market impact cost, the negative impact on the stock price will be further exacerbated. Therefore, it is necessary for the NPS to reduce the market impact cost through split trading in executing orders in the domestic stock market. Findings of this study provide implications for countermeasures and long-term management strategies that can minimize the market impact cost of the NPS in the process of reducing the proportion of domestic stocks in the future.

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3A VECM analysis of Bitcoin price using time-varying cointegration approach

저자 : Yong Lee , Joon Hee Rhee

발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 3호 발행 연도 : 2022 페이지 : pp. 197-218 (22 pages)

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This study proposed an optimal model to examine the relationship between the Bitcoin price and six macroeconomic variables - the Bitcoin price, Standard and Poor's 500 volatility index, US treasury 10-year yield, US consumer price index, gold price and dollar index. It also examined the effectiveness of the vector error correction model (VECM) in analyzing the interrelationship among these variables. The authors employed the following approach: first, the authors sampled the period August 2010-February 2022. This is because Bitcoin achieved a market capitalization of more than US$1 tn over this period, gaining market attention and acceptance from retail, corporate and institutional investors. Second, the authors employed a VECM with the six macroeconomic variables. Finally, the authors expanded the long-run equilibrium relationship (time-invariant cointegration)-based VECM to develop a time-varying cointegration (TVC) VECM. The authors estimated the TVC VECM using the Chebyshev polynomial specification based on various information criteria. The results showed that the Bitcoin price can be modeled with the VECM (p 5 1, r 5 1). The TVC approach generated more explanatory power for Bitcoin pricing, indicating the effectiveness of the approach for modeling the long-run relationship between Bitcoin price and macroeconomic variables.

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저자 : Eun Jung Lee , Sungmin Kim , Yongwon Jang

발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 3호 발행 연도 : 2022 페이지 : pp. 219-244 (26 pages)

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초록보기

This paper examines whether long-term foreign investors may force firms to use a costly dividend to mitigate inefficient managerial behavior. The authors also hypothesize that the relation between foreign investment horizons and payout policy depends upon the extent of the corporate governance. The authors find that firms held by long-term foreign investors make dividend more often in the subsequent years. The authors also find that foreign investors with long-term investments do not cause firms to pay dividends when firms have strong corporate governance. It suggests that long-term foreign investors serve as a substitute for strong corporate governance with respect to controlling agency conflicts.

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