Pub Date : 2021-05-30DOI: 10.37197/ARFR.2021.34.2.1
Sung-Haw Kim, D. Lim, Jihyun Kim
In this paper, we develop a new way of measuring the herding behavior of market participants and test herding behavior among investors in Chinese IPO firms, compared with prior methods of herding measure developed by Christie and Huang (1995), Chang, Chen, and Khorana (2000), and Hwang and Salmon (2009). Our proposed new non-parametric herding measure, cross sectional time dispersion (CSTD), is defined differently as dispersion in IPO issuance timing, compared with traditional definitions of herding as dispersion in IPO returns or risk measure. Traditional CSSD, CSAD and beta herding measures do not provide statistically significant or consistent relationship between the herding measures and the IPO firms’ initial or long-term returns. In contrast, the new measure of time herding, CSTD clearly and consistently indicates that investors are affected more by the herding behaviors of IPO firms than by those of investors in the IPO markets in China.
与Christie and Huang(1995)、Chang, Chen, and Khorana(2000)和Hwang and Salmon(2009)的羊群度量方法相比，本文提出了一种新的方法来衡量市场参与者的羊群行为，并对中国IPO公司投资者的羊群行为进行了测试。本文提出了一种新的非参数羊群度量——横断面时间离散度(CSTD)，将其定义为IPO发行时间的离散度，而不是将其定义为IPO收益或风险度量的离散度。传统的CSSD、CSAD和beta羊群指标与IPO公司的初始或长期收益之间没有统计学上显著或一致的关系。相比之下，新的时间羊群度量CSTD清晰且一致地表明，投资者受IPO公司羊群行为的影响大于受中国IPO市场投资者羊群行为的影响。
{"title":"New Measures of Herding Behavior and Cross-sectional Time Dispersion (CSTD) by IPO Firms in Chinese IPO Markets","authors":"Sung-Haw Kim, D. Lim, Jihyun Kim","doi":"10.37197/ARFR.2021.34.2.1","DOIUrl":"https://doi.org/10.37197/ARFR.2021.34.2.1","url":null,"abstract":"In this paper, we develop a new way of measuring the herding behavior of market participants and test herding behavior among investors in Chinese IPO firms, compared with prior methods of herding measure developed by Christie and Huang (1995), Chang, Chen, and Khorana (2000), and Hwang and Salmon (2009). Our proposed new non-parametric herding measure, cross sectional time dispersion (CSTD), is defined differently as dispersion in IPO issuance timing, compared with traditional definitions of herding as dispersion in IPO returns or risk measure. Traditional CSSD, CSAD and beta herding measures do not provide statistically significant or consistent relationship between the herding measures and the IPO firms’ initial or long-term returns. In contrast, the new measure of time herding, CSTD clearly and consistently indicates that investors are affected more by the herding behaviors of IPO firms than by those of investors in the IPO markets in China.","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117308784","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-02-28DOI: 10.37197/ARFR.2021.34.1.1
Y. Chiang, Vivian W. Tai, W. Zhang
Asian markets provide ideal experimental sample for IPO research. Market development and regulatory changes give academic researchers the chance to gain detail insights on IPO topics. The main objective of this paper is to survey the literature on Asian IPOs. We use Web of Science as a data source to collect related literature. We survey papers using Asian IPO samples to study classical IPO topics and discuss special IPO topics in Asian IPO markets. Finally, we provide suggestions for future research on this subject.
亚洲市场为IPO研究提供了理想的实验样本。市场发展和监管变化为学术研究人员提供了深入了解IPO主题的机会。本文的主要目的是对亚洲ipo的文献进行综述。我们使用Web of Science作为数据源来收集相关文献。本文以亚洲IPO样本为研究对象，对亚洲IPO市场的经典IPO主题进行了研究，并对亚洲IPO市场的特殊IPO主题进行了探讨。最后，对未来的研究提出了建议。
{"title":"A Review of Asia’s IPO Research","authors":"Y. Chiang, Vivian W. Tai, W. Zhang","doi":"10.37197/ARFR.2021.34.1.1","DOIUrl":"https://doi.org/10.37197/ARFR.2021.34.1.1","url":null,"abstract":"Asian markets provide ideal experimental sample for IPO research. Market development and regulatory changes give academic researchers the chance to gain detail insights on IPO topics. The main objective of this paper is to survey the literature on Asian IPOs. We use Web of Science as a data source to collect related literature. We survey papers using Asian IPO samples to study classical IPO topics and discuss special IPO topics in Asian IPO markets. Finally, we provide suggestions for future research on this subject.","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128839343","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-02-28DOI: 10.37197/ARFR.2021.34.1.4
Geesun Lee, Jinho Jeong
IPO underpricing is a subject of great interest for researchers. Previous studies have focused on the underpricing of private venture capital-backed IPOs, but mainstream academic researchers have left underpricing in government-backed IPOs largely uninvestigated. In this study, we fill this gap by analyzing the behavior of IPO underpricing for government-backed IPOs in Korea. For the purpose of this study, we examine 468 IPO cases on the KOSDAQ market during the period between 2009 and 2019. Empirical evidence shows that a unique structure of government sponsorship effectively reduces the level of underpricing in the IPO market. In particular, the dual sponsorship of government hybrid funding and private venture capital contributes most significantly to reducing the underpricing in the IPO market.
{"title":"The Impact of Government Involvement on IPO Underpricing in Korea","authors":"Geesun Lee, Jinho Jeong","doi":"10.37197/ARFR.2021.34.1.4","DOIUrl":"https://doi.org/10.37197/ARFR.2021.34.1.4","url":null,"abstract":"IPO underpricing is a subject of great interest for researchers. Previous studies have focused on the underpricing of private venture capital-backed IPOs, but mainstream academic researchers have left underpricing in government-backed IPOs largely uninvestigated. In this study, we fill this gap by analyzing the behavior of IPO underpricing for government-backed IPOs in Korea. For the purpose of this study, we examine 468 IPO cases on the KOSDAQ market during the period between 2009 and 2019. Empirical evidence shows that a unique structure of government sponsorship effectively reduces the level of underpricing in the IPO market. In particular, the dual sponsorship of government hybrid funding and private venture capital contributes most significantly to reducing the underpricing in the IPO market.","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125769232","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-11-30DOI: 10.37197/arfr.2020.33.4.1
Seungjoon Oh, Heungju Park, Xinrui Xie
This paper examines how cross-listing of Chinese Aand Hong Kong H-shares (AH cross-listed) affects the value of corporate cash holdings. Using a sample of AH cross-listed firms, we find that the value of cash holdings is higher for cross-listed than for non-cross-listed firms. The results remain robust to alternative measures of change in cash and consideration of state-owned enterprises. The AH cross-listing valuation premium for cash holdings decreases after a governance reform in the Chinese stock market. Our results suggest that AH cross-listing enhances firms’ transparency and disclosure, and thereby the value of cash holdings relative to non-cross-listed companies.
{"title":"Cross-listing and the Value of Corporate Cash Holdings : Evidence from China","authors":"Seungjoon Oh, Heungju Park, Xinrui Xie","doi":"10.37197/arfr.2020.33.4.1","DOIUrl":"https://doi.org/10.37197/arfr.2020.33.4.1","url":null,"abstract":"This paper examines how cross-listing of Chinese Aand Hong Kong H-shares (AH cross-listed) affects the value of corporate cash holdings. Using a sample of AH cross-listed firms, we find that the value of cash holdings is higher for cross-listed than for non-cross-listed firms. The results remain robust to alternative measures of change in cash and consideration of state-owned enterprises. The AH cross-listing valuation premium for cash holdings decreases after a governance reform in the Chinese stock market. Our results suggest that AH cross-listing enhances firms’ transparency and disclosure, and thereby the value of cash holdings relative to non-cross-listed companies.","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126065284","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-05-31DOI: 10.37197/arfr.2020.33.2.2
Young sik Kim, 경희대학교 경영대학 경영학과 연구교수, J. Wee
{"title":"Defined Benefit Corporate Pension Planning and Agency Problems : Does Good Governance Improve the Funding Ratio?","authors":"Young sik Kim, 경희대학교 경영대학 경영학과 연구교수, J. Wee","doi":"10.37197/arfr.2020.33.2.2","DOIUrl":"https://doi.org/10.37197/arfr.2020.33.2.2","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116244530","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-05-31DOI: 10.37197/arfr.2020.33.2.4
Yangchaeyeol, SongSooyoung
{"title":"An Optimal Separation Lapse Policy for Internet Banking : The Share-Holding Limit and Credit Exposure Constraint","authors":"Yangchaeyeol, SongSooyoung","doi":"10.37197/arfr.2020.33.2.4","DOIUrl":"https://doi.org/10.37197/arfr.2020.33.2.4","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"325 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116002099","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-05-31DOI: 10.37197/arfr.2020.33.2.1
Young Kyoung Park, Inwook Song
{"title":"The Geography of International Mutual Funds","authors":"Young Kyoung Park, Inwook Song","doi":"10.37197/arfr.2020.33.2.1","DOIUrl":"https://doi.org/10.37197/arfr.2020.33.2.1","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120953046","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-08-31DOI: 10.37197/ARFR.2019.32.3.2
Geesun Lee, D. Joe, Jinho Jeong
{"title":"An Investigation of Dynamic Price Movements of the Cryptocurrency Coin in Korea","authors":"Geesun Lee, D. Joe, Jinho Jeong","doi":"10.37197/ARFR.2019.32.3.2","DOIUrl":"https://doi.org/10.37197/ARFR.2019.32.3.2","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124467761","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-08-31DOI: 10.37197/ARFR.2019.32.3.4
A. Maira, K. Chang
{"title":"Can CSR Alone Sufficiently Alleviate Investment Inefficiency? An Evidence from China, Korea and Japan","authors":"A. Maira, K. Chang","doi":"10.37197/ARFR.2019.32.3.4","DOIUrl":"https://doi.org/10.37197/ARFR.2019.32.3.4","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126757371","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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