Asia-Pacific Journal of Financial Studies最新文献

This study examines the impact of information disclosure system reform (IDSR) on corporate fraud. IDSR includes the internet-based communication platforms and the introduction of assessment methods for information disclosure. The study finds that reform in the Shenzhen Stock Exchange (SZSE) reduces the probability, frequency, and severity of corporate fraud. In contrast, the reform in the Shanghai Stock Exchange (SSE) has no such effect. The negative association between the SZSE reform and corporate fraud is more evident for firms with weak internal controls and modified audit opinions. This study suggests disclosing companies' ranking in information disclosure assessments to the public to improve governance.

We survey the literature on family firms with a focus on Asian countries. We begin with identifying three key motivational drivers of international research on family business—their dominance, relative performance, and extent of family embeddedness in the business. Second, we provide a brief survey of family firms in eight Asian economies with a focus on the history and current challenges faced by family firms in each country. Third, we document the variety of family firm definitions used in the literature and the resulting difficulty in drawing inferences due to a lack of definitional consistency. Fourth, we discuss the strategic advantages family assets such as legacy and networks bring to family firms in the Asian context. Fifth, we identify some unique challenges family firms face in their countries, and provide examples of how ownership and succession structures mitigate these challenges. We close this survey by suggesting some open research questions relevant for Asian family firms.

This study examines the relationship between investor sentiment and stock returns in two active but different Korean stock markets. Using daily KOSPI and KOSDAQ data, we construct an investor sentiment index that includes adjusted turnover rate, buy–sell imbalance, and relative strength index. We find that investor sentiment significantly affects stock returns, more so in the KOSDAQ with high individual participation. Company characteristics, including size and stock price, affect the relationship between investor sentiment and stock returns. Moreover, we introduce the relationship between mobile trading and investor sentiment, and demonstrate that mobile trading transforms irrational investors into informed, rational investors.

Using foreign investors’ shareholding to proxy for foreign investors’ monitoring effect in the Chinese stock market, we find that those acquirers exhibit higher announcement returns with higher shareholding, and this effect is stronger when acquirers are private firms. We provide price efficiency and corporate governance channels through which foreign investors play a monitoring role in mergers and acquisitions. Finally, foreign investors decrease the likelihood that managers will conduct mergers in the future and significantly improve long-run performance. Our study provides new insights into the real effects of foreign investors on acquisition performance and the economy.

Stock-level liquidity shocks have a positive cross-sectional relation to not only contemporaneous returns but also one-month-ahead returns in the Korean stock market, which implies that the stock market underreacts to liquidity shocks. However, the return continuation after the arrival of liquidity shocks is short-lived and disappears in two months in Korea, unlike in the United States. The positive relation between liquidity shocks and one-month-ahead returns is most pronounced for illiquid stocks but not present for liquid stocks, independently of the level of investor attention. However, the effect of limited attention on the positive relation differs somewhat across alternative attention proxies and becomes insignificant after controlling for liquidity. This evidence suggests that the short-lived underreaction to liquidity shocks in the Korean stock market is primarily driven not by inattention but by illiquidity.

We investigate how market reactions to earnings news differ between U.S. firms with high and low intangible capital. We expect investors to have difficulty processing information on earnings news for firms with high intangible capital, leading to a larger reaction to earnings news. Measuring intangible capital as the accumulated sum of externally purchased and internally created intangible assets, we show that both immediate and delayed market reactions to earnings news are larger for high-intangible firms. Multivariate regressions and four-factor alphas support the results. This effect is more substantial for firms with limited investor attention and mainly driven by organization capital.

This study examines distress resolution under concentrated equity ownership and concentrated bank debt. Using a large sample of Korean financially distressed firms, I find that distress resolution is more likely when private placements of new equities are accompanied by a change in control. Control transfers in which new blocks are created through equity capital injection contribute to operational efficiency and long-term performance. These findings suggest that equity capital injection and monitoring by new blockholders are essential for distress resolution under poor investor protection, which further explains why concentrated ownership may persist under such an environment.

Examining 1114 Korean firms between 2001 and 2015, we find that positive discretionary research and development expenditures in initial public offering years positively relate to future investment but do not significantly affect future performance. Thus, managerial optimism rather than signaling likely drives over-investment. High-tech firms generally over-invest more, and those that over-invest are more likely to delist within 5 years. Future research and development expenditures are positively associated with future operating and stock performance only for high-tech firms with low discretionary research and development expenditures around initial public offerings. Successful initial public offerings may create over-confidence, resulting in inefficient expenditures.

We investigate time-varying risk premia in Korean government bonds using a five-factor affine model. The model generates nearly perfectly fitted yields and estimates the bonds’ expected returns with more precision than the four-factor model. We also find the statistically significant predictive power of the model for future bond returns using forward rates from cross-sectional and time-series regressions. The predictive power varies in time for bonds with different maturities and reverts to the mean values for short- and long-term bonds, while showing a sign of momentum for medium-term bonds. In out-of-sample exercises, the predictive power is even enhanced when volatility increases.

In this study, we find evidence of tunneling in mergers among affiliated firms that belong to Korean business groups. Using a recent sample of Korean mergers during the 2000–2020 period, we find that control-motivated mergers to enhance the controlling family’s control over the business group significantly decrease the target’s value and that of the value-weighted combined portfolio of the acquirer and target. Our evidence indicates that tunneling persisted even after the implementation of several governance reforms in Korea following the 1997 Asian financial crisis, casting doubt on the effectiveness of those reforms in curbing the tunneling behaviors of Korean business groups.