S-Space College of Business Administration/Business School (경영대학/대학원) Dept. of Business Administration (경영학과) Theses (Ph.D. / Sc.D._경영학과)
Essays on Financial Markets
재무금융 시장에 관한 연구
- 경영대학 경영학과
- Issue Date
- 서울대학교 대학원
- 학위논문 (박사)-- 서울대학교 대학원 : 경영학과, 2017. 2. 김우진.
- This thesis analyzes key issues in the financial markets such as IPO, stock issuance, and insider trading. In the first chapter, I examine the impact of expected skewness on IPO underpricing using a sample of 17,051 IPOs from 23 countries. The findings show that IPOs with high expected skewness have significantly higher first-day returns globally. Regardless of the difference in the estimation method or portfolio formation, the results show strong evidence of the skewness preference in the IPO market. Furthermore, I show that overpaying for IPOs with high expected skewness is more pronounced in countries with relatively high gambling propensity, a large number of non-religious populations, and individualism tendencies. Our results support the implications of recent theoretical and empirical models of the preference for skewness in international financial markets.
In the second chapter, I investigate the link between market reactions to free-bonus issues and trading restrictions in unique issuance procedures. In Korea, free-bonus seekers spend approximately 33 trading days in line to get newly issued bonus shares. Therefore, investors who are motivated to buy or sell that are scheduled to issue a bonus will face trade restrictions for more than a month and a half. I show that the positive abnormal stock returns on the announcement and the ex-dates of free-bonus issues are associated with the degree of trading restrictions. The characteristic adjusted returns of announcement date (or ex-date) at the highest trading restriction stocks are 6.11% (5.50%) compared with 1.76%(1.46%) at the lowest trading restriction stocks. On the other hand, there is a statistically significant negative difference in returns between the stocks with the highest trading restrictions and those with the lowest trading restrictions around the pay-date where the trading restrictions are eliminated. These market responses are not fully explained by existing signal and liquidity hypotheses. I conclude that trading restrictions hypothesis is a driver that solves a puzzle that is not explained by the previous studies.
In the last chapter, I analyze that predictability of insider trading on future stock price crash varies according to the types of insiders and the timing of the sale. Using insider trading data from Korea between 2005 and 2014, I find that largest shareholders tend to sell far before a stock price crash, while other types of insiders, including other large shareholders and executives, are more likely to sell immediately prior to a crash. Such pattern is more pronounced in firms with low CSR scores and low R-squares, but not observed among firms with high CSR scores or high R-squares. We also find that our results are stronger amongst firms with higher litigation risk. These findings suggest that largest shareholders may be well aware of the potential legal or reputational risk associated with insider trading while the remaining insiders may be less concerned.