31 research outputs found
기업 영업 효율성 변화와 주가수익률 사이의 비대칭적 관계에 대한 연구
학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2017. 2. 황인이.According to prior literatures, there exists a positive relation between current stock returns and changes in operational efficiency. It indicates that equity investors reward an increase in a firms operational efficiency and penalize a decrease in the efficiency. However, I find that the positive relation between stock returns and efficiency changes diminishes when sales decrease. This is because in sales-declining periods, equity investors cannot discern whether the reason for a decrease (an increase) in efficiency is inefficient (efficient) management or managers optimistic (pessimistic) expectations about future performance. I also find that the positive relation between stock returns and efficiency changes is weakened in sales-decreasing periods, only when the efficiency changes are driven by managers costs adjustment decisions. Moreover, I find that the positive relation is more weakened in sales-decreasing periods in firms with lower information asymmetry. This study contributes to accounting literatures in that it suggests the direction of sales changes influences not only managers but also equity investors behavior.1. INTRODUCTION 1
2. LITERATURE REVIEW 5
2.1. Operational Efficiency Using DEA Analysis 5
2.2. Efficiency and Stock Returns 6
2.3. Asymmetric Cost Behavior and Stock Returns 7
3. HYPOTHESES DEVELOPMENT 8
4. RESEARCH DESIGN 12
4.1. DEA-based Efficiency Measure 12
4.2. Regression Models 13
4.3. Sample 18
5. EMPIRICAL RESULTS 18
5.1. Descriptive Statistics 18
5.2. Efficiency Changes and Current Returns 21
5.3. Sales-driven vs. Costs-driven Efficiency Changes 23
5.4. Information Asymmetry 25
5.5. Robustness Checks 32
6. CONCLUSION 36
REFERENCES 38
ABSTRACT IN KOREAN 40Maste
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