Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market

El trabajo estudia si existen heterogeneidades en la inversión y si existe volatilidad asimétrica bajo ventas cortas en el mercado de fondos coreano. Para ello se usan datos de retornos para el período 2002-2008. Para las restricciones de ventas cortas se testea la hipótesis de diferencias de opiniones de Chen, Hong, y Stein (2001) y Hong y Stein (2003). Los resultados del modelo GJR-GARCH muestra volatilidad asimétrica en retornos y un aumento en las diferencias de opiniones de los administradores de fondos. A su vez, los resultados son consistentes con el modelo de Hong y Stein (2003) y la intuición provista por Miller (1977), que predice que asimetrías negativas son más probables cuando existen diferencias de opiniones, habiendo también mayor sobrevaloración. Nuestros resultados también ofrecen soporte a la hipótesis de burbujas estocásticas de Blanchard y Watson (1982) y Wu (1997), aun después de controlar por las características de los fondos

Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market

This paper investigates two issues: whether there is heterogeneity for fund managers as investors and whether there is asymmetric volatility under short-sale constraints. If so, what are the driving factors in the Korean fund market? Fund return data from 2002 to 2008 are used to determine these factors. Specifically, for short-sale constraints, we test the hypothesis of difference of opinion developed by Chen, Hong, and Stein (2001) and Hong and Stein (2003). This hypothesis provides a unique opportunity to test directly the differences of opinion among fund managers that operate fund monies under short-sale constraints using asset-allocating strategies. The results of the GJR-GARCH model show an asymmetric volatility in returns and an increase in differences of opinion among fund managers, which extended to an increase in asymmetric volatility. Furthermore, the results of this study are consistent with the model of Hong and Stein (2003), which predicts that negative asymmetries are more likely to occur when there are large differences of opinion among fund managers. Therefore, our results imply that the overvaluation effect is more remarkable in funds for which a wider dispersion of the opinions of fund managers exists. These findings are consistent with Miller’s (1977) intuition and Hong and Stein’s (2003) model. In addition, our results also support the stochastic bubble hypothesis and are consistent with Blanchard and Watson (1982) and Wu (1997), even after controlling for fund characteristic variables

Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market

We analyze the asymmetric behavior of fund managers with short-selling constraints under different market conditions to confirm the hypothesis of difference of opinion of fund managers and also investigate determinants in difference of opinions in fund market. This paper examines two issues: whether there exists the difference of opinions of fund managers and whether there is asymmetric volatility under short-sale constraints. Under short-sale constraints, we implement testing the hypothesis of difference of opinion found by Chen, Hong, and Stein (2001) and Hong and Stein (2003). This hypothesis provides a unique opportunity to test directly the differences of opinion among fund managers that operate under short-sale constraints using asset-allocating strategies. The test results provide evidence that there is asymmetric volatility and increased differences of opinion among fund managers. Furthermore, the results of this study are consistent with the model of Hong and Stein (2003), which predicts that negative asymmetries are more likely to occur when there are large differences of opinions among fund managers. Therefore, our results imply that the overvaluation effect is more remarkable in funds for which a wider dispersion of the opinions of fund managers exists. These findings are consistent with Miller’s (1977) intuition and Hong and Stein’s (2003) model. In addition, our results also support the stochastic bubble hypothesis and are consistent with Blanchard and Watson (1982) and Wu (1997), even after controlling for fund characteristic variables.Este trabajo investiga dos cuestiones: si acaso existe heterogeneidad para los administradores de fondos como inversionistas y si la volatilidad que enfrentan es asimétrica bajo restricciones de ventas cortas. Bajo restricciones de ventas cortos, se testea la hipótesis de diferencia de opiniones de Chen, Hong y Stein (2001) y Hong y Stein (2003). Los resultados son consistentes con el modelo de Hong y Stein (2003), que predice que la existencia de asimetrías negativas tiene mayor probabilidad de ocurrencia mientras mayores sean las diferencias de opinión entre los administradores de fondos. Así entonces, nuestros resultados implican que el efecto de sobrevaloración es más destacado en fondos en que existe una mayor dispersión de las opiniones de los administradores de fondos. Estos resultados son consistentes con la intuición de Miller (1977) y el modelo de Hong y Stein (2003). Además, nuestros resultados también apoyan la hipótesis de burbuja estocástica y son consistentes con Blanchard y Watson (1982) y Wu (1997), incluso después de controlar por las características de los fondos

Heterogeneidad de inversionistas y volatilidad asimétrica bajo restricciones de ventas cortas: Evidencia de los mercados de fondos de Corea

This paper investigates two issues: whether there is heterogeneity for fund managers as investors and whether there is asymmetric volatility under short-sale constraints. If so, what are the driving factors in the Korean fund market? Fund return data from 2002 to 2008 are used to determine these factors. Specifically, for short-sale constraints, we test the hypothesis of difference of opinion developed by Chen, Hong, and Stein (2001) and Hong and Stein (2003). This hypothesis provides a unique opportunity to test directly the differences of opinion among fund managers that operate fund monies under short-sale constraints using asset-allocating strategies. The results of the GJR-GARCH model show an asymmetric volatility in returns and an increase in differences of opinion among fund managers, which extended to an increase in asymmetric volatility. Furthermore, the results of this study are consistent with the model of Hong and Stein (2003), which predicts that negative asymmetries are more likely to occur when there are large differences of opinion among fund managers. Therefore, our results imply that the overvaluation effect is more remarkable in funds for which a wider dispersion of the opinions of fund managers exists. These findings are consistent with Miller's (1977) intuition and Hong and Stein's (2003) model. In addition, our results also support the stochastic bubble hypothesis and are consistent with Blanchard and Watson (1982) and Wu (1997), even after controlling for fund characteristic variables.El trabajo estudia si existen heterogeneidades en la inversión y si existe volatilidad asimétrica bajo ventas cortas en el mercado de fondos coreano. Para ello se usan datos de retornos para el período 2002-2008. Para las restricciones de ventas cortas se testea la hipótesis de diferencias de opiniones de Chen, Hong, y Stein (2001) y Hong y Stein (2003). Los resultados del modelo GJR-GARCH muestra volatilidad asimétrica en retornos y un aumento en las diferencias de opiniones de los administradores de fondos. A su vez, los resultados son consistentes con el modelo de Hong y Stein (2003) y la intuición provista por Miller (1977), que predice que asimetrías negativas son más probables cuando existen diferencias de opiniones, habiendo también mayor sobrevaloración. Nuestros resultados también ofrecen soporte a la hipótesis de burbujas estocásticas de Blanchard y Watson (1982) y Wu (1997), aun después de controlar por las características de los fondos

The capital structure adjustment through debt financing based on various macroeconomic conditions in Korean market

En este trabajo investigamos la relación entre la estructura de capital y las condiciones económicas en el mercado coreano. Para conocer el comportamiento de ajuste de la estructura de capital respecto a las condiciones macroeconómicas, utilizamos un modelo de ajuste parcial dinámico que estima las velocidades de ajuste hacia los objetivos. Los datos analizados en el estudio corresponden a las empresas no financieras que cotizan en la bolsa de valores de Corea. Empíricamente encontramos evidencia que es consistente con los argumentos de Hackbarth, Miao y Morellec (2006) y Cook y Tang (2010), respecto a que las empresas tienden a ajustar más rápidamente su apalancamiento respecto al nivel objetivo durante la expansión económica. Por lo tanto, nuestros resultados apoyan las teorías de pecking order y de market timing en términos de las teorías de finanzas corporativas relativas a la estructura de capital. Además, los resultados de nuestras pruebas son consistentemente robustos a pesar de que incluimos en nuestro modelo una variable ficticia ligada al tiempo como mecanismo de control de la crisis financiera global, en contraste con Kim (2013)

La relación entre apalancamiento y poder de negociación de los sindicatos: Evidencia teórica y empírica

This study examines whether a firm’s leverage can be used strategically to improve its bargaining position with an organized labor union using samples of non-financial firms listed on the Korean Stock Exchange (KSE) from 1999 to 2013. Through empirical testing, we find that the portfolio with the lowest union labor coverage has the lowest leverage, while the portfolio with the highest union labor coverage has the highest leverage. We also find that collective bargaining power positively affects leverage through the regression of leverage on the bargaining power of the labor union, regardless of the analysis methods, such as static and dynamic models. With a robustness test model that used the industry adjusted labor union concentration index (IUCI), we obtain evidence that collective bargaining power positively influences leverage, which corresponds with the regression results. In conclusion, we suggest the existence of evidence demonstrating that variables related to labor unions affect leverage levels, as suggested in previous studies.Este trabajo analiza si una firma puede utilizar estratégicamente su apalancamiento para mejorar su posición negociadora con un sindicato. Para ello se utiliza información del mercado accionario de Corea para el periodo 1999-2013, encontrando una relación creciente entre cobertura sindical y apalancamiento. También se encuentra que el mayor poder en negociaciones colectivas afecta positivamente al apalancamiento

Relationship between leverage and the bargaining power of labor unions: evidence from theoretical and empirical perspectives

This study examines whether a firm’s leverage can be used strategically to improve its bargaining position with an organized labor union using samples of non-financial firms listed on the Korean Stock Exchange (KSE) from 1999 to 2013. Through empirical testing, we find that the portfolio with the lowest union labor coverage has the lowest leverage, while the portfolio with the highest union labor coverage has the highest leverage. We also find that collective bargaining power positively affects leverage through the regression of leverage on the bargaining power of the labor union, regardless of the analysis methods, such as static and dynamic models. With a robustness test model that used the industry adjusted labor union concentration index (IUCI), we obtain evidence that collective bargaining power positively influences leverage, which corresponds with the regression results. In conclusion, we suggest the existence of evidence demonstrating that variables related to labor unions affect leverage levels, as suggested in previous studies.Este trabajo analiza si una firma puede utilizar estratégicamente su apalancamiento para mejorar su posición negociadora con un sindicato. Para ello se utiliza información del mercado accionario de Corea para el periodo 1999-2013, encontrando una relación creciente entre cobertura sindical y apalancamiento. También se encuentra que el mayor poder en negociaciones colectivas afecta positivamente al apalancamiento