Search results

1 – 10 of over 2000
Open Access
Article
Publication date: 23 February 2024

Bonha Koo and Ryumi Kim

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios – i.e. the option-to-stock (O/S) ratio, which is the…

Abstract

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios – i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio, which is the put volume scaled by total put and call volume – with future returns. We find that O/S ratios are positively related to future returns, but P/C ratios have no significant association with returns. We calculate individual, institutional, and foreign investors’ option ratios to determine which ratios are significantly related to future returns and find that, for all investors, higher O/S ratios predict higher future returns. The predictability of P/C depends on the investors: institutional and individual investors’ P/C ratios are not related to returns, but foreign P/C predicts negative next-day returns. For net-buying O/S ratios, institutional net-buying put-to-stock ratios consistently predict negative future returns. Institutions’ buying and selling put ratios also predict returns. In short, institutional put-to-share ratios predict future returns when we use various option ratios, but individual option ratios do not.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 32 no. 1
Type: Research Article
ISSN: 1229-988X

Keywords

Open Access
Article
Publication date: 24 May 2021

Pankaj Chaudhary

The author examines the role of board structure and institutional investors in dealing with the agency issues for the Indian firms by taking the data of NSE-500 nonfinancial firms…

3114

Abstract

Purpose

The author examines the role of board structure and institutional investors in dealing with the agency issues for the Indian firms by taking the data of NSE-500 nonfinancial firms for the period 2010–2019.

Design/methodology/approach

The author applies dynamic panel data methodology to deal with endogeneity concerns prevalent in corporate finance variables.

Findings

The agency view is consistent with the board size in the context of India. The author observed that the board size has a harmful effect on agency cost. A larger board size may create a coordination problem, or CEO may find it easy to thrust his or her decisions on board. The author also noticed that firms should have sizeable institutional ownership, particularly pressure-insensitive investors, in equity as they can reduce agency-related issues.

Originality/value

This study focuses on one of the largest emerging economies, i.e. India.

Details

Asian Journal of Accounting Research, vol. 7 no. 1
Type: Research Article
ISSN: 2443-4175

Keywords

Open Access
Article
Publication date: 24 August 2022

Ryumi Kim

The turn-of-the-month (TOM) effect is observed as one of the seasonalities in many markets. The author examines the TOM effect in the KOSDAQ market and finds that the effect is…

1336

Abstract

The turn-of-the-month (TOM) effect is observed as one of the seasonalities in many markets. The author examines the TOM effect in the KOSDAQ market and finds that the effect is significant. The TOM effect in the KOSDAQ market is not due to size, turn-of-the-year, turn-of-the-quarter or index rebalancing effect. The author also finds that individual and institutional traders do not trade and buy more stocks at the TOM than on the rest days, not consistent with existing explanations of the increased liquidity by individual investors or institutional window-dressing activity. When the author investigated the net buying volume and net turnover of each investor, the net volume and turnover of individual investors at the TOM were significantly lower than those on the other days, rejecting the hypothesis of their increased demand. Interestingly, net foreign volumes at the TOM are significantly higher than on the other days. Finally, using panel regressions, the author finds that stocks with a higher net buying volume of foreigners for the TOM period tend to have higher returns, while stocks with a higher net buying volume of individual traders for the TOM period are likely to have lower returns. The results confirm that the TOM effect is not due to the increased demand of individual investors. Instead, higher net buying volume by foreigners may partially cause the TOM effect. Therefore, this study contributes to the literature by revealing the presence of the TOM effect in the KOSDAQ market and the foreign role in the anomaly in the market even mainly traded by retail investors.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 30 no. 4
Type: Research Article
ISSN: 1229-988X

Keywords

Open Access
Article
Publication date: 28 February 2019

Eun Jung Lee, Yu Kyung Lee and Joon Chae

In this paper, we analyze the effect of investor attention level on expected return in the Korean stock market by investor type. We find that the risk-adjusted excess returns in…

67

Abstract

In this paper, we analyze the effect of investor attention level on expected return in the Korean stock market by investor type. We find that the risk-adjusted excess returns in the next period are significantly higher when the institutional and foreign investor’s attention is high. In other words, investment strategies that buy stocks in higher attention groups and sell those in lower attention groups provide significant excess returns. This result is in contrast to the argument that the market operates more competitively and moves more efficiently as the number of investors increases due to the increased investor attention. Next, we examine how the degree of attention of institutional, individual, and foreign investors affects each other. The analysis reveals that the attention of individual investors affects the attention of institutional investors in the next period, and vice versa. In addition, as a result of group analysis according to the size of company and stock price, we find that the investor's attention affects the market differently depending on the type of investors and stock price level.

Details

Journal of Derivatives and Quantitative Studies, vol. 27 no. 1
Type: Research Article
ISSN: 2713-6647

Keywords

Open Access
Article
Publication date: 6 November 2023

Justin G. Davis and Miguel García-Cestona

As the influence of institutional investors over managerial decision-making grows, so does the importance of understanding the effect of institutional investor ownership (IO) on…

Abstract

Purpose

As the influence of institutional investors over managerial decision-making grows, so does the importance of understanding the effect of institutional investor ownership (IO) on firm outcomes. The authors take a comprehensive approach to studying the effect of IO on earnings management (EM).

Design/methodology/approach

The authors study the relation between IO and EM using a sample of 59,503 listed U.S. firm-year observations from 1981–2019. The authors proxy EM with earnings surprises and with accrual-based and real activity measures. The authors test for nonlinear relations and analyze changes resulting from the passage of the Sarbanes–Oxley Act.

Findings

The findings support a positive IO-EM relation overall, but show that the relation is dynamic and heavily context-dependent with evidence of nonlinearity. The authors also find evidence that IO positively affects accrual-based EM and real activities EM negatively.

Originality/value

To the authors’ knowledge, this is the first study of the IO-EM relation to consider evidence of nonlinearity in the U.S. context, measuring changes to the relation over time, and with the use of several measures of EM.

Details

Journal of Economics, Finance and Administrative Science, vol. 28 no. 56
Type: Research Article
ISSN: 2077-1886

Keywords

Open Access
Article
Publication date: 20 June 2022

Eun Jung Lee, Sungmin Kim and Yongwon Jang

This paper examines whether long-term foreign investors may force firms to use a costly dividend to mitigate inefficient managerial behavior. The authors also hypothesize that the…

1142

Abstract

This paper examines whether long-term foreign investors may force firms to use a costly dividend to mitigate inefficient managerial behavior. The authors also hypothesize that the relation between foreign investment horizons and payout policy depends upon the extent of the corporate governance. The authors find that firms held by long-term foreign investors make dividend more often in the subsequent years. The authors also find that foreign investors with long-term investments do not cause firms to pay dividends when firms have strong corporate governance. It suggests that long-term foreign investors serve as a substitute for strong corporate governance with respect to controlling agency conflicts.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 30 no. 3
Type: Research Article
ISSN: 1229-988X

Keywords

Open Access
Article
Publication date: 7 November 2018

Mahdi Salehi and Mohsen Sehat

The purpose of this paper is to examine the impact of debt maturity structure and types of institutional ownership on accounting conservatism by using different financial…

4673

Abstract

Purpose

The purpose of this paper is to examine the impact of debt maturity structure and types of institutional ownership on accounting conservatism by using different financial variables and proxies.

Design/methodology/approach

Employing panel data analysis in the R programming language, the authors test their hypotheses on a sample of 143 (858 firm-year observations) companies listed on the Tehran Stock Exchange during 2011–2016.

Findings

Using Basu (1997) and Beaver and Ryan (2000) models as proxies for accounting conservatism, the findings suggest a non-significant relationship between accounting conservatism and debt maturity structure. Contrary to the primary expectation, the results indicate that short-maturity debts are also non-significantly and negatively associated with accounting conservatism in financially distressed firms. Finally, using both conservatism measures, the authors document that there is no significant relationship between both active and passive institutional ownership and accounting conservatism as well as debt maturity structure.

Originality/value

The current study is the first study conducted in a developing country like Iran, and the outcomes of the study may be helpful to other developing nations.

Details

Asian Journal of Accounting Research, vol. 4 no. 1
Type: Research Article
ISSN: 2443-4175

Keywords

Open Access
Article
Publication date: 16 August 2022

Theresia Harrer and Robyn Owen

The purpose of this paper is to explore why, despite the development of a hybrid investing logic, funding problems are so persistent for early-stage Cleantech ventures…

1402

Abstract

Purpose

The purpose of this paper is to explore why, despite the development of a hybrid investing logic, funding problems are so persistent for early-stage Cleantech ventures (“Cleantechs”). An institutional logics lens is adopted to analyze how key actors' perceptions and communications of the Cleantech value proposition shape information asymmetries (IAs).

Design/methodology/approach

A mixed methods approach draws on 82 Cleantech pitch decks and 31 investment guidance documents, and insights from interviews with 42 key informants and nine Cleantech CEOs and their investors.

Findings

IAs persist, first of all, because key investor and entrepreneurial actors combine different goals in the hybrid Cleantech value proposition. Interestingly, the analysis of Environmental Performance Indicators (EPIs) as a critical communication tool reveals a further mismatch in how actors actually combine logics. The authors ultimately identify three emergent actor roles – traditional laggard, developer and boundary spanner – that present a framework of how the three most influential actor groups develop EPIs and via that a hybrid Cleantech financing logic to overcome IAs.

Originality/value

The paper enhances the entrepreneurial finance literature primarily by showing that in contexts of hybrid investing a more nuanced understanding of institutional logics in terms of ends and means is critical to overcome IAs. While prior works highlight goal incompatibilities, the findings here suggest that the (in-)compatibility of goals as well as EPI choices of the same actors is likely to be the key explanandum for the stickiness of IAs and the funding gap. The novel emerging role framework offers additional theoretical, policy and practical advances for hybrid logic development.

Details

International Journal of Entrepreneurial Behavior & Research, vol. 28 no. 9
Type: Research Article
ISSN: 1355-2554

Keywords

Open Access
Article
Publication date: 15 March 2022

Kuan-Hui Lee and Shu-Feng Wang

The National Pension Service (NPS) of Korea suddenly announced that they would suspend their stock lending business from October 22, 2018. Using this ideal setting, the authors…

Abstract

The National Pension Service (NPS) of Korea suddenly announced that they would suspend their stock lending business from October 22, 2018. Using this ideal setting, the authors investigate the effects of this suspension on market quality and short-selling activities. The authors find that stock return does not increase after the suspension of stock lending for both the KOSPI and KOSDAQ markets. However, the returns of stocks with NPS ownership decline less than those without NPS ownership. The authors also find that the institutional and foreign investors' short sales did not increase in both markets after the lending business suspension by the NPS. In addition, the effect of suspension of stock lending on market quality is mixed, so the authors cannot conclude that market quality has improved. Overall, the authors’ results indicate that the stock market, especially for short-sales activity, has not been affected by the suspension of the stock lending service by the NPS.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 30 no. 3
Type: Research Article
ISSN: 1229-988X

Keywords

Content available
Article
Publication date: 19 March 2021

Nektarios Gavrilakis and Christos Floros

The purpose of this paper is to identify whether heuristic and herding biases influence portfolio construction and performance in Greece. The current research determines the…

2021

Abstract

Purpose

The purpose of this paper is to identify whether heuristic and herding biases influence portfolio construction and performance in Greece. The current research determines the situation among investors in Greece, a country with several economic problems for the last decade.

Design/methodology/approach

A survey has been conducted covering a group of active private investors. The relationship between private investors' behavior and portfolio construction and performance was tested using a multiple regression.

Findings

The authors find that heuristic variable affects private investor's portfolio construction and performance satisfaction level positively. A robustness test on a second group, consisting of professional investors, reveals that heuristic and herding biases affect investment behavior when constructing a portfolio.

Practical implications

The authors recommend investors to select professional's investment portfolio tools in constructing investment portfolios and avoid excessive errors, which occur due to heuristic. The awareness and understanding of heuristic and herding could be helpful for professionals and decision-makers in financial institutions by improving their performance resulting in more efficient markets.

Originality/value

The main contribution of this paper lies in the fact that it is the first study on two major behavioral dimensions that affect the investor's portfolio construction and performance in Greece. The rationale of the current research is that the results are helpful for investors in order to take rational, reliable and profitable decisions.

Details

Review of Behavioral Finance, vol. 14 no. 3
Type: Research Article
ISSN: 1940-5979

Keywords

1 – 10 of over 2000