2018, Vol.6, No.1

Asset Management Review 2023 KCI Impact Factor : 0.55

pISSN : 2288-6672 / eISSN : 2713-6248
https://journal.kci.go.kr/capm

This study examined how the firms Responded to the stock price that have been charged with penalty surcharge by the Fair Trade Commission before and after the date of imposition of penalty surcharge. As an analytical method, we conducted empirical analysis using CAR and BHAR in the event study. The results of the study show that the imposition of penalty surcharge by the Fair Trade Commission has a negative impact on the market. And information on the imposition of penalty surcharge is reflected in the market before the date of the public announcement. However, the impact of the imposition of penalty surcharge on the market was not significant. In the case of specimens that were fined for unfair common action, the CAR increased. Multiple regression analysis was performed by selecting various financial variables with the CAR as dependent variables. The total amount of penalty surcharge was not found to have any significant effect on the CAR. The positive (+) effect of penalty surcharge to total assets and the penalty surcharge of gross profit were analyzed.

This paper investigates the effect of debt maturity structure on future stock price crash risk of firms listed on Korea Stock Exchange over the period 2000-2016. I find that firms with a larger the proportion of short- (long-) term debt are more likely to have lower (higher) future stock price crash risk. I further examine the relation between debt maturity structure and future stock price crash risk is more pronounced for firms with lower largest shareholder ownership, weak governance system, board of directors with a minimum number of outside directors under statutory requirements, and non-Big 4 auditors. The results suggest that the relationship between debt maturity structure and stock price crash risk is due to the monitoring effect of short-term debt in Korean stock market.

We applied Piotroski’s FSCORE (2000) to select value stocks as portfolio components. We subdivided the value stock portfolio into buying group and selling group, and then we applied various loser following on-line portfolio strategies. In the process, we decided what to buy and what to sell(short selling) on daily basis. We found RMR strategy and OLMAR strategy are the best performers, while CWMR and PAMR strategies are less successful. This may imply that the value stocks have mean reverting or trending properties. For the comparison, we applied Mohanram 's GSCORE to select the growth stocks and followed the same process as we did for the Piotroski’s FSCORE. We found that every loser following on-line portfolio strategy that we applied did not outperform market returns in the final cumulative return. This seems to imply that the random walking property is dominant in the growth stock portfolio.