2021, Vol.9, No.2

Asset Management Review 2023 KCI Impact Factor : 0.55

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

The ‘Underpricing’that the public offering price of IPO stocks is determined to be lower than stock prices after listing, has been studied for a long time in Korea and abroad. However, if previous studies tried to find the cause of Underpricing by using financial statements and accounting data, this study analyzed the low price phenomenon and investment performance of IPO stocks in the Korean stock market using stock prices and trading value, which are the results of investment decisions. The results of this study are as follows: First, the Underpricing of the IPO market is still continuing, but it has been gradually decreasing recently. Second, the higher the information asymmetry, the higher the investment performance calculated at the closing price on the day compared to the public offering price. Third, the stock price supported on the listing date tends to last for a certain period of time, but the continuity has been shortened recently. Fourth, it was estimated that the analysis ability or information ability of the IPO stocks of institutional and foreign investors was superior to that of individual investors. It is considered to be important to study that the historical approach was divided into KOSPI, KOSDAQ, and KONEX markets such as the continuity of Underpricing, the return of excessively supported stock prices, and the investment performance of investors on the listing date. In addition, the results of this study on the overheating phenomenon of individual investors in IPO stocks, which are social issues in recent years, are expected to be an opportunity to convert into investment through rational and objective analysis.

The purpose of this study is to examine whether ESG evaluation grades can be used as investment indicators during crisis periods. To this end, we analyzed the relationship between a company's ESG evaluation grade, stock price volatility, and cumulative excess return for each event according to the spread of COVID-19 using an industry fixed effect model. The analysis results are as follows. First, we looked at whether there was a difference in transaction activities according to the ESG score during COVID-19. As a result of the analysis, we did not find any differences in transaction activities according to ESG scores due to a significant increase in transaction activities across the market during the Pandemic period. However, we found that the high ESG group showed a greater increase during the Pandemic period in terms of daily average transaction price, and the low ESG showed a greater increase in terms of daily average transaction volume. Second, we examined the relationship between the cumulative rate of return and the cumulative excess rate of return before and after the time of the COVID-19 incident and the ESG score. As a result, we found that there was no significant relationship between ESG scores and returns. In addition, we used dummy variables to examine whether the degree of influence of ESG factors on returns during the normal and crisis periods was different. As a result, we confirmed that there was no significant difference in the effect of ESG factors on corporate returns during the normal and crisis periods. These results are evidence showing that there is no significant relationship between ESG scores and returns. Third, we analyzed whether it is possible to secure stability in profits when investing in consideration of ESG scores in a global crisis caused by COVID-19. As a result, we found that ESG factors had a significant negative (-) effect on volatility. However, as a result of analyzing ESG factors by dividing them into detailed factors, it was found that the S and G factors did not have a significant effect, but the E factor significantly reduced volatility. In other words, the relationship between detailed ESG factors and volatility was different depending on the relationship with ESG factors. This study has practical and academic significance in that it indirectly investigates what utility investors could have obtained when investing using ESG evaluation ratings during the COVID-19 crisis and re-analyzes the results of previous studies that present mixed results.

Investor sentiment and behavior of market participants in the stock market and cryptocurrency market are expected to be related to their search behavior. In this study, the effectiveness was verified by extracting keywords for search terms that precede the market price and applying them to time series analysis and hypothetical investment models. To this end, high-frequency keywords were extracted from reports related to the stock and cryptocurrency market, and keywords with high correlation were selected through time series analysis between search volume and asset market index. Subsequently, the rate of return was verified by applying it to a hypothetical investment model based on the search volume of the selected keywords. As a result of the analysis, there was a significant difference in profitability when keywords were extracted from directly related corpus to each asset market compared to others. In the case of the stock market, compared to the buy-and-hold model, the search volume-based investment model could expect a high return on investment. On the contrary, in the cryptocurrency market, it was difficult to regard the search volume-based investment model as an investment strategy superior to the buy-and-hold model.