The Dividend Pricing Model: New Evidence from the Korean Housing Market

It is generally conceded that dividend pricing models are poor predictors of asset prices. This finding is sometimes attributed to excess volatility or to a dividend process manipulated by firm managers. In this paper, we present rather powerful panel tests of the dividend pricing relation using a unique data set in which dividends are set by market forces independent of managers' preferences. We rely on observations on the market for condominium dwellings in Korea—perhaps the only market in which information on dividends and prices is publicly and continuously available to consumers and investors. We extend the “dividend-price ratio model” to panels of housing returns and rents differentiated by type and location. We find broad support for the dividend pricing model during periods both before and after the Asian Financial Crisis of 1997–1998, suggesting that the market for housing assets in Korea has been remarkably efficient. Previous versions of this paper were presented at the Hong Kong-Singapore International Real Estate Research Symposium, August 2004, Hong Kong and the meeting of the Hong Kong Economic Association, January 2005. We are grateful for the comments of Ashok Bardhan, Yuming Fu, Chinmoy Ghosh, Lok Sang Ho, Charles Ka Yui Leung, Sau Kim Lum and Seow Eng Ong. Son's research was supported by the Konkuk University and Hwang's research was supported by the National University of Singapore.     

The Cross-Section of Expected Stock Returns: New Evidence from an Emerging Market

Over 300 factors have been found to explain the cross-section of expected stock returns. Empirical studies also show that findings from multifactor asset-pricing models have not been consistent in an emerging market. Using DuPont analysis and a residual income valuation model for 284 nonfinancial companies on Ho Chi Minh Stock Exchange during the period 2008–2014, findings suggest that the return on equity and its change are informative for stock returns in Vietnam. In addition, the level of capital turnover, financial cost ratio (FCR), and changes in capital and in the FCR contain incremental explanatory power for stock returns.     

The value of dividends: Evidence from cum-dividend trading in the ex-dividend period

What is the market value of a dollar of fully franked dividends? We address this question by exploiting a new phenomenon in the Australian capital market—the trading of shares cum-dividend during the ex-dividend period. This allows a relatively clean measurement of the combined value of dividends and the associated tax effects net of transactions costs. Consistent with the theoretical model that we develop, the evidence from this sample is that one dollar of fully franked dividends, after tax effects and transaction costs, is worth significantly more than one dollar. We also show that, in contrast to our measure, the traditional measure of the ex-dividend price drop-off, based on close to close prices, has a lower average value and exhibits substantially more cross sectional variation.     

The Valuation of Deferred Taxation: Evidence from the UK Partial Provision Approach

The UK provides a virtually unique environment in which to examine the information content of the partial provision approach to deferred tax accounting. In addition this issue is of particular interest to UK accounting standard setters in the light of trends towards international accounting standard harmonisation. Taking the total amount of deferred taxation to be equal to the partial balance sheet provision plus the potential portion appearing in the notes, this study tests the relationship between these various deferred tax components and market value. It also examines the economic rationale for the potential portion. The study is based on 1,512 company/years from the period 1989–1991. It finds that, while the full amount of deferred taxation is not valued by the market as a liability, there is evidence of the partial balance sheet provision being so valued. There is also evidence that the potential portion is positively related to market value, consistent with its proxying for information about future growth. This result is supported by the positive relation between the potential portion and measures of future capital spending, indicative of an underlying economic rationale for this deferred taxation component. From a regulatory perspective, the study concludes that the main benefit of the partial provision approach is that the balance sheet amount constitutes a reasonably reliable measure of the portion likely to crystallise as a liability, information that would be lost were only the full amount to be disclosed.     

Property Asset Bubbles: Evidence from the Sydney Office Market

The cyclical variation in office construction, vacancies, rents, and values over the last decade has been enormous throughout the world. Reasons advanced for this enormity include prolifigate lenders, egotistical developers, and even rational behavior in the face of uncertainly and long construction periods. Our analysis of the Sydney office market suggests a fourth contributing factor: the failure of investors to understand the workings of property markets. Given the incentives of developers to build when value rises substantially above replacement cost and not to build when value is low relative to replacement cost, the property market has to be mean reverting. We provide direct evidence that Sydney investors did not incorporate mean reversion into their vacancy rate forecasts at the cyclical trough and as a result under valued properties. We provide indirect evidence that mean reversion of cash flows was not incorporated at the cyclical peak and that this triggered excessive construction and vacancies. That is, the Sydney office market in the late 1980s is another example of excess price volatility or an asset price bubble.     

The Benefits of Overvaluation: Evidence from Mergers and Acquisitions

Theoretical and empirical evidence debates whether acquirers can exploit their overvalued equity and create value by purchasing less overvalued or undervalued target firms. Shleifer and Vishny (2003) and Savor and Lu (2009) argue in favor of this, while Fu, Lin, and Officer (2013) and Akbulut (2013) provide evidence against. I revisit this issue and develop a quasi-experimental design. The misvaluation effect for stock acquirers that are more overvalued than their targets is isolated and measured. My findings offer direct evidence in favor of the Shleifer and Vishny (2003) market-timing hypothesis.     

The Construction of Residential Housing Price Indices: A Comparison of Repeat-Sales,Hedonic-Regression,and Hybrid Approaches

This article examines a number of hypotheses that underpin the repeat-sales and hedonic approaches to the construction of housing price indices, as well as the practical problems associated with the implementation of either approach. We also examine a hybrid procedure that combines elements of both the repeat-sales and hedonic-regression techniques. For our sample of individual home sales in Oakland and Fremont California over an 18-year period, repeat-sales methods are subject to sample selection bias; the maintained assumption of time constancy of implicit prices of housing attributes is violated; the repeat-sales estimator is extremely sensitive to influential observations; and the usual method used to correct for heteroskedasticity in repeat-sale housing returns is inappropriate in our sample. Hedonic techniques are better suited to contend with index number problems per se, as they can accommodate changing attribute prices over time. They also appear to give rise to more reliable estimates of price indices, as unusual observations have less effect on estimated price indices. Drawbacks of the hedonic approach include the usual concern with omitted attributes, and their effect on the estimated price index.     

环境规制对国有企业转型升级的影响——来自环保问责制的新证据

依据中国工业企业数据库 2002一2007 年数据,以环保问责制的实施为准自然实验,运用双重差分法考察环境规制对国有企业转型升级的影响。结果显示,环保问责制显著促进国有企业转型升级,目该结论经过一系列的稳健性检验依然成立;技术引进（设备更新）是环保问责制推动国有企业转型升级的重要机制;环保问责制对国有企业转型升级的促进...     

The Benefits of Lending Relationships: Evidence from Small Business Data

This paper empirically examines how ties between a firm and its creditors affect the availability and cost of funds to the firm. We analyze data collected in a survey of small firms by the Small Business Administration. The primary benefit of building close ties with an institutional creditor is that the availability of financing increases. We find smaller effects on the price of credit. Attempts to widen the circle of relationships by borrowing from multiple lenders increases the price and reduces the availability of credit. In sum, relationships are valuable and appear to operate more through quantities rather than prices.     

The Benefits of Political Connection: Evidence from Individual Bank-Loan Contracts

This paper investigates whether political connections improve the access of firms to financing. We propose three hypotheses to prove that political benefits exist. First, do politically connected firms obtain preferential treatment for bank loans? Second, if these firms do obtain preferential treatment, do they benefit from government-owned banks (GOBs) more than from privately owned banks? Third, is the preferential treatment from GOBs enhanced during presidential election years? We examine these three questions by using detailed data on political connections and 69,332 individual bank-loan contracts for listed firms in Taiwan from 1991 to 2008. The empirical results generally support our hypotheses.     

Stock Market Valuation of Deferred Tax Assets: Evidence from Internet Firms

Abstract:   We use the provisions of SFAS No. 109 , Accounting for Income Taxes , to examine the extent to which stock prices of Internet firms were associated with expectations of future profitability before versus after the 'market correction' in early 2000. We find that the valuation of deferred tax assets of firms with business models reliant on the level of web site traffic was significantly greater after the market correction. In our view, this evidence is consistent with pre‐correction mispricing.     

Tax Costs and Signalling Benefits: The Impact of Surplus ACT

Companies with surplus ACT are faced with additional tax costs if they use dividends to signal information to investors, hence there is a trade-off between tax costs and signalling benefits. This paper provides evidence that investors' reactions to dividend surprises are influenced by the signal generated by earnings and tax planning considerations. The results indicate that in the presence of a positive earnings signal and a binding tax constraint, decreases in dividends are value enhancing.     

Diagnosing affine models of options pricing: Evidence from VIX

Affine jump-diffusion models have been the mainstream in options pricing because of their analytical tractability. Popular affine jump-diffusion models, however, are still unsatisfactory in describing the options data and the problem is often attributed to the diffusion term of the unobserved state variables. Using prices of variance-swaps (i.e., squared VIX) implied from options prices, we provide fresh evidence regarding the misspecification of affine jump-diffusion models, as variance-swap prices are affine functions of the state variables in a broader class of models that do not restrict the diffusion term of the state variables. We apply the nonparametric methodology used by Aït-Sahalia (1996b), supplemented with bootstrap tests and other parametric tests, to the S&P 500 index options data from January 1996 to September 2008. We find that, while the affine diffusion term of the state variables may contribute to the misspecification as the literature has suggested, the affine drift of the state variables, jump intensities, and risk premiums are also sources of misspecification.     

Foreign Direct Investments and the Environmental Kuznets Curve: New Evidence from Chinese Provinces

By employing a panel smooth transition regression (PSTR), this article analyzes the impacts of economic growth and foreign direct investment (FDI) on air pollutant emissions. The results reveal the regime-switching effects in the income-pollution relationship as well. Specifically, an inverted-U shape is found in the relationship between per capita income and two air pollutant emissions, soot and dust, which confirms the environmental Kuznets curve (EKC) hypothesis. Significant influence of FDI on EKC relationships is found, which provides the evidence that the pollution haven hypothesis holds to some extent.     

The effect of ownership and control on market valuation: Evidence from initial public offerings in The Netherlands

This study examines whether ownership and control variables influence market valuation at the time of the initial public offering (IPO). Using a sample of 118 IPOs on Euronext Amsterdam during the period 1984-2001, we find support for this conjecture. Management stock ownership, the proportion of independent supervisory directors, and board monitoring by large nonmanagement hareholders are positively related to IPO firm value. These factors are successful in reducing agency costs. We also find that supermajority management stock ownership and takeover defenses lower IPO firm value. Therefore, these mechanisms increase agency costs, resulting in a lower price that investors are willing to pay for IPO shares.     

The Impact of House Prices on Consumer Credit: Evidence from an Internet Bank

This paper shows that house price fluctuations can have a significant impact on credit availability. Data from Prosper.com, a peer‐to‐peer lending site that matches borrowers and lenders to provide unsecured consumer loans, indicate that homeowners in states with declining house prices experience higher interest rates, greater credit rationing, and faster delinquency. We find especially large effects for subprime borrowers whose balance sheets are likely most exposed to asset price declines. This evidence suggests that asset price fluctuations can play an important role in determining credit conditions and are thus a potentially significant mechanism for propagating macroeconomic shocks.     

The Benefits of Relationship Banking: Evidence from Small Business Financing in Finland

Using unique small business credit-file data from a major Finnish bank, I analyze how relationship characteristics are associated with loan interest rates. Data includes the effective loan rate and variables that describe the duration and scope of relationship, collateralization, firm characteristics, bank’s internal risk rating, and loan characteristics. The results show that longer duration tends to lower the cost of credit and that a long-term bank/firm relationship is beneficial especially to high-risk firms. As the relationship matures, the loan premiums for high-risk firms decrease at higher rate than for low-risk firms.     

股市流动性、市场关注度与创业板上市公司转板选择——兼论我国多层次资本市场建设

本文从创业板上市公司的角度出发,通过理论模型探讨了流动性、市场关注度对其转板选择的影响。在此基础上,采用统计比较方法从全市场和配对样本两个方面分析我国创业板市场与主板市场在流动性、市场关注度和新股发行市盈率方面的异同。研究发现,我国创业板上市公司可能无法通过转板至主板上市这一途径来增强其股票的流动性和市场关注度。基于以上研究结论,有针对性地提出了有关我国建设多层次资本市场体系的政策建议。