Market Rationality and Investment Timing

• 발행기관: 한국자료분석학회
• 저자명: 이장우(Jangwoo Lee)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.10 No.1, 29~43쪽, 전체 15쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2008.02.28

영문 초록

By means of SUR the author test market rationality and investment timing on a data set taken from Korean stock market. The hypothesis that the value of growth options increases as uncertainty increases is rejected with significance, irrespective of difference of periods. And the hypothesis that firms with greater value invest more is supported for the whole periods and the pre-crisis period, but is not supported for the post-crisis period. Higher stock returns neither explain higher growth options nor greater capital expenditures. Firms with higher profitability are shown to invest more. Firms with more physical assets among total assets and more leverage are found to invest more, the latter of which confirms the heavy dependence on debt financing of Korean firms. The growth of assets or sales does not explain growth options or capital expenditures. R&D expenditures do not explain growth options either. Korean financial crisis is found to weaken the effect of uncertainty on growth options and the effect of firm value on investment expenditures.

목차

I. Introduction

II. Theory and literature survey

III. Testable hypotheses and empirical analysis

IV. Empirical results

V. Conclusion and discussion

References

키워드

growth options uncertainty capital expenditures profitability leverage debt financing