Jason Lee

The Aftermarket Performance of Initial Public Offerings in Korea

In this paper, we empirically investigate Korean initial public offerings (IPOs) to provide one case of the international evidence on the long-run performance of IPOs. Our sample consists of 169 firms listed on the Korea Stock Exchange during the period 1985–1989. Unlike previous international evidence, our results reveal that the Korean IPOs outperform seasoned firms with similar characteristics. Much of the overperformance, however, takes place during the first month of seasoning and the long-run performance of Korean IPOs exclusive the first month of seasoning is not statistically different from that of seasoned firms. Our results also suggest that the existing theories on the long-run performance (Miller (1977) and Shiller (1990)) do not apply to the case of Korean IPOs. Finally, we find that the deregulation of June 1988 had a mixed impact on the aftermarket performance of Korean IPOs. It reduced the degree of initial underpricing but had no impact on IPOs long-run performance.

Institutional Holdings and Trading Volume Reactions to Quarterly Earnings Announcements

This paper empirically examines the incremental relation between trading volume surrounding quarterly earnings announcements and institutional holdings. Consistent with Cready (1988) and Lee (1992), we find a significant positive relation between abnormal trading volume and the fraction of institutional ownership during the period immediately following an earnings announcement, after controlling for the magnitude of the associated price reaction and the dispersion of analysts EPS forecasts. The results are robust to various measures of abnormal trading volume. Our findings suggest that newly released information does not necessarily have the same value to heterogeneous investor types and support Levs (1988) emphasis on the importance of focusing on investor classes.

Disclosure Environment and Listing on Foreign Stock Exchanges

The benefits of listing a companys stock on a foreign exchange to achieve better global market integration have been quite extensively examined. What has been overlooked in the finance literature is an attempt to explain why the New York Stock Exchange (NYSE) tends to be bypassed in favor of the London market and other exchanges when firms select foreign exchanges for listing. This paper explains the behavior of firms in their selection of foreign stock markets for listing by using a signalling model. Another purpose of this study is to address the current dispute between the NYSE and the Securities and Exchange Commission (SEC) regarding the desire of the NYSE to relax its registration requirements in order to gain more listings by foreign companies.

The role of financial variables in the pricing of Korean initial public offerings

Using a sample of 260 initial public offerings (IPOs) listed on the Korea Stock Exchange during the January 1985 – March 1990 period, this paper investigates the role of information disclosed through the prospectus in the new issues market. The evidence indicates that the market price is significantly affected by financial variables, such as earnings per share, offer size, industry-wide prospects, and offer type. The inclusion of potential signalling variables does not increase the explanatory power and predictive ability of the model. We also find that the market price is more closely associated with these financial variables after the 1988 liberalization of Korean IPO pricing than it was before. This study, therefore, highlights the importance of financial variables contained in the offering prospectus for the pricing of IPOs in the new issues market where information is scarce.

Ownership Structure and Trading Volume Reaction to Earnings Announcements: Evidence from Japan

We investigate the impact of ownership structure on trading volume reaction to earnings announcements using a sample of Japanese companies. Our primary tests focus on differential trading activities carried out by three types of shareholders in response to earnings announcements: corporate stockholders, foreign investors, and ordinary domestic investors. We find that trading volume is negatively associated with the level of interlocking ownership which is designed to provide long-term stable relationships among members of Japanese corporate (keiretsu) groups. Furthermore, foreign investors are more responsive to earnings announcements than their domestic counterparts, and are sophisticated in selecting their investment targets. Our overall findings are consistent with the argument of Lev (1988) that disclosures of accounting information may not necessarily have the same value to various classes of investors.

The Pricing of Exchange Rate Risk and Stock Market Segmentation: The Canadian Case

Empirical evidence by Eun and Resnick (1988), among others, has demonstrated the significance of exchange rate risk in the international asset allocation and they have noted that the risk is nondiversifiable. Yet, exchange rate risk was found by Jorion (1991) to be a risk factor that is not priced in the U.S. stock market. This study reexamines such counterintuitive results using data from the Toronto Stock Exchange. The evidence here weakly supports the pricing of the exchange rate risk. Further, the sample period in this study coincides with Jorions to ensure that both studies examine the pricing of the exchange rate risk in the same global economic environment. The significant pricing of exchange rate risk in Canada and the insignificant pricing in the U.S. imply the possibility of market segmentation.

Design of a case-based multi-agent wave picking decision support system for handling e-commerce shipments

The emerging trend of e-commerce business poses serious challenges in the field of logistics. To handle e-commerce shipments, warehouses must be able to efficiently handle a large number of stock-keeping units (SKUs), pick and pack small volume orders, and deliver them on time in small parcel shipments to consumers. In this sense, traditional order fulfillment, which encompasses receiving, put-away, picking, and transport through the warehouse, might not be able to fully fulfill the requirements of e-commerce. Considering the fact that order picking in warehouses is one of the most costly activities amongst the logistics operating categories, there is a crucial need to adopt a wave picking strategy to handle e-commerce shipments, an order picking approach that groups the orders for picking at the same time to minimize repeated visits to nearby storage locations. To apply the wave picking strategy properly, decision support for establishing the timing of each wave and the quantity of items to be picked is essential. Therefore, in this paper, a case-based multi-agent wave picking decision support system is proposed to help decision-makers in generating wave picking sequences in order to handle e-commerce shipments, through the integration of case-based reasoning and multi-agent technique. After a pilot study of the proposed system in a third-party logistics service provider, the order-processing efficiency was greatly enhanced.

Development of a fuzzy-rule based system for product development in the garment industry

The garment industry has been in a transformation since the emergence of the fast fashion trend. For business survival, garment manufacturers are required to shorten the time to market and develop products which can meet the changing expectations of customers. This exerts a great pressure on fashion designers who are urged to consider customers preferences in their designs and develop new products efficiently. Historical data related to product design and customer purchasing behavior thus serves as important information for effective new product development (NPD). In this paper, a fuzzy-rule based system (FBS) is developed to discover relationships between product styles and customer preferences from historical data. The knowledge discovered can help the industry design products which are not only fashionable, but are also saleable in the market. To evaluate the proposed system, a case study is conducted in which a real-set of data are tested to generate fuzzy decision rules. The results reveal that the FBS can provide knowledge support to NPD in the garment industry.