Title Page
Abstract
Contents
Chapter 1. Introduction 8
Chapter 2. The Effects of a Transparency Change in the Preopening Session on Price Discovery and Trading 10
2.1. Introduction 11
2.2. Hypothesis 14
2.3. Data 16
2.3.1. Quote data and trade data 16
2.3.2. The preopening session at the KRX 17
2.3.3. Descriptive data statistics 18
2.4. Price discovery and speed of convergence 22
2.4.1. Unbiasedness regression 22
2.4.2. Weighted price contribution 24
2.4.3. Speed of convergence 26
2.5. The probability of information trades 28
2.5.1. The EKOP model 28
2.5.2. The effects of the transparency change on PIN values 30
2.6. Conclusions 31
References 33
Chapter 3. Catering Incentives and Differentiated Dividend in Korea 50
3.1. Introduction 51
3.2. Dividend payout in Korea 53
3.2.1. Dividend in Korea 53
3.2.2. Changes in Small Shareholders' Dividend Rate 55
3.3. Dividend Theory 56
3.3.1. Large Shareholders Disclaim Theory 56
3.3.2. Idiosyncratic Risk Theory 57
3.3.3. Dividend Catering Theory 58
3.4. Results 58
3.4.1. Variable Definitions 58
3.4.2. Propensity to pay dividends 59
3.4.3. Probability to initiate differentiated dividends 61
3.4.3. Probability to terminate differentiated dividends 64
3.5. Robustness 65
3.5.1. Tax clientele 65
3.5.2. Dividend change within same dividend policy 66
3.5.3. Incentives for managers to cater to dividend premiums 67
3.6. Conclusion 69
References 70
Chapter 4. Herding Activity and the Relation to Momentum Strategy 89
4.1. Introduction 90
4.2. Data and Sample 91
4.3. Herding among account types 94
4.4. Momentum trading 97
4.5. Conclusion 99
4.6. Appendix: Momentum Profit in the KRX during 2001-2006 100
References 101
Chapter 5. Concluding Remarks 115
요약문 117
Acknowledgement 118
Curriculum Vitae 119