Corporate governance and conditional skewness in the world's stock markets

Journal of Business

Volumn 79, Issue 6, 2006, Pages 2999-3028

  Bae, Kee Hong ^a   Lim, Chanwoo ^b   John Wei, K C ^c  

^a QUEEN S UNIVERSITY   (Canada)

^b Korea University   (South Korea)

^c HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33847079227     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/508006     Document Type: Article

References (39)

1. Bae, Kee-Hong, Jun-Koo Kang, and Jin-Mo Kim. 2002, Tunneling or value added? Evidence from mergers by Korean business groups. Journal of Finance 57 (December): 2695-740.
2. Ball, Ray, Ashok Robin, and Joanna S. Wu. 2003. Incentives versus standards: Properties of accounting income in four East Asian countries. Journal of Accounting and Economics 36 (December): 235-70.
3. Bekaert, Geert, and Guojun Wu. 2000. Asymmetric volatility and risk in equity markets. Review of Financial Studies 13 (Spring): 1-42.
4. Black, Fischer. 1976. Studies of stock price volatility changes. In Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economical Statistics Section, 177-81. Washington, DC: American Statistical Association.
5. Blanchard, Oliver J., and Mark W. Watson. 1982. Bubbles, rational expectations, and financial markets. In Crises in Economic and Financial Structure, ed. P. Wachtel, 295-315. Lexington, MA: Lexington Books.
6. Bris, Arturo, William N. Goetzmann, and Ning Zhu. 2003. Efficiency and the bear: Short sales and markets around the world. Working paper no. 9466, National Bureau of Economic Research, Cambridge, MA.
7. Campbell, John Y., and Ludger Hentschel. 1992. No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics 31 (June): 281-318.
8. Chang, Sea Jin, and Jaebum Hong. 2000. Economic performance of group-affiliated companies in Korea: Intragroup resource sharing and internal business transactions. Academy of Management Journal 43 (June): 429-48.
9. Chen, Joseph, Harrison Hong, and Jeremy Stein. 2001. Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics 61 (September): 345-81.
10. Christie, Andrew A. 1982. The stochastic behavior of common stock variances: Value, leverage, and interest rate effects. Journal of Financial Economics 10 (December): 407-32.
11. Claessens, Stijn, Simon Djankov, Joseph P. H. Fan, and Larry H. P. Lang. 2002. Disentangling the incentive and entrenchment effects of large shareholdings. Journal of Finance 57 (December): 2741-71.
12. Credit Lyonnais Securities Asia (CLSA). 2001. Corporate Governance in Emerging Markets: Saints and Sinners; Who's Got Religion? Singapore: CLSA.
13. Credit Lyonnais Securities Asia (CLSA). 2002. Corporate Governance in Emerging Markets: Make Me Holy . . . but Not Yet! Hong Kong: CLSA.
14. Damodaran, Aswath. 1987. Information bias: Measures and implications. Working paper, New York University, Stern School of Business.
15. Das, Sanjiv R., and Rangarajan K. Sundaram. 1999. Of smiles and smirks: A term structure perspective. Journal of Financial and Quantitative Analysis 34 (June): 211-39.
16. Demirgüç-Kunt, Asli, and Vojislav Maksimovic. 1998. Law, finance, and firm growth. Journal of Finance 53 (December): 2107-37.
17. Durnev, Art, Randall Morck, and Bernard Young. 2004. Value-enhancing capital budgeting and firm-specific stock return variation. Journal of Finance 59 (February): 65-105.
18. Fan, Joseph P. H., and T. J. Wong. 2002. Corporate ownership structure and the informativeness of accounting earnings in East Asia. Journal of Accounting and Economics 33 (August): 401-26.
19. French, Kenneth R., G. William Schwert, and Robert F. Stambaugh. 1987. Expected stock returns and volatility. Journal of Financial Economics 19 (September): 3-29.
20. Friedman, Eric, Simon Johnson, and Todd Mitton. 2003. Propping and tunneling. Journal of Comparative Economics 31 (December): 732-50.
21. Friend, Irwin, and Randolph Westerfield. 1980. Co-skewness and capital asset pricing. Journal of Finance 35 (September): 897-914.
22. Harvey, Campbell R., and Akhtar Siddique. 2000. Conditional skewness in asset pricing tests. Journal of Finance 55 (June): 1263-95.
23. Hong, Harrison, and Jeremy C. Stein. 2003. Differences of opinion, short-sales constraints, and market crashes. Review of Financial Studies 16 (Summer): 487-525.
24. Hung, Mingyi. 2001. Accounting standards and value relevance of financial statements: An international analysis. Journal of Accounting and Economics 30 (December): 401-20.
25. Johnson, Simon, Peter Boone, Alasdair Breach, and Eric Friedman. 2000. Corporate governance in the Asian financial crisis. Journal of Financial Economics 58 (October-November): 141-86.
26. Khanna, Tarun, and Yishay Yafeh. 2005. Business groups and risk sharing around the world. Journal of Business 78 (January): 301-40.
27. Kraus, Alan, and Robert Litzenberger. 1976. Skewness preference and the valuation of risk assets. Journal of Finance 31 (September): 1085-1100.
28. La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert W. Vishny. 1997. Legal determinants of external finance. Journal of Finance 52 (July): 1131-50.
29. _. 1998. Law and finance. Journal of Political Economy 106 (December): 1113-55.
30. _. 2000. Investor protection and corporate governance. Journal of Financial Economics 58 (October-November): 3-27.
31. _. 2002. Investor protection and corporate valuation. Journal of Finance 57 (June): 1147-70.
32. Leuz, Christian, Dhanajay Nanda, and Peter D. Wysocki. 2003. Earnings management and investor protection: An international comparison. Journal of Financial Economics 69 (September): 505-27.
33. Mitton, Todd. 2002. A cross-firm analysis of the impact of corporate governance on the East Asia financial crisis. Journal of Financial Economics 64 (May): 215-41.
34. Morck, Randall, Bernard Yeung, and Wayne Yu. 2000. The information content of stock markets: Why do emerging markets have synchronous stock price movements? Journal of Financial Economics 58 (October-November): 215-60.
35. Patel, Sandeep, and George Dallas. 2002. Transparency and Disclosure: Overview of Methodology and Study Results - United States. October 16. New York: Standard and Poor's.
36. Pindyck, Robert S. 1984. Risk, inflation, and the stock market. American Economic Review 74 (June): 335-51.
37. Poterba, James M., and Lawrence H. Summers. 1986. The persistence of volatility and stock market fluctuations. American Economic Review 76 (December): 1142-51.
38. Schwert, C. William. 1989. Why does stock market volatility change over time? Journal of Finance 44 (December): 1115-53.
39. Sears, R. Stephen, and K. C. John Wei. 1985. Asset pricing, higher moments and the market risk premium: A note. Journal of Finance 40 (September): 1251-53.