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The Effect of the Refixing Option in Convertible Bond on Shareholders' Wealth
Jinho Byun,Kyung-Hee Park 한국재무학회 2017 한국재무학회 학술대회 Vol.2017 No.05
In the Korean convertible bond market, there is a refix option that allows for the adjustment of the conversion price according to a fall in stock prices. This is a unique system in Korea. In this study, we look into how a refix clause of convertible bonds impacts the wealth of shareholders, and analyzed whether the aim of this clause, which is to protect investors, is valid. The refix option is a system where the conversion price of convertible bonds is pulled down when the stock price falls after the security’s issuance. For investors, this could be beneficial, as the number of stocks one can receive increases despite a fall in stock prices. However, for shareholders, it can mean dangers of stock dilution, resulting from an increase in the number of issued stocks. This paper analyzes the impact of refix clauses on shareholders, by studying the existence or nonexistence of refix effect and the announcement effect of refix clauses. Study results are as follows: First, a higher negative market response was observed after an announcement to issue a convertible bond with a refix clause. Second, the market also responded negatively even at the point in time that a refix in price actually occurs, which suggests that “refixing” of convertible bonds undermines wealth of actual shareholders. Third, it was found that the announcement effect less negative as the share of the majority shareholder goes higher, which points to a correlation between the share of the majority shareholder and the refix clause. Compared to the United States and other developed countries, the current refix clause in Korea seems to excessively focus on the protection of convertible bond investors, and there seems to be room for improvements in the future.
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Copula를 이용한 국민연금기금의 통합위험에 관한 연구
변진호(Jinho Byun),남재우(Chae-Woo Nam),이호선(Ho Sun Lee) 대한산업공학회 2011 산업공학 Vol.24 No.1
In this paper, we study the methodology for the measurement and integration of market risk and credit risk using Copula. We apply the methodology of Rosenberg, and Schuermann(2006) to the assets of pension system. Firstly we estimate dynamics of risk factors and their effects on investment returns, then use the estimated result to simulate future movement of risk factors and distribution of investment returns. Finally we measure integrated risk using integrated return distribution by Copula and simulated future investment return distributions. We found the integrated risk changing with the correlation of risks and investment weights of risks and confirmed the diversification effect of risks. This result is consistent when we use normal Copula and normal marginals, t-Copula and t(3) marginals, and normal Copula and non-parametric marginals. And in the case of non-parametric maginals, larger integrated risk is calculated. It means that use of non-parametric marginals is more conservative.
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변진호 ( Jinho Byun ) 아시아.유럽미래학회 2018 유라시아연구 Vol.15 No.3
In this study, we will examine various aspects of whether innovative companies such as Naver should be regulated as a business group like traditional Chaebols. In the United States, innovative companies called FANG are leading the IT industry and changing the structure of the economy as a whole without government regulation. On the other hand, it is time to find out if the Korean Chaebol regulation policy created in the late 1980s is appropriate for innovative firms. It is difficult to derive the results from statistical analysis of the empirical effects of government regulation, and most studies focus on qualitative analysis. Nonetheless, it would be important to analyze the case of innovator to see how the effects of government regulation on an innovative firm have on the firm and on the overall economy. According to this study, the governance structure of the Naver Group has little control-ownership disparity between parent companies and subsidiaries, and most of the affiliates belong to the related industries. In addition, because the Naver is managed by professional management not by the blood-based management, the problem of the Korean Chaebol was hard to find. A dual-class voting share is being allowed in the U.S. to secure the founder’s control so that the founder of an innovative company can continue to show the entrepreneurship. This suggests that control-ownership disparity may not necessarily have a negative effect, but rather be a structure that implements a long-term strategy in some cases. In addition, through the case of Google, which has grown through mergers and acquisitions(M&As) of more than 200 start-up companies, confirmed that mergers and acquisitions can be a driving force for new startups and innovation, and that existing companies and start-ups can coexist. Activating a highly uncertain and risky innovative industry will require different regulations than traditional Chaebol policies. Evaluating the success of an innovator from the perspective of compensation for risk, not from market dominance, will also help the emergence of a new innovator.
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[사례연구] 해외 프로젝트 파이낸스 투자 사례와 실물옵션기반 투자 의사결정
변진호(Jinho Byun),최문섭(Moon Sub Choi) 대한산업공학회 2013 대한산업공학회지 Vol.39 No.5
The Korean Veterans’ Pension Fund has previously pre-purchased Gibril Tower on Business Complex in Dubai, UAE, via a project-financed construction investment. Although the property is near completion, the investor syndicate?s attempt to debt-finance due arrears was foiled in Dubai central bank’s credit control of real estaterelated loans. Accordingly, the investment coordinator offered an additional capital injection, a collateralized leverage, and a maturity extension to the syndicate. If the syndicate rejects the offer, they may risk a nearcomplete capital loss and a possible default of the main contractor. Otherwise, the syndicate may still face uncertainties regarding interest receivables, principal re-payment, foreclosure, economic recession in Dubai, and the Islamic bond bill in the Korean Parliament. A possible exercise of the latter option may be due to the agency-prone nature of pension fund managers. Given these qualitative risk factors as at April 1, 2011, a real options approach-implied optimal decision suggests an extended and complete cash augmentation into the project finance deal.
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유라시아 국가의 법적,문화적 차이와 주식시장의 반응: 금융위기의 충격을 중심으로
변진호 ( Jinho Byun ) 아시아.유럽미래학회 2016 유라시아연구 Vol.13 No.2
The financial crisis of September 2008 that occurred in United States leads to the collapse of the world`s financial markets. Global stock market indices experience a decline of about 8% on the day and suffered a decline of more than 30% rate of return over a period of about one year. In this study, we analyze how the such sudden market shock affects the stock markets of the other countries, through the legal and cultural differences. Legal systems of the world is largely divided into the English common law and the European civil law, thus differs from the legal and regulatory protection for investors. In addition, every country has its own cultural characteristics, according to Hofstede (2001) cultural characteristics can be divided in five aspects. This study analyzes how the market have responded to the financial crisis using 28 countries with legal and cultural differences. Short-term market reaction to the shock is measured by cumulative return of the market index for three days after the event. In addition, we analyze the long-term recovery response which means that the market index return to the average level before the event. In addition, we control macroeconomic variables such as GNP and market capitalization, and also include investor protection index of La Porta et al. (2000) in the regression analysis. The results of the study can be summarized as follows. First, the decline of market index to the shock in common law nations appeared to be less than the decline in civil law nations. The result also shows fast recovery days in common law markets. Second, the larger power distance index (PDI), the smaller in the short-term decline of market index. In the long-term, large PDI nations show the quick return to normal levels. Investors in high dependence on the government seem to expect their nation to play a positive role to overcome the shock and believe that to overcome the crisis and quickly return to normal levels. Third, the greater long-term oriented index (LTO), the more decline against market shock in the short-term. In the long run, however, investors seem to believe that the impact on the market can be easily recovered. Fourth, when the uncertainty avoidance index (UAI) is big, the stock market index recovered slowly to the level before. Investors in strong UAI nations seem not to believe easily that the shock is completely disappeared. Conversely, the short-term market response appeared to be smaller in strong UAI country. Fifth, although statistically insignificant, the market shock is big where the individualism index (IDV) is strong. However, we cannot obtain the consistent result in the long run. Because, in the more highly individualistic society, individual oneself is more responsible than people in collectivism society, we presume that the market reaction against the shock is larger in strong IDV markets. Finally, masculinity index (MAS) has failed to show any significant results from market response.
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