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Volume 21, Number 4 / December 2017 , Pages 211-283
Multinational Finance Journal, 2017, vol. 21, no. 4, pp. 211-245
Yoon K. Choi , University of Central Florida, USA
Seung Hun Han , Korea Advanced Institute of Science and Technology, South Korea    Corresponding Author
Sangwon Lee , University of Houston, USA

We examine the extent of expropriation by controlling owners of business groups. Specifically, we investigate the investment behavior of Korean business groups’ (chaebols’) member firms with respect to cash flows of their own operations as well as other affiliated firms. We also explore the role of corporate governance in curtailing expropriation by investigating the impact of audit committees on investment/cash flow sensitivities. We find that high cash flow rights are associated with reducing overinvestment, while the investment sensitivity of chaebol firms to their own cash flows remains unaffected. By contrast, investments are significantly sensitive to cash flows of other affiliated firms in the business group with high cash flow rights. Furthermore, investment decisions appear to be more efficient among firms with audit committees than among those without. The results suggest that internal capital markets of chaebol firms are active and at least partly efficient in the post-Asian financial crisis period.

Keywords : investment; cash-flows; corporate governance; business groups
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Multinational Finance Journal, 2017, vol. 21, no. 4, pp. 247-283
Samit Paul , Indian Institute of Management Calcutta, India    Corresponding Author
Madhusudan Karmakar , Indian Institute of Management Lucknow, India

The purpose of this study is to estimate intraday Value-at-Risk (VaR) and Expected Shortfall (ES) of high frequency stock price indices taken from select markets of the world. The stylized properties indicate that the return series exhibit skewed and leptokurtic distributions, volatility clustering, periodicity of volatility and long memory process in volatility, all of which together suggest the usage of Component GARCH- EVT combined approach on periodicity adjusted return series to forecast accurate intraday VaR and ES. Hence we estimate intraday VaR and ES using Component GARCH-EVT combined approach with different innovation distributions such as normal, student-t and skewed student-t and compare its relative accuracy with the benchmark GARCH-EVT model with different distributions. The Component GARCH-EVT models in general perform better than GARCH-EVT models and the model with skewed student-t innovations forecasts more accurately. The study is useful for market participants involved in frequent intraday trading in such markets.

Keywords : deseasonalized; intraday; value at risk; expected shortfall; component GARCH; EVT
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