Market Reaction to Other Comprehensive Income
Abstract
:1. Introduction
2. Literature Review and Research Hypotheses
2.1. Other Comprehensive Income
2.2. Hypotheses
3. Research Design and Sample Selection
3.1. Empirical Models
3.2. Sample Selection
4. Empirical Results
4.1. Descriptive Statistics and Correlations
4.2. Regression Results
4.2.1. Results for the Information Content of OCI (H1)
4.2.2. Results for the Information Content of Positive (Negative) OCI (H2)
4.2.3. Results for the Information Content of OCI under K-IFRS (H3)
5. Conclusions
Conflicts of Interest
References
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Variable | Mean | Std. | Min | p25 | Median | p75 | Max |
---|---|---|---|---|---|---|---|
RET | 0.086 | 0.471 | −0.836 | −0.208 | −0.020 | 0.255 | 2.672 |
OI | 0.052 | 0.062 | −0.202 | 0.021 | 0.046 | 0.080 | 0.299 |
NOI | −0.022 | 0.034 | −0.260 | −0.034 | −0.019 | −0.006 | 0.137 |
OCI | 0.004 | 0.035 | −0.104 | −0.005 | −0.001 | 0.003 | 0.361 |
ΔOI | 0.003 | 0.049 | −0.347 | −0.017 | 0.001 | 0.022 | 0.355 |
ΔNOI | −0.003 | 0.076 | −2.451 | −0.014 | −0.002 | 0.011 | 0.723 |
ΔOCI | 0.001 | 0.051 | −0.409 | −0.007 | 0.000 | 0.006 | 0.436 |
IFRS | 0.658 | 0.474 | 0 | 0 | 1 | 1 | 1 |
NEG_OI | 0.128 | 0.334 | 0 | 0 | 0 | 0 | 1 |
NEG_NOI | 0.821 | 0.383 | 0 | 1 | 1 | 1 | 1 |
NEG_OCI | 0.588 | 0.492 | 0 | 0 | 1 | 1 | 1 |
SIZE | 27.301 | 1.604 | 24.000 | 26.146 | 27.018 | 28.251 | 31.964 |
LEV | 1.240 | 0.890 | 0.117 | 0.551 | 1.057 | 1.681 | 4.756 |
OCF | 0.051 | 0.077 | −0.267 | 0.009 | 0.047 | 0.091 | 0.350 |
LOSS | 0.210 | 0.408 | 0 | 0 | 0 | 0 | 1 |
RET | ΔOI | ΔNOI | ΔOCI | IFRS | NEG_OI | NEG_NOI | NEG_OCI | SIZE | LEV | OCF | |
---|---|---|---|---|---|---|---|---|---|---|---|
ΔOI | 0.258 | ||||||||||
ΔNOI | 0.021 | −0.148 | |||||||||
ΔOCI | 0.020 | −0.012 | −0.069 | ||||||||
IFRS | 0.19 | −0.129 | 0.004 | −0.041 | |||||||
NEG_OI | −0.145 | −0.287 | −0.022 | 0.040 | 0.080 | ||||||
NEG_NOI | −0.020 | 0.113 | −0.205 | 0.021 | 0.017 | −0.055 | |||||
NEG_OCI | 0.046 | −0.020 | 0.045 | −0.335 | 0.180 | −0.030 | −0.009 | ||||
SIZE | −0.094 | −0.010 | 0.011 | −0.011 | −0.043 | −0.201 | 0.043 | 0.044 | |||
LEV | −0.080 | −0.004 | −0.065 | 0.022 | −0.054 | 0.082 | 0.195 | 0.002 | 0.262 | ||
OCF | 0.154 | 0.228 | 0.028 | −0.009 | −0.063 | −0.306 | 0.041 | 0.007 | 0.139 | −0.238 | |
LOSS | −0.168 | −0.227 | −0.126 | 0.058 | 0.072 | 0.674 | 0.108 | −0.036 | −0.158 | 0.247 | −0.344 |
Full Sample | Large ΔOCI | Small ΔOCI | |||||
---|---|---|---|---|---|---|---|
Variable | Exp. Sign | Coeff. | t-Value | Coeff. | t-Value | Coeff. | t-Value |
Intercept | 1.011 | 2.13 * | 0.845 | 1.48 | 1.067 | 3.24 ** | |
ΔOI | + | 2.115 | 6.36 *** | 2.746 | 6.84 *** | 1.737 | 8.10 *** |
ΔNOI | + | 0.264 | 1.98 * | 0.279 | 2.02 * | 0.289 | 1.07 |
ΔOCI | + | 0.276 | 1.95 * | 1.011 | 2.25 * | −0.225 | −0.44 |
SIZE | − | −0.035 | −2.22 * | −0.029 | −1.47 | −0.04 | −3.38 ** |
LEV | − | 0.002 | 0.11 | −0.006 | −0.29 | −0.001 | −0.03 |
OCF | + | 0.509 | 3.88 *** | 0.520 | 1.56 | 0.331 | 1.25 |
LOSS | − | −0.116 | −4.79 *** | −0.064 | −2.48 ** | −0.135 | −3.32 ** |
IND | Include | Include | Include | ||||
F-value | 21.93 *** | 10.18 *** | 8.26 *** | ||||
Adj.R2 | 0.101 | 0.171 | 0.140 | ||||
n | 2811 | 936 | 935 |
Variable | Exp. Sign | Coeff. | t-Value | Coeff. | t-Value |
---|---|---|---|---|---|
Intercept | 0.982 | 2.03 * | 1.020 | 2.08 * | |
ΔOI | + | 2.156 | 6.80 *** | 2.590 | 5.64 *** |
ΔNOI | + | 0.246 | 1.59 | 0.342 | 1.39 |
ΔOCI | + | 0.004 | 0.01 | −0.018 | −0.04 |
NEG_OI | +/− | −0.067 | −1.73 | ||
NEG_NOI | +/− | −0.035 | −1.31 | ||
NEG_OCI | + | 0.065 | 2.27 * | 0.065 | 2.24 * |
ΔOI × NEG_OI | +/− | −1.750 | −3.26 ** | ||
ΔNOI × NEG_NOI | +/− | −0.108 | −0.36 | ||
ΔOCI × NEG_OCI | + | 1.246 | 2.62 ** | 1.230 | 2.38 * |
SIZE | − | −0.035 | −2.15 * | −0.035 | −2.16 * |
LEV | − | 0.001 | 0.04 | 0.001 | 0.02 |
OCF | + | 0.502 | 3.97 *** | 0.479 | 3.59 ** |
LOSS | − | −0.112 | −4.73 *** | −0.096 | −3.49 ** |
IND | Include | Include | |||
F-value | 20.97 *** | 18.00 *** | |||
Adj.R2 | 0.108 | 0.113 | |||
n | 2811 | 2811 |
Variable | Exp. Sign | Coeff. | t-Value | Coeff. | t-Value |
---|---|---|---|---|---|
Intercept | 0.750 | 4.79 *** | 0.759 | 4.85 *** | |
ΔOI | + | 2.386 | 13.32 *** | 2.065 | 7.92 *** |
ΔNOI | + | 0.236 | 2.14 ** | 0.782 | 2.97 *** |
ΔOCI | + | 0.280 | 1.53 | 0.311 | 1.70 * |
IFRS | +/− | 0.359 | 11.13 *** | 0.339 | 10.33 *** |
ΔOI× IFRS | +/− | 0.750 | 2.17 ** | ||
ΔNOI× IFRS | +/− | −0.664 | −2.30 ** | ||
ΔOCI× IFRS | + | 0.802 | 2.07 ** | 0.786 | 2.02 ** |
SIZE | − | −0.034 | −6.09 *** | −0.034 | −6.02 *** |
LEV | − | 0.013 | 1.20 | 0.011 | 1.09 |
OCF | + | 0.543 | 4.47 *** | 0.522 | 4.30 *** |
LOSS | − | −0.130 | −5.68 *** | −0.123 | −5.37 *** |
IND | Include | Include | |||
F-value | 25.50 *** | 23.99 *** | |||
Adj.R2 | 0.161 | 0.165 | |||
n | 2811 | 2811 |
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Park, H. Market Reaction to Other Comprehensive Income. Sustainability 2018, 10, 1837. https://doi.org/10.3390/su10061837
Park H. Market Reaction to Other Comprehensive Income. Sustainability. 2018; 10(6):1837. https://doi.org/10.3390/su10061837
Chicago/Turabian StylePark, HeeJin. 2018. "Market Reaction to Other Comprehensive Income" Sustainability 10, no. 6: 1837. https://doi.org/10.3390/su10061837
APA StylePark, H. (2018). Market Reaction to Other Comprehensive Income. Sustainability, 10(6), 1837. https://doi.org/10.3390/su10061837