TY  - JOUR
T1  - A Study on Asymmetric Volatility of Stock Returns: Focusing on the
Effects of the Changes in the Capital Structure by Capital Financing Types
AU - Hong, Soonwook AU - Oh, Hyunmin 
JO  - International Business Management
VL  - 11
IS  - 4
SP  - 953
EP  - 959
PY  - 2017
DA  - 2001/08/19
SN  - 1993-5250
DO  - ibm.2017.953.959
UR  - https://makhillpublications.co/view-article.php?doi=ibm.2017.953.959
KW  - Asymmetric volatility
KW  -capital financing
KW  -capital structures
KW  -debt ratio
KW  -stock returns
KW  -earnings management
KW  -signaling effect
AB  - This study analyzes the effects of changes in the capital structure caused by raising capital on stock
returns. Among the various factors influencing stock returns, this study focuses on three factors: capital
financing types, capital structures and accrual-based earnings management. The signaling effects of raising
capital by issuing bonds or equity affect stock returns, as do changes in the capital structure from different
capital raising types. In addition, earnings management before financing affects stock returns. This study
analyzes these three types of effects separately. In general, a firm’s capital structure improves with issuing
equity as its debt ratio declines, while issuing bonds deteriorates the capital structure since the firm’s debt ratio
increases. However, stock returns respond differently to changes of the same size in the capital structure due
to asymmetrical volatility of stock returns, which can be explained by the leverage effect, volatility feedback
effect and asymmetric information. According to the results of our analysis, change in the real debt ratio to the
target debt ratio caused by issuing bonds have a greater impact on stock returns than the change in the real
debt ratio to the target debt ratio due to issuing equity.
ER  -