• The Korean Journal of Financial Management
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• v.15 no.1
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• pp.329-350
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• 1998

이 논문에서는 자산의 수익률과 공통요인이 시간가변적 변동성을 갖는 경우의 APT를 검증하고자 시도하였다. 이를 위하여 1980년 1월부터 1995년 12월까지의 17개업종별 포트폴리오 수익률로부터 주성분분석에 의하여 4개의 공통요인을 추출하였다. (이중 첫 번째 요인은 동일가중 시장수익률과 거의 1에 가까운 상관성을 갖고 있으므로, 추출된 첫 번째 요인 대신에 시장수익률을 사용하였다.) 17개 업종별 포트폴리오에 대한 ARCH모형을 추정한 결과, 12개 포트폴리오의 수익률이 조건부 이분산성을 보이고 있다. 또 네 개의 공통요인 중 시장수익률을 포함한 3개의 요인은 뚜렷한 조건부 이분산성을 보이고 있다. 따라서 요인위험--즉, 공통요인에 대한 개별자산의 민감도$({\beta}_{ij})$--은, 개별자산과 공통요인의 상관계수가 일정하다고 가정하여, ARCH모형에 의해 측정된 자산 및 공통요인의 시간가변 표준편차로부터 계산되었다. 이와 같이 계산된 요인위험에 대하여 어느 정도의 위험프리미엄이 주어지고 있는가는 일반화 적률법(GMM)에 의하여 추정하였다. 그 결과, APT의 추정에 사용된 4개의 공통요인 중 시장수익률을 포함한 3개의 요인에 대하여 유의한 위험프리미엄이 추정되었다.

• The Korean Journal of Financial Management
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• v.16 no.2
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• pp.91-118
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• 1999

본(本) 연구(硏究)는 기업(企業)의 소유구조(所有構造)와 기업가치(企業價値) 사이의 관계를 분석하여 횡단면(橫斷面) 요인(要因)과 시계열(時系列) 요인(要因)을 결합하는 이론적(理論的) 모형(模型)을 제시하며, 또한 제시된 모형(模型)을 한국증권시장(韓國證券市場)의 자료(資料)를 이용하여 실증적(實證的)으로 분석하여 절충가설이 우리나라 기업에 적용될 수 있는지를 검토하였다. 본(本) 연구(硏究)에서는 기업가치(企業價値)를 나타내는 대용변수(代用變數)로 시장가치 대 장부가치비율을, 독립변수(獨立變數)로는 대주주 1인 지분율을 그리고 통제변수(統制變數)로는 광고비 정도, 기업규모, 재무레버리지, 30대 재벌 비재벌의 가변수(假變數)를 사용하였다. 실증분석 결과 본(本) 연구(硏究)에서 제시된 모형이 상당한 의미를 가지나, 모형(模型)의 설명력(說明力)은 비교적 낮아 본(本) 연구(硏究)에서 제시된 설명변수(說明變數)들이 자본구조(資本構造)의 변동(變動)을 8%정도 설명하고 있다. 또한 본(本) 연구(硏究)에서 제시된 독립변수 대주주 1인의 지분율과 이를 제곱한 것은 통계적으로 의미가 있는 변수가 되고 있다. 이는 대주주 1인의 지분율과 기업가치(企業價値) 사이에는 곡선관계(曲線關係)가 존재한다는 절충가설(折衷假說)을 지지하는 강력한 증거이다. 그리고 본(本) 연구(硏究)에서 제시된 통제변수(統制變數)인 광고비 정도, 기업규모, 재무레버리지 그리고 30대 재벌 비재벌 가변수(假變數) 등은 기업가치(機業價値)를 결정하는 통계적인 의미를 갖는 변수로 밝혀졌으며 회귀계수(回歸係數)의 부호도 기대하였던 바와 일치하고 있다.

• Journal of Korea Water Resources Association
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• v.39 no.12 s.173
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• pp.985-996
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• 2006

This study developed a model that could calculate equivalent roughness using shear stress acting on distributed grains in gravel bed stream. The estimated equivalent roughness by the model developed was used for estimation of water level and roughness coefficient in the stream without water level-discharge data. The model was applied to the Gurey-Songjeong stage station section located in the Sumjin river mid-downstream. The equivalent roughness by the model developed in this study was estimated to be 0.194m at the Gurey stage station. Calculated water level which the estimated equivalent roughness was applied to the flow model was shown ewer of within 6% in comparison with observed water level. Also, roughness coefficient was estimated using observed and calculated water level about each discharge scale by unsteady flow analysis. As a result, error of roughness coefficient estimated by observed and calculated water level was shown error of $0{\sim}0.002$ and could consider variability of roughness coefficient.

• Management & Information Systems Review
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• v.28 no.4
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• pp.93-108
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• 2009

This study examines the asymmetric volatility in the Korean bond market and stock market by using the KTB Prime Index and KOSPI. Because accurate estimation and forecasting of volatility is essential before investing assets, it is important to understand the asymmetric response of volatility in bond market. Therefore I investigate the existence of asymmetric volatility in Korean bond market unlike the previous studies which mainly focused on stock returns. The main results of the empirical analysis with GARCH and GJR-GARCH model are as follow. At first, it exists the asymmetric volatility on KOSPI returns like the previous studies. Also, I find that the GJR-GARCH is more suitable one than GARCH model for forecasting volatility. Second, it does not exist the asymmetric volatility on KTB Prime Index returns. This result is showed by that using the GARCH model for forecasting volatility in bond market is sufficient.

• Korea Real Estate Review
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• v.28 no.2
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• pp.21-34
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• 2018

The purpose of this study is to investigate the effect of macro-finance variables on the correlation between the housing and stock markets because understanding the nature of time-varying correlations between different assets has important implications on portfolio allocation and risk management. Thus, we adopted the AG-DCC GARCH model to obtain time-varying, conditional correlations. Our sample ranged from January 2004 to November 2017. Our empirical result showed that the coefficients on asymmetric correlation were significantly positive, implying that correlations between the housing and stock markets were significantly higher when changes in the housing price and stock returns were negative. This finding suggested that the housing market has less hedging potential during a stock market downturn, when such a hedging strategy might be necessary. Based on the regression analysis, we found that the term spread had a significantly negative effect on correlations, while the credit spread had a significantly positive effect. This result could be interpreted by the risk premium effect.

• Journal of Korean Society of Transportation
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• v.26 no.6
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• pp.113-122
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• 2008

This study extended Park et al.(2007c), which analyzed the efficiency of a hierarchical transit network, showed the result of a real data, and analyzed its applicability. Operating cost was estimated using a model which was established in this study, and minimum transit demand was derived from the operating cost. The minimum transit demand value is just a sample calculation, thus it varies by many inside and outside factors of the model. Looking at the inside of the model, operating cost and travel speed are major factors, and the possibility of introducing urban subway becomes high when the operating cost of the transit system is low and its travel speed is high. As far as the outside factors are concerned, according to the analysis on the network structure, transit demand, and transit mode share, the minimum transit demand value which was derived in this study will be the maximum value among the possible values. In the feasibility study, the benefit is likely to be overestimated and the cost is likely to be underestimated than those of this study. It could be concluded that the methodology of a feasibility study is appropriate in the field standard. This study analyzed the efficiency of introduction of urban subway using analytical approach, thus has many shortcomings and limitations. However the practical approach, like feasibility study, has some limitations as well. This study could be a basis on establishing an analysis framework that is more accurate and reasonable by comparing analytical approach and practical approach.

• Proceedings of the Korea Water Resources Association Conference
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• 2007.05a
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• pp.408-412
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• 2007

본 연구는 자갈하상하천에서 하상에 분포하는 입자에 작용하는 전단력을 이용하여 등가조도를 산정할 수 있는 모형을 개발하였다. 등가조도는 기존의 연구들처럼 경험적으로 특정입도에 의해 산정하지 않고 하상에 분포하는 각 입자에 작용하는 입자 전단력을 산정하고, 하상 평균전단력과의 관계로서 산정하였다. 입자 전단력은 항력을 통해 산정하였으며, 이때 항력계수는 입자의 돌출 높이를 고려할 수 있도록 하였다. 또한 입자에 부딪히는 평균유속은 수치적분을 통해 입자의 돌출 높이에 따라 가변성을 고려할 수 있도록 식으로 제시하였다. 단위면적당 입자 전단력과 하상 평균 전단력과의 관계를 통해 등가조도의 함수로서 식을 제시한 후 수치해석방법의 하나인 증분 탐색법을 통해 등가조도를 산정할 수 있도록 하였다. 그리고 산정된 등가조도를 이용하여 수위-유량관계 및 흐름저항매개변수를 산정하여 적정성을 검토하였다.

• 한국해양학회지
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• v.29 no.2
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• pp.119-131
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• 1994

Vertical structures of wind-driven and tidal currents in a rectangular shaped uniform-depth basin of homogeneous water have been investigated using a mode-splitted, multi-level grid-box, hydrodynamic numerical model. The model was verified using analytical solutions for various vertical eddy viscosity profiles such as: a constant eddy viscosity, a linearly decreasing or increasing variation with depth, a quadratic variation with depth and an exponential variation with depth. Particular attention has been paid on the effects of "near-surface wall layer" on vertical shear of velocity. In numerical calculations, the whole water depth was divided into 13 levels with an unequal grid spacing. the model satisfactorily reproduces the velocity profile, but in case the eddy viscosity decreases rapidly with depth as in quadratical or exponential variation with depth, the vertical gradient of velocity near the bottom became very steep, and analytical solutions and numerical results showed some discrepancy. The vertical structures of horizontal velocity vary with both the depth-averaged value of eddy viscosity and its profiles. the velocity near the sea surface and near the bottom responded sensitively to the eddy viscosity of wall layer. For wind-driven current, the strong velocity shear was generated near the sea surface as eddy viscosity near the surface became small. For tidal current, the velocity above the sea bottom layer was almost constant regardless of the profiles of vertical eddy viscosity, but velocity in the sea bottom layer showed strong shear as eddy viscosity became small.

• Journal of Korean Society of Transportation
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• v.30 no.1
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• pp.113-123
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• 2012

This study introduces a new type of a modal split model that use zonal data instead of cost data as independent variables. It has been indicated that the ones using cost data have deficiencies in the multicollinearity of travel time and cost variables and unpredictability of independent variables. The zonal data employed in this study include (1) socioeconomic data, (2) land use data and (3) transportation system data. The test results showed that the proposed modal split model using zonal data performs better than the other does.

• Journal of the Korean Geographical Society
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• v.49 no.3
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• pp.405-422
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• 2014

Two important issues in hedonic model are to specify accurate model and delineate submarkets. While the former has experienced much improvement over recent decades, the latter has received relatively little attention. However, the accuracy of estimates from hedonic model will be necessarily reduced when the analysis does not adequately address market segmentation which can capture the spatial scale of price formation process in real estate. Placing emphasis on improvement of performance in hedonic model, this paper tried to segment real estate markets in Gangnam-gu and Jungrang-gu, which correspond to most heterogeneous and homogeneous ones respectively in 25 autonomous districts of Seoul. First, we calculated variable coefficients from mixed geographically weighted regression model (mixed GWR model) as input for clustering, since the coefficient from hedonic model can be interpreted as shadow price of attributes constituting real estate. After that, we developed a spatially constrained data-driven methodology to preserve spatial contiguity by utilizing the SKATER algorithm based on a minimum spanning tree. Finally, the performance of this method was verified by applying a multi-level model. We concluded that submarket does not exist in Jungrang-gu and five submarkets centered on arterial roads would be reasonable in Gangnam-gu. Urban infrastructure such as arterial roads has not been considered an important factor for delineating submarkets until now, but it was found empirically that they play a key role in market segmentation.