• The Journal of Asian Finance, Economics and Business
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• v.5 no.4
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• pp.21-34
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• 2018

The study tests the Fama and French three-factor model by using the newly created Islamic equity style indices. Based on a dataset from May 2006 to April 2011, the three-factor model is tested based on returns of Islamic unit trust funds using the Generalized Method of Moments (GMM) methodology. The sample period is also divided between periods before and after the Global Financial Crisis in August 2008 to test for robustness, and the Bai and Perron (2003) multiple structural break test was used to determine the structural break in the series. The analysis shows that the Fama and French model is valid for Islamic unit trust funds before and after the collapse of Lehman Brothers. The result further indicates the reversal of size effect. As for trading strategies, value funds outperform growth funds by annualized 3.13 percent for the full period. During pre-crisis period, value funds perform better than growth funds while in post-crisis, size factor yields better return than other strategies. As policy suggestion, fund managers need to be aware of the reversal of size effect, and they need to ensure a more transparent stock selection process so that investors can make an informed decision in their asset allocation.

• Journal of Korea Water Resources Association
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• v.55 no.3
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• pp.177-189
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• 2022

The purpose of this study is to apply the d4PDF (Data for Policy Decision Making for Future Change) constructed from a large-scale ensemble climate simulation to estimate the probable rainfall with low frequency and high intensity. In addition, this study analyzes the uncertainty caused by the application of the frequency analysis by comparing the probable rainfall estimated using the d4PDF with that estimated using the observed data and frequency analysis at Geunsam, Imsil, Jeonju, and Jangsu stations. The d4PDF data consists of a total of 50 ensembles, and one ensemble provides climate and weather data for 60 years such as rainfall and temperature. Thus, it was possible to collect 3,000 annual maximum daily rainfall for each station. By using these characteristics, this study does not apply the frequency analysis for estimating the probability rainfall, and we estimated the probability rainfall with a return period of 10 to 1000 years by distributing 3,000 rainfall by the magnitude based on a non-parametric approach. Then, the estimated probability rainfall using d4PDF was compared with those estimated using the Gumbel or GEV distribution and the observed rainfall, and the deviation between two probability rainfall was estimated. As a result, this deviation increased as the difference between the return period and the observation period increased. Meanwhile, the d4PDF reasonably suggested the probability rainfall with a low frequency and high intensity by minimizing the uncertainty occurred by applying the frequency analysis and the observed data with the short data period.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.615-626
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• 2020

The purpose of this study is to analyze the determinants of risk factor model for the Jordanian banking stocks from 2006 to 2018. This study employs the Five-factor Fama and French's (2015) methodology and uses the annual returns of all Jordanian banks including 2 Islamic and 13 commercial banks listed on the Amman Stock Exchange (ASE) over a period of 13 years. The results show that the factors of value and profitability have an important role in evaluating the expected return in Jordanian banking stocks. Moreover, the value HML and profitability RMW factors provide the highest cumulative returns among these five factors, while the investment CMA and size SMB factors are still around zero cumulative returns. For the market factor, it provides the least negative cumulative returns. The results showed that the largest correlation is between value and investment factors which means that banks with a high book to market value become banks with a conservative investment strategy. The result of the sub-periods confirmed the value and profitability results. The findings of this study suggest that the five-factor Fama and French model is the choice of building an investment portfolio, especially the factors of value and profitability.

• Journal of Korea Technology Innovation Society
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• v.7 no.3
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• pp.657-679
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• 2004

The purpose of this paper is to measure economic impact of marine environment conservation research development project. Benefit-Cost(B/C) analysis and Contingent Valuation Methods(CVM) are used to valuate the benefits from the research development projects. A period of three years for research development fund is considered as a part of the costs and adjusted to the net present value (NPV) of the 2002 ending period. The environmental charges for marine environment improvement are considered for the benefit measurement. The benefits are estimated by using monthly average willingness to pay, which is 2,289 Korean won. The contribution of the developing a management model for environmental pollution in the Gwangyang Bay is evaluated utilizing survey data and information. Based on the assessment by expert groups, the contribution of the model was 37.5％. The research results showed that B/C ratio is 20.61, NPV is 89,200 million Korean won, and social rate of return is 185.7％. When the level of contribution is over 1.83％ at the assessment of potential influence, it is recognized to be economically feasible. This research presents a quantitative framework for Research and Development projects for marine environment conservation, and it can be applied to decision making for the investment size of R&D projects.

• Bulletin of the Korean Mathematical Society
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• v.48 no.4
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• pp.737-757
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• 2011

This work is concerned with an optimal selling rule for a large position of stock in a market. Selling a large block of stock in a short period typically depresses the market, which would result in a poor filling price. In addition, the large selling intensity makes the regime more likely to be poor state in the market. In this paper, regime switching and depressing terms associated with selling intensity are considered on a set of geometric Brownian models to capture movements of underlying asset. We also consider the liquidation strategy to sell much smaller number of shares in a long period. The goal is to maximize the overall return under state constraints. The corresponding value function with the selling strategy is shown to be a unique viscosity solution to the associated HJB equations. Optimal liquidation rules are characterized by a finite difference method. A numerical example is given to illustrate the result.

• The Journal of Fisheries Business Administration
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• v.13 no.1
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• pp.85-97
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• 1982

This study involves a blending of intensive and extensive shrimp culture techniques for a hypothetical shrimp farm which uses a combination of heated raceway nurseries and extensive grow-out ponds per year. The present value method of economic analysis is used to determine economic feasibility. The biological data in this reports were obtained from published or personal communications from leaders in the field of shrimp aquaculture. The proposed system showed economic feasibility using the present value method with discount rates of 10% and 12%. The most profitable scenario, the culture of three crops of Penaeus vannamei showed a 1.26 year payback period and 120% annual average rate of return. The breakeven price was ＄1.25/1b., which is ＄1.52 less than the market price of ＄2.77. Breakeven production was 724 1bs/acre, which is 8761bs. less than the assumed 1,600 1bs/acre. All other scenarios 1.2 and 3 crops for P. stylirostris and P. setiferus showed economic feasibility also.

• IE interfaces
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• v.17 no.spc
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• pp.62-68
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• 2004

HAPS (High Altitude Platform Station) which is defined as a station located on an object at an altitude of 20 to 50 km and at a specified, nominal, fixed point relative to the earth is a promising technology capable of providing broadband multimedia services. In this study, economical aspects of HAPS service are analyzed by estimating the revenue and costs incurred by the service. To evaluate the profitability of HAPS service, the number of subscribers is estimated and then the net present value (NPV), payback period, and the rate of return on investment (ROI) are calculated under various scenarios.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.24 no.5
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• pp.343-351
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• 2012

In this study, shallow-water design waves are calculated for the return period of 10, 20, 30, and 50 years, based on the extreme value analysis of the wave measurement data at Gangneung beach. These values are compared with the results of SWAN simulation with the boundary condition of the deep-water design waves of the corresponding return periods at the Gangneung sea area provided by the Fisheries Agency (FA, 1988) and Korea Ocean Research & Development Institute (KORDI, 2005). It is found that the shallow-water wave heights at Gangneung beach calculated by the deep-water design waves were significantly less than the observation data. As the return period becomes higher, the significant wave heights obtained by the extreme value analysis becomes higher than those computed by SWAN with the deep-water design waves of the corresponding return periods. KORDI computed the hindcast wave data from January 2004 to August 2008 by WAM with a finer-grid mesh system than those of previous studies. Comparisons of the wave hindcast results with the wave observation show that the reproducibility of the winter-season storm wave was considerably improved compared to the hindcast data from 1979 to 2003. Hereafter, it is necessary to carry out hindcast wave data for the years before 2004 using WAM with the finer-grid mesh system and to supplement the deep-water design wave.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.4 no.4
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• pp.422-427
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• 2003

The purpose of this study analyzes the effects of M＆A between conglomerate and non-conglomerate corporational with 57 samples of firms during the period from 1990 to 1997 right before IMF. financial crisis. These models employed to measure effects of M＆A in this paper are both market model and market adjusted return model using test of t-statistics. Results of this article show that negative excess returns are observed for non-conglomerate mergers and positive excess gains are exhibited for conglomerate mergers. This implies that conglomerate mergers are more effective than firm specialization in terms of merger effects.

• Journal of the Korean Society of Safety
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• v.32 no.5
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• pp.157-167
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• 2017

Millions of People die every year from diseases caused by exposure to outdoor air pollution. Especially, one of the most severe types of air pollution is fine particulate matter (PM10, PM2.5). South Korea also has been suffered from severe PM. This paper analyzes regional risks induced by PM10 and PM2.5 that have affected domestic area of Korea during 2014~2016.3Q. We investigated daily maxima of PM10 and PM2.5 data observed on 284 stations in South Korea, and found extremely high outlier. We employed extreme value distributions to fit the PM10 and PM2.5 data, but a single distribution did not fit the data well. For theses reasons, we implemented extreme mixture models such as the generalized Pareto distribution(GPD) with the normal, the gamma, the Weibull and the log-normal, respectively. Next, we divided the whole area into 16 regions and analyzed characteristics of PM risks by developing the FN-curves. Finally, we estimated 1-month, 1-quater, half year, 1-year and 3-years period return levels, respectively. The severity rankings of PM10 and PM2.5 concentration turned out to be different from region to region. The capital area revealed the worst PM risk in all seasons. The reason for high PM risk even in the yellow dust free season (Jun. ~ Sep.) can be inferred from the concentration of factories in this area. Gwangju showed the highest return level of PM2.5, even if the return level of PM10 was relatively low. This phenomenon implies that we should investigate chemical mechanisms for making PM2.5 in the vicinity of Gwangju area. On the other hand, Gyeongbuk and Ulsan exposed relatively high PM10 risk and low PM2.5 risk. This indicates that the management policy of PM risk in the west side should be different from that in the east side. The results of this research may provide insights for managing regional risks induced by PM10 and PM2.5 in South Korea.