• The Korean Journal of Financial Management
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• v.1 no.1
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• pp.133-149
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• 1985

The theory of option pricing has undergone rapid advances in recent years. Simultaneously, organized option markets have developed in the United States and Europe. The closed form solution for pricing options has only recently been developed, but its potential for application to problems in finance is tremendous. Almost all financial assets are really contingent claims. Especially, Black and Scholes(1973) suggest that the equity in a levered firm can be thought of as a call option. When shareholders issue bonds, it is equivalent to selling the assets of the firm to the bond holders in return for cash (the proceeds of the bond issues) and a call option. This paper takes the insight provided by Black and Scholes and shows how it may be applied to many of the traditional issues in corporate finance such as dividend policy, acquisitions and divestitures and capital structure. In this paper a combined capital asset pricing model (CAPM) and option pricing model (OPM) is considered and then applied to the derivation of equity value and its systematic risk. Essentially, this paper is an attempt to gain a clearer focus theoretically on the question of corporate stock risk and how the OPM adds to its understanding.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.14 no.24
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• pp.207-219
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• 1991

We studied performance evaluation methods for each cause by using a benchmark and also researched performance measurement models which based on CAPM. In this study, we analyzed the beneficiary certificate of stock type of three large domestic investment trust company. The purpose of this paper is improving the efficiency of investment maintenance and the operating the ability of fund operator by analyzing the contribution of the rate of return on investment and the cause of operating performance. We applied this study to the increasing aspect of stock price(Jan. 1988-April. 1999) as well as the decreasing aspect of stock price(April, 1989-July. 1990).

• Communications for Statistical Applications and Methods
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• v.29 no.6
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• pp.695-708
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• 2022

Recently, several studies have been conducted using state space model. In this study, a dynamic linear model with state space model form is applied to stock data. The monthly returns for 135 Korean stocks are fitted to a dynamic linear model, to obtain an estimate of the time-varying 𝛽-coefficient time-series. The model formula used for the return is a capital asset pricing model formula explained in economics. In particular, the transition equation of the state space model form is appropriately modified to satisfy the assumptions of the error term. k-shape clustering is performed to classify the 135 estimated 𝛽 time-series into several groups. As a result of the clustering, four clusters are obtained, each consisting of approximately 30 stocks. It is found that the distribution is different for each group, so that it is well grouped to have its own characteristics. In addition, a common pattern is observed for each group, which could be interpreted appropriately.

• Current Optics and Photonics
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• v.8 no.1
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• pp.72-79
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• 2024

Recent flat-panel displays have become increasingly complicated to facilitate multiple display functions. In particular, the form of multilayered architectures for next-generation displays makes precise three-dimensional alignment of multiple panels a challenge. In this paper, a diffractive optical alignment marker is proposed to address the problem of three-dimensional alignment of distant dual panels beyond the depth-of-focus of a vision camera. The diffractive marker is effective to analyze the positional correlation of distant dual panels. The possibility of diffractive alignment in multilayer display fabrication is testified with numerical simulation and a proof-of-concept experiment.

• The Korean Journal of Financial Management
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• v.24 no.1
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• pp.1-27
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• 2007

In this study, we investigated the market long-term performance of stock splits by using the Korean Stock Market data from 1998 through 2002. We measured the performance by the event-time portfolio approach with the buy-and-hold abnormal return(BHAR) and the cumulative average abnormal return(CAAR). Also, the calendar-time portfolio approach with one-factor and three factor model were used for avoiding the misspecification model problem. The first of main results in this study was that the stock splits had significantly positive abnormal returns around the month of the stock splits announcements. However, the period BHAR and CAAR after the announcement month were significantly negative. This negative long-term abnormal returns were confirmed by the calendar-time portfolio approach. The results suggested that the abnormal return followed by the stock splits seemed to be positive in the short-term period. Second, there was no the difference of the long term performance between the high and the low split ratios. The operating income performance in the periods followed by the stock splits announcements grew worse. Therefore, the signalling effects, the managers of the firm under considering the stock splits would make use of splits as a form of signals for the upward changes in the cash flow or profits, could not be found. Finally, in contrast to Fama, Fisher, Jensen and Roll(1969), the significant negative abnormal returns following the stock splits were still found irrespective of the change of dividend payout ratio.

• Journal of the Economic Geographical Society of Korea
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• v.12 no.4
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• pp.665-680
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• 2009

This study aims at analyzing the performance of Real Estate Investment Trusts(REITs) by Risk Adjustment Model. The main results are as follows. Firstly, most property types of REITs gain positive(+) excess overall returns at first and second period. On the contrary, most property types of REITs gain negative(-) excess overall returns and their standard deviations are larger at financial crisis period. Secondly, lodging, regional mall and commercial mortgage show lower risk-lower return, and freestanding, apartment and specialty show higher risk-higher return than average REITs, according to the CAPM results of . Moreover CAPM results of show the characteristics of REITs as investment commodities changes into higher risk-higher return for financial crisis period. Lastly, risk adjusted demanded returns of REITs are affected positively(+) by systemic risks and negatively(-) by unsystemic risks, according to the Risk Adjustment Model results of both and . Comparing risk adjusted demanded returns of REITs with their realized returns, healthcare reveals the largest outperformance.

• The Journal of Information Technology
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• v.1 no.2
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• pp.25-37
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• 1998

The paper discusses several means for estimating appropriating discount rates to value non-traded assets. That Is, this study discusses the relationship between market equity beta and observable finance information. The relationship can in principle be used to determine betas for non-traded entity for which conventional market model or pure-play techniques are impractical. In addition, the paper shows on model researched by Patterson in 1993. Patterson's research investigates the cross-sectional relationship market beta and accounting beta in Canadian capital market.

• The Korean Journal of Financial Management
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• v.16 no.2
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• pp.179-213
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• 1999

본 연구에서는 국내 주식시장에서 주식수익률의 횡단면 차이에 유의적인 설명력을 가지는 것으로 나타난 기본적 변수가 시장지수 베타에서는 측정되지 않은 또 다른 가격화된 위험에 대해 유용한 대용변수인지를 규명하였다. 기본적 변수들 중에서 기업규모와 장부/시장가치 비율은 주식수익률의 횡단면 차이를 설명함에 있어 독립적인 효과를 갖는 가장 유의적인 변수였다. 주식수익률의 횡단면 차이에 매우 유의적인 설명력을 가지는 깃으로 나타난 거시경제요인의 요인민감도는 기업규모, 장부/시장가치 비율을 포함시 더 이상 유의적인 설명력을 가지지 못하였다. 소규모, 높은 장부/시장가치 기업은 매우 지속적인 수익성 악화를 겪고 있는 곤경기업이며, 역시 배당감소위험, 레버리지위험 및 미래 현금흐름의 불확실성으로 측정된 기업특성적 위험이 보다 큰 곤경기업이었다. 따라서 이러한 실증결과는 소규모, 높은 장부/시장가치 주식이 대규모, 낮은 장부/시장가치 주식에 비해 높은 수익률을 보이는 원인이 보다 높은 위험에 따른 보상의 결과이며, 규모변수와 장부/시장 가치 비율은 이들 위험에 대한 유용한 대용치라는 '위험에 기초한 가설'을 지지하는 증거로 주장될 수 있다. 기업규모와 장부/시장가치 비율이 시장베타로는 측정되지 않는 주식가격결정에 있어 가격화 된 또 다른 위험을 대리한다면 수익률에 나타난 SIZE, B/M효과는 합리적 가격결정하 APT나 ICAPM과 같은 확장된 CAPM과 모순되지 않는 하나의 증거로 볼 수 있으며, 비록 이들 변수들이 관찰 불가능한 진정한 시장베타에 대한 보다 나은 대용치라고 할지라도 이들 두 변수와 관련된 요인을 포함한 다요인 가격결정모델이 시장지수만을 포함한 단일요인모델에 비해 보다 유용한 모형임을 기대할 수 있다.

• The Journal of Industrial Distribution & Business
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• v.9 no.1
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• pp.9-23
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• 2018

Purpose - The purpose of this paper is to investigate the potential benefits or detriments of team management on fund performance in the mutual fund market. An additional purpose of this study is to examine the optimal number of managers in a fund industry for superior performance. Research design, data, and methodology - This paper investigates the effect of managerial structure on fund performance in the Korean active mutual fund market between 2001 and 2008. For this, we analyze two risk-adjusted performances measures- the capital asset pricing model (CAPM) and the three-factor model of Fama & French (1993). Results - First, we found that single-managed funds exhibited superior performance. Second major finding was that as the number of managers in a fund increases, the fund performance deteriorates. Finally, the results reveal that the sharpest performance drop occurs when team size increases from a 5-person team to a 6-person team. Conclusions - The results suggest that the management structure can be a source of competitive advantage for fund performance. As considering fund performance is the outcome of managers' decision-making, this study contributes to not only the financial literature but also the literature in other areas, such as management and general business.

• Journal of the Korea Safety Management & Science
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• v.3 no.4
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• pp.135-144
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• 2001

The capital cost of the company is one that must be paid to the money owner as the price by using the money. The capital cost according to the source of money supply can be estimated by the expected profit rate undertaken by the use of the capital. But in the area of pre-existent economic evaluation, the evaluation of the company investment has been treated by the profit rate of the capital after considering the repayment conditions of the other's money or the interest. Thus in this study, in case the company makes an investment on various kinds of the capital at the same time, not make use of the capital as a one source, the economic evaluation of an investment should be handled by taking the weighted average cost of capital into consideration in proportion to the constitution of the capital cost by the sources of money supply, Especially, as the cost of the private money is very much connected with the profit rate through the stock market, the Capital Asset Pricing Model (CAPM) will be applied. This kind of economic evaluation method can be said to have much to do with the Economic Value Added : EVA) as well as to be highly thought as a standard to estimate the company' value recently To certify the usefulness of this approach, the case study of the output of the capital cost will be made for the purse of the economic evaluation of the alternative investment by using the financial statements of a motor company H.