• Journal of Intelligence and Information Systems
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• v.20 no.2
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• pp.59-71
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• 2014

System trading is becoming more popular among Korean traders recently. System traders use automatic order systems based on the system generated buy and sell signals. These signals are generated from the predetermined entry and exit rules that were coded by system traders. Most researches on system trading have focused on designing profitable entry and exit rules using technical indicators. However, market conditions, strategy characteristics, and money management also have influences on the profitability of the system trading. Unexpected price deviations from the predetermined trading rules can incur large losses to system traders. Therefore, most professional traders use strategy portfolios rather than only one strategy. Building a good strategy portfolio is important because trading performance depends on strategy portfolios. Despite of the importance of designing strategy portfolio, rule of thumb methods have been used to select trading strategies. In this study, we propose a SVM-based strategy portfolio management system. SVM were introduced by Vapnik and is known to be effective for data mining area. It can build good portfolios within a very short period of time. Since SVM minimizes structural risks, it is best suitable for the futures trading market in which prices do not move exactly the same as the past. Our system trading strategies include moving-average cross system, MACD cross system, trend-following system, buy dips and sell rallies system, DMI system, Keltner channel system, Bollinger Bands system, and Fibonacci system. These strategies are well known and frequently being used by many professional traders. We program these strategies for generating automated system signals for entry and exit. We propose SVM-based strategies selection system and portfolio construction and order routing system. Strategies selection system is a portfolio training system. It generates training data and makes SVM model using optimal portfolio. We make $m{\times}n$ data matrix by dividing KOSPI 200 index futures data with a same period. Optimal strategy portfolio is derived from analyzing each strategy performance. SVM model is generated based on this data and optimal strategy portfolio. We use 80% of the data for training and the remaining 20% is used for testing the strategy. For training, we select two strategies which show the highest profit in the next day. Selection method 1 selects two strategies and method 2 selects maximum two strategies which show profit more than 0.1 point. We use one-against-all method which has fast processing time. We analyse the daily data of KOSPI 200 index futures contracts from January 1990 to November 2011. Price change rates for 50 days are used as SVM input data. The training period is from January 1990 to March 2007 and the test period is from March 2007 to November 2011. We suggest three benchmark strategies portfolio. BM1 holds two contracts of KOSPI 200 index futures for testing period. BM2 is constructed as two strategies which show the largest cumulative profit during 30 days before testing starts. BM3 has two strategies which show best profits during testing period. Trading cost include brokerage commission cost and slippage cost. The proposed strategy portfolio management system shows profit more than double of the benchmark portfolios. BM1 shows 103.44 point profit, BM2 shows 488.61 point profit, and BM3 shows 502.41 point profit after deducting trading cost. The best benchmark is the portfolio of the two best profit strategies during the test period. The proposed system 1 shows 706.22 point profit and proposed system 2 shows 768.95 point profit after deducting trading cost. The equity curves for the entire period show stable pattern. With higher profit, this suggests a good trading direction for system traders. We can make more stable and more profitable portfolios if we add money management module to the system.

• Journal of Distribution Science
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• v.13 no.9
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• pp.47-57
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• 2015

Purpose - The aim of this paper is to investigate the explanatory power of the Pecking-order theory (the cost of financing increases with asymmetric information) among Korean retail firms from the perspective of debt capacity. According to the Pecking-order theory, a firm's first preference is to use internal funds for its capital needs, its next preference is the issuance of debt, and its last preference is the issuance of equity; this is due to the information asymmetry problem between existing shareholders and investors. However, prior empirical studies, such as Lemmon and Zender (2010), argue that the entire sample test for the Pecking-order theory could be misleading due to the different levels of debt issuance capability of each of the individual firms; in fact, they confirm that the explanatory power of the Pecking-order theory improves after taking into account the differences in debt capacity of the U.S. firms they examined. This paper implements a case study approach among Korean retail firms to examine the relationship between debt capacity and the explanatory power of the Pecking-order theory in Korea. Research design, data, and methodology - This study uses the sample of public retail firms on the Korea Composite Stock Price Index (KOSPI) from the time period of 1990 to 2013. We gather related financial and accounting statements from the financial information firm WISEfn. Credit rating information is provided by the Korea Investor Service. We employ the models of Lemmon and Zender (2010) and Son and Kim (2013) to measure a firm's debt capacity. Their logit models use the rating dummy variable as a dependent variable and incorporate other firm characteristics as independent variables to estimate debt capacity. To test the Pecking-order theory, we adopt variants of the financing deficit model of Shyam-Sunder and Myers (1999). In the test of the Pecking-order theory, we consider all of the changes in total debt obligations, current debt obligations, and long-term debt obligations. Results - Our main contribution to the literature is our confirmation of the predicted relationship between debt capacity and the explanatory power of the Pecking-order theory among Korean retail firms. The coefficients on financing deficits become greater as a firm's debt capacity improves. This is consistent with the results of Lemmon and Zender (2010). The coefficients on the square of the financing deficits are also negative for the firms in the largest debt capacity group, which is also consistent with the predictions in prior literature. Conclusions - This study takes a case study approach by examining Korean retail firms. We confirm that the Pecking-order theory explains the capital structure of retail firms more appropriately, after taking into account the debt capacity of each firm. This result suggests the importance of debt capacity consideration in the testing of the Pecking-order theory. Our result also implies that there has been a potential underestimation of the explanatory power of the Pecking-order theory in existing studies.

• Journal of Distribution Science
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• v.12 no.8
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• pp.113-121
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• 2014

Purpose - Recently, the number of corporations that practice environmental and social responsibility, besides engaging in traditional profit-seeking activities, has been growing steadily, as interest in Corporate Social Responsibility (CSR) is increasing. Recent research on CSR practices has identified the relationship between CSR activities and corporate value as one of the main issues in this respect. Considering that donations constitute a large proportion of a company's charitable activities, we considered the extent of donation expenses as a charitable activity in order to mitigate sample selection bias. Specifically, we analyzed the impact of donation expenses on firm value, while investigating if this impact varied in response to the level of corporate governance of firms. Research design, data, and methodology - We used non-financial firms listed on the Korean Stock Exchange, having their fiscal year end in December, and the sample period was 2006-2013. For the dependent variable, Tobin's q was used as the corporate value, and for the independent variable, donations were measured as the donation-expense-to-sales ratio. Corporate governance scores, as rated by the Korea Corporate Governance Service, were used to measure corporate governance levels because they consider the overall aspects of governance, including ownership structure, the board of directors, and the audit mechanism of individual companies. To examine the impact of donations on a company in relation to the level of corporate governance, we estimated regression models using the interaction terms of the governance dummy and donation variables. Then, we further estimated the regression models of two sub-samples that were classified according to the level of corporate governance. Similar to previous studies, the study uses variables that affect firm value, such as R&D expenditure, advertising expenses, EBITDA, debt-to-equity ratio, sales growth, company age, and company size as control variables. Results - The empirical results show that firm value significantly increased in response to an increase in donation expenses. Upon including the interaction terms of governance level dummy variables and donations, the coefficients of the interaction terms show significant positive values, while those of donation variables show significant negative values. In the strong governance sub-sample, the relationship between the donation expenses and corporate value was statistically positive (+) and significant. However, in the weak governance sub-sample, the relationship between the donation expenses and corporate value was statistically insignificant and negative (-). Conclusions - The empirical results suggest that donation expenses are significantly linked to an enhanced corporate value if firms have a good corporate governance structure. However, if the corporate governance structure is weak, the same relationship is not necessarily observed. The results of this study show that if a firm has high corporate governance, CSR practices enhance the company's reputation such that it has a positive (+) relationship with corporate value. If a firm has weak corporate governance, on the other hand, CSR practices are recognized as an agency cost and do not increase corporate value.

• Journal of Global Scholars of Marketing Science
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• v.8
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• pp.341-373
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• 2001

Firms are confronting the age of an infinite competition. In order to respond to the rapidly changing business environment and make a success and survival in the international and domestic securities market, firms must take a consideration on the stockholders value-oriented philosophy which has greatly contributed not only to the maximization of corporate profits but also to the stability of financial markets. To pursue stockholders value-oriented philosophy, a firm should build strong relationship with investors by providing exact information of firm's state, financial statement, management policy. Stockholders value-oriented philosophy contributes to long-term growth and development of the firm as well as efficient equity financing and friendship with stockholder. IR is the key factor to attain successful implementation of company's objective. It should be equipped with the most suitable organization and qualified man-power for IR activities. The purpose of this study was to examine the relationship between IR and relationship marketing management. Strategic implications of this study are as follows: First, This study provides a new explanations of IR activities in Relationship Marketing Management. Second, IR activities were key determinants of Trust and Commitment. That means the more a firm does IR activities, the more Trust and Commitment a firm has for their investors. Third, The variables of trust and commitment are highly related to marketing and financial success. IR have a positive effect on a company total value and its cost of capital relative to that of the overall market.

• Management & Information Systems Review
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• v.36 no.3
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• pp.255-268
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• 2017

This study examines whether firms with tax avoidance of Corporate Social Responsibility(CSR) performance is tempered by the extent firms engage in CEO turnovers. Considering the increasing interest in CSR activities of the firm to secure sustainable growth of national economy, this paper investigates the benefit and cost of CSR activities by combining the agency theory using the firm level data. Prior studies document that investors positively value tax avoidance. The rationale for this finding is that tax avoidance provides cash savings that can be used by firm managers to generate future shareholder wealth. Prior studies also show that investors' valuations are sensitive to the risk of future negative tax outcomes. Assuming that many types of CSR performances are low risk, low yielding uses of firm resources, we posit that higher levels of CSR performance may signal to investors that cash generated via tax avoidance has not been fully used to generate a return sufficient to offset the risk associated with aggressive tax planning strategies. Consistent with this argument, we predict and find that the positive association between CSR performance and tax avoidance is significantly weakened when firms have higher positive levels of CEO turnovers. Further, we predict and find that 'philanthropic' types of CSR activities in particular are associated with investor discounting of tax avoidance. We interpret our results as suggesting the equity market views CSR activities to be ostensibly funded through cash savings generated via tax avoidance.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.18 no.4
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• pp.135-142
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• 2017

This study employs an analytical mathematical model to estimate the optimal debt ratio of Korean agricultural corporations, more sensitive to the government debt ratio policy compared to other industries, and the estimation of the optimal debt ratio based on objective data. The analytical model utilizes the equation for ROE, with the debt ratio as an independent variable, and related parameters include ROS, TAT, and NFCL. Regarding the NFCL, the optimal debt ratio standard is defined as the debt ratio that maximizes the ROE by analytical procedures such as adding an equation concerning the debt ratio and a linearity relationship to the analytical model, and from these equations, a quadratic equation with the debt ratio as an independent variable describes the ROE. This methodemploys fourteen years of corporate data. Results show that 138% of debt ratio is the optimal debt ratio to increase the ROE of the corporations, which implies that the existing debt ratio of Korean agricultural corporations is higher than optimal. Consequently, it is required for authorities to change future debt ratio policies in view that the purpose of debt ratio management is to maintain safety and increase profitability.Management should emphasize characteristics of the specific industry rather than standardized judgements based on numerical indexes.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.2 no.4
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• pp.103-133
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• 2007

The purpose of this study is to investigate whether customer satisfaction is affected by the expenditure for the customer satisfaction such as advertising, promotion, and training. This study also investigate whether the financial performance of the firm is affected by the customer satisfaction. The major findings are summarized as following. First, the customer satisfaction is affected by the expenditure for the customer satisfaction such as promotion, training. But customer satisfaction is not affected by advertising cost. Second, considering the time-lag and incremental valiables, the relationship between customer satisfaction and expenditure for the customer satisfaction is not founded. Third, the customer satisfaction affects positively on the corporate financial performance, such as ratio of operating income to sales, ratio of net income to sales, return on total assets, and return on equity. Finally, considering the time-lag the relationship between customer satisfaction and financial performance is not founded. Considering the incremental valiables, the relationship between customer satisfaction and financial performance is founded when ratio of operating income to sales and return on total assets are used financial performance. These findings imply that the expenditure for promotiom and training is needed to increase the customer satisfaction. Also improvement customer satisfaction is needed to increase the financial performance. The limitations of this study are as following. First, this study could not consider the other variables that would affect on the relationship among expenditure for customer satisfaction, level of customer satisfaction, and financial performance. Second, the results of this study are difficult to generalize because this study is focused on the service industry.

• Journal of Korean Society of Transportation
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• v.28 no.2
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• pp.65-75
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• 2010

When the cost-benefit analysis is applied for social discount rate(SDR), the choice of SDR to be used in analysis is critical. One of the important issues when public investment project evaluate what is the SDR theory, so there have studied about SDR and no exact answer it so far. In this study, there are three of SDR theories that be estimated social time preference rate, social investment returns and the weighted average method from 1990s, 2000 to 2003 and 2004 to 2008.. First, social time preference method computes consumer's interest rate and the model of Pearce and Ulph(1999). Second, social investment returns method computes private returns of capital. Third, the weighted average method computes the model of Squire, L., Herman G. van der Tak(1975) and private consumption expense and the private investment expense. SDR is estimated in the rage between 2.4% and 3.9% from 2004 to 2008. It is not appropriate that the interest rate was unstable. But it is consider for social equity from present to future generations. Considering this things, downward need to the value of current SDR 5.5%.

• Journal of Navigation and Port Research
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• v.43 no.4
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• pp.264-272
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• 2019

In this study, the rate of return on investment used as a proxy variable for the entity's value and financial structure (liability ratio) is related to positive balance. This is consistent with the Static Tradeoff Theory (STT) that the entity's value and financial structure are related to a positive balance because the capital expense of a debt (tax-saving effects) that is less than its equity cost before it is in financial difficulty. Also, operating profitability (EBITDA/Sales), investment safety, total asset growth, net working capital and depreciation expenses are related to negative (-) with financial structure (liability ratio). This is the result of an analysis consistent with the Pecking Order Theory (POT). Fuel costs, borrowing, total asset turnover, financial costs, and tangible asset ratios have a significant positive relationship with the debt ratio. This is consistent with the agency theory and confirms that excessive chartering expenses, such as the bankrupt H company, are the main factors that pressure the financial structure of Korean ocean carriers.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.18 no.2
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• pp.600-608
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• 2017

This study analyzed the management index, debt ratio, and business performance of livestock agricultural farming corporations since the Korea international financial reporting standards (K-IFRS) was introduced in 2011. In addition, this study was based on credible accounting reports by the financial supervisory service's DART (data analysis, retrieval and transfer) system. First, after analyzing the key management index, the results showed that the current ratio, debt ratio, and current liabilities ratio decreased and the ratio of the owners increased on the safety index. Regarding the profitability index, the ROA (return on total assets), ROE (return on equity), and ROS (return on sales) increased slightly in 2014 compared to 2013. The overall growth and external growth on the growth index have not increased. Second, an analysis of the debt ratio and business performance, the debt ratio has a negative effect on the ROA and ROS. These results show that the use of debt of livestock agricultural farming corporations contributes to the external growth but it has a negative effect on business performance. These results show that management should consider solutions for the increase in sales to achieve cost reductions. In addition, the debt ratio should be reduced and solutions for an increase in revenue are needed to reduce management expenses, such as propagation of technical development.