• Journal of the Korean Operations Research and Management Science Society
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• v.38 no.4
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• pp.35-52
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• 2013

Markowitz's portfolio selection model is used to construct an optimal portfolio which has minimum variance, while satisfying a minimum required expected return. The model uses estimators based on analysis of historical data to estimate the returns, standard deviations, and correlation coefficients of individual stocks being considered for investment. However, due to the inaccuracies involved in estimations, the true optimality of a portfolio constructed using the model is questionable. To investigate the effect of estimation inaccuracy on actual portfolio performance, we study the changes in a portfolio's realized return and standard deviation as the accuracy of the estimations for each stock's return, standard deviation, and correlation coefficient is increased. Furthermore, we empirically analyze the portfolio's performance by comparing it with the performance of active mutual funds that are being traded in the Korean stock market and the KOSPI benchmark index, in terms of portfolio returns, standard deviations of returns, and Sharpe ratios. Our results suggest that, among the three input parameters, the accuracy of the estimated returns of individual stocks has the largest effect on performance, while the accuracy of the estimates of the standard deviation of each stock's returns and the correlation coefficient between different stocks have smaller effects. In addition, it is shown that even a small increase in the accuracy of the estimated return of individual stocks improves the portfolio's performance substantially, suggesting that Markowitz's model can be more effectively applied in real-life investments with just an incremental effort to increase estimation accuracy.

• Proceedings of the Korea Association of Information Systems Conference
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• 2005.12a
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• pp.275-280
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• 2005

Net present value (NPV) and return on investment (ROI) are commonly used to evaluate investment in new technologies. Sometimes, however, measuring the value of investment in new IT becomes very difficult due to its wide scope of application coupled with embedded options in its adoption. Therefore, comprehensive but easily understandable methodologies are needed to solve the complicated problems resulting from the complexity of new technologies. This paper employs a real option analysis to evaluate RFID adoption in the supply chain. Real options analysis should be a better way to evaluate a disruptive technology like RFID.

• Journal of Service Research and Studies
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• v.10 no.4
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• pp.71-88
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• 2020

CB(Convertible bond) is mezzanine security that have the characteristics of bonds and stocks. From the perspective of investors, the purpose of the research is to empirically investigate the degree of investment efficiency of CB and to suggest efficient investment plans. The research method investigated the maturity interest rate, conversion price, and conversion date for CB, and then linked it with daily stock price fluctuations after the conversion date to determine the degree of investment efficiency and stock conversion effect of CB. As a result of the study, it was analyzed that the ratio of the conversion price exceeded days was only about 1/4 of the conversion date, so the investment efficiency was low. The conversion day yield was -6.3% on average and the maturity day yield was -5.2% on average, showing a minus return on average, which was calculated differently from investor expectations. It was analyzed that the number of stocks with a minus conversion day is 2.4 times greater than the number of plus stocks and 3.7 times more than the number of plus stocks with a minus maturity return, so the expected return on stock conversion of CB is low. The research contribution was derived from the problem that the expected rate of return of CB is not high, and it is that the investor's point of view when purchasing CB was established.

• The Journal of Information Systems
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• v.27 no.3
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• pp.43-62
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• 2018

Purpose Since the Bitcoin, which was the first virtual currency, was made at 2009, almost 1,000 virtual currencies appeared onstage in the world. Even though virtual currencies have the function of money as a medium of exchange or contract, any of those has not yet entered the commercialization stage. Instead, some of the virtual currencies show the nature of investment assets. In the case of virtual money investment, users tend to use all the information of the world because information transfer is very easy and capital movement is almost free between different countries. In addition, as the transaction sizes of virtual currencies increase, a virtual currency price is no longer independent and is likely to be affected by the prices of other virtual currencies. Therefore, it is necessary to understand the influence among virtual currency markets, which helps successful implementation of investment strategies. Design/methodology/approach This study focuses on the investment product function of virtual money and conducts the analysis using the time series model used in the financial and economic areas. In this paper, we try to analyze the return and volatility transfer effect of virtual money markets through GJR-GARCH model. Findings This study is expected to find out whether we can make market forecasts through reflecting changes in other markets. In addition, we can reduce the trial and error of user decision making by using the information on the yield and volatility transition effect derived from the research results, and it is expected to reduce the opportunity cost of users.

• Proceedings of the Korea Technology Innovation Society Conference
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• 2000.11a
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• pp.346-356
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• 2000

This paper aims to analyse the relationship between R＆D investment and economic growth in Korea. The analysis result shows 38 percent of average economic growth rate(7.1%) of Korea between 1976 and 1998 was achieved by the growth of Total Factor Productivity (TFP), and the R&D investment during the period contributed in achieving the economic growth rate by as much as 9.86 percent. In the process of the estimate, the rate of return of the R&D investment from both government and private was calculated as 47 percent. The relationship between private R&D investment, government R&D investment and the GDP was also investigated, and it was estimated that the private sector invested 2.0 percent of the GDP in R&D during the period, and was found that 1 won of government R&D investment induced 0.202 won of private sector's R&D investment. However, the time-lag effect, which is naturally believed to exist between the R&D investment and the economic growth, could not be analysed in a mathematical form, because of the lack of the data to establish this relationship. However, this paper believe that the time-lag effect in this relationship was included implicitly by using the data of 23 years.

• Journal of Intelligence and Information Systems
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• v.21 no.3
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• pp.117-129
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• 2015

As the Internet becomes ubiquitous, a large volume of information is posted on the Internet with exponential growth every day. Accordingly, it is not unusual that investors in stock markets gather and compile firm-specific or market-wide information through online searches. Importantly, it becomes easier for investors to acquire value-relevant information for their investment decision with the help of powerful search tools on the Internet. Our study examines whether or not the Internet helps investors assess a firm's value better by using firm-level data over long periods spanning from January 2004 to December 2013. To this end, we construct weekly-based search volume for information technology (IT) services firms on the Internet. We limit our focus to IT firms since they are often equipped with intangible assets and relatively less recognized to the public which makes them hard-to measure. To obtain the information on those firms, investors are more likely to consult the Internet and use the information to appreciate the firms more accurately and eventually improve their investment decisions. Prior studies have shown that changes in search volumes can reflect the various aspects of the complex human behaviors and forecast near-term values of economic indicators, including automobile sales, unemployment claims, and etc. Moreover, search volume of firm names or stock ticker symbols has been used as a direct proxy of individual investors' attention in financial markets since, different from indirect measures such as turnover and extreme returns, they can reveal and quantify the interest of investors in an objective way. Following this line of research, this study aims to gauge whether the information retrieved from the Internet is value relevant in assessing a firm. We also use search volume for analysis but, distinguished from prior studies, explore its impact on return comovements with market returns. Given that a firm's returns tend to comove with market returns excessively when investors are less informed about the firm, we empirically test the value of information by examining the association between Internet searches and the extent to which a firm's returns comove. Our results show that Internet searches are negatively associated with return comovements as expected. When sample is split by the size of firms, the impact of Internet searches on return comovements is shown to be greater for large firms than small ones. Interestingly, we find a greater impact of Internet searches on return comovements for years from 2009 to 2013 than earlier years possibly due to more aggressive and informative exploit of Internet searches in obtaining financial information. We also complement our analyses by examining the association between return volatility and Internet search volumes. If Internet searches capture investors' attention associated with a change in firm-specific fundamentals such as new product releases, stock splits and so on, a firm's return volatility is likely to increase while search results can provide value-relevant information to investors. Our results suggest that in general, an increase in the volume of Internet searches is not positively associated with return volatility. However, we find a positive association between Internet searches and return volatility when the sample is limited to larger firms. A stronger result from larger firms implies that investors still pay less attention to the information obtained from Internet searches for small firms while the information is value relevant in assessing stock values. However, we do find any systematic differences in the magnitude of Internet searches impact on return volatility by time periods. Taken together, our results shed new light on the value of information searched from the Internet in assessing stock values. Given the informational role of the Internet in stock markets, we believe the results would guide investors to exploit Internet search tools to be better informed, as a result improving their investment decisions.

• Journal of The Korean Digital Architecture Interior Association
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• v.10 no.1
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• pp.39-47
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• 2010

The officetel introduced into Korea in the mid-1980s has thus far been in the limelight as the object of investment for the substitute for small-sized housing and for lease income. But to raise the possibility of succeeding in officetel investment in the future, it has been necessary to make a systematic analysis of the changed direction of the officetel market and the profitability and stability of investment. Accordingly, this study attempted to analyze demand for officetel with a focus on the possibility of increase in the households composed of one or two members, the major consuming bracket of small-sized housing. And it attempted to analyze the possibility of investment in officetel as the investment goods for lease income due to the entry of Korea into aging society. And past analysis of investment in officetel was confined to profitability analysis, but this study sought to develop the stability indicator of the officetel for the analytical purpose. As a result, it is predicted that demand for small-sized housing will increase due to the increase in 1-to 2-person households. Accordingly, it is predicted that demand for officetel as the place of residence will come to increase. And taking into consideration the more serious degree of sustained aging in the population, older people's preference for real estate and need for lease income, it is predicted that preference for officetel as the object of investment will increase. An attempt was made to analyze the profitability and stability of investment in the metropolitan area which the officetel has principally been supplied, in order to analyze the profitability and stability of officetels. For the purpose of this study, Yeoksam-dong in Kangnam-gu, Yeoui-dong in Youngdeungpo-gu, Bongcheon-dong in Kwanak-gu were selected in Seoul as the area for analysis. Jung-dong in Wonmi-gu, Bucheon, Seohyun-dong in Bundang-gu, Seongnam, Janghang-dong in Ilsan-gu, Koyang were selected in Kyonggi province as the area for analysis. As a result, it was found that the small-sized officetel had higher profitability and stability than the large-sized officetel. It was found that the area of Kyonggi Province had the larger deviation by size. That is, it was found that the small-sized officetel in the area of Kyonggi Province was significant as the object of investment for stable lease income.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.17 no.1
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• pp.29-43
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• 2022

This study measures the realized rate of return of venture capital(VC) fund at the level of investment agreement(as opposed to fund level returns reported by most of the relevant studies). It also measures the stock price return of the VC's portfolio firms (unlisted start-ups) at firm level(as opposed to fund returns) and its variance for the first time using unique data of the VC funds held by the Korean Venture Capital Association. Results of the analysis confirm that VC fund returns exceed individual stock price returns. Additionally, it is confirmed that VC portfolio firms exhibit a positive relationship between risk and return measured by total risk. Finally, we find that stock price returns at firm level are lower than that implied by the associated levels of risk. Consequently, this may make individual investors hesitate to directly buy unlisted startups' stocks even when investment in individual startup companies guarantees high risk-high returns relationship.

• IE interfaces
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• v.24 no.1
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• pp.24-39
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• 2011

In this paper, we study the methodology for the measurement and integration of market risk and credit risk using Copula. We apply the methodology of Rosenberg, and Schuermann(2006) to the assets of pension system. Firstly we estimate dynamics of risk factors and their effects on investment returns, then use the estimated result to simulate future movement of risk factors and distribution of investment returns. Finally we measure integrated risk using integrated return distribution by Copula and simulated future investment return distributions. We found the integrated risk changing with the correlation of risks and investment weights of risks and confirmed the diversification effect of risks. This result is consistent when we use normal Copula and normal marginals, t-Copula and t(3) marginals, and normal Copula and non-parametric marginals. And in the case of non-parametric maginals, larger integrated risk is calculated. It means that use of non-parametric marginals is more conservative.

• Asia-Pacific Journal of Business
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• v.5 no.1
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• pp.33-41
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• 2014

Since depositors are motivated by returns, it is important for Islamic banks management to understand the extent that rates of return on deposits influence their customers' decision to deposit. The main objective of the study is to explore the degree of influence of conventional bank's interest rate on Islamic bank's profitability and vice-versa. It has been seen from 2005 to 2011 that the rate of interest declared on deposit by conventional banks has a negative impact on profitability of both types of banks in Bangladesh. Rate of profit declared on deposit by Islamic banks is positively related with their profit earned but negatively related with profit earned by conventional banks. We see that rate of interest declared on deposit by Conventional Banks is positively related with their deposit volume but negatively related with Islamic Bank's deposit. On the other hand, rate of profit declared on deposit by Islamic Banks is negatively related with deposit levels of both types of banks. The survey result shows that almost 85% of the respondents are choosing Islamic banks only from their religious point of view and more than 60% of the sampled Islamic bank customers are reluctant to leave the bank even if conventional banks offer better interest rates.