• 산업경영시스템학회지
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• 제19권37호
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• pp.187-194
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• 1996

Firms pay cash dividends to reduce the agency costs, and then insider stock ownership affects the dicision of dividend payout ratio. In this study, it is tested that firm's insider stock ownership affects the decision of dividend payout ratio, but the relation between dividend payout ratio and insider stock ownership is nonmonostic. The empirical evidence shows that at low levels of insider stock ownership, increase in the percentage of stock held by insiders decreases dividend payout ratio, but beyond the point of entrenchment increase in the percentage of stock held by insiders increases dividend payout ratio. Thus, the dividend payout ratio and the percentage of stock held by insiders are in a parabolic relation. This implies that there may be a optimal insider stock ownership In lead to the minimun dividend payout ratio.

• 산업경영시스템학회지
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• 제9권14호
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• pp.49-58
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• 1986

Those facts I have studied on the theoretical characteristics of stock price earning ratio related with firm evaluation are as followings. First, I have investigated stock valuation analysis under certainty in view of Miller's, Modigliani's and Linter's theories in Chapter Ⅱ, and it is found that stock valuation under uncertainty to which the basic model of MM theory and the concept of capitalization ratio are applied is the same output, as in the case under certainty. And I have examined the stock valuation of growth corporations in which net investment, total capitals and operating profits are expected. Second, I have reexamined the fact that stock price profits are the erotical indices of firm valuation and the firm valuation on the basis of stock price earning ratio in Chapter III. As a whole, I have surveyed the stock price earning ratio theory of the growth stocks and there have been found some problems as such scholars as Malkiel and others have suggested focusing on the stock price structure of growth stocks. To conclude, there must be incessant efforts for the study of security analysis to make it develop ideally.

• 산업경영시스템학회지
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• 제36권1호
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• pp.96-102
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• 2013

This paper makes a detailed comparison between two metrics designed for measuring customer's satisfaction in the retail industry. The first metric, which is called the customer service level, has not been widely used due to the intrinsic requirement on the parameter assumption(s) of the demand distribution. Unlike the customer service level metric the in stock ratio metric does not require any requirements on the demand distribution. And the in stock ratio metric is also very easy to understand the meaning. To develop the detailed planning activities for business with the in stock ratio metric on hand one should collect some information as following : 1) POS (Point of sales) data, 2) Inventory Data 3) Inventory Trend.

• 아태비즈니스연구
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• 제11권4호
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• pp.317-332
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• 2020

Purpose - This study examines the information effect and trading behavior of investors for the 430 stock split data from January 2004 to June 2018 in the Korean stock market. Design/methodology/approach - The stock split samples are classified into two groups by split ratio as well as three groups by price level prior to split. We also investigate the trading behavior of investors categorized by institutional versus individual investors. Findings - First, we find a significantly positive information effect on the announcement day. In particular, the information effect is more distinct in the group of larger split ratio and higher price level of stocks. Second, we find a huge increase in turnover following the stock splits, which mainly results from the trading by individual investors. Also, the increase in turnover by individual investors is evident in the group of larger split ratio and higher price level of stocks. Third, the stock splits have a negative impact on the long-term stock performance. The negative buy-and-hold abnormal return(BHAR) makes no difference in the groups by split ratio as well as price level of stocks. Lastly, we find individual investors tend to buy splitted stocks, which exhibit the long-term under-performance. Research implications or Originality - The results in this paper suggest that the liquidity hypothesis is not supported in the Korean stock splits. In addition, we observe that individual investors are exposed to losses due to their unfavorable trading behavior following the stock split.

• The Journal of Asian Finance, Economics and Business
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• 제6권4호
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• pp.19-26
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• 2019

The study investigates the impact of accrual anomaly on stock return ratio of listed firms in Vietnam. Data were collected from listed firms for the period from 2008 to 2018. To learn about the causes of accrual anomaly in returns and future rate of returns on the Vietnamese stock market, this research is based on accrual analysis of Richardson, Sloan, Soliman, and Tuna (2006) on growth and effective components. We employ GLS regression model for examining the impact of accrual anomaly on stock return ratio and T-test for checking the difference between the lowest and the highest portfolio. The results show that accounting distortion is the main factor impacting the stock return, not growth determinant. Both two determinants of accounting distortion and growth contribute the explanation of the impact of accrual anomaly on profit and future stock return ratio. Experimental evidence confirms an abnormal existence of accrual in the Vietnam stock market. Aggregate accrual is negatively correlated with future operating profit and future stock return. However, after considering the factors contributing to the impact of future profitability and return on stock returns, the study results show that accounting distortion can account for low sustainability of income that is not growth.

• 재무관리연구
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• 제24권2호
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• pp.183-206
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• 2007

The price-dividend ratio is one of the most frequently used financial variables to predict long-horizon stock return. However, the persistency of the price-dividend ratio is found to cause the spuriousness of the stock return prediction regression. The stable relationship between the stock price and the dividend, however, seems to weaken after World War II and to experience structural break. In this paper, we identify a structural change in the cointegrating relationship between the log of the stock price and the log of the dividend. Confirming a structural break in 1962, we subdivide the sample and apply the fully modified estimator to correct for the nonstationarity of the regressor. With the subdivided sample, we exercise the nonparametric bootstrap procedure to derive the empirical distribution of the test statistics and fail to find return predictability in each subsample period.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.23-30
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• 2021

The purpose of this study is to compare the level of risk and return of Islamic stocks in the Jakarta Islamic Index (JII) with conventional stocks on the IDX30 in the period from January 2017 to July 2019. The Sharpe ratio method is used to calculate risk and stock returns. The performance of the stock portfolio is measured by comparing the risk premium portfolio with the portfolio risk that is expressed as a standard deviation of the total risk. This study uses secondary data collected by the Indonesia Stock Exchange (IDX), which provides the names of stock issuers included in the JII and IDX30 indices along with their montly closing price. The results of the descriptive analysis show that the JII Sharpe ratio index from January 2017 to July 2019 is from the minimum range of -0.28820 to a maximum range of 0.05622, while the IDX30 Sharpe ratio index from January 2017 to July 2019 is from the minimum range of -0.09290 to the maximum range of 0.17436. The results of inferential analysis using a different test show that there is a significant difference between the Sharpe ratio JII and IDX30 in measuring the performance of the stock portfolio.

• 경영과정보연구
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• 제26권
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• pp.293-309
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• 2008

This study examined the market efficiency of korea stock market by comparing variance ratios(VR) of stock groups which is sorted by market capitalization. We compute variance ratios of KOSPI large capitalization, midium capitalization, and small capitalization for 546 trading days from 2006/01/02 to 2008/04/15. For our study, we also use high frequency data that is; intra-day 1 minute data. The characteristics of variance ratios of stock groups by market capitalization as follows: From 1 to 5 minute interval, variance ratios of three stock group increase far from zero(0). The longer time interval, the more variance ratios decrease, but only large capitalization converge on around zero. This means that the market of large capitalization is more efficient compare to other stock groups. The entire sample period can be divided two sub-period because the impact of sub prime crisis arised from U.S.A. influences Korea stock market. Before sub prime crisis, the VRs of mid cap and small cap do not converge on around zero except large cap although the time interval is longer. After sub prime crisis, the VRs of three stock groups decrease when time interval is longer, but only large cap converge on around zero. We conclude that large cap is more efficient than other stock groups in Korea Stock Market.

• The Journal of Asian Finance, Economics and Business
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• 제7권10호
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• pp.523-530
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• 2020

The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay's (1988) conventional variance ratio test, and Chow-Denning's (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum /z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.

• 한국정보과학회논문지:시스템및이론
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• 제37권6호
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• pp.354-367
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• 2010

시계열 데이터에서 패턴을 분석하는 기법은 많은 발전이 이루어져 오고 있다. 그러나 주식시장의 경우 시계열 데이터임에도 불구하고 패턴 분석 및 예측은 많은 연구가 이루어지지 않고 있으며 예측도가 매우 낮다. 그 이유는 주가의 등락 자체가 본질적으로 무작위하다고 하면 어떠한 과학적 방법으로도 그 예측은 불가능하다. 본 연구에서는 주가의 등락이 보여주는 무작위성의 정도를 Kolmogorov 복잡도를 이용해 측정하여 그 무작위의 정도와 본 논문에서 제시한 반 전역정렬(semi-global alignment)로 예측할 수 있는 주가의 예측의 정확간의 깊은 상관관계가 있음을 보인다. 이를 위해서 주가지수의 등락을 양자화된 문자열로 변환하고 그 문자열의 Kolmogorov 복잡도를 이용해 주가 변동의 무작위성을 측정하였다. 우리는 KOSPI 주식 데이터 28년 690개의 데이터를 수집하여 이를 실험용 데이터로 사용하여 본 논문에서 제시한 방법의 의미를 평가하였다. 그 결과 Kolmogorov 복잡도가 높은 경우에는 변동 예측이 어려우며, Kolmogorov 복잡도가 낮은 경우에는 주식 변동 예측은 가능하나 3종류의 예측율에 대해서 투자자들이 관심이 많은 등락 예측율은 단기 예측은 12% 이상의 예측율을 보일 수 없으며, 장기 예측의 경우 54%의 예측율로 수렴함을 확인하였다.