• East Asian Economic Review
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• 제27권3호
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• pp.213-242
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• 2023

This paper investigates whether the price of cryptocurrency is determined by the US dollar index, the price of investment assets such gold and oil, and the implied volatility of the KOSPI. Overall, the returns on cryptocurrencies are best predicted by the trading volume of the cryptocurrency both in-sample and out-of-sample. The estimates of gold and the dollar index are negative in the return prediction, though they are not significant. The dollar index, gold, and the cryptocurrencies seem to share characteristics which hedging instruments have in common. When investors take notice of the imminent market risks, they increase the demand for one of these assets and thereby increase the returns on the asset. The most notable result in the out-of-sample predictability is the predictability of the returns on value-weighted portfolio by gold. The empirical results show that the restricted model fails to encompass the unrestricted model. Therefore, the unrestricted model is significant in improving out-of-sample predictability of the portfolio returns using gold. From the empirical analyses, we can conclude that in-sample predictability cannot guarantee out-of-sample predictability and vice versa. This may shed light on the disparate results between in-sample and out-of-sample predictability in a large body of previous literature.

• East Asian Economic Review
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• 제23권4호
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• pp.333-351
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• 2019

We use a data-mining bootstrap procedure to investigate the predictability test in the eight Asia-Pacific regional stock markets using in-sample and out-of-sample forecasting models. We address ourselves to the data-mining bias issues by using the data-mining bootstrap procedure proposed by Inoue and Kilian and applied to the US stock market data by Rapach and Wohar. The empirical findings show that stock returns are predictable not only in-sample but out-of-sample in Hong Kong, Malaysia, Singapore, and Korea with a few exceptions for some forecasting horizons. However, we find some significant disparity between in-sample and out-of-sample predictability in the Korean stock market. For Hong Kong, Malaysia, and Singapore, stock returns have predictable components both in-sample and out-of-sample. For the US, Australia, and Canada, we do not find any evidence of return predictability in-sample and out-of-sample with a few exceptions. For Japan, stock returns have a predictable component with price-earnings ratio as a forecasting variable for some out-of-sample forecasting horizons.

• KDI Journal of Economic Policy
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• 제37권4호
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• pp.1-20
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• 2015

We examine the validity of popular exchange rate models such as the purchasing power parity (PPP) hypothesis and the monetary model for Korean won/US dollar exchange rate. Various specification tests demonstrate that Korean data are more favorable for both models based on time-varying cointegration coefficients as compared to those based on constant cointegration coefficients. When the abilities to predict future exchange rates between those models based on time-varying cointegration coefficients are compared, an in-sample analysis shows that the time-varying PPP (monetary model) has better predictive power over horizons shorter (longer) than one year. Results from an out-of-sample analysis indicate that the time-varying PPP outperforms models based on constant cointegration coefficients when predicting future exchange rate changes in the long run.

• Industrial Engineering and Management Systems
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• 제12권4호
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• pp.406-415
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• 2013

The present study examines a set of financial ratios in predicting the up or down movements of stock prices in the context of a securities law, the Sarbanes-Oxley Act of 2002 (SOA), controlling for macroeconomic variables. Using the logistic regression with proxy betas to alleviate the incompatibility problem between the firm-specific financial ratios and macroeconomic indicators, we report evidence that financial ratios are meaningful predictors of stock price changes, which subdue the influence of macroeconomic indicators on stock returns, and more importantly that the SOA truly improves the stock price predictability of financial ratios for the markup sample. The empirical results further suggest that industry and time effects exist and that for the markdown sample the SOA actually deteriorates the predictive power of financial ratios.

• 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.717-729
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• 2021

This paper examines the efficacy of the default risk factor in an emerging market context using the Fama-French five-factor model. Our aim is to test whether the Fama-French five-factor model augmented with a default risk factor improves the predictability of returns of portfolios sorted on the firm's characteristics as well as on industry. The default risk factor is constructed by estimating the probability of default using a hybrid version of dynamic panel probit and artificial neural network (ANN) to proxy default risk. This study also provides evidence on the temporal stability of risk premiums obtained using the Fama-MacBeth approach. Using a sample of 3,806 firm-year observations on non-financial listed companies of Pakistan over 2006-2015 we found that the augmented model performed better when tested across size-investment-default sorted portfolios. The investment factor contains some default-related information, but default risk is independently priced and bears a significantly positive risk premium. The risk premiums are also found temporally stable over the full sample and more recent sample period 2010-2015 as evidence by the Fama-MacBeth regressions. The finding suggests that the default risk factor is not a useless factor and due to mispricing, default risk anomaly prevails in the Pakistani equity market.

• Clinical and Experimental Pediatrics
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• 제53권9호
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• pp.840-844
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• 2010

Purpose: Microalbuminuria is defined as increased urinary albumin excretion (30-300 mg/day) or microalbumin/creatinine ratio (30-300 mg/g) in a spot urine sample. Although microalbuminuria is a predictor of clinical nephropathy and cardiomyopathy, few studies have investigated microalbuminuria in children with urinary tract infection (UTI). Therefore, we compared the spot urine microalbumin/creatinine ratio in pediatric UTI patients with that of control subjects. Methods: We investigated the correlation between the ratio in children with UTI and age, height, weight, blood pressure, glomerular filtration rate (GFR), hematuria, vesicoureteral reflux, renal parenchymal defect, and renal scar, and its predictability for UTI complications. Results: We studied 66 patients (42 boys, 24 girls) and 52 healthy children (24 boys, 28 girls). The mean microalbumin/creatinine ratio in UTI patients was statistically significantly increased compared to the control group ($340.04{\pm}321.36mg/g$ vs. $225.68{\pm}154.61mg/g$, $P$=0.0141). The mean value of spot urine microalbumin/creatinine ratio ($384.70{\pm}342.22mg/g$ vs. $264.92{\pm}158.13mg/g$, $P$=0.0341) in 1-23 months age patient group showed statistically significant increase compared to control group. Microalbumin/creatinine ratio showed negative correlation to age (r=-0.29, $P$=0.0167), body surface area (BSA) (r=-0.29, $P$=0.0173) and GFR (r=-0.26, $P$=0.0343). The presence of hematuria ($P$=0.0169) was found to be correlated. Conclusion: The spot urine microalbumin/creatinine ratio in children with UTI was significantly greater than that in normal children, and it was positively correlated with GFR. This ratio is a potential prescreening and prognostic marker in UTI patients. Further studies are required to validate the predictability of microalbuminuria in pediatric UTI patients.

• 대기
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• 제32권4호
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• pp.353-365
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• 2022

This paper evaluates precipitation forecast skill of Global/Regional Integrated Model system (GRIMs) over South Korea in a boreal winter from December 2013 to February 2014. Three types of precipitation are classified based on development mechanism: 1) convection type (C type), 2) low pressure type (L type), and 3) orographic type (O type), in which their frequencies are 44.4%, 25.0%, and 30.6%, respectively. It appears that the model significantly overestimates precipitation occurrence (0.1 mm d^-1) for all types of winter precipitation. Objective measured skill scores of GRIMs are comparably high for L type and O type. Except for precipitation occurrence, the model shows high predictability for L type precipitation with the most unbiased prediction. It is noted that Equitable Threat Score (ETS) is inappropriate for measuring rare events due to its high dependency on the sample size, as in the case of Critical Success Index as well. The Symmetric Extreme Dependency Score (SEDS) demonstrates less sensitivity on the number of samples. Thus, SEDS is used for the evaluation of prediction skill to supplement the limit of ETS. The evaluation via SEDS shows that the prediction skill score for L type is the highest in the range of 5.0, 10.0 mm d^-1 and the score for O type is the highest in the range of 1.0, 20.0 mm d^-1. C type has the lowest scores in overall range. The difference in precipitation forecast skill by precipitation type can be explained by the spatial distribution and intensity of precipitation in each representative case.

• Journal of Biosystems Engineering
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• 제34권5호
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• pp.377-381
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• 2009

Excessive presence of heavy metals in environment may contaminate plants and fruits grown in that area. Rapid on-site monitoring of heavy metals can provide useful information to efficiently characterize heavy metal-contaminated sites and minimize the exposure of the contaminated food crops to humans. This study reports on the evaluation of a bismuth-coated glassy carbon electrode for simultaneous determination of cadmium (Cd) and lead (Pb) in a NIST-SRM 1568a rice flour by anodic stripping voltammetry (ASV). The use of a supporting electrolyte 0.1 M $HNO_3$ at a dilution ratio (sample pretreated with acid digestion in a microwave oven: supporting electrolyte) of 1:1 provided well-defined, sharp and separate peaks for Cd and Pb ions, thereby resulting in strongly linear relationships between Cd and Pb concentrations and peak currents measured with the electrode ($R^2\;=\;0.97$, 0.99 for Cd and Pb, respectively). The validation test results for spiked standard solutions with different concentrations of Cd and Pb gave acceptable predictability for both spiked Cd and Pb ions with mean prediction errors of 6 to 30%. However, the applicability of the electrode to the real rice flour sample was limited by the fact that Cd concentrations spiked in the rice flour sample were overly estimated with relatively high variations even though Pb ion could be quantitatively measured with the electrode.

• IMMUNE NETWORK
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• 제6권1호
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• pp.43-51
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• 2006

Background: The DR-$70^{TM}$ immunoassay is a newly developed cancer diagnostic test which quantifies the serum fibrin degradation products (FDP), produced during fibrinolysis, by antibody reaction. The purpose of this study was to evaluate the potential of DR-$70^{TM}$ Immunoassay in screening malignant tumor. Methods: Sample subjects were 4,169 adults, both male and female, who visited the health promotion center of a general hospital from March 2004 to April 2005 and underwent the DR-$70^{TM}$ immunoassay test and other tests for cancer diagnosis. The patient group was defined as 42 adults out of the sample subjects who were newly diagnosed with cancer during the same time period when the DR-$70^{TM}$ immunoassay test was performed. Final confirmation of a malignant tumor was made by pathological analysis. Results: The mean DR-$70^{TM}$ level was $0.83{\pm}0.65{\mu}g/ml$ (range: 0.00 (0.0001)${\sim}7.42{\mu}g/ml)$ in the control group (n=4,127) as opposed to $2.70{\pm}2.33{\mu}g/ml$ (range: $0.12{\sim}9.30{\mu}g/ml)$ in the cancer group (n=42), and statistical significance was established (p<0.0001, Student t-test). When categorized by the type of malignant tumor, all cancer patients with the exception of the subgroups of colon and rectal cancer showed significantly higher mean DR-$70^{TM}$ levels compared with the control group (p<0.0001, Kruscal-Wallis test). The receiver operating characteristic (ROC) curve analysis revealed ${\geq}1.091{\mu}g/ml$ as the best cut-off value. Using this cut-off value, the DR-$70^{TM}$ immunoassay produced a sensitivity of 71.4%, a specificity of 70.1%, a positive predictability of 69.4%, and a negative predictability of 69.2% (1). Conclusion: A significant increase in the mean DR-$70^{TM}$ value was observed in the cancer group (thyroidal, gastric, breast, hepatic and ovarian) com pared with the control group. In particular, the specificity and sensitivity of the DR-$70^{TM}$ immunoassay was relatively high in the subgroups of breast, gastric, and thyroidal cancer patients. There is need for further studies on a large number of malignant tumor patients to see how the DR-$70^{TM}$ level might be changed according to the differentiation grade and postoperative prognosis of the malignant tumor.