• The Korean Journal of Financial Management
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• v.24 no.4
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• pp.163-199
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• 2007

This paper studies the stock market in which there are two types of investor, institutional and individual, whose information gathering and processing abilities are different. The institutional investor manages large funds and has powerful information sources. Whereas, the individual investor trades with a small amount of money and an information disadvantage. The model assumes that the institutional investor is more experienced and able to acquire relevant information earlier than the individual investor. On these assumptions, this paper shows a price continuation in the short run and a price reversal in the long run. The price continuation, or momentum, in the short run can be explained as follows. The early-informed institutional investor trades a stock, and as a result the stock price changes. Then the late-informed individual investor trades the same stock, and the stock price continues to move in the same direction in the short run. The reason for the price reversal in the long run is that since the individual investor has inferior information on the fundamental value of the stock, he tends to overreact to new information. So the stock price changes over its fundamental value initially and then regresses toward its fundamental value. In sum, both the price continuation and the price reversal are caused by the overreaction of the individual investor. The essay illustrates how these phenomena are stronger in the case where the proportion of the individual investor is higher. It also shows how the stock price goes up when the institutional investor buys a stock, while it goes down when the individual investor buys one.

• Asia-Pacific Journal of Business
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• v.11 no.4
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• pp.243-254
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• 2020

Purpose - This paper explores whether overnight returns measured from the last closing price to today's opening price explain the cross-section of stock returns. Design/methodology/approach - This study is conducted using the Korean stock market data from 1998 to 2018, obtained from DataGuide database. The analysis begins with portfolio-level tests, followed by firm-level cross-sectional regressions. Findings - First, when decile portfolios sorted on the daily average of overnight returns in the previous months, the highest decile portfolio exhibits a significant negative risk-adjusted return. This suggests that stocks with higher average overnight returns are temporarily overvalued due to buying pressure from investors. Second, at least 6 months of persistence exists in average overnight returns, which is in line with the results reported by Barber, Odean and Zhu (2009) that investor sentiment persists over several weeks. Finally, Fama-MacBeth cross-sectional regression of expected returns after controlling for a variety of firm characteristic variables such as firm size, book-to-market ratio, market beta, momentum, liquidity, short-term reversal, the slope coefficient for overnight returns remains negative and statistically significant. Research implications or Originality - Overall, the evidence consistently suggests that overnight return is considered as a new priced factor in the cross-section of expected returns. The findings of this paper not only adds to finance literature, but also could be useful to practitioners in making stock investment decision.

• The Journal of the Convergence on Culture Technology
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• v.9 no.2
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• pp.389-397
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• 2023

This study examines how macro-economic conditions, fashion momentum, and inter-genre competition affect movie genre's popularity, thus shaping fashion trends in the feature film market in Korea. Using panel data analysis of genre-specific audience sizes with 6 genre cateories and 132 monthly time points, we found that favorable economic conditions generate the fashion trend in the action/crime genre, while the deterioration of the economic conditions leads to the decline of action/crime genre. The finding implies that economic situations influence cultural consumers' psychological states, which in turn shape the fashion trend in certain direction. Furthermore, we found that the action/crime genre has a greater fashion momentum and its competitive power is stronger than other genres, suggesting that this genre has longer fashion cycle even if other genres rise to the top in their popularity. We argue that such enlengthened fahion cycle and competitive stength of the action/crime genre are associated with its breadth of niche width and audience loyalty. Scholarly and practical implications are discussed.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.25 no.1
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• pp.1-7
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• 2021

Investor mood from social media is gaining increasing attention for leading a price movement in stock market. Based on the behavioral finance theory, this study argues that sentiment extracted from social media using big data technique can predict a real-time (short-run) price momentum in Chinese stock market. Collecting Sina Weibo posts that related to COVID-19 using keyword method, a daily influential weighted sentiment factors is extracted from the sizable raw data of over 2 millions of posts. We examine one supervised and 4 unsupervised sentiment analysis model, and use the best performed word-frequency and BiLSTM mdoel. The test result shows a similar movement between stock price change and sentiment factor. It indicates that public mood extracted from social media can in some extent represent the investors' sentiment and make a difference in stock market fluctuation when people are concentrating on a special events that can cause effect on the stock market.

• Journal of Industrial Convergence
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• v.20 no.2
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• pp.11-19
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• 2022

This study examines the role of economic uncertainty in stock price determination in the domestic stock market. To this end, we analyzed the relationship between economic uncertainty indices at home and abroad (USA, China) and stock returns for non-financial companies in Korea from January 2000 to 2017. For the analysis model, the 3-factor model of Fama and French (1992) and the 5-factor model including momentum and liquidity were used. As a result of the analysis, a portfolio with a high beta of economic uncertainty showed higher stock returns than a portfolio with a low beta. This was the same as the US analysis result. Also, the analysis results using the US uncertainty index were more significant than the regression analysis results using the Korean economic uncertainty index.

• 한국전산유체공학회:학술대회논문집
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• 2008.03b
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• pp.354-357
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• 2008

Drag reduction is one of main concerns for commercial aircraft companies than ever because fuel price has been tripled in ten years. In this research, Natural Laminar Flow airfoil is designed and tested to reduce drag at cruise condition, $c_l$=0.3, Re=3.4${\times}$10$^6$ and M=0.6. NLF airfoil is characterized by delayed transition from laminar to turbulent flow, which comes from maintaining favorable pressure gradient to downstream. Transition is predicted by solving Boundary Layer equations in viscous boundary layer and by solving Euler Equation outside the boundary layer. Once boundary layer thickness and momentum thickness are obtained, $e^N$-method is used for transition point prediction. As results, KARI's NLF airfoil is designed and shows better characteristics than NLF-0115. The characteristics are tested and verified at low Reynolds numbers, but at high Reynolds numbers, laminar flow characteristics are not obtainable because of fully turbulent flow over airfoil surfaces. Precious experiences, however, relating NLF airfoil design, subsonic and transonic tests are acquired.

• 한국신재생에너지학회:학술대회논문집
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• 2009.11a
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• pp.473-473
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• 2009

There have been many academic researches on the aerodynamic design of wind turbine based on blade element method (BEM) and momentum theory (MT, or actuating disk theory). However, in the real world, the turbine blade design requires many additional constraints more than theoretical analysis. The standard procedure is studied in the present paper to design new blades for the wind turbine system ranged from the small size from 1 to 10 kW. From the experience of full design of a 10 kW blade, the authors tried to set up a standard procedure for the aerodynamic design based on IEC 61400-2. Wind-turbine scale, rotating speed, and geometrical chord/twist distribution at the segmented span positions are calculated with a suitable BEM/MT code, and the geometrical shape of tip and root should be modified after considering various parameters: wing-tip vortex, aerodynamic noise, turbine efficiency, structural safety, convenience of fabrication, and even economic factor likes price, etc. The evaluated data is passed to the next procedure of structural design, but some of them should still be corresponded with each other: the fluid-structure interaction is one of those problems not yet solved, for example. Consequently, the design procedure of small wind-turbine blades is set up for the mass production of commercial products in this research.

• Proceedings of the KIEE Conference
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• 2005.04a
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• pp.277-279
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• 2005

The imbalance of energy demand and supply caused by rapid industrialization around the world and the associated environmental issues require and alternative energy source with possible renewable fuels. Political instability and depletion of cruel oils are other factors that cause fluctuation of oil price. Securing a new alternative energy source for the next century became an urgent issue that our nation is confronting with. As a matter of fact, the fuel cell technology can be widely used as next generation energy regardless of regions and climate. Specially, the ability of expansion and quick installation enable one to apply it for distributed power, where the technology is already gaining remarkable attentions for the application. Particularly, leading industrialized nations are focusing on the PEM fuel dell with anticipation that this technology will find their place of applications in the vehicles and homes. In this study, demonstrate the multi physics modeling of a proton exchange membrane(PEM) fuel cell with interdigitated flow field design. The model uses current balances, mass balance(Maxwell-Stefan diffusion for reactant, water and nitrogen gas) and momentum balance(gas flow) to simulate the PEM fuel cell behavior.

• Journal of Korean Association for Spatial Structures
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• v.19 no.1
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• pp.83-91
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• 2019

The BX composite beam is designed to have the same cross-section regardless of the size of the momentum, which is a disadvantage of the existing steel structure. Combination of the H-beam end compressive material and the H-section steel tensile reinforcement according to the moment size in a single span, It is possible to say that it is an excellent synthesis which increases the performance. When underground and overhead structures are constructed, it is possible to reduce the bending, increase lateral stiffness, reduce construction cost, and simplify joints. The seamability of the joining part is a simple steel composite beam because of the decrease of the beam damping at the center of the beam and the use of the end plate of the new end compressing material. In the case of structures with long span structure and high load, it is advantageous to reduce the material cost by designing large steel which is high in price at less than medium steel.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.44 no.4
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• pp.98-105
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• 2021

Using the frequency-based decomposition, I decompose the consumption growth to explain well-known patterns of stock returns in the Korean market. To be more specific, the consumption growth is decomposed by its half-life of shocks. The component over four years of half-life is called the business-cycle consumption component, and the components with half-lives under four years are short-run components. I compute the long-run and short-run components of stock excess returns as well and use component-by-component sensitivities to price stock portfolios. As a result, the business-cycle consumption risk with half-life of over four years is useful in explaining the cross-section of size-book-to-market portfolios and size-momentum portfolios in the Korean stock market. The short-run components have their own pricing abilities with mixed direction, so that the restricted one short-term factor model is rejected. The explanatory power with short- and long-run components is comparable to that of the Fama-French three-factor model. The components with one- to four-year half-lives are also helpful in explaining the returns. The results about the long-run components emphasize the importance of long-run component in consumption growth to explain the asset returns.