• The Journal of Asian Finance, Economics and Business
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• 제7권4호
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• pp.133-143
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• 2020

The paper investigates the factors affecting the profitability of commercial banks in Asian developing countries, including Vietnam, Malaysia and Thailand. We use panel data of four entities; ten banks in Vietnam, eight banks in Malaysia, nine banks in Thailand and all 27 commercial banks from the period 2012 to 2016. Particularly, Return on Asset, Return on Equity and TOBINQ are defined as profitability indicators, which are impacted by three main types of independent variables, namely bank-specifics, which include CAR, NPL, Cost to income, Liquidity ratio and Bank size, industry-specific variable-concentration HHI and macroeconomic-specific variables, which consist of GDP growth and Inflation. Using panel data regressions, the paper identifies several similarities and differences among empirical results on the models of four entities, each of three countries and the overall sample. The most outstanding similarity is that all entities record the significantly negative relationship between operational risk and banking profitability. Likewise, the significantly negative influence of bank size to profitability is found on models of Vietnam and Thailand and no significant effect on the model of Malaysia. Meanwhile, the most controversial result comes up with the negative relationship between CAR and profitability indicators as well as the positive association between credit risk and banking profitability.

• 아태비즈니스연구
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• 제12권3호
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• pp.37-50
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• 2021

Purpose - This study aimed to examine the behavior surrounding the Initial Public Offering (IPO) event of firms within the same conglomerate and the impact of under-pricing and Return on Equity(ROE) on a firm's abnormal stock returns. Design/methodology - This study collected data from 166 South Korean Chaebols, consisting of 355 firms distributed as 202 listed on Korea Composite Stock Price Index (KOSPI) and 153 firms listed on Korean Securities Dealers Automated Quotations (KOSDAQ) from 2000 to 2020. The Capital Asset Pricing Model (CAPM) and the multiple regression analysis were hired to analyze the data. Findings - First, we found an adverse price reaction of IPO listing in the same chaebol group, and firms with higher under-pricing affect other firms' stock prices more adversely within the conglomerate. Next, we explored a negatively significant relation between ROE and the chaebol firms' stock returns during IPO events. Research implications - The novelty of this study is there are not many empirical studies on the impact of IPO within a conglomerate. So, the findings of this study contribute to the literature for analyzing stock's abnormal returns within a conglomerate.

• 아태비즈니스연구
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• 제13권4호
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• pp.79-89
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• 2022

Purpose - The purpose of this study was to examine the impact of ESG rating changes of companies listed in Korean Stock Exchange on stock returns. Design/methodology/approach - This study collected prices and ESG ratings of all the companies listed on the Korea Composite Stock Price Index. Based on yearly change of ESG ratings we grouped companies as 2 portfolios(upgrade and downgrade) and calculated portfolios' return. Findings - First, the difference in returns between upgraded and downgraded portfolios is small and statistically insignificant. Second, however, in the COVID-19 period (2020 ~ 2021), the upgraded portfolio outperforms the downgraded portfolio by 0.7 percentage points per month. The difference in returns between upgraded and downgraded portfolios is statistically significant after controlling for the Carhart four factors. Lastly, there are much higher volatility when the ESG rating changes are made of companies with low levels of ESG ratings. Research implications or Originality - This study is the first to examine the impact of ESG rating changes on stock returns in Korea. Furthermore, the findings can serve as a reference for managers who want to control a firm's risk by ESG rating changes. Practically, asset managers can use the findings to construct portfolios that are less risky or more profitable than the market portfolio.

• 한국건설관리학회논문집
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• 제16권6호
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• pp.144-155
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• 2015

본 연구는 서울에 위치한 오피스 빌딩 및 소매용 부동산 자산 간 권역별 포트폴리오의 구성을 통해 서로 다른 용도의 상업용 부동산 간의 분산 투자 시, 포트폴리오의 위험-수익률 관계를 파악함으로써 투자의 효율성과 성과를 알아보는 것을 목적으로 한다. 이를 위해 Markowitz의 평균-분산모델을 토대로 서울지역의 오피스 빌딩 자산과 소매용 부동산 자산을 권역별로 분류하여 이들 간의 포트폴리오를 구성한 후, 포트폴리오의 투자성과, 효율성, 그리고 Sharpe 지수에 기반한 최적의 포트폴리오를 확인하였다. 구체적으로, 서울의 3대 오피스 빌딩 시장인 강남권, 여의도 마포권, 그리고 도심권과 소매용 부동산의 3대 시장인 강남권, 신촌 마포권, 그리고 도심권에 대하여, 부동산 자산의 용도와 권역에 따라 투자비율을 달리해가며 포트폴리오를 구성하였다. 분석결과, 도심권 오피스 권역의 자산비중 10~30%와 도심권 소매용 부동산 권역의 자산 비중 70~90%로 구성한 포트폴리오가 가장 높은 분기별 Sharpe 지수인 2.7118~2.7776을 제시해 최적의 자산구성임을 알 수 있었으며 이때의 분기별 수익률은 1.826%~1.838% 그리고 분기별 위험은 0.573~0.589였다. 또한 부동산 자산 간 권역별 포트폴리오의 구성 시, 서로 다른 용도를 지닌 자산간의 포트폴리오 구성에 의한 분산투자가 동일한 투자자산의 권역별 분산투자 보다 더 좋은 투자성과를 보여주는 것을 알 수 있었다. 마지막으로, 본 연구의 결과를 바탕으로 부동산간접투자시장에서도 지역 및 용도별 분산투자에 대한 이해의 폭을 넓혀 부동산 및 건설경기의 활성화에 도움이 되기를 기대한다.

• 복식문화연구
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• 제17권1호
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• pp.177-188
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• 2009

SCM as the important marketing strategy enhance the firm's efficiency and compatibility in global market environment such as global outsourcing. Firms adopted SCM realized the need to evaluate precisely the performance of SCM. In spite of importance of SCM, there was not much intention and research to measure SCM performance in textile fashion industry. Therefore, the purpose of this case study was to measure performance of supply chain management in textile fashion business using BSC(Balanced Score Card) to measure not only financial perspective but also non-financial perspectives such as customer perspective, internal business perspectives, financial perspective, and innovation & learning perspective. The questionnaire developed by the reviews of the literature was adopted for this study. The results of this study showed that SCM performance was enhanced from the point of customer perspective(cost, quality, time, service), financial perspective(cash cycle time, inventory turn over, inventory obsolescence, return on asset, return on investment, capacity utilization), and innovation & learning perspective(cost for human resource management, service for human resources). But there was same performance level regarding internal business perspective(lead time, cost for manufacturing process, product quality control, productive flexibility for time, quantity, and variety). Therefore, we should keep close relationship and two way communication among supply chain members to promote better SCM performance.

• 경영과정보연구
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• 제37권4호
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• pp.63-74
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• 2018

최근 자산운용업계에서는 패시브 전략과 액티브 전략의 중간 성격을 갖는 스마트 베타 전략이 관심을 받고 있다. 이러한 스마트 베타 전략에서는 가치, 모멘텀, 저변동성, 퀄리티 지수를 널리 사용한다. 본 연구에서는 다른 지수에 비해 그 개념이 불명확하고 지수산출방법이 복잡한 퀄리티 지수에 대해 분석하였다. MSCI 방법론을 따라 자기자본이익률, 부채비율, 이익변동성 3개의 변수로 퀄리티 지수를 산출하였다. 또한 퀄리티 지수에 대한 비교대상으로 자기자본이익률 변수만을 이용한 지수, 자기자본이익률과 부채비율 2개 변수만을 이용한 지수, KOSPI 지수를 사용하였다. 분석대상인 지수들의 성과를 평가하기 위해 산술평균 수익률, 변동계수, 기하평균 수익률을 사용하였다. 그리고 각 지수에서 비정상수익률이 나타나는지를 검증하기 위한 가격결정모형으로는, 관련 연구에서 폭넓게 사용되고 있는 Fama and French(1993) 모형을 사용하였다. 실증분석 결과는 다음과 같다. 첫째, 모든 기간의 분석에서 보유기간 수익률 관점에서 퀄리티 지수가 가장 우수하였다. 둘째, 외환위기와 글로벌 금융위기 기간에서도 퀄리티 지수의 성과가 가장 우수하였다. 셋째, 글로벌 금융위기 이전 기간에서는 모든 지수에서 비정상수익률을 발견할 수 없었다. 넷째, 글로벌 금융위기 이후 기간에서는 퀄리티 지수가 가장 높은 비정상수익률을 갖는 것으로 나타났다.

• 대한산업공학회지
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• 제38권4호
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• pp.254-257
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• 2012

Hedge funds can be established in Korea after the deregulation about setting up private equity funds on September, 2011. Although the variety of asset allocation strategies is the strength of hedge funds, most of Korean hedge funds uses only the equity long/short strategy. Therefore, it is need to introduce other strategies into Korea hedge funds, however all strategies can not be adopted at once because of the infrastructure of Korea financial market. In this paper, we find the optimal introductive order of strategies for Korea hedge fund in view of individual or institutional investors. For this analysis, HFRI data are used for the historical return of each hedge fund strategy and three methods (network visualization, principle component analysis and efficient frontier optimization) are used for finding the optimal order.

• Communications for Statistical Applications and Methods
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• 제27권4호
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• pp.487-500
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• 2020

Insurers face increasing demands for cyber liability; entailed in part by a variety of new forms of risk of data breaches. As data breach occurrences develop, our understanding of the volatility in data breach counts has also become important as well as its expected occurrences. Volatility clustering, the tendency of large changes in a random variable to cluster together in time, are frequently observed in many financial asset prices, asset returns, and it is questioned whether the volatility of data breach occurrences are also clustered in time. We now present volatility analysis based on INGARCH models, i.e., integer-valued generalized autoregressive conditional heteroskedasticity time series model for frequency counts due to data breaches. Using the INGARCH(1, 1) model with data breach samples, we show evidence of temporal volatility clustering for data breaches. In addition, we present that the firms' volatilities are correlated between some they belong to and that such a clustering effect remains even after excluding the effect of financial covariates such as the VIX and the stock return of S&P500 that have their own volatility clustering.

• 국제지역연구
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• 제13권2호
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• pp.505-523
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• 2009

본 연구는 서구형 기업의 자본비용 산출에 이용되는 CAPM에 근거하여 이슬람기업의 자본조달비용을 이론적으로 분석해 보았다. 첫째, 무위험이자율이 존재하지 않는 경우 이슬람기업의 증권선은 원점에서부터 출발하여 우상향한다. 이 경우 증권선의 기울기는 무위험이자율이 존재하는 경우의 기울기보다 큰 데, 이는 동일한 체계적 위험에 대해 이슬람기업은 서구형 기업보다 더 높은 자본비용을 지불해야 하기 때문이다. 둘째, 종교세인 자카트의 효과를 고려한 경우, CAPM에서 무위험이자율은 최소수익률로 대체된다. 이슬람기업의 증권선은 여전히 우상향하지만 원점을 통과하지는 않는다. 왜냐하면 이슬람기업은 무위험투자를 할 수 없기 때문이다. 향후에는 본 연구에서 연구수단으로 이용한 CAPM의 이론적인 한계를 극복하기 위해, 차익거래가격결정모델(Arbitrage Pricing Model)과 같은 다변수접근법을 이용하여, 이슬람기업의 자본비용을 도출해 보고자 한다.

• 산경연구논집
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• 제13권1호
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• pp.23-32
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• 2022

Purpose: This study used ESG grade, but defined AESG, adjusted to the size of a company and examines whether it can be used as an investment strategy. Research design, data and methodology: The analysis sample in this study is a company that has given an ESG rating among companies listed on the Korea Stock Exchange. We examine the results through portfolio analysis and Fama-macbeth regression analysis. Results: As result of examining the long-only performance and the long-short performance by constructing quintile portfolios, it was observed that a significant positive return was shown. It was observed that there was an alpha that could not be explained in asset pricing models. Also, AESG had a return prediction effect in the result of a Fama-Macbeth regression that controlled corporate characteristic variables in individual stocks. Next, we confirmed AESG's usage through various portfolio composition. In the portfolio optimization, the Risk Efficient method was the most superior in terms of sharpe ratio and the construct multi-factor model with Value, Momentum and Low Vol showed statistically significant performance improvement. Conclusions: The results of this study suggest that it can be helpful in ESG investment to reflect the ESG rating of relatively small companies more through the scale adjustment of the ESG rating (i.e.AESG).