• Asia Pacific Journal of Business Review
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• v.1 no.2
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• pp.37-62
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• 2017

To analyze the effects of R&D expenditure on the firm value of Korean firms, we classified portfolios based on R&D activity levels. After that, we conducted a time-series analysis to assess excess returns from the portfolios. To carry out such an analysis, an empirical analysis of excess returns in the capital market was performed by using the monthly earning rate of stocks from 2000 to 2013. The purpose of this research is to provide basic data on investment to stakeholders in the capital market by analyzing the effects of R&D on the firm value and to overcome scholarly limitations by offering a new model of analysis. The criteria for classifying the portfolios were based on R&D expenditure levels. The analysis models follow the Fama-French Three-Factor Model and the Carhart Four-Factor Model. The analyses results are as follows. Extrapolating monthly profit rates based on R&D expenditure levels, portfolios with low R&D expenditures showed higher earning rates than those with high R&D expenditures. This suggests that high R&D expenditures did not translate into high earning rates. The investor depreciates the R&D expenditures related profitability and the possibility of success in the market, leading to falls in stock prices and a failure to give a positive effect on the firm value. Our research differs from the previous investigations as we carried out an empirical analysis based on the actual investors' attitudes about R&D expenditures and how these can generate excess earnings. Our research results show that the data related to R&D expenditure are not reflected fully in the market.

• Journal of Distribution Science
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• v.17 no.9
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• pp.117-125
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• 2019

Purpose - We investigate how to increase consumer incentives to buy public offering funds, resulting in activating the public offering fund market. In particular, this study aims to find ways to expand diversity and to improve efficiency of public offering fund. The public fund market of Korea has been stagnant in recent years. However, the public offering fund market plays a very significant role in terms of consumer welfare. Since only a few wealthy investors can participate in the private equity market, the stagnation in the public offering fund market usually reduces the opportunity of consumer's buying funds thus ultimately affecting their future wealth. Research design, data, and methodology - To attain our purpose, the 'factor-based portfolio strategy' has been considered. It is an alternative portfolio strategy, which composites the advantages of the passive management and active management. For our empirical anaylsis, we used global stock distribution market data over the period of 1991 and 2016. Then we constructed portfolios based on firm-size, firm-value, and momentum. Finally, a regression model was set, then hypotheses were tested, analyzing the performances. Results - First, among the 15 factor-based portfolios of global, Europe, Asia-Pacific(ex Japan), US and Japan, in eight portfolios, positive excess returns are observed at 5% significance level. Further, there is another portfolio with positive excess return at 10% significance level. Second, most of the portfolios with significant excess performance show positive relationship with the market portfolio. However, the firm-value based portfolio in Asia-Pacific region shows no relationship, and the firm-value based portfolio in US shows negative relationship. Third, we confirmed that the two firm-value factor portfolios in Asia-Pacific region and US, not having positive relationship with market portfolio, provide significant excess returns. Conclusions - In this paper, we provide empirical evidences supporting that the factor-based portfolios expand the diversity of funds and improve the efficiency of investment performance. However, there is no guarantee that the efficiency will continue in the future. In addition, various constraints and costs must be considered. Nevertheless, our novel findings in the advanced financial market such as US and Asia-Pacific are very interesting and offers important implications.

• KDI Journal of Economic Policy
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• v.14 no.3
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• pp.49-72
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• 1992

This paper examines the increasingly popular belief that higher holding tax will be the ultimate solution for Korea's land problems which include excessive concentration of ownership, high and rapidly increasing land prices, and rampant speculation. In principle, land holding tax can supplement capital gains tax in recapturing capital gains from land or suppress returns from land investment returns in line with other forms of asset. This paper shows, however, that the tax burden must be drastically increased for the tax to achieve such goals, and the resistance from tax payers is sure to be intense. As long as the price expectation remains high, as in Korea where land prices have increased 19% annually during the past 18 years, even such increase in the tax may have little impact on landlords' behaviors, the price trend, or the ownership structure. More effective solutions for Korea's land problems are relaxing land use regulations to encourage the supply for urban land and improving the performance of capital gains tax to recapture windfall gains from land. This paper also notes that the so-called "lock-in effect" of the capital gains tax seems to be exaggerated. Land holding tax should be viewed as a revenue raiser for local governments rather than an anti-speculative policy tool. Abandoning unattainable policy goals and adhering to the general principles of taxation, will make land holding tax much simpler, and will better function as a local revenue source.

• Culinary science and hospitality research
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• v.22 no.3
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• pp.212-223
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• 2016

The purpose of this study is to verify information spillover effects using returns of macroeconomic variables and hotel leisure stock index daily data from January 4, 2000 to December 30, 2015. The findings and implications of the research can be summarized as follows. First, based on time-varying AR(1)-GARCH(1,1) models no evidence of statistically significant conditional mean and volatility spillover effects from returns of macroeconomic variables on the hotel leisure stock index was observed. In addition, no evidence of price volatility spillover from macroeconomic variables on the hotel leisure market was observed. Second, it was discovered that there exists a significantly negative relationship between the return of ER and hotel leisure stock prices, but a positive relationship between the KOSPI and hotel leisure stock prices. Finally, the study also found that was a significantly positive relationship between the volatility of DUB and hotel leisure market, and an adversely negative relationship between the volatility of ER and hotel leisure market. The results of this study are expected to contribute by providing useful information for investment strategies, as well as for risk management for investors and managers.

• Journal of the Korea Convergence Society
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• v.7 no.6
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• pp.205-212
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• 2016

This study attempts to empirically investigate if value strategy and momentum strategy could be improved by using past financial data such as ROE and PER in the Korean stock market. The study observes that both strategies which are refined by the portfolios consisting of companies with higher ROE/PER ratio show higher positive excessive returns than the traditional value strategy and momentum strategy. The study discusses that the excessive returns could be due to investors' behavioral biases such as conservatism, anchoring, confirmation, and herding by using convergent approach based on psychology theory. The results are not consistent with the efficient market hypothesis insisting investors' rational behavior.

• Korea Real Estate Review
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• v.24 no.1
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• pp.53-62
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• 2014

A test on the significance of style factors which were revealed to be significant in U.S. and U.K. literature is conducted in this study using appraisal-based returns of offices in Korea. Region, size (appraisal value), value-growth propensity (yield gain gap) and leasing conditions (the number of tenants, the length of average leased period and the proportion of key tenant) are included in the analysis model as style factors. The empirical result suggests that firstly core region and large size are significant but they increase risk as well as return contrary to general belief, secondly value propensity significantly decreases risk as well as return as it does in U.S. and U.K., finally the number of tenants among leasing conditions decreases risk as well as return but the length of average leased period and the proportion of key tenant are not significant.

• The Korean Journal of Applied Statistics
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• v.34 no.1
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• pp.39-56
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• 2021

Many researches have been done on portfolio optimization since Markowitz (1952) published a diversified investment model. Markowitz's mean-variance portfolio optimization problem is established under the assumption that the distribution of returns follows a normal distribution. However, in real life, the distribution of returns does not follow a normal distribution, and variance is not a robust statistic as it is heavily influenced by outliers. To overcome these potential issues, mean-shortfall portfolio model was proposed that utilized downside risk, shortfall, as a risk index. In this paper, we propose a perturbation method that uses the shortfall as a risk index of the portfolio. The proposed portfolio utilizes an adaptive Lasso to obtain a sparse and stable asset selection because it can reduce management and transaction costs. The proposed optimization is easily applicable as it can be computed using an efficient linear programming. In our real data analysis, we show the validity of the proposed perturbation method.

• Journal of Intelligence and Information Systems
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• v.28 no.4
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• pp.287-308
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• 2022

The explosive growth of cryptocurrency, led by Bitcoin has emerged as a major issue in the financial market recently. As a result, interest in cryptocurrency investment is increasing, but the market opens 24 hours and 365 days a year, price volatility, and exponentially increasing number of cryptocurrencies are provided as risks to cryptocurrency investors. For that reasons, It is raising the need for research to reduct investors' risks by dividing cryptocurrency which is not suitable for recommendation. Unlike the previous studies of maximizing returns by simply predicting the future of cryptocurrency prices or constructing cryptocurrency portfolios by focusing on returns, this paper reflects the tendencies of investors and presents an appropriate recommendation method with interpretation that can reduct investors' risks by selecting suitable Altcoins which are recommended using Apriori algorithm, one of the machine learning techniques, but based on the similarity and association rules of Bitocoin.

• Journal of Korean Society of Forest Science
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• v.99 no.6
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• pp.808-815
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• 2010

This study is to give informations about management Situations and investment returns to someone who will newly cultivate schizandra or expand area of culture. This study used IRR, B/C Ratio and NPV for beneficial analysis. We surveyed fifty one among schizandra cultivation farmhouses in chief producing districts Gangwon Inje, Gyeongbuk Munkyung, Kyungnam Sancheong and Jeonnam Whasoon in Korea from May till September in 2009. So this study surveyed about inputted labors and materials, land price and etc. by working process to calculate producing and operating cost. Fruits of schizandra are sold from 5,000 won to 6,000 won per kg at locals. And IRR(Internal Rate of Returns), B/C Ratio and incomes ratio is calculated by three senarios 5,000 won, 5,500 won and 6,000 won per kg at locals. Discount rate is 3.00%. As the result of this study IRRs are -16.00%, -6.91%, 0.40% one after another and B/C Ratios are 0.81, 0.89, 0.97 one after another. And schizandra cultivation isn't profitable. When price of schizandra fruits is 6,200 won per kg, IRR is 3.00% and B/C Ratio is 1.00. Therefore, if price of schizandra fruits is over 6,200 won per kg, we judge that it is profitable. And income ratio is 23.9% on 6,200 won per kg.

• Management & Information Systems Review
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• v.32 no.1
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• pp.63-85
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• 2013

This study tries to investigate the fundamental implications inherent in inventory asset information(specifically, unexpected inventory investment) by analyzing how the relationship between unexpected inventory investment and future operating performance. And we study how is the response of the stock market participants to the fundamental implications inherent in inventory asset information. Prior papers often assume the efficient market and they view the significant relation between stock prices and financial indicators as evidence of the contribution of such indicators to future earnings. Leading indicators are attracting the market's attention for equity valuation. We study whether one leading indicator (unexpected Inventories) forecasts future earnings, and whether market participants fully reflect the predictive ability when they sets share prices(Mishkin test, 1983). Our empirical results of the study are summarized as follows. Current unexpected inventory investment is negatively associated with future operating performance. Also, our evidence is that the stock market participants overprice the contribution of unexpected inventory investment when predicting future earnings. Furthermore, a hedge strategy that uses the overpricing gives significant future abnormal returns. The overall results help the users of financial reports, researchers of accounting, and the accounting principle setting body.