• The Journal of Asian Finance, Economics and Business
• /
• v.9 no.4
• /
• pp.53-62
• /
• 2022

Disposition Effect (DE) is one of the many investment biases, wherein the investors sell the profitable stocks rather quickly and they tend to hold on the loss making stocks. Various factors related to the DE are the character of investors applying risk management which is also influenced by the social media, Salient Shock (COVID-19), and in the specific case of Indonesia, the phenomenon of rumor stocks wherein the price can rise as much as up to 8500%. The study aims to provide empirical evidence regarding the DE with specific explanatory factors, namely investor behavior and rumors. Data was obtained through a questionnaire sent to 248 Indonesian Stock Exchange Investors (IDX) during the period October-November 2021 by using Ordinary Least Square (OLS) method. The results show: Generation Z, women, and investors with a low education has a greater DE, risk-takers tend to have lower DE, and professionals have negative DE. Implementation of risk management will reduce DE. Social Media and the COVID-19 situation positively affect DE. Especially on stock rumors, there is evidence that investors who own rumor stocks will have a low DE. The results indicate the need for: (i) risk management, especially for Z Generation, women and low education Investors, (ii) to provide positive information so that information on social media can be responded to positively.

• Journal of the Korean Association of Geographic Information Studies
• /
• v.18 no.4
• /
• pp.81-99
• /
• 2015

The acceleration of global warming has required better understanding of carbon cycles over local and regional areas such as the Korean peninsula. Since forests serve as a carbon sink, which stores a large amount of terrestrial carbon, there has been a demand to accurately estimate such forest carbon sequestration. In Korea, the National Forest Inventory(NFI) has been used to estimate the forest carbon stocks based on the amount of growing stocks per hectare measured at sampled location. However, as such data are based on point(i.e., plot) measurements, it is difficult to identify spatial distribution of forest carbon stocks. This study focuses on urban areas, which have limited number of NFI samples and have shown rapid land cover change, to estimate grid-based forest carbon stocks based on UNFCCC Approach 3 and Tier 3. Land cover change and forest carbon stocks were estimated using Landsat 5 TM data acquired in 1991, 1992, 2010, and 2011, high resolution airborne images, and the 3rd, 5th~6th NFI data. Machine learning techniques(i.e., random forest and support vector machines/regression) were used for land cover change classification and forest carbon stock estimation. Forest carbon stocks were estimated using reflectance, band ratios, vegetation indices, and topographical indices. Results showed that 33.23tonC/ha of carbon was sequestrated on the unchanged forest areas between 1991 and 2010, while 36.83 tonC/ha of carbon was sequestrated on the areas changed from other land-use types to forests. A total of 7.35 tonC/ha of carbon was released on the areas changed from forests to other land-use types. This study was a good chance to understand the quantitative forest carbon stock change according to the land cover change. Moreover the result of this study can contribute to the effective forest management.

• Journal of Korean Society of Forest Science
• /
• v.109 no.2
• /
• pp.169-178
• /
• 2020

This study aimed to compare the organic carbon stocks of Cryptomeria japonica and Chamaecyparis obtusa stands established under a similar-site environmental condition in South Korea. C. japonica and C. obtusa stands adjacent to each other from 13 representative regions were chosen to evaluate the carbon stocks of tree biomass, forest floor, and mineral soils. Mean stand ages were 45 years for C. japonica and 43 years for C. obtusa, respectively. Tree density was significantly lower in C. japonica (989 tree ha^-1) than in C. obtusa (1,223 tree ha^-1) stands, whereas diameter at breast height and dominant tree height values were significantly higher in C. japonica (27.4 cm and 20.4 m, respectively), compared with C. obtusa (23.9 cm and 17.9 m, respectively) stands. The total carbon stocks of tree biomass were linearly related with stand basal area (C. japonica: r² = 0.82; C. obtusa: r²= 0.92; P< 0.05), whereas stand density and site index were not correlated with the carbon stocks of tree biomass (P > 0.05). The carbon stocks of aboveground tree biomass were significantly higher in C. obtusa (117.7 Mg C ha^-1), compared with C. japonica (95.5 Mg C ha^-1) stands, whereas carbon concentration and stocks of the forest floor and mineral soil layers were insignificantly different between the C. japonica and C. obtusa stands. The results indicated that trees in C. obtusa stands sequestrated more carbon dioxide, compared with C. japonica stands, whereas carbon stocks in the forest floor and mineral soil layers were unaffected by stand development processes of the different tree species.

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.12
• /
• pp.615-626
• /
• 2020

The purpose of this study is to analyze the determinants of risk factor model for the Jordanian banking stocks from 2006 to 2018. This study employs the Five-factor Fama and French's (2015) methodology and uses the annual returns of all Jordanian banks including 2 Islamic and 13 commercial banks listed on the Amman Stock Exchange (ASE) over a period of 13 years. The results show that the factors of value and profitability have an important role in evaluating the expected return in Jordanian banking stocks. Moreover, the value HML and profitability RMW factors provide the highest cumulative returns among these five factors, while the investment CMA and size SMB factors are still around zero cumulative returns. For the market factor, it provides the least negative cumulative returns. The results showed that the largest correlation is between value and investment factors which means that banks with a high book to market value become banks with a conservative investment strategy. The result of the sub-periods confirmed the value and profitability results. The findings of this study suggest that the five-factor Fama and French model is the choice of building an investment portfolio, especially the factors of value and profitability.

• Proceedings of the KIEE Conference
• /
• 2008.04c
• /
• pp.169-171
• /
• 2008

The brake systems of the rolling stocks are generally consisted of electrical and mechanical brake systems. Because of its inherent structure of the each brake system, the electrical brake system is mainly used at the high speed range while the mechanical brake system is used at the relatively lower speed range. It is desirable for the rolling stocks to apply the entire electrical brake system. However, since the brake force from electric brake system is not enough to stop the rolling stock within the legal stop distance. Therefore, the mechanical brake system is indispensable to rolling stocks. In general, the vast majority of the world trains are equipped with mechanical braking systems which use compressed air as the force to push block on to wheels or pads on to discs. These mechanical systems are known as air brake or pneumatic brakes. For the air brake system, basically huge scale air compressor is equipped and the long pipe line is complexively connected. Since mass of these air brake components, it is difficult to be a light weight equipment and the long pipe line raise the maintenance problem. In order to overcome these problems of air brake system, the hydraulic brake system is proposed in this research. The hydraulic brake system makes the whole weight of brake equipment be light and large braking force can be applied. Therefore, in this research, the validity and advantages of applying the hydraulic brake system are reviewed.

• Journal of the Korean Home Economics Association
• /
• v.42 no.6
• /
• pp.137-149
• /
• 2004

This research analyzed the tasks performed by firm's consumer department, evaluation, and efficiency of those tasks. In addition, regression analysis was employed to find what factors influence the level of evaluation and efficiency of tasks performed by firm's consumer department. Research results summarized as follows. First, two thirds of the appropriate amount of resources and systems for the consumer department were equipped and the score of evaluating for consumer counseling tasks was high. Second, the amounts of resources and systems being equipped by the firm's consumer department were greater in insurance companies and firms with more employees, firms with 70% to 100% female employees in the consumer department, firms that listed their stocks, and firms with the consumer department located higher than the second floor. Third, the score of evaluating the tasks performed by the firm's consumer department was greater in firms that listed their stocks, owned great resources and systems, and had a higher degree of work satisfaction. Finally, the task of consumer counseling performed by the consumer department turned out to be effective in firms that listed their stocks, were recently established, and owned necessary resources and systems.

• Korean Management Science Review
• /
• v.32 no.1
• /
• pp.15-33
• /
• 2015

Under complete information, introducing additional constraints to a portfolio will have a negative impact on performance. However, real-life investments inevitably involve use of error-prone estimations, such as expected stock returns. In addition to the reality of incomplete data, investments of most Korean domestic equity funds are regulated externally by the government, as well as internally, resulting in limited maximum investment allocation to single stocks and risk free assets. This paper presents an investment framework, which takes such real-life situations into account, based on a newly developed portfolio selection model considering realistic constraints under incomplete information. Additionally, we examined the effects of additional constraints on portfolio's performance under incomplete information, taking the well-known Samsung and SK group stocks as performance benchmarks during the period beginning from the launch of each commercial fund, 2005 and 2007 respectively, up to 2013. The empirical study shows that an investment model, built under incomplete information with additional constraints, outperformed a model built without any constraints, and benchmarks, in terms of rate of return, standard deviation of returns, and Sharpe ratio.

• Journal of the Korean Operations Research and Management Science Society
• /
• v.41 no.3
• /
• pp.1-21
• /
• 2016

The Markowitz portfolio selection model uses estimators to deduce input parameters. However, the estimation errors of input parameters negatively influence the performance of portfolios. Therefore, this model cannot be reliably applied to real-world investments. To overcome this problem, we suggest an algorithm that can exclude stocks with large estimation error from the portfolio by applying a tracking signal to the Markowitz portfolio selection model. By calculating the tracking signal of each stock, we can monitor whether unexpected departures occur on the outcomes of the forecasts on rate of returns. Thereafter, unreliable stocks are removed. By using this approach, portfolios can comprise relatively reliable stocks that have comparatively small estimation errors. To evaluate the performance of the proposed approach, a 10-year investment experiment was conducted using historical stock returns data from 6 different stock markets around the world. Performance was assessed and compared by the Markowitz portfolio selection model with additional constraints and other benchmarks such as minimum variance portfolio and the index of each stock market. Results showed that a portfolio using the proposed approach exhibited a better Sharpe ratio and rate of return than other benchmarks.

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.9
• /
• pp.117-123
• /
• 2020

The objective of this study is to examine whether the four-factor model explains variation in the expected return of stocks on the Stock Exchange of Thailand. The study used individual monthly data for all stock with continuous trading on the Stock Exchange of Thailand. The study used sample data of 429 listed stocks to construct 8 portfolios bases on the industries. In this study, subject to market factors such as size, the book-to-market ratio, the market beta, and stock liquidity are taken into account. The Empirical analysis reveals that not all of the variables included in the four-factor asset pricing model are statistically significant to do affect the formation of the rate of return on stocks calculated on a monthly basis. The result shows that market beta, stock liquidity, and the book-to-market ratio has a significant increase in the rate of return on shares listed on the Consumer Products. It is therefore apparent that at least in respect of monthly analysis, the predictions of bass models in the field of modern finance theory systematic risk measured by the beta coefficient did play a significantly important role in the formation of the rate of return on the Stock Exchange of Thailand.

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.9
• /
• pp.125-134
• /
• 2020

This study examines the nominal price anomaly in the Vietnamese stock market, that is, whether stocks with low nominal price outperform stocks with high nominal price. Using a sample of all 351 companies listed on the Ho Chi Minh Stock Exchange (HOSE) from June 2009 to March 2018, we confirm our hypothesis and document that cheaper stocks yield higher subsequent abnormal returns. The results are robust after controlling for various stock characteristics that have been documented to be value-relevant in prior literature, including firm size, book-to-market ratio, intermediate-term momentum, short-term reversal, skewness, market risk, idiosyncratic risk, illiquidity and extreme daily returns, using both the portfolio analysis and the Fama-MacBeth cross-sectional regression. The negative effect persists in the long term (i.e., after up to 12 months), implying a slow adjustment of stock prices to their intrinsic value. Further analysis show that the observed nominal price anomaly is mainly driven by mispricing but not a latent risk factor proxied by stock price, thus the observed anomaly reflects a mispricing but not a fundamental risk. The study highlights the irrational behaviour of investors and market inefficiency in the Vietnamese stock market and provides important implication for investors in the market.