• 산업융합연구
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• 제2권2호
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• pp.127-147
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• 2004

This paper examines the time-series relations among expected return, risk, and book-to-market(B/M) at the portfolio level. The time-series analysis is a natural alternative to cross-sectional regressions. An alternative feature of the time-series regressions is that they focus on changes in expected returns, not on average returns. Using the time-series analysis, we can directly test whether the three-factor model explains time-varying expected returns better than the characteristic-based model. These results should help distinguish between the risk and mispricing stories. We find that B/M is strongly associated with changes in risk, as measured by the Fama and French(1993) three-factor model. After controlling for changes in risk, B/M contains little additional information about expected returns. The evidence suggests that the three-factor model explains time-varying expected returns better than the characteristic-based model.

• 대한전기학회논문지
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• 제32권2호
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• pp.43-49
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• 1983

In this study, model simplification problem using singular perturbation technique is considered. The correctness and errors of simplified model which is obtained by the use of this technique, depends upon the order and the time scaling factor of the simplified model But, unfortunately, there is no explicit criteria for selections of these parameters. In this paper, error equations are derived and expanded by using the useful properties of $L_2$-norm. Then, new criteria for selecting the order of the simplified model and time scaling factor with respect to error bound are suggested. Since these criteria, newly proposed in this study, have strong concern about error bound, it can be used to choose the minimum order of the simplified model and time scaling factor with respect to given error bound. Conversely, if the order of the simplified model and time scaling factor are given, the error induced by the simplification can also be computed easily.

• The Journal of Asian Finance, Economics and Business
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• 제7권10호
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• pp.513-521
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• 2020

In this paper, we have developed a Fama - French five factor model (FF5 model) from Fama & French (2015) by using concept of time-varying coefficient. For a data set, we have used monthly data form Kenneth R. French home page, it include Japan portfolios (classified by using size and book-to-market) and 5 factors from July 1990 to April 2020. The first analysis, we used Augmented Dickey-Fuller test (ADF test) for the stationary test, from the result, all Japan portfolios and 5 factors are stationary. Next analysis, we estimated a coefficient of Fama - French five factor model by using a generalized additive model with a thin-plate spline to create the time-varying coefficient Fama - French five factor model (TV-FF5 model). The benefit of this study is TV-FF5 model which can capture a different effect at different times of 5 factors but the traditional FF5 model can't do it. From the result, we can show a time-varying coefficient in all factors and in all portfolios, for time-varying coefficients of Rm-Rf, SMB, and HML are significant for all Japan portfolios, time-varying coefficients of RMW are positively significant for SM, and SH portfolio and time-varying coefficients of CMA are significant for SM, SH, and BM portfolio.

• 정보학연구
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• 제9권3호
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• pp.77-89
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• 2006

The event study analyzes returns around event date at a time. Event study provides estimation periods and cumulative returns. Stock split announcements are generally associated with positive abnormal returns. It is important to investigate the responses of stocks to new information contained in the announcements of stock splits. So It is important to study the long term performance in the case of Stock Split. This Study forced to two approach method in evaluating the performance, the event time portfolio approach and calendar time portfolio approach. The event time portfolio approach exists the CAR model, BHAR model and WR model. And the calendar time portfolio approach has the 3 factor model, 4 factor model, CTAR model, and RATS model.

• 정보처리학회논문지D
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• 제13D권7호
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• pp.923-930
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• 2006

본 논문에서는 무기체계 임베디드 소프트웨어의 시간 요소를 고려한 TFM(Time Factor Method) 기반의 시스템 테스트 모델을 설계하고, 적용사례를 통하여 결과를 제시한다. 이를 위해 무기체계 임베디드 소프트웨어의 특징과 시스템 테스트 그리고 객체지향 모델의 표현방법인 UML 표기법에 대하여 알아보고, 시스템 테스트 모델 설계를 위한 TFM 접근 방법으로 시간 요소를 고려한 테스트 방법과 시간 요소 측정 방법 그리고 테스트 케이스 선정 알고리즘을 제시한다. 무기체계 임베디드 소프트웨어의 TFM 기반 시스템 테스트 모델은 세 가지 요소 (X,Y,Z) 로 구성되며, 'X' 에서는 최대시간경로를 선정하는 알고리즘을 통해 테스트 케이스가 도출되고, 'Y' 에서는 Sequence Diagram과 관련된 객체를 식별하고, 'Z'에서는 Timing Diagram을 통하여 식별된 각 객체들의 실행시간을 측정한다. 또한 제안한 W:M 기반 시스템 테스트 모델을 '다기능 미사일 방어시스템'에 적용하여 테스트 케이스를 추출하는 방법을 제시한다.

• 정보학연구
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• 제9권4호
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• pp.75-85
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• 2006

This study is to test the influence of stock option granting information on the firm's performance. The important issue in stock option is that agent cost is the important determinant factor for the long term performance. The agent cost arises between the manager and shareholders. So many study are concentrated in diminishing the agent cost, and develop some substitute tools to measure the agent cost. The event study about stock option analyzes returns around event date at a time. Event study provides estimation periods and cumulative returns. Announcements about stock option are generally associated with positive abnormal returns in short term period, but not showing positive effect in long term period. It is important to investigate the responses of stocks to new information contained in the announcements of stock option. Therefore it is important to study the long term performance in the case of stock option. The event time portfolio approach exists the CAR model, BHAR model and WR model. And the calendar time portfolio approach has the 3 factor model, 4 factor model, CTAR model, and RATS model. This study is forced to develop and arrange two approach method in evaluating the performance, the event time portfolio approach and calendar time portfolio approach.

• Communications for Statistical Applications and Methods
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• 제15권6호
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• pp.825-835
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• 2008

계량경제학 분야에서 널리 쓰이는 MGARCH(multivariate GARCH)모형은 여러개의 시계열자료들의 변동성을 함께 모형화한다. 그러나 변수가 많아질수록 추정해야 할 모수의 수가 급격하게 늘어나는 문제점이 있다. 본 연구에서는 인자 모형을 통해 자료의 차원을 축소시킴로써 이러한 문제를 해결하고자 하였다. 국내의 주가수익률 자료에 통계적 인자 모형과 fundamental factor model을 적용하여 각각의 의미 있는 인자들을 얻은 후 이를 MGARCH모형에 적합시켰다. 또한 두 인자모형을 바탕으로 얻어진 최종 모형들의 MSE, MAD와 VaR(Value at Risk)를 계산하여 예측력을 비교하고자 한다.

• 산업경영시스템학회지
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• 제42권3호
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• pp.8-14
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• 2019

Most of the data envelopment analysis (DEA) models evaluate the relative efficiency of a decision making unit (DMU) based on the assumption that inputs in a specific period are consumed to produce the output in the same period of time. However, there may be some time lag between the consumption of input resources and the production of outputs. A few models to handle the concept of the time lag effect have been proposed. This paper suggests a new multi-period input DEA model considering the consistent time lag effects. Consistency of time lag effect means that the time delay for the same input factor or output factor are consistent throughout the periods. It is more realistic than the time lag effect for the same output or input factor can vary over the periods. The suggested model is an output-oriented model in order to adopt the consistent time lag effect. We analyze the results of the suggested model and the existing multi period input model with a sample data set from a long-term national research and development program in Korea. We show that the suggested model may have the better discrimination power than existing model while the ranking of DMUs is not different by two nonparametric tests.

• 전력전자학회:학술대회논문집
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• 전력전자학회 1998년도 Proceedings ICPE 98 1998 International Conference on Power Electronics
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• pp.642-647
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• 1998

A new small-signal model for the controlled on-time boost power factor correction (PFC) circuit is presented. The proposed small-signal model is valid up to high frequencies over lKHz. The model can be used in designing the voltage feedback compensation of PFC circuits, the control bandwidth of which is maximized with auxiliary means of removing the low-frequency ripple from the output. The accuracy of the model is confirmed by a 200W experimental hardware

• 전력전자학회:학술대회논문집
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• 전력전자학회 1999년도 전력전자학술대회 논문집
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• pp.126-129
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• 1999

This paper presents a new averaged model for controlled on time boost power factor correction (PFC) circuit. The proposed model accurately predicts the average behavior of the PFC circuit, and offers a good alternative in studying the large signal dynamics of the circuit. The accuracy of the model is verified through both computer simulation and experiments.