• Title/Summary/Keyword: absolute return

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Goodness of Fit and Independence Tests for Major 8 Companies of Korean Stock Market (한국 주식시장 상위 8개사에 대한 적합도 검정 및 독립성 검정)

  • Min, Seungsik
    • The Korean Journal of Applied Statistics
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    • v.28 no.6
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    • pp.1245-1255
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    • 2015
  • In this paper, we investigated the major 8 companies of Korean stock market, and carried out the goodness of fit and independence tests. We found out the distributions of absolute returns are closed to compressed exponential distribution. The parameters are dominant that 1 < ${\beta}$ < 2, followed by ${\beta}=1$(exponential distribution) and ${\beta}=2$(normal distribution). Meanwhile, we assured that most of the absolute returns for major 8 companies have relevance to each other by chi-square independence test.

System Trading using Case-based Reasoning based on Absolute Similarity Threshold and Genetic Algorithm (절대 유사 임계값 기반 사례기반추론과 유전자 알고리즘을 활용한 시스템 트레이딩)

  • Han, Hyun-Woong;Ahn, Hyun-Chul
    • The Journal of Information Systems
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    • v.26 no.3
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    • pp.63-90
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    • 2017
  • Purpose This study proposes a novel system trading model using case-based reasoning (CBR) based on absolute similarity threshold. The proposed model is designed to optimize the absolute similarity threshold, feature selection, and instance selection of CBR by using genetic algorithm (GA). With these mechanisms, it enables us to yield higher returns from stock market trading. Design/Methodology/Approach The proposed CBR model uses the absolute similarity threshold varying from 0 to 1, which serves as a criterion for selecting appropriate neighbors in the nearest neighbor (NN) algorithm. Since it determines the nearest neighbors on an absolute basis, it fails to select the appropriate neighbors from time to time. In system trading, it is interpreted as the signal of 'hold'. That is, the system trading model proposed in this study makes trading decisions such as 'buy' or 'sell' only if the model produces a clear signal for stock market prediction. Also, in order to improve the prediction accuracy and the rate of return, the proposed model adopts optimal feature selection and instance selection, which are known to be very effective in enhancing the performance of CBR. To validate the usefulness of the proposed model, we applied it to the index trading of KOSPI200 from 2009 to 2016. Findings Experimental results showed that the proposed model with optimal feature or instance selection could yield higher returns compared to the benchmark as well as the various comparison models (including logistic regression, multiple discriminant analysis, artificial neural network, support vector machine, and traditional CBR). In particular, the proposed model with optimal instance selection showed the best rate of return among all the models. This implies that the application of CBR with the absolute similarity threshold as well as the optimal instance selection may be effective in system trading from the perspective of returns.

Multi-sensor Fusion based Autonomous Return of SUGV (다중센서 융합기반 소형로봇 자율복귀에 대한 연구)

  • Choi, Ji-Hoon;Kang, Sin-Cheon;Kim, Jun;Shim, Sung-Dae;Jee, Tae-Yong;Song, Jae-Bok
    • Journal of the Korea Institute of Military Science and Technology
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    • v.15 no.3
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    • pp.250-256
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    • 2012
  • Unmanned ground vehicles may be operated by remote control unit through the wireless communication or autonomously. However, the autonomous technology is still challenging and not perfectly developed. For some reason or other, the wireless communication is not always available. If wireless communication is abruptly disconnected, the UGV will be nothing but a lump of junk. What was worse, the UGV can be captured by enemy. This paper suggests a method, autonomous return technology with which the UGV can autonomously go back to a safer position along the reverse path. The suggested autonomous return technology for UGV is based on multi-correlated information based DB creation and matching. While SUGV moves by remote-control, the multi-correlated information based DB is created with the multi-sensor information; the absolute position of the trajectory is stored in DB if GPS is available and the hybrid MAP based on the fusion of VISION and LADAR is stored with the corresponding relative position if GPS is unavailable. In multi-correlated information based autonomous return, SUGV returns autonomously based on DB; SUGV returns along the trajectory based on GPS-based absolute position if GPS is available. Otherwise, the current position of SUGV is first estimated by the relative position using multi-sensor fusion followed by the matching between the query and DB. Then, the return path is created in MAP and SUGV returns automatically based on the MAP. Experimental results on the pre-built trajectory show the possibility of the successful autonomous return.

Multi Strategy Management System Financial Investment Case Study: Focused on E Securities Company Prop Trading (Multi Strategy 운용 체계 금융 투자 사례연구: E증권사 Prop Trading을 중심으로)

  • Lee, Joo Han;Park, Tae Hyun;Oh, Kyung Joo
    • Knowledge Management Research
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    • v.22 no.1
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    • pp.21-37
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    • 2021
  • The purpose of this study is to explore financial investment knowledge related to multi-strategy, which is not generally shared. Through case studies, we will share it with the domestic hedge fund market. Since the era of full-fledged private equity hedge funds in Korea opens, many funds are created; however, reality is that there is a lack of diversity in strategies. Initially, it started with a simple stock long/short strategy, and various strategies such as mezzanine and alternative investments are in use but funds using multi-strategy are limited. This study aims to present an empirical application plan for hedge fund management strategies using a case study. It will specifically focus on process of achieving Absolute Return using the Multi Strategy technique actively used in securities firms' Prop Trading. With the results of this study, we intend to contribute to those fund managers and desired researchers who are utilizing multiple strategies in the hedge fund management to pursue Absolute Return and to help them strengthening their financial knowledge and competitiveness.

Do NPV and IRR Measure the Profitability of Investment Opportunities? Conditions as Measures of Profitability (NPV와 IRR은 투자기회들의 수익성을 측정하는가? 수익성 척도로서 조건들)

  • Jinwook Kim
    • Journal of Korean Society of Industrial and Systems Engineering
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    • v.45 no.4
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    • pp.167-173
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    • 2022
  • Investors must adopt profitable investment opportunities to maximize their wealth. Almost all investment, finance, engineering economics textbooks explain that net present value (NPV) measures the profitability (or value) of investment opportunities in absolute size, and internal rate of return (IRR) measures the profitability of investment opportunities in relative proportions. However, NPV is a measure of the relative size of the return on investment opportunity to do-nothing alternative. Moreover, IRR can occur in multiple investment opportunities and may not exist. To make matters worse, IRR and NPV also have conflicting problems in accept-or-reject decisions. In this study, the reason why NPV and IRR cannot accurately measure the profitability of investment opportunities is identified, and fundamental characteristics that investment opportunity profitability measures should have are presented.

Herding in Fast Moving Consumer Group Sector: Equity Market Asymmetry and Crisis

  • BHARTI, Bharti;KUMAR, Ashish
    • The Journal of Asian Finance, Economics and Business
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    • v.7 no.9
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    • pp.39-49
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    • 2020
  • This study empirically examines herd behavior for fast moving consumer goods (FMCG) sector stocks under varied market return conditions and the period during the global financial crisis and its aftermath. We examine the sample of stocks trading on the Nifty FMCG Index of the Indian equity market from January 2008 up to December 2018 using the dispersion measure of cross sectional absolute deviation and examine its relationship with the market return to explore herd phenomenon. Quantile regression estimate is used and the results of the study validate rational asset pricing models as the sector does not display herding. In contrast, anti-herd behavior at lower and median quantile values is observed. A possible reason can be the non-cyclical nature of the industry where investors rely more on the fundamentals rather than crowd chasing. We also findthe absence of herd phenomenon during the market asymmetries of bull and bear phases, extreme movements, the period of the global financial crisis, and afterward. We further examine herding under the impact of the information technology (IT) industry and conclude that significant return movements in IT sector impact dispersions in the FMCG industry. Also, there is a co-varying risk between the two sectors confirming the spillover in an integrated market.

Key Audit Matters Readability and Investor Reaction

  • CHIRAKOOL, Wichuta;POONPOOL, Nuttavong;WANGCHAROENDATE, Suwan;BHONGCHIRAWATTANA, Utis
    • Journal of Distribution Science
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    • v.20 no.9
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    • pp.73-81
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    • 2022
  • Purpose: This study aimed to examine whether key audit matters (KAMs) readability influences investor reaction. Research design, data, and methodology: The signaling theory was applied to explain the behavior of investors when they receive useful information for their decisions. Data were collected from 1,866 firm-year observations from Thai listed companies in both the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (MAI) for the fiscal years of 2016-2019. The study was based on secondary data, which were collected from the SET Market Analysis and Reporting Tool (SETSMART) database and the Stock Exchange of Thailand's website (www.set.or.th). A statistical regression method was used with panel data analysis to evaluate possible associations between KAMs readability and investor reaction. The study relied on popular readability measures (Fog Index). Moreover, investor reaction was measured by absolute cumulative abnormal return and abnormal trading volume. Results: It was found that the KAMs readability has positive significance on both absolute cumulative abnormal return and abnormal trading volume. Conclusion: This study showed a significant contribution to the implication of KAMs in an emerging economy. The results reveal that more readable KAMs disclosure distributed new insights and useful information to investors and led to reducing the information gap between auditors and investors.

Multiperiod Mean Absolute Deviation Uncertain Portfolio Selection

  • Zhang, Peng
    • Industrial Engineering and Management Systems
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    • v.15 no.1
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    • pp.63-76
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    • 2016
  • Multiperiod portfolio selection problem attracts more and more attentions because it is in accordance with the practical investment decision-making problem. However, the existing literature on this field is almost undertaken by regarding security returns as random variables in the framework of probability theory. Different from these works, we assume that security returns are uncertain variables which may be given by the experts, and take absolute deviation as a risk measure in the framework of uncertainty theory. In this paper, a new multiperiod mean absolute deviation uncertain portfolio selection models is presented by taking transaction costs, borrowing constraints and threshold constraints into account, which an optimal investment policy can be generated to help investors not only achieve an optimal return, but also have a good risk control. Threshold constraints limit the amount of capital to be invested in each stock and prevent very small investments in any stock. Based on uncertain theories, the model is converted to a dynamic optimization problem. Because of the transaction costs, the model is a dynamic optimization problem with path dependence. To solve the new model in general cases, the forward dynamic programming method is presented. In addition, a numerical example is also presented to illustrate the modeling idea and the effectiveness of the designed algorithm.

The Effect of Post-Purchase Discount Format on Consumers' Perception of Loss and Willingness to Return

  • Luo, Xueqing;Lee, Jennifer J.
    • The Journal of Asian Finance, Economics and Business
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    • v.5 no.4
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    • pp.101-105
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    • 2018
  • Price discount is one of the commonly used promotion strategies to increase sales and revenue. If a discount is perceived before the purchase (i.e., pre-purchase discount), consumers are likely to perceive it as a potential gain. If it is noticed after making a regular-priced purchase (i.e., post-purchase discount), consumers may develop negative emotions and attitudes. Based on the rising transparency and omnipresence of price and discount information through web and mobile platforms, we attempt to tackle an understudied topic on the negative effect of post-purchase price discount. Specifically, post-purchase discount information may increase consumers' perception of monetary loss, which may affect consumers' decision to return the product, potentially increasing the operating costs borne by retailers. Based on a close scrutinization of the current market environment and previous academic literature, we suggest a novel conceptual framework to understand consumers' perception, attitude, and behavior (perception of loss, willingness to return) upon perceiving various formats of discount promotion (absolute value vs. percentage discount) posterior to the purchase of a product. We also look at the effect of price level (low-priced vs. high-priced). For marketing practitioners, we intend to suggest optimal promotion formats that can alleviate consumers' negative perceptions and prevent additional operation costs.

Legal Issues regarding the Exercise of Claim of Return for Secured Portions - focusing on Supreme Court Decision 2010DA50809 Delivered on May 24, 2012- (유류분반환청구권의 행사에 관한 법적 쟁점 -대법원 2012. 5. 24 선고 2010다50809 판결을 중심으로-)

  • Chung, Ku-Tae
    • The Journal of the Korea Contents Association
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    • v.12 no.9
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    • pp.202-210
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    • 2012
  • Since Civil Law recognizes the freedom of a testament, it recognizes the freedom allowing the decedent to dispose his/her own property at his/her own intention. However, in order to prevent various abuses which may occur when the principle of freedom of testament is carried out unlimited, secured portion system is stipulated. So, absolute freedom of property disposed by the deceased is limited. Likewise, the secured portion system is introduced as the system to resolve the contradiction that exists between principle of freedom of testament and legal inheritance. Since Supreme Court Decision 2010DA50809 delivered on May 24, 2012 includes major legal issues such as how to exercise of claim of return for secured portions, transfer of the secured proportion or the claim of return for secured portions, and exercise of claim of return for secured portions against a third party. So, it has a very important meaning. In this paper, legal issues regarding the exercise of claim of return for secured portions have been reviewed with this decision.