• Management Science and Financial Engineering
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• v.18 no.2
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• pp.1-4
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• 2012

We study optimal trading strategy of a market maker with stock inventory. Following Avellaneda and Stoikov (2008), we assume the stock price follows a normal distribution. However, we take a constant expected rate of the stock return and assume that the stock volatility is an inverse function of the stock price level. We show that the optimal bid-ask spread of the market maker is wider for a higher expected rate of stock returns.

• Journal of the Korean Society of Clothing and Textiles
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• v.30 no.6 s.154
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• pp.961-970
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• 2006

This study attempted to understand post-purchase consumer return experiences which had not received much attention in consumer behavior research. As a first step to understand return experiences from consumers' viewpoint, the study took an exploratory approach and identified themes and patterns from subjective consumer experiences. Whenever possible, attribution theory was applied to interpret the identified patterns. A total of 99 cases were collected from an open-ended questionnaire and analyzed based on a qualitative method. The reasons of product return was classified into five groups: changing mind; product defects; unsuitable products; products not expected; and for a better deal. External attribution was observed for return decisions caused by consumers' changed mind as well as by product defects. Dissatisfaction with defected products seemed to be intensified or reduced by service failure or success in the post-purchase service encounter. Consumer expectation and situations seemed to affect this process. Overall, the study supported attribution theory in the post-purchase return experience, and insights for research questions were proposed.

• The Korean Journal of Financial Studies
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• v.3 no.1
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• pp.179-211
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• 1996

This study examines whether trading mechanisms or market microstructures of markets have an effect on the integration issue of the international equity market. If the international equity market is integrated, identical stocks listed on different international stock exchanges should have the same rates of return, the same characteristics of stock price behavior and similar distributions of return. If different market microstructures, or trading mechanisms cause differences in characteristics of stock price behavior, those can lead to different rates of return because of different liquidity risk for the same stocks between markets. This study proposes international asset pricing with liquidity risk related to trading mechanisms. Systematic risk by itself cannot predict the sign of expected rate of return difference for the same stocks between international markets. Liquidity risk factors related to market microstructure provide explanations for the sign of rate of return differences between markets, However, liquidity risk factors related to market microstructure do not have a significant effect on the rate of return differences and sensitivity of return differences between markets, Trading mechanisms or market microstructures might not have a significant effect on the interpretation of the international equity market integration studies, if trading volume or other factors are controlled.

• International Commerce and Information Review
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• v.3 no.2
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• pp.1-16
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• 2001

This study discusses some theoretical implications for efficient utilization of the global E-commerce in a world of uncertainty by beginning with measures of risk and return for the global E-commerce, and by moving to risk and return for a efficient transaction portfolio of many risky methods of transaction. Decision rules are developed to show how individuals choose optimal transaction portfolios that maximize their expected utility of wealth. First, the individuals will generally want to allocate positive amount to the global E-commerce, which requires that the expected marginal utility of wealth equals zero. Secondly, the optimal transaction portfolio will be determined by finding the point of tangency between the efficient trading line and the hightest indifference curve in the mean-variance plane. Thirdly, if the global E-commerce is positively correlated with wealth, it must have an expected return that is higher than the risk-free transaction methods in order to compensate for its risk. Fourthly, on the other hand, if the global E-commerce is negatively correlated with wealth, it will have an expected return that is less than the risk-free transaction methods. Finally, the valuation of global E-commerce depends on the degree of individual's risk aversion and the covariance between the expected return of total wealth and the return of global E-commerce.

• Management & Information Systems Review
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• v.26
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• pp.1-26
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• 2008

Since Capital Asset Pricing Model(CAPM) was proposed in the early 1960s by William Sharpe(1964) and John Lintner(1965) researchers have investigated the validity of the model. The results of empirical researches do not show that expected returns of stocks seem to be determined solely by systematic risk of the stocks as precicted by CAPM. In this paper the relationship between transaction volume and expected returns of stocks was investigated. Empirical cross-sectional analysis about the data collected from Stock Market of Korea Exchange shows transaction volume and variability of stock returns play an important role in pricing assets. The well-known variables which were used traditionally to explain the differences of expected returns among stocks such as the size and beta of a stock seems to be unimportant in pricing assets.

• Korean Management Science Review
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• v.28 no.2
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• pp.1-16
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• 2011

In this study we suggested two optimization models to answer a question from an investor standpoint : how many convertible bonds should one convert, and how many keep? One model minimizes certain risk to the minimum required expected return, the other maximizes the expected return subject to the maximum acceptable risk. In comparison with Markowitz portfolio models, which use the variance of return, our models used Conditional Value-at-Risk(CVaR) for risk measurement. As a coherent measurement, CVaR overcomes the shortcomings of Value-at-Risk(VaR). But there are still difficulties in solving CVaR including optimization models. For this reason, we adopted Rockafellar and Uryasev's[18, 19] approach. Then we could approximate the models as linear programming problems with scenarios. We also suggested to extend the models with credit risk, and applied examples of our models to Hynix 207CB, a convertible bond issued by the global semiconductor company Hynix.

• Asia-Pacific Journal of Business
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• v.14 no.3
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• pp.45-66
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• 2023

Purpose - This paper examines whether overnight returns and idiosyncratic volatility (IVOL) jointly affects the cross-section of expected stock returns in the Korean stock market. Design/methodology/approach - Constructing 5×5 bivariate monthly portfolios independently sorted on overnight returns and IVOL, this paper tests whether overpricing of stocks with high overnight returns is more pronounced for the stocks that also have high IVOL. In addition, we also investigate whether time-variation in the degree of overpricing for those stocks can be explained by market volatility. Findings - Our results show that stocks having both high overnight returns and high IVOL exhibit strong negative returns in the future. In contrast, we are unable to observe such negative returns for the stocks that have high overnight returns and low IVOL. This suggests that overpricing of stocks with high overnight returns is concentrated for the stocks having high IVOL. Moreover, we also find that the degree to which such stocks are overpriced is negatively related to market volatility. Research implications or Originality - his paper is the first attempt to explore whether degree of overpricing of stocks having high overnight returns is related to IVOL. We also discover time-varying property of overpricing is jointly driven by overnight returns and IVOL. Our results indicate that IVOL might help explain other previously documented stock return anomalies, suggesting interesting topics for future research.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.62 no.4
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• pp.584-590
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• 2013

Depending on the operating characteristics, track circuit is installed for the purpose of control directly or indirectly of the signal device, point switch machine and other security device. These are mainly used for train detection, transmission of information, broken train detection and transmission of return current. Especially, the return current is related to signal system, power system and catenary line, and track circuit systems. It is one of the most important component shall be dealt for the safety of track side staff and for the protection of railway-related electrical system according to electrification. Therefore, an accurate analysis of the return current is needed to prevent the return current unbalance and the system induced disorder and failure due to an over current condition. Also, if the malfunction occurred by the return current harmonics, it can cause problems including train operation interruption. In this paper, we presented measurement and analysis method at return current and it's harmonics by train operation. By the test criteria, we evaluated for safety. Hereafter, it is expected to contribute to the field associated with it.

• Journal of the Architectural Institute of Korea Structure & Construction
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• v.34 no.2
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• pp.29-40
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• 2018

Strength design wind loads for the wind resistance design of structures shall be evaluated by the product of wind loads calculated based on the basic wind speed with 100 years return period and the wind load factor 1.3 specified in the provisions of load combinations in Korean Building Code (KBC) 2016. It may be sure that the wind load factor 1.3 in KBC(2016) had not been determined by probabilistic method or empirical method using meteorological wind speed data in Korea. In this paper, wind load factors were evaluated by probabilistic method and empirical method. The annual maximum 10 minutes mean wind speed data at 69 meteorological stations during past 40 years from 1973 to 2012 were selected for this evaluation. From the comparison of the results of those two method, it can be found that the mean values of wind load factors calculated both probability based method and empirical based method were similar at all meteorological stations. When target level of reliability index is set up 2.5, the mean value of wind load factors for all regions should be presented about 1.35. When target level of reliability index is set up 3.0, wind load factor should be presented about 1.46. By using the relationship between importance factor(conversion factor for return period) and wind load factor, the return periods for strength design were estimated and expected wind speeds of all regions accounting for strength design were proposed. It can be found that return period to estimate wind loads for strength design should be 500 years and 800 years in according to target level of reliability index 2.5 and 3.0, respectively. The 500 years basic wind speed map for strength design was suggested and it can be used with a wind load factor 1.0.

• Journal of the Korean Operations Research and Management Science Society
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• v.38 no.2
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• pp.75-93
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• 2013

In applying Markowitz's portfolio selection model to the stock market, we developed a comprehensive investment decision-making framework including key inputs for portfolio theory (i.e., individual stocks' expected rate of return and covariance) and minimum required expected return. For estimating the key inputs of our decision-making framework, we utilized an exponentially weighted moving average (EWMA) which places more emphasis on recent data than the conventional simple moving average (SMA). We empirically analyzed the investment results of the decision-making framework with the same 15 stocks in Samsung Group Funds found in the Korean stock market between 2007 and 2011. This five-year investment horizon is marked by global financial crises including the U.S. subprime mortgage crisis, the collapse of Lehman Brothers, and the European sovereign-debt crisis. We measure portfolio performance in terms of rate of return, standard deviation of returns, and Sharpe ratio. Results are compared with the following benchmarks : 1) KOSPI, 2) Samsung Group Funds, 3) Talmudic portfolio based on the na$\ddot{i}$ve 1/N rule, and 4) Markowitz's model with SMA. We performed sensitivity analyses on all the input parameters that are necessary for designing an investment decision-making framework : smoothing constant for EWMA, minimum required expected return for the portfolio, and portfolio rebalancing period. In conclusion, appropriate use of the comprehensive investment decision-making framework based on the Markowitz's model integrated with EWMA proves to achieve outstanding performance compared to the benchmarks.