• 재무관리연구
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• 제12권2호
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• pp.207-219
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• 1995

This paper develops an equilibrium asset pricing model with taxation in the economy. The expected excess rate of return on a risky asset is shown to be an increasing function of the covariance of asset return with aggregate consumption rate changes and the covariance of asset return with the tax rates as well. Thus, the expected execss rate of return can be decomposed as the consumption risk premium and the tax premium. The capital asset pricing model derived in the absence of taxes is shown to understate the expected excess rate of return and to have a misspecification error in the economy with taxation.

• 한국경영과학회지
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• 제22권2호
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• pp.153-167
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• 1997

There have been many studies concerning the relationships between stock returns and volatilities. Their positive relationship is well known from the theoretical point of view, but not empirically shown. Franch, Schwert and Stambaugh [11] has empirically provided the indirect evidence of the positive relationship betwen expected stock return and expected volatility. However, their study lacks some statistical validity. This study reexamines the relationship using regression diagnostics and GARCH model from an international point of view. The empirical results fall to show the positive relationship between expected stock return and expected volaiility, which contradicts those of France, Schwert and Stambangh [1].

• 한국수자원학회논문집
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• 제47권5호
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• pp.447-457
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• 2014

본 연구에서는 초과확률 또는 비초과확률이 시간에 따라 변화한다는 비정상성을 가정하여 재현기간 산정에 대한 연구를 수행하였다. 비정상성을 고려한 2가지 재현기간 산정 방법에 대해 검토하고 비정상성 Gumbel 모형을 이용한 빈도해석을 수행하여 초과확률및 비초과확률을 구한 뒤비정상성을 고려한 재현기간 정의에따른 우리나라 재현기간의 변화에 대해서 살펴보았다. 적용 대상으로는 자료기간 30년 이상을 보유하면서 일 강우 자료의 경향성이 나타나는 서귀포, 인제, 제천, 구미, 문경, 거창 등 6개 지점을 선정하였다. 적용결과 비정상성을 고려한 재현기간 산정 시 기존의 재현기간 산정방법과는 재현기간이 다르게 산정됨을 알 수 있었고, 재현기간이 커질수록 정상성 가정하의 재현기간과 비정상성 가정하의 재현기간 값의 차이가 더 커지는 것으로 나타났다. 또한 비정상성을 고려한 재현기간의 2가지 정의 중 기대 대기시간(expected waiting time) 정의에 의한 방법이 기대 초과사상 수(expected number of exceedance event) 정의에 의한 방법보다 작은 재현기간이 산정 되었다.

• 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.

• 품질경영학회지
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• 제31권3호
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• pp.160-171
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• 2003

Criteria for the comparison of quality of asset portfolio management are risk and return. In this paper a method to use structural time-series model to determine an optimal portfolio for the improvement of quality of asset portfolio management is suggested. In traditional mean variance analysis expected return is assumed to be time-invariant. However, it is more realistic to assume that expected return is temporally dynamic and structural time-series model can be used to reflect time-varying nature of return. A data set from an insurance company was used to show validity of suggested method.

• 경영과정보연구
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• 제26권
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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.

• 한국경영과학회지
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• 제38권2호
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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.

• 경영과학
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• 제28권2호
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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.

• 한국지역지리학회지
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• 제12권6호
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• pp.748-756
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• 2006

본연구는 생산과 수요 양면을 고려한 농업입지모델에서 농작물 시장가격의 단기 및 장기적 변화를 고찰한다. 농작물 가격과 생산량의 단기적 변화 상황은 생산량의 연간 변화량에 의해서 결정되는 것으로 파악하면서 수리적 모형을 제시한다. 장기적 모형에서 농작물의 가격은 여러 가지 농업을 둘러싼 환경 및 변수(수요, 생산량, 생산비용, 운송률)의 변화를 고려하였다. 또한 예상 수익 모델(expected return model)과 보장 수익 모델(guaranteed return model)을 각각 제시하면서, 농작물의 생산량과 가격의 장기적 변화를 조사한다. 농작물 가격 하락은 지대 및 토지 가격의 하락과 관련된다.

• The Journal of Asian Finance, Economics and Business
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• 제7권9호
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• pp.117-123
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• 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.