• 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.

• 국제학술발표논문집
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• The 1th International Conference on Construction Engineering and Project Management
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• pp.1244-1249
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• 2005

Present PII(Private Infrastructure Investment) in Korea has increased up to 11% compared to the year 2003 and is expected to increase in the future. In spite of its rapid increase, we don't have any definite standard or system which distinctly presents the rate of return for domestic PII yet, and practical and scientific research is not sufficient compared to its necessity and importance. Hence, in this study we suggests methods to estimate the rate of return of PII to promote SOC PII to last successfully and present the proper level of rate of return of PII which is appropriate for domestic situations through diverse analysis. Therefore, to present reasonable rate of return, we have used 5 methods: previous research analysis, case study, financial index analysis, analysis of investor's rate of return, and analysis of rate of return in a real estate market. After comparing and analyzing these methods, at the end, we have presented the appropriate level of rate of return of PII, which can be applied in the domestic market.

• 재무관리논총
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• 제3권1호
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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.

• Management Science and Financial Engineering
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• 제18권2호
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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.

• 수산경영론집
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• 제44권2호
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• pp.1-17
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• 2013

We investigate the appropriateness of the fixed 12% discount rate to be used in estimating the amount of compensation for revoking a license for fishery business by the Enforcement Decree of Fisheries Act in Korea. We also suggest the appropriate discount rate fully reflecting the change of market interest rate in the Korean financial market. The capital asset pricing model, or, CAPM is the best known model of risk and return, and is widely used to estimate the expected rate of return for the risky projects. Even though the CAPM implies that the discount rate or the expected rate of return should change as the related market factors do, the discount rate used to estimate compensation for revoking a license for fishery business remains to be the same 12% rate for the last 15 years by law. During this period, however, the yield to maturity for the 5-year government bonds in Korea has dramatically changed from about 12% to less than 3%. In order to provide the fair compensation for the damages against the coastal fisheries and evaluate the intrinsic value of fishery resources in the coastal areas, we suggest that the appropriate discount rate should be determined by the yield to maturity of the government bonds with 5-year maturity, instead of the current fixed 12% interest rate.

• 한국건설관리학회논문집
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• 제5권6호
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• pp.179-190
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• 2004

정부는 재정 부담을 완화하면서 인프라를 구축할 수 있는 SOC민간투자사업제도를 도입하여 적극 장려하고 있다. 민간투자사업의 비중은 2003년을 기준으로 전체 SOC투자 중 $11\%$에 이를 만큼 비중이 크게 성장 하였으며 이와 같은 성장세는 당분간 지속될 것으로 판단된다. 하지만 민간투자사업에 참여하고 있는 사업자를 살펴보면 시공수익을 기대하는 시공사들이 전체 투자자의 $80\%$이상을 차지하고 있고, 은행, 보험, 연 $\cdot$ 기금 등의 재무적 투자자는 $3\%$ 수준에 그치고 있는 실정으로 민간투자사업의 효율적인 운영에 장애가 되고 있다. 그러므로 향후 지속적인 민간투자사업의 발전을 위해서는 투자재원을 다변화해야 할 것으로 판단되며, 이를 위해서는 사회적으로 합의된 적정 수준의 투자수익률이 우선적으로 제시 되어야 할 것이다. 따라서 본 연구에서는 재무적 투자자의 참여 활성화를 위한 적정 수준의 투자수익률을 제시하기 위하여 민간투자사업의 수익률과 관련한 이론을 살펴보고, 다양한 분석 방법을 통하여 국내 상황에 맞는 SOC민간투자사업의 투자수익률 수준을 제시하였다.

• 산업경영시스템학회지
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• 제35권4호
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• pp.219-226
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• 2012

Recently real-estate investment business is standing out as a new plan for creation of source of income. In this paper, we suggested appropriate real-estate investment strategy through the reconstruct case study of existing one-storied building. That is, we showed the efficient process of decision and propel to reconstruct and the key points for lease business and post management after building completion. Also, we analyzed the rate of return of commercial building investment in order to find its optimum dealing time. Therefore the results of this paper are expected to be a help to old ages and persons laying plans for a similar business.

• 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.

• 한국경영과학회지
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• 제32권3호
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• pp.1-15
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• 2007

In this paper, the return link of interactive GEO satellite network providing multimedia services is considered. First, we classify data by delay characteristics, and analyze the numbers of expected lost packets and expected delay packets for each data class of each terminal. Next we mathematically formulate optimal rate scheduling model to minimize the weighted sum of the numbers of expected lost packets and expected delay packets considering priority of each data class. We also suggest a dynamic rate scheduling scheme based on Lagrangean relaxation technique and subgradient technique to solve the proposed model in a fast time. Extensive experiments show that the proposed scheme provides encouraging results.

• 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.