• The Korean Journal of Financial Management
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• v.27 no.2
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• pp.35-62
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• 2010

This paper examines the existence of the fund performance persistence and the smart money effect in Korean stock market and tests the flow-induced price pressure (FIPP) hypothesis, that is, fund flows affect individual stock returns and mutual fund performance. This paper also tests whether the FIPP effect can cause the performance persistence using the monthly returns and stock holdings data of 2,702 Korean mutual funds from January 2002 to June 2008. The empirical results indicate that the performance persistence exists significantly for a long time but the smart money effect does not. The hedge portfolio constructed by buying funds with the highest past 12 months performance and selling funds with the lowest past 12 months performance earns 0.11%~1.05% monthly abnormal returns, on average, in 3 years from portfolio formation month, but the hedge portfolio constructed by buying funds with the highest past net fund inflows and selling funds with the lowest past net fund inflows cannot earn positive monthly abnormal returns and the size of negative abnormal returns of the portfolio increase as time goes on. We find the evidence that the FIPP hypothesis is significantly supported. We first estimate the FIPP measure for each individual stock using the trading volume resulting from past fund flows and then construct the hedge portfolio by buying stocks with the highest FIPP measure and selling stocks with the lowest FIPP measure. That portfolio earns significantly positive abnormal return, 1.01% at only portfolio formation month and cannot earn significant abnormal returns after formation month. But, the FIPP effect cannot cause the performance persistence because, within the same FIPP measure group, funds with higher past performance still earn higher monthly abnormal returns than those with lower past performance by 0.08%~0.77%, on average, in 2 years. These results imply that the main cause of the performance persistence in Korean stock market is the difference of fund managers' ability rather than the FIPP effect.

• Journal of Korean Society of Forest Science
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• v.78 no.1
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• pp.30-34
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• 1989

Effects on noise attenuation of the hedge species, Thuja orientalis L. and Euonymus japonicus Thunb., widely used as road side hedges, were analysed at the frequencies of 1,000, 2,000 and 3,150 Hz., respectively. The present experiments were carried out both in the field and in a Semianechoic Chamber. As increasing the distances from the noise source, attenuation rates of noise level were increased at high frequencies. But the attenuation rates of the noise level at low frequencies showed varied as the distances increased, and this trend appeared to be caused by the influence of ground waves. Generally, in this experiment, Thuja orientalis L., which is a coniferous species, showed more effective on the abilities of noise attenuation than that of Euonymus japonicus Thunb., which is a broad-leaved evergreen species.

• Management & Information Systems Review
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• v.32 no.1
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• pp.63-85
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• 2013

This study tries to investigate the fundamental implications inherent in inventory asset information(specifically, unexpected inventory investment) by analyzing how the relationship between unexpected inventory investment and future operating performance. And we study how is the response of the stock market participants to the fundamental implications inherent in inventory asset information. Prior papers often assume the efficient market and they view the significant relation between stock prices and financial indicators as evidence of the contribution of such indicators to future earnings. Leading indicators are attracting the market's attention for equity valuation. We study whether one leading indicator (unexpected Inventories) forecasts future earnings, and whether market participants fully reflect the predictive ability when they sets share prices(Mishkin test, 1983). Our empirical results of the study are summarized as follows. Current unexpected inventory investment is negatively associated with future operating performance. Also, our evidence is that the stock market participants overprice the contribution of unexpected inventory investment when predicting future earnings. Furthermore, a hedge strategy that uses the overpricing gives significant future abnormal returns. The overall results help the users of financial reports, researchers of accounting, and the accounting principle setting body.

• The Korean Journal of Financial Management
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• v.26 no.2
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• pp.155-180
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• 2009

This study is to estimate and compare hedging effectiveness in emerging currency and advanced currency futures markets. Emerging currency futures includes Korea won, Mexico peso, and Brazil real and advanced currency futures is Europe euro, British pound, and Japan yen. Hedging effectiveness is measured by comparing hedging performance of the naive hedge model, OLS model, error correction model and constant condintional correlation bivariate GARCH(1, 1) hedge model based on rolling windows. Analysis data is used daily spot and futures rates from January, 2, 2001 to March. 10, 2006. The empirical results are summarized as follows : First, irrespective of hedging period and model, hedging using Korea won/dollar futures reduces spot rate's volatility risk by 97%. Second, Korea won/dollar futures market produces the best hedging performance in emerging and advanced currency futures markets, i.e. Mexico peso, Brazil real, Europe euro, British pound, and Japan yen. Third, there are no difference of hedging effectiveness among hedging models.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.22 no.1
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• pp.520-530
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• 2021

Objectives: This study aimed to identify the effects of music therapy on cognitive function, agitation, anxiety and depression in the elderly with dementia. Method: A comprehensive literature search was performed on PubMed, EMBASE, Cochrane Library, CINAHL, Web of Science, Google scholar and PsycINFO, for the period 2010 to 2019. In the meta-analysis, the standardized mean difference (Hedges' g) and 95% confidence interval were calculated as summary measure, and the random effect model and inverse variance method were applied using the RevMan 5.4 program. A total of 13 studies were included; all were determined to be acceptable, based on the Cochrane collaboration's tool for assessing risk of bias. Results: The effect size (Hedges' g) was 0.31 (95% CI: -0.02, 0.65) for cognition and -0.03 (95% CI: -0.17, 0.11) for agitation behavior as the primary outcomes, and 0.61 (95% CI: -1.17, -0.05) for anxiety and -0.44(95% CI: -0.88, 0.00) for depression as the secondary outcomes. Subgroup analysis by type of music intervention revealed that combined music therapy has a significantly increasing beneficial effect on cognition of dementia patients (g=0.45[95% CI: 0.03, 0.87]). Conclusion: Music therapy was determined to exert beneficial effects in reducing anxiety and depression, and combined music therapy demonstrated improved cognitive functions in elderly patients with dementia.

• The Journal of Fisheries Business Administration
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• v.41 no.1
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• pp.73-91
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• 2010

The objective of this study is to examine the hedging effectiveness of shrimp futures market. Hedging effectiveness is measured by OLS model based on rolling windows. Analysis data are obtained from Kansai Commodities Exchange in Osaka and are weekly data of frozen shrimp futures and cash prices in the time period from July 9, 2003, to May 9, 2007. The empirical results are summarized as follows:First, the correlation coefficients between the nearby futures price changes and the cash(16/20) price changes are very low and have range from 0.141 to 0.208 values. Second, the minimum variance hedge ratios($\hat{\beta}$) are all statistically different from 0 at the 5% level and range from 0.0477 to 0.5039 values excluding Indian shrimps(26/30). Ex post hedging effectiveness, as measured by the coefficient of determination, $R^2$, is relatively very low and range from a low of 0.4% for west-south Indian shrimps(26/30) to a high 4.3% for Vietnamese shrimps(16/20). Third, ex ante hedging effectiveness, as measured by out-of-sample hedging period, is also very low and range from a low of -4.4% for west-south Indian shrimps(21/25) to a high of 3.4% for Vietnamese shrimps(16/20). This indicates that the shrimp futures market doesn't behave as risk management instrument of shrimp spot.

• The Korean Journal of Applied Statistics
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• v.28 no.4
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• pp.703-719
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• 2015

We propose an extension of the Lee and Jho (2015) mean reverting the two factor mortality model by incorporating a period-specific cohort effect. We found that the consideration of cohort effect improves the mortality fit of Korea male data above age 65. Parameters are estimated by the weighted least squares method and Metropolis algorithm. We also emphasize that the cohort effect is necessary to choose the base survival index to calculate longevity bond issue price. A key contribution of the article is the proposal and development of a method to calculate the longevity bond price to hedge the longevity risk exposed to Korea National Pension Services.

• Journal of Environmental Science International
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• v.18 no.5
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• pp.551-559
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• 2009

This study aims to find out negative factors against public safety in urban parks. Longitudinal data between 1994 and 2008 were analyzed to suggest management implication for high quality security and safety in urban park. Results are summarized as follows. Firstly, investigation of visitor to the park at night reveals that visitors who were elderly, walking out, and family group increased, and that most visitors took a stroll for one hour around 8:00pm. Olympic park (e.g. leisure facility 66.7%), Hyo-won park (e.g. vacant lot 23.8%), Jang-an park (e.g. near hedge 30.1%), and Mae-tan park (e.g. leisure facility 20.8%) were revealed as latent places of serious criminals. Secondly, both in 1994 and in 2008, principal factors of public safety were summarized as fear for violence(X1) and fear for closed space(X3). These factors took 3.22 followed by 3.07 respectively in the overall mean of public safety of parks. Thirdly, overall mean of public safety takes 2.22 in 1994 and 2.96 in 2008, which shows uncertainty of effective management of facilities with a viewpoint of visitors. All parks shows negative trend in public safety, in short.

• The Korean Journal of Financial Studies
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• v.9 no.1
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• pp.163-187
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• 2003

본 연구는 옵션가격 및 거래량 자료를 이용하여 옵션시장의 가격발견 기능에 대해서 분석을 시도하였다. 이를 위해 먼저 옵션가격과 거래량 정보가 현물시장을 선행하는 현상에 대해서 분석해 보았다. 옵션가격은 실제 현물지수를 약 1시간 정도 선행하는 것으로 관찰되었다. 콜옵션 가격이 풋옵션에 비해서 상대적으로 옵션시장에서 높게 거래되는 경우 이는 현물주식시장에서의 주가상승을 예고하는 것으로 나타났다. 옵션 거래량 정보 역시 현물시장의 가격움직임을 예측하는데 유효한 것으로 관찰되었다. 콜옵션의 풋옵션 대비 상대적인 거래증가는 투자자의 낙관적인 장세전망을 반영해 일단 현물지수의 상승을 야기하는 것으로 나타났으나 이후 투자자의 풋옵션을 통한 헤지(hedge) 수요의 증가로 이어지는 것으로 조사되었다. 두 번째로 본 연구는 이러한 옵션시장의 가격발견 기능을 이용하여 매매전략을 수립하고 이를 통하여 투자이익을 극대화시킬 수 있는지에 대해서 살펴보았다. 콜옵션 가격(거래량)이 풋옵션 가격(거래량)에 비해 고평가(증가) 되었을 경우 이는 주가상승을 미리 예고하고 있는 신호로 받아들어져 주식을 매입하고 반대로 콜옵션 가격(거래량)이 풋옵션 가격(거래량)에 비해 저평가(감소) 되었다면 주가하락을 예측하기 때문에 주식을 매도함으로써 투자이익을 증대시킬 수 있을 것이다. 실증분석 결과는 우선 옵션 가격정보를 이용하여 현물시장에서 지수 바스켓 포트폴리오를 매매하려는 전략은 30분 내외의 단기 투자에는 유효하나 그 이상의 투자기간을 가지는 경우에는 예상과는 다른 결과를 초래하였다. 반면 옵션시장에서의 콜옵션과 풋옵션의 상대적인 거래량 정보는 현물주식시장의 움직임을 예측하는데 옵션 가격정보에 비해서 보다 효과적인 것으로 판단되었다. 조사한 모든 일중 및 1일(overnight) 투자수익률에서 옵션 거래량의 상대적 비율에 의거한 투자전략은 통계적으로 유의한 투자수익률의 차이를 가져왔다.

• Journal of the Korean Institute of Landscape Architecture
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• v.18 no.2
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• pp.57-65
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• 1990

To select suitable siecies for barrier trees in the middle tmperature forest zone of Korea, sprout ratio, verdi cal density ratio and impenetrability were analyzed for 41 species including 9 evergreen conifer trees which had been transplanted 18 years ago and maintained as a hedge at Pocheon - Gun, Kyonggi -Do, Korea. 1. The species with high sprout ratio of hedges were Rosa multiflora, Lonicera maackii, Chamaecyparis pisifera, Thuja occidentalis in order at the upper portion, Thuja occidentalis, Rosa multiflora, Chamaecyparis pisifera, in order oa the middle portion, and Thuja occidentals, Chamaecyparis pisigera, Rosa multiflora, Cercdiphyllum japonicum, Cornus kousa, Ulmus pumila, Robinia pseudoacacia in order at the lower portion of hedges. 2. the species with high vertical density ratio were Thuja occidentalis, Chamaecyparis pisifera, Weigela subsessilis, Acer ginnala in order. 3.The species with hight impnetrability were Thuja occidentalis, Chamaecyparis pisifera, Forsythia Koreana, Juniperus rigida, Juniperus chinensis, Pinus strobus in order. 4. the values of correlation coefficents between the sprout ratio and impenetrability are given in table 3 and positive significant correlations can be observed in conifer trees.5. The species with high suitability for tree barrier were Thuja occidontalis, Chamaecyparis pisifera, Acer ginnala, Juniperus chinensis, Rosa multiflora, Counus kousa, Cercidiphyllum japonocum, Weigela subsessilis, Cornus officinalis, Philadelphus schrenckii in order.