• Journal of Chest Surgery
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• 제49권5호
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• pp.337-343
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• 2016

Background: Recent developments in surgical techniques and hospital care have led to improved outcomes following total anomalous pulmonary venous return (TAPVR) repair. However, the surgical repair of TAPVR remains associated with a high risk of mortality and need for reoperation. We conducted this retrospective study to evaluate mid-term outcomes following in situ TAPVR repair without total circulatory arrest (TCA), and to identify the risk factors associated with surgical outcomes. Methods: We retrospectively reviewed 29 cases of surgical intervention for TAPVR conducted between April 2000 and July 2015. All patients were newborns or infants who underwent in situ TAPVR repair without TCA. Results: Four anatomic subtypes of TAPVR were included in this study: supracardiac (20 cases, 69.0%), cardiac (4 cases, 13.8%), infracardiac (4 cases, 13.8%), and mixed (1 case, 3.4%). The median follow-up period for all patients was 42.9 months. Two (6.9%) early mortalities occurred, as well as 2 (6.9%) cases of postoperative pulmonary venous obstruction (PVO). Preoperative ventilator care (p=0.027) and preoperative PVO (p=0.002) were found to be independent risk factors for mortality. Conclusion: In situ repair of TAPVR without TCA was associated with encouraging mid-term outcomes. Preoperative ventilator care and preoperative PVO were found to be independent risk factors for mortality associated with TAPVR repair.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.25-39
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• 2021

This purpose of this study is to investigate the association among mutual funds (MFs) risk measures and return parameters, evaluate mutual fund performance and also explore the best appropriate mutual fund performance measure for investment in Pakistan. Therefore, thirty-five mutual funds have been selected for the period 2007-2015. The Sharpe, Treynor, Jensen Alpha, Information ratio and Fama's Net Selectivity measures has been used to analyze MF performance. Our study findings show significant positive relation exist between Sharpe and Jenson alpha & information ratio (IR); Treynor ratio is negatively correlated to Jenson alpha and Jenson alpha is positively allied with IR. Moreover, association among performance measures, Fama's net selectivity is a major driver in leading to other measures but Sharpe and IR lead to Treynor ratio as well. Furthermore, performance measures are ranked in accordance standard deviation with the arrangement of Fama's net selectivity at top, Jenson Alpha at second, Sharpe ratio at third, IR at fourth and Treynor ratio at fifth position according to risk parameters in Pakistan. Overall, Jensen Alpha measure appears to be the best suitable mutual fund performance measure in Pakistan due to its practical nature. Finally, the Pakistani stock market index KSE100 (as benchmark) performs better than MF industry of Pakistan.

• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.45-53
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• 2020

Past literatures have not studied the impact of real-world events or information on the return and volatility of virtual currencies, particularly on the COVID-19 event, day-of-the-week effect, daily high-low price spreads and information flow rate. The study uses the ARMA-GARCH model to capture Bitcoin's return and conditional volatility, and explores the impact of information flow rate on conditional volatility in the Bitcoin market based on the Mixture Distribution Hypothesis (Clark, 1973). There were 3,064 samples collected during the period from 1^st of January 2012 to 20^th April, 2020. Empirical results show that in the Bitcoin market, a daily high-low price spread has a significant inverse relationship for daily return, and information flow rate has a significant positive relationship for condition volatility. The study supports a significant negative relationship between information asymmetry and daily return, and there is a significant positive relationship between daily trading volume and condition volatility. When Bitcoin trades on Saturday & Sunday, there is a significant reverse relationship for conditional volatility and there exists a day-of-the-week volatility effect. Under the impact of COVID-19 event, Bitcoin's condition volatility has increased significantly, indicating the risk of price changes. Finally, the Bitcoin's return has no impact on COVID-19 events and holidays (Saturday & Sunday).

• Management Science and Financial Engineering
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• 제10권1호
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• pp.25-41
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• 2004

There have been many studies to build a model that can help investors construct optimal portfolio. Most of the previous models, however, are based upon the path-breaking Markowitz model (1959) which is a quantitative model. One of the most important problems with that kind of quantitative model is that, in reality, most of the investors use not only quantitative, but also qualitative information when they select their optimal portfolio. Since collecting both types of information from the markets are time consuming and expensive, making a set of target assets smaller, without suffering heavy loss in the rate of return, would attract investors. To extract only desired assets among all available assets, we need knowledge that identifies investors' preference for the risk of the assets. This study suggests two-layer decision-making rules capable of identifying an investor's risk preference and an architecture applying them to a quantitative portfolio model based on risk and expected return. Our knowledge-based portfolio system is to build an investor's preference-oriented portfolio. The empirical tests using the data from Korean capital markets show the results that our model contributes significantly to the construction of a better portfolio in the perspective of an investor's benefit/cost ratio than that produced by the existing portfolio models.

• The Journal of Asian Finance, Economics and Business
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• 제7권8호
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• pp.25-31
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• 2020

The purpose of this paper is to examine a financial distress premium in the emerging market. A risk-return trade-off of negative book equity (NBE) and distress firms is empirically analyzed using data from the Stock Exchange of Thailand. This research employs Ohlson's (1980) bankruptcy model as a measurement of distress risk. The results indicate that distress firms outperform solvent firms in the Thai market and deny distress anomaly often found in the developed market. Fama-Frech (1993) three-factor model and Carhart (1997) four-factor model verify the existence of a distress premium in the Thai capital market. Risk-seeking investors demand greater compensation for bearing risks of distress firms' going concern. This paper provides fresh evidence that default risk is a significant explanatory factor in pricing stocks in the emerging market. Also, this study sheds light on the role of NBE firms in asset pricing. Most studies eliminate NBE firms from their sample. However, NBE firms yield superior average cross-sectional returns, albeit with higher volatility. Investors are rewarded with distress risks associated with NBE firms. The outperformance of NBE firms is statistically significant when compared to the overall market. The NBE premium disappears when factoring size, value, and momentum in time-series analysis.

• 자원ㆍ환경경제연구
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• 제15권2호
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• pp.319-353
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• 2006

본 논문은 날씨파생상품이 전기도매시장에서의 가격 및 수량 위험의 헤지수단으로서 활용될 수 있다는 것을 보여주고 있다. 또한 일별 수준의 가격과 물량이 아니라 여름기간 동안의 전기도매시장에서의 전기구입 비용 혹은 전기판매 수입을 대상으로 하여 날씨관련 계약형태의 위험헤지효과를 살펴보았다. 날씨관련 계약들이 전기도매시장의 시장신호를 더 잘 보전하고 있으며, 도매전기 구입관련 금융위험을 더 잘 헤지함을 발견하였다. 전기도매시장에서 선물계약과 날씨파생상품을 결합하였을 경우, 더운 날의 경우 높은 전기생산비용이 가격에 반영되며, 전기판매 수입 혹은 전기구입 비용의 변동성이 현저히 낮아진다는 것을 발견하였다.

• The Journal of Asian Finance, Economics and Business
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• 제6권2호
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• pp.9-13
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• 2019

The paper aims to investigate the performance of domestic Saudi Arabian ETFs. ETFs are investment vehicles in vogue. These instruments were the first levers for investors allowing them to enter some markets that have been highly protected or out of reach. Saudi Arabia, which has been promoted as an emerging country by MSCI, seeks to attract more foreign investors. The first ETFs were launched in the years 2010-2011. Even though their number has not increased since then, there is a desire to attract a large number of investors. We use premiums/discounts analysis, standard risk-return models, and tracking errors measurements to assess how closely their replicate the underlying benchmark based on monthly data. The results indicate that out of the three funds investigated two are slightly traded at premium, while the latter exhibit a price discount. However, tracking errors are at minimum for all funds suggesting that they track well the benchmark index. Further, the Jensen's model shows that alphas are negative or null, and betas capture largely the systematic risk which is consistent with index investing strategies. Finally, traditional risk-adjusted measures of performance are used to compare ETFs, and results exhibit negative ratios showing that portfolios achieve lower return than the risk-free rate.

• 아태비즈니스연구
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• 제13권2호
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• pp.123-138
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• 2022

Purpose - This study compares the performances of dynamic asset allocation strategies using Korean stocks and U.S. dollar, which have been negatively correlated for a long time, to examine the diversification effects in the portfolios of them. Design/methodology/approach - In the current study, we use KOSPI200 index, as a proxy of the aggregated portfolio of Korean stocks, and USDKRW foreign exchange rate to implement various portfolio management strategies. We consider the equally-weighted, risk-parity, minimum variance, most diversified, and growth optimal portfolios for comparison. Findings - We first find the enhancement of risk adjusted returns due to risk reduction rather than return increasement for all the portfolios of consideration. Second, the enhancement is more pronounced for the trading strategies using correlations as well as volatilities compared to those using volatilities only. Third, the diversification effect has become stronger after the global financial crisis in 2008. Lastly, we find that the performance of the growth optimal portfolio can be improved by utilizing the well-known momentum phenomenon in stock markets to select the length of the sample period to estimate the expected return. Research implications or Originality - This study shows the potential benefits of adding the U.S. dollar to the portfolios of Korean stocks. The current study is the first to investigate the portfolio of Korean stocks and U.S. dollar from investment perspective.

• 한국콘텐츠학회논문지
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• 제21권11호
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• pp.320-332
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• 2021

본 연구는 국내 주식시장에서 개별종목의 주가급락위험을 과거 1년간 일별수익률의 VaR(Value-at-Risk) 통계량으로 정의하고, 주가급락위험이 기대수익률에 미치는 영향을 분석하였다. 결과는 다음과 같이 요약된다. 첫째, 전체 종목을 전월의 주가급락위험의 크기 순으로 10개의 포트폴리오로 나눈 후, 주가급락위험이 가장 높은 포트폴리오를 매수하고 가장 낮은 포트폴리오를 공매도하여 매월 구성한 무비용 포트폴리오는 월평균 -2.29%의 수익률(주가급락위험 프리미엄)을 나타낸다. 둘째, Fama-MacBeth 횡단면 회귀분석에서 기업규모, 장부가대시장가비율, 시장베타, 유동성, 최대수익률, 고유변동성, 왜도 등의 다양한 기업특성변수를 통제한 후에도 전월의 주가급락위험은 금월 수익률에 대해 유의한 음(-)의 설명력을 갖는다. 셋째, 최근 1개월 이내에 주가급락폭이 큰 종목일수록 다음 달 수익률이 더 낮다. 넷째, 전월 시장수익률의 변동성과 주가급락위험 프리미엄의 크기는 음(-)의 상관관계를 갖는다. 이러한 결과는 주가급락위험에 대해 투자자들이 과소반응하는 경향으로 인해 주가급락위험이 높은 종목일수록 주가가 고평가된다는 행태재무학적 관점에서의 가설을 지지한다.

• The Journal of Asian Finance, Economics and Business
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• 제5권1호
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• pp.11-16
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• 2018

This research examines the alternative ways of estimating the coefficient of non-diversifiable risk, namely beta coefficient, in Capital Asset Pricing Model (CAPM) introduced by Sharpe (1964) that is an essential element of assessing the value of diverse assets. The non-parametric methods used in this research are the robust Least Trimmed Square (LTS) and Maximum likelihood type of M-estimator (MM-estimator). The Jackknife, the resampling technique, is also employed to validate the results. According to finance literature and common practices, these coecients have often been estimated using Ordinary Least Square (LS) regression method and monthly return data set. The empirical results of this research pointed out that the robust Least Trimmed Square (LTS) and Maximum likelihood type of M-estimator (MM-estimator) performed much better than Ordinary Least Square (LS) in terms of eciency for large-cap stocks trading actively in the United States markets. Interestingly, the empirical results also showed that daily return data would give more accurate estimation than monthly return data in both Ordinary Least Square (LS) and robust Least Trimmed Square (LTS) and Maximum likelihood type of M-estimator (MM-estimator) regressions.