• International Area Studies Review
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• v.15 no.1
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• pp.87-106
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• 2011

Using an event study, this paper investigates stock price reactions on Korean listed firms' convertible bond (CB) issue announcements over the sample period of January 2000 to November 2007. This study finds that on the Korean Security market, the CB issue announcements are associated with an increase in shareholder wealth on the announcement date. An information leakage by insider traders is also observable at preannouncement dates. Unlike the prior studies that indicate a prevailing negative effect on the announcements, this paper shows that domestic CB issue announcements as well as offshore ones yield a positive impact on the stock prices. This presents that in terms of stock price reactions to the CB issue announcements, the two CB issue markets show the positively same effects on shareholder wealth for the post-2000 period. For its drivers, this paper suggests that on the Korean market, firm size have negative relationship with the increase in the wealth incurred by the announcements. By contrast, an issue to maturity, a growth opportunity, and a relative issue size make a positive impact on it.

• Journal of Navigation and Port Research
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• v.43 no.2
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• pp.134-141
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• 2019

The objective of this study was to establish whether global macroeconomic indicators affect the profitability of Korean shipping companies by using panel regression analysis. OROA (operating return on assets) and ROA (ratio of net profit to assets) were selected as proxy variables for profitability. OROA and ROA were used as dependent variables. The world GDP growth rate, interest rate, exchange rate, stock index, bunker price, freight, demand and supply of the world shipping market were set as independent variables. The size of the firm was added to the control variable. For small-sized firms, OROA was not affect by macroeconomic indicators. However, ROA was affected by variables such as interest rates, bunker prices, and size of firms. For medium-sized firms, OROA was affected by demand, supply, GDP, freight, and asset variables. However, macroeconomic indicators did not affect ROA. For large-sized firms, freight, GDP, and stock index (SCI; Shanghai Composite Index) have an effect on OROA. ROA was analyzed to be influenced by bunker price and SCI.

• Management & Information Systems Review
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• v.29 no.2
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• pp.1-25
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• 2010

This study attempted to empirically test the determinants of stock returns in Korean stock market applying multi-factor model proposed by Haugen and Baker(1996). Regression models were developed using 16 variables related to liquidity, risk, historical price, price level, and profitability as independent variables and 690 stock monthly returns as dependent variable. For the statistical analysis, the data were collected from the Kis Value database and the tests of forecasting power in this study minimized various possible bias discussed in the literature as possible. The statistical results indicated that: 1) Liquidity, one-month excess return, three-month excess return, PER, ROE, and volatility of total return affect stock returns simultaneously. 2) Liquidity, one-month excess return, three-month excess return, six-month excess return, PSR, PBR, ROE, and EPS have an antecedent influence on stock returns. Meanwhile, realized returns of decile portfolios increase in proportion to predicted returns. This results supported previous study by Haugen and Baker(1996) and indicated that firm-characteristic model can better predict stock returns than CAPM. 3) The firm-characteristic model has better predictive power than Fama-French three-factor model, which indicates that a portfolio constructed based on this model can achieve excess return. This study found that expected return factor models are accurate, which is consistent with other countries' results. There exists a surprising degree of commonality in the factors that are most important in determining the expected returns among different stocks.

• Journal of the Korea Convergence Society
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• v.12 no.6
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• pp.9-16
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• 2021

In the past, there have been various studies on predicting the stock market by machine learning techniques using stock price data and financial big data. As stock index ETFs that can be traded through HTS and MTS are created, research on predicting stock indices has recently attracted attention. In this paper, machine learning models for KOSPI's up and down predictions are implemented separately. These models are optimized through a grid search of their control parameters. In addition, a hybrid machine learning model that combines individual models is proposed to improve the precision and increase the ETF trading return. The performance of the predictiion models is evaluated by the accuracy and the precision that determines the ETF trading return. The accuracy and precision of the hybrid up prediction model are 72.1 % and 63.8 %, and those of the down prediction model are 79.8% and 64.3%. The precision of the hybrid down prediction model is improved by at least 14.3 % and at most 20.5 %. The hybrid up and down prediction models show an ETF trading return of 10.49%, and 25.91%, respectively. Trading inverse×2 and leverage ETF can increase the return by 1.5 to 2 times. Further research on a down prediction machine learning model is expected to increase the rate of return.

• The Journal of the Korea Contents Association
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• v.12 no.2
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• pp.388-397
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• 2012

Recently, KOSDAQ company's cyber IR activities has increased. Major advantages offered by the Internet include low cost and high accessibility the Internet is used as a strategic tool of many KOSDAQ companies in IR activity. Thus, this study tried to empirically analyze the overall impact of cyber IR. And this study examine the difference in impact of cyber IR activity on stock prices in the period before and after depending on ownership structure and venture or not. The main result of the study can be summarized as follows. First, IR activities have a positive impact on KOSDAQ firms stock price. This means that the investors are recognizing IR activity of KOSDAQ firm as a good news. Second, The lower stock ownership have great impact on stock prices. The act of reporting and monitoring system are performing effectively to lower stock ownership as compared with higher stock ownership. Third, The return rate of KOSDAQ venture firms with IR enforcement effect appears high than KOSDAQ firms with IR enforcement.

• The Journal of the Korea Contents Association
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• v.22 no.8
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• pp.329-338
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• 2022

As the non-face-to-face economic situation developed due to the COVID-19 pandemic, untact stock groups appeared in the stock market. This study proposed the Korea COVID-19 fear index following the spread of infectious diseases in the COVID-19 pandemic situation and analyzed the influence on the untact stock and contact stock returns. The results of the empirical analysis are as follows. First, as a result of the Granger causality analysis using the Korea COVID-19 fear index, significant causality was found in the return of contact stocks such as Korean Air, Hana Tour, CJ CGV, and Paradise. Second, as a result of stock price prediction based on the LSTM model, Kakao, Korean Air, and Naver's prediction performance was high. Third, the investment performances of the Alexander filter entry rule using the predicted stock price were high in Naver futures and Kakao futures. This study can find a difference from previous studies in that it analyzed the influence of the spread of the COVID-19 pandemic on untact and contact stocks in the COVID-19 situation where the non-face-to-face economy is in full swing.

• Journal of Convergence for Information Technology
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• v.7 no.3
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• pp.105-109
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• 2017

This paper examines the effect of the analysts' earnings forecast revisions on stock price after the dividend announcement of the firms has been released. We show that the analysts' upward revisions on earnings forecasts are followed by the positive cumulative abnormal return. We also investigate the signalling effect and the confirmation effect with respect to the effect of the dividend announcement and the earnings forecast revisions on stock price. The test results show that the confirmation effect is stronger than the signalling effect. That is, the investors react only when the analysts' forecasts coincide with the preceding dividend announcement.

• The Korean Journal of Financial Management
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• v.23 no.2
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• pp.1-25
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• 2006

This paper studied the performance of momentum strategy and contrarian strategy based or past stock return ratio of Korean stock market. The comparative study shows that the volatility of stock markets that can be found the performance of momentum strategy is smaller than that of emerging stock market. Accordingly, This paper examines that the performances of momentum strategy and contrarian strategy are affected by the larger volatility in Korean stock market. Further analysis using the 6 years sub-portfolios reveals that the momentum strategy is significant only during 1980 to 1986 time period when it had the least market volatility. Additionally, we investigate whether firm-level volatility as well as market volatility influence on the performance of contrarian strategy, and figure out that the momentum strategy is significant for the portfolio composed of firms with smaller volatility for previous period, while not significant for the portfolio composed of firms with larger volatility.

• Journal of Industrial Convergence
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• v.20 no.2
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• pp.11-19
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• 2022

This study examines the role of economic uncertainty in stock price determination in the domestic stock market. To this end, we analyzed the relationship between economic uncertainty indices at home and abroad (USA, China) and stock returns for non-financial companies in Korea from January 2000 to 2017. For the analysis model, the 3-factor model of Fama and French (1992) and the 5-factor model including momentum and liquidity were used. As a result of the analysis, a portfolio with a high beta of economic uncertainty showed higher stock returns than a portfolio with a low beta. This was the same as the US analysis result. Also, the analysis results using the US uncertainty index were more significant than the regression analysis results using the Korean economic uncertainty index.

• The Korean Journal of Financial Management
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• v.24 no.1
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• pp.85-107
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• 2007

In this study, I analyzed determinant factors of mutual fund return. The samples was distributed into three types according to the ratio of included stocks in funds. The proxies of mutual funds were set up three ways(returns of fund). As a result of the analysis, I found that growth positively affect to fund return, abnormal return and adjusted abnormal return in all samples. While, according to three types of sample, expected and unexpected fund cash flows had differently effect on fund return. Inferentially, it seemed that the ratio of included stocks in fund was the cause of that. But price pressure hypothesis are not supported. In conclusion, it was not found the possibility of stock market disturbance in this analysis.