• Title/Summary/Keyword: CAPM

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A Study on major nations and Koea's FTA policy (주요국의 통상정책과 한국의 FTA 정책방향에 관한 연구)

  • Kim Jongkwon
    • Proceedings of the Safety Management and Science Conference
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    • 2004.11a
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    • pp.415-438
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    • 2004
  • This dissertation is assumed to continuously occur adjustment cost on present investment. So, I derived from time-nonseparable production-based CAPM and tested the performance of model through data. I also compared time-nonseparable production-based CAPM with time-separable production-based CAPM and CCAPM, CAPM through testifying the performance of model. At the part of applied application, I estimated time-nonseparable PCAPM-betas. The data of Korea consists of 320 listed companies on Korea Stock Exchange (KOSPI) from first quarter 1987 to first quarter 2002. This data also is categorized by scale and industries. Additionally, I estimated time-nonseparable PCAPM-betas through 500 listed companies of New York Stock Exchange (NYSE) from first quarter 1973 to first quarter 2002. I observed the statistical significance of 230 firms by 320 companies in Korea. After that, I compared time-nonseparable PCAPM-betas by firms with time-separable production-based CAPM-betas and CCAPM-betas, CAPM-betas through individual firms. At empirical test, I found that estimated parameter of adjustment cost on time-nonseparable production-based CAPM by scale and industries in Korea had positive value and statistical significance, Moreover, this approach proved to resolve the underestimation of adjustment cost on time-separable production-based CAPM by scale and industries. I also found that the time-nonseparable PCAPM performed better than time-separable production-based CAPM and CCAPM, CAPM. The result from U.S data proved to have similarity to that of Korea. Specifically, I found that time-nonseparable PCAPM-betas by firms performed better than CAPM-betas on individual firms in Korea.

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Obstacle Avoidance for AUV using CAPM (CAPM을 이용한 AUV의 장애물 회피)

  • 양승윤
    • Journal of the Korea Institute of Military Science and Technology
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    • v.4 no.2
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    • pp.17-29
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    • 2001
  • In this paper, we designed the hybrid path generation method which is named CAPM(Continuous path generation method based on artificial Potential field) that is able to be used in the obstacles environment. This CAPM was designed so that it puts together two obstacle avoidance algorithm-the continuous path generation method(CPGM) and the artificial potential field method(APFM). Here, the CAPM generate the safety path using continuous path curvature. But, this method has demerits when used in obstacles environment in which are closely located. Another method which is named the APFM generates the path with the artificial potential field in the obstacles environment. But, It has local minima in certain places and unnecessarily calculates the path in which obstacles are not located. So, the CAPM was designed for autonomous underwater vehicle(AUV) obstacle avoidance. As the result of simulation, it was confirmed that the CAPM can be applied to a safe path generation for AUV.

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The effect of the variables with the exception of $\beta$ on and abnormal phenomenon of the stockmarket in CAPM (CAPM에서 $\beta$계수이외의 변수가 시장의 이상현상에 미치는 영향)

  • 이재범
    • Journal of the Korea Safety Management & Science
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    • v.1 no.1
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    • pp.231-239
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    • 1999
  • CAPM explains the rate of return for the risk asset by $\beta$, systematic risk. There are some assumption in CAPM. But CAPM can not explain the movement of stock price sufficiently due to limitation of the assumptions. Therefore many scholars study which variables with the exception of $\beta$ effect on the rate of return of risk asset for supplementing this limitation by using PER, size of firm etc.. But it will be natural that PER, size of firm etc. to be determinant factors of $\beta$ also effect on the abnormal rate of return, because PER, size of firm etc. used in their studies already effect on determination of $\beta$, . That is, the determinant factors of $\beta$ effect on determination of abnormal rate of return according as $\beta$, effects on abnormal rate of return. Therefore, this study tests empirically how the determinant factors of $\beta$, effect on determination of$\beta$, ,and how $\beta$ and the determinant factor of $\beta$ effect on the abnormal rate of return in CAPM.

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Applicability of CAPM (Capital Asset Pricing Model) to Office Building Market in Seoul (서울의 오피스빌딩 시장에서 자본자산가격결정모형(CAPM) 의 적용가능성)

  • Park, Jong-Kwon;Jun, Jae-Bum
    • Journal of the Architectural Institute of Korea Planning & Design
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    • v.31 no.8
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    • pp.93-104
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    • 2015
  • This research aims to find out the impact of systematic risk on risk-premium and understand if CAPM (Capital Asset Pricing Model) is applicable to office building market at Seoul city in South Korea. In light of this notion, this research, specifically, considers four different office building markets in Seoul city area, called GBD(Gangnam Business District), YBD(Yeouido Business District), CBD(Central Business District), and Other Business District, to figure out whether there exists any positive-linearity between systematic risk and risk-premium for each business district. Afterward, this research seeks to verify applicability of CAPM to four office building markets based upon Black, Jensen, and Scholes(1972)'s statistical method. Finally, the results show some meaningful findings that there is positive linear-relationship between systematic risk and risk-premium in all business districts apart from YBD, which means capital-asset could be fairly priced in GBD, CBD, and other Business District, and that the applicability of CAPM should be only taken into account in Other Business District.

CAPM에 의한 투자보수율 산정방식의 개선에 관한 연구 -이윤보상방식을 중심으로

  • Kang Na-Ra;Lee Seung-Hwan;Hyun Tchang-Hee
    • Proceedings of the Korea Technology Innovation Society Conference
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    • 2004.11a
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    • pp.385-390
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    • 2004
  • 통신산업의 투자보수율의 결정은 요금의 결정, 상호접속료의 산정, 보편적역무손실보전금의 산정 등에 영향을 미치게 된다. 지금까지의 투자보수율의 결정은 CAPM모형에 의하여 결정되어왔다. 그러나 CAPM모형에 의하여 주식수익율을 설명하지 못한다는 많은 국내외의 연구결과가 있었다. 본 연구에서는 CAPM모형에 의한 투자보수율산정의 문제점을 살펴보고, 이에 대한 대안으로 방산물자의 이윤결정방식에 의한 투자보수율 산정의 가능성을 제시하고자 한다.

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Verification of Market's Efficiency and CAPM using Capitalization Rate at Commercial Real Estate Market in Seoul (서울의 상업용 부동산 시장에서 자본환원율을 이용한 시장 효율성과 CAPM의 검증)

  • Park, Jongkwon;Lee, Jaesu;Jun, Jaebum
    • Korean Journal of Construction Engineering and Management
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    • v.18 no.1
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    • pp.90-99
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    • 2017
  • This paper is to understand the impact of systematic risk on capitalization rate at office building market and retail real estate market in Seoul and to see if CAPM(Capital Asset Pricing Model) is applicable. For this, this paper considers eight different office building and retail real estate markets in Seoul city area, called GBD, YBD, CBD, and Other Business District, and GBD, SBD, CBD, and Other Business District, to find out if there is any positive-linearity between systematic risk and capitalization rate for each business district not. Then, this paper tries to verify applicability of CAPM to four office building markets and four retail real estate markets with Black, Jensen, and Scholes(1972)'s statistical methodology. At last, the result shows that there is positive linearity between systematic risk and capitalization rate only GBD except Others(YBD, CBD, and other business district) in office building market. In addtion, SBD and CBD, they could be figured out that it is not efficient market because increasing systematic risk declines capitalization rate in retail real estate market. However, CAPM is not applicable in all office building(GBD, YBD, CBD, and other business district) and retail real estate markets(GBD, SBD, CBD, and other business district) in Seoul.

A Study on Risks and Returns Using A Housing Capital Asset Pricing Model (CAPM): the Case of Three Gangnam Districts Apartment Market in Seoul (주택 자본자산가격결정모형(Capital Asset Pricing Model)을 활용한 위험과 수익 분석: 서울 강남 3개구 아파트시장의 경우)

  • Lee, Jong-Ah;Jeong, Jun-Ho
    • Journal of the Economic Geographical Society of Korea
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    • v.13 no.2
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    • pp.234-252
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    • 2010
  • This paper examines the tendency of housing assets to become increasingly quasi-financial assets by analyzing the relationships between risks and returns in three Gangnam districts (Gangnam-gu, Seocho-gu and Songpa-gu) apartment markets in Seoul, especially for the apartments to be reconstructed, capitalizing upon some capital asset pricing models (CAPM). A single factor CAPM model shows positive relationships between risks and returns regardless of the types of apartments in three Gangnam districts. Multi-factors CAPM models also confirm that the market and SMB (small minus big) factors are positively related to the rate of returns regardless of the types of apartments. However, the unsystematic risk factor is found to be statistically positive especially for the apartments to be reconstructed, while the momentum factor is dependent upon the regression models used. An analysis on some portfolios classified by the size of apartments and price volatility and/or beta values suggests that there are the positive linear relationships between risks and returns and the SMB factor is clearly found to be significant in determining the rate of returns. In particular, housing assets are highly highlighted as investment goods and/or quasi financial assets for the apartments to be constructed in the Gangnam housing.

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한국증권시장(韓國證券市場)에서 다변량검증(多變量檢證)에 근거한 CAPM과 APM의 실증적(實證的) 검증(檢證)

  • Gu, Bon-Yeol
    • The Korean Journal of Financial Studies
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    • v.5 no.1
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    • pp.135-164
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    • 1999
  • 본(本) 연구(硏究)는 Jobson(1982)의 주식(株式)의 수익율(收益率)이 정규분포(正規分布)를 할 경우에 다변량(多變量)의 통계학(統計學)을 이용하여 CAPM과 APM을 검증(檢證)하는 방법(方法)을 유도하였다. 이에따라 회귀분석(回歸分析)에 의한 검증방법(檢證方法)과 다변량(多變量)의 검증방법(檢證方法)을 제시하고 현실적으로 CAPM과 APM이 한국증권시장(韓國證券市場)에서 적용가능(適用可能)한가에 대한 실증적(實證的) 검증(檢證)을 실시하였다. 실증적(實證的) 검증(檢證)을 위하여 먼저 우리나라의 주식수익율자료(株式收益率資料)를 1980년 1월부터 1997년 6월까지의 월별자료(月別資料)에 의하여 11개 산업별(産業別) 분류작업을 통하여 산업별(産業別)포트폴리오를 구성하였다. 특히 APM의 경우에는 요인(要因)의 증가에 따라 APM이 한국증권시장에서 적용가능한가를 검증(檢證)하기 위하여 요인(要因)을 2개, 6개 그리고 10개까지 증가시켜 모형(模型)의 적합성(適合性)을 검증(檢證)하였다. 검증결과(檢證結果), CAPM과 APM모두 한국증권시장(韓國證券市場)에서 적용가능(適用可能)한 것으로 나타났다. 특히 APM의 경우에는 요인(要因)이 2개, 6개와 10개로 증가시 어떤 경우에도 적용가능한 것으로 나타났다. 이는 기대수익율(期待收益率)의 설명력을 높이기 위하여 몇 개의 가격화(價格化) 요인(要因)이 APM에 영향을 미치는 가를 연구하는 전통적인 검증방법(檢證方法)은 큰 의미가 없는 것으로 나타났다.

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소비(消費)에 근거한 CAPM의 실증적(實證的) 연구(硏究)

  • Gu, Bon-Yeol
    • The Korean Journal of Financial Management
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    • v.9 no.1
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    • pp.1-23
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    • 1992
  • CCAPM이 한국증권시장(韓國證券市場)에서 현실적(現實的)으로 성립가능한가에 대한 실증적 검증을 하였으며, 또한 시장(市場)포트폴리오와 대응되는 총소비지출의 성장률이 사전적(事前的)으로 효율적 프론티어(efficient frontier)상에 놓여 있는가에 대한 검증을 실시하였다. 이와 아울러 전통적인 S-L CAPM도 검증함으로써 CCAPM과 S-L CAPM을 비교분석(比較分析)하였다. 통계적 기법은 비선형하(非線型下)의 무관회귀분석과 GLS를 이용하였다. 1980년 1/4분기부터 1990년 4/4분기까지의 분기별 자료를 이용하여 분석한 결과, CCAPM은 전기간(全期間)을 표본으로 한 경우에 기대수익률과 위험과의 선형관계(線型關係)가 기각되었다. 그리고 전기간(全期間)을 전반기(前半期)와 후반기(後半期)로 나눈 하위기간별(下位期間別) 분석(分析)에서도 마찬가지의 결과를 얻었다. 한편 S-L CAPM의 경우에는 전기간(全期間)과 전반기(前半期)에는 선형관계가 기각되었으나 후반기(後半期)에는 채택되었다. 즉 후반기에는 위험프레미엄의 추정치가 0.05834이고 t값이 2.525로 매우 유의적이었으며 절편의 값이 통계적으로 0과 다르지 않아 실질무위험이자율(實質無危險利子率)이 0%로 추정되었다. 그런데 이는 실제로 3개월의 정기예금이자율과 소비자물가지수를 고려하여 구한 것과 일치함을 보였다. 그리고 이에 사용된 한국종합주가지수의 사전적(事前的) 효율성(效率性)은 전기간(全期間)과 하위기간(下位期間) 모두에 있는 것으로 판명되었다. 한편, CCAPM이 한국증권시장에서 기각되는 이유 중의 하나는 경기순환에 따른 생산활동(生産活動)이 즉시적으로 개별증권의 수익률에 영향을 주나 총소비지출은 이보다 비탄력적(非彈力的)인데 따른 것으로 생각되었다.

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A Study on the Cost of Capital of Islamic Enterprise (이슬람기업의 자본조달비용에 관한 연구)

  • Choi, Tae-Yeong
    • International Area Studies Review
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    • v.13 no.2
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    • pp.505-523
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    • 2009
  • We study the cost of capital of Islamic enterprise using the Capital Asset Pricing Model(CAPM). When there exists no risk-free interest rate, the security market line(SML) of Islamic enterprise shows an upward slope starting from the origin. The slope is bigger than that of SML with risk-free interest rate. This is because the cost of capital of Islamic enterprise is higher than that of western firms for the same level of systematic risk. When the effect of zakat is considered, the risk-free interest rate is replaced by minimum required rate of return. The SML of Islamic enterprise reveals an upward slope but it does not pass through the origin. This is because Islamic enterprise cannot invest on risk-free asset. In order to overcome the theoretic limits of CAPM, we propose to use multi-factor approach such as arbitrage pricing model instead of single-factor model for future study.