• The Korean Journal of Applied Statistics
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• v.24 no.6
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• pp.1021-1031
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• 2011

Equity linked securities are indirect investments where the return of investment depends on the performance of the underlying equities. In this paper, we review the profit structure of typical equity linked securities through a profit diagram and investigate which characteristics of time series at the investment affect the early repayment of the stepdown ELS based on KOSPI 200 and HSI. We also compare VaRs using the empirical distribution function for risk management.

• Journal of Service Research and Studies
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• v.8 no.1
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• pp.103-122
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• 2018

The purpose of this study is to present the direction of ELS investment by analyzing the actual investment return of the ELS commodities and analyzing the investment effect of ELS that investors have felt unsatisfactory at financial marketing service. The research method is based on the step-down type ELS. We calculated the probability of achieving early redemption condition and maturity repayment condition, early redemption estimated yield, and maturity repayment estimated yield. As the study result, the probability of achieving 100% of the early redemption condition was 74.5%, and the probability of the early redemption condition 95% was 83.0%, 90% was 89.5%, 85% was 92.5%, and 80% was 96.5% respectively. In the case of the lowest 75%, the probability of holding to maturity is analyzed to be 2.5%, and the probability of early redemption is high. The probability of the stock price growth within 65% of the maturity repayment condition was 98.5% and the probability of the stock price growth within 60%~45% of the maturity repayment condition was 100%. 65% of maturity repayment condition was analyzed as 1.5% risk of principal loss, and the probability of achieving the committed yield of maturity was high. As a key measure of ELS investment, it is advantageous to select a commodity with a low rate of maturity repayment and a high rate of early redemption.

• Journal of the Korea Convergence Society
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• v.6 no.4
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• pp.127-132
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• 2015

This study attempts to empirically investigate if relative momentum strategy is effective in the Korean stock market. The sample of the study is comprised of companies which are traded in both Kospi and Kosdaq stock markets in Korea for the period between 2001~2014. The study observes that the momentum strategy buying past winner stocks and selling past loser stocks is negatively correlated with the value strategy buying value stocks with high book to market ratio and selling glamour stocks with low book to market ratio. And each strategy is alternatively effective from period to period. The study demonstrates that the momentum strategy is effective when both strategies which are negatively correlated are treated as one system by estimating Fama and French's[1] 3 factor regression model.

• Korean Journal of Construction Engineering and Management
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• v.9 no.2
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• pp.146-158
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• 2008

This paper examines the relationship between the real estate policies of Korean government and the stock market of Korea. It is the purpose of this paper whether the government policies are effective or not when the Korean government release new real estate policies outlining higher taxes and more housing supply as part of its plan to suppress speculation. This paper studies the properties of daily stock returns of the construction sector in Korea securities market when the government announcements of the real estate policies are released. On the demand side, multiple home owners and those purchasing property for speculative purposes are expected to be hit the hardest If the government policies are effective. The empirical results of this paper show that most of the cumulative abnormal returns(CARs) are statistically significant from the year 2002 to the year 2006 except the year 2004.