• Title/Summary/Keyword: 한국투자신탁

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위험프레미엄과 상대적세력 투자전략의 수익성

  • Go, Bong-Chan
    • The Korean Journal of Financial Management
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    • v.14 no.1
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    • pp.1-21
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    • 1997
  • 본 논문은 한국 주식과 미국 주식을 대상으로 Jegadeesh and Titman(1993)의 상대적세력 투자전략의 수익성을 비교 검증하고, 그 수익성의 원천을 분석하고 있다. 실증분석 결과, 과거수개월간 주가수익률이 매우 높았던 승자주식을 매입하고 그 반대의 패자주식을 매도하는 상대적세력 투자전략은 미국 주식사료(1963년${\sim}$1989년)로부터 배우 유의한 비정상적 월수익률 약 1%를 얻을 수 있었으며, 이는 체계적위험에 대한 보상을 고려한 후나 베타 크기별 소표본분석에서 모두 유의한 것으로 나타났다. 반면 동 투자전략은 한국 주식자료(1980년${\sim}$1995년)에서는 오히려 비유의적인 음의 월수익률 약 -0.34%를 얻을 수 있을 뿐이었다. 이러한 한국 주식에 대한 낮은 수익성은 베타 소표본분석과 5년간씩의 소표본기간분석에서도 마찬가지로 나타남으로써, 동 투자전략이 미국에서와 달리 효과적인 투자전략이 되지 못함을 시사하고 있다. 이러한 결과는 한국 주식의 경우 월수익률 패턴이 미국보다도 더 예측하기 어렵고 무작위적이라는 것을 의미하며, 이는 양국 주식시장의 여러 가지 제도상의 차이에 비롯되는 투자자들의 투자행태 차이 때문으로 해석된다. 예를 들어, 한국의 경우 증시안정책이나 부양책 등과 같은 시장 외적인 규제요인에 의해 시장 전체가 영향을 받는 경우가 많으며, 또한 소액투자자의 직접투자 비중이 높아 투자기간(investment horizon)의 측면에서도 투자신탁(mutual fund)과 같은 간접투자 비중이 훨씬 높은 미국에 비해 단기적인 성향이 일반적이며, 따라서 이러한 차이가 월수익률 패턴에 반영되는 것으로 이해된다.

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A MDIT(Mobile Digital Investment Trust) Agent design and security enhancement using 3BC and E2mECC (3BC와 F2mECC를 이용한 MDIT(Mobile Digital Investment Trust) 에이전트 설계 및 보안 강화)

  • Jeong Eun-Hee;Lee Byung-Kwan
    • Journal of Internet Computing and Services
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    • v.6 no.3
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    • pp.1-16
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    • 2005
  • This paper propose not only MDIT(Mobile Digital Investment Trust) agent design for Trust Investment under Mobile E-commerce environment, but also the symmetric key algorithm 3BC(Bit, Byte and Block Cypher) and the public encryption algorithm F2mECC for solving the problems of memory capacity, CPU processing time, and security that mobile environment has. In Particular, the MDIT Security Agent is the banking security project that introduces the concept of investment trust in mobile e-commerce, This mobile security protocol creates a shared secrete key using F2mECC and then it's value is used for 3BC that is block encryption technique. The security and the processing speed of MDIT agent are enhanced using 3BC and F2mECC.

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부동산시장(不動産市場)의 불완전성(不完全性)과 자본자산가격결정모형(資本資産價格決定模型)

  • Kim, Ji-Su
    • The Korean Journal of Financial Management
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    • v.8 no.2
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    • pp.1-29
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    • 1991
  • 본 논문에서는 우리나라의 부동산시장(不動産市場)의 불완전성(不完全性)이 금융시장보다도 강한 현실을 반영하여 그것이 자본자산가격결정모형(資本資産價格決定模型) (the capital asset pricing model)에 미치는 영향을 분석하였다. 부동산시장의 불완전성으로서는 특히 부동산의 경우 기본적인 최저거래단위가 일반 금융자산보다도 높아 거래에 제약이 따른다는 점, 또한 최근 정부의 부동산 가격의 안정화 시책에 따라 개인의 부동산 보유한도가 엄격하게 제한되고 있으며 부동산 투자 이득에 대한 과세도 대폭 강화되고 있다는 점 등이 고려되었다. 이와같은 가정하에서 본고에서는 전통적인 자본자산가격모형을 수정 검토한 뒤, 그 모형의 틀속에서 부동산보유제한(不動産保有制限) 및 투자이득(投資利得)의 과세강화(課稅强化)같은 부동산가격 안정화 시책의 효과를 살펴보고, 그 외 자산담보대출의 담보비율 조정이 자산의 가격형성에 미치게되는 효과와 부동산 투자신탁제도의 도입효과, 부동산 기대수익률과 주식의 기대수익률의 관계 등을 검토하였다. 이러한 분석의 결과, 특히 본고에서는 현재 정부가 추진중인 불동산보유제한(不動産保有制限) 및 투자이득(投資利得)의 과세강화(課稅强化)와 같은 정책들이 경우에 따라서 부동산 가격을 안정화시키기 보다는 오히려 부동산 가격의 상승을 유발할 수도 있는 것으로 나타나 정책의 시행시 상당히 신중을 기하지 않으면 안되는 것으로 분석되었다.

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Account Management for the Design of DIT(Digital Investment Trust) system (DIT(Digital Investment Trust) 시스템 설계를 위한 계좌관리)

  • Jeong, Eun-Hee;Lee, Byung-Kwan
    • Annual Conference of KIPS
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    • 2002.04b
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    • pp.951-954
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    • 2002
  • 본 논문에서 제안하는 DIT(Digital Investment Trust) 시스템은 전자상거래 결재 방법으로 이용되는 디지털 캐쉬 시스템을 확장한 개념으로서, 소액지불뿐만 아니라, 계좌 생성 및 계좌 이체를 할 수 있으며, 투자 신탁의 개념을 도입한 인터넷 기반의 은행업무 프로젝트이다. DIT 시스템에선 계좌 생성과 계좌 이체에 암호화 알고리즘인 ADES를 이용하여 고객의 정보를 암호화시켰으며, RSA 알고리즘을 이용하여 전자서명을 하여 고객의 정보와 자산을 제 3자로부터 보호하였다.

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Empirical Evidence on Closed-End Mutual Fund Discounts (폐쇄형 투자신탁회사의 할인현상에 관한 실증연구)

  • Kim, Chang-Soo
    • The Korean Journal of Financial Management
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    • v.13 no.1
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    • pp.311-340
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    • 1996
  • This paper investigates the determinants of discounts on closed-end mutual funds. Empirical tests on a panel of closed-end mutual funds show that the magnitude of discounts seems to be unequal for different types of funds. I find strong evidence on tax-timing option effect even after controlling for other variables which have been theorized to be important in determining discounts on closed-end mutual funds. Also, the uncertainty about the value of underlying assets in the fund's portfolio has a significant influence on discounts.

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DIT (Digital Investment Trust) Agent Based on ECSSL (Elliptic Curve SSL) (ECSSL(Elliptic Curve SSL) 기반 DIT(Digital Investment Trust) 에이전트)

  • Jeong, Eun-Hee;Lee, Byung-Kwan
    • The KIPS Transactions:PartB
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    • v.9B no.5
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    • pp.599-608
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    • 2002
  • This paper proposes DIT (Digital Investment Trust) agent based on ECSSL (Elliptic Curve SSL). This DIT agent is a banking project using IT (Investment Trust) conception based on EC (Electronic Commerce) and can manage micro payment, account opening and account transferring. In addition, ECSSL (Elliptic Curve SSL) protocol is implemented which consists of much better encryption functions than existing SSL (Secure Socket Layer) Protocol. Therefore, This DIT agent based on ECSSL protocol protects a customer's information and asset from third party.

The Knowledge about Savings of Customers Who Utilize Investiment Trust Company and Related Factors (투자신탁 이용 고객의 저축 상품에 관한 지식과 영향변수)

  • 이연숙;강연아
    • Journal of Family Resource Management and Policy Review
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    • v.4 no.1
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    • pp.15-28
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    • 2000
  • The purpose of this study was to examine the knowledge about savings of customers who utilize Investment Trust Company and to analyze the factors affecting it. The data for the analysis were collected by structured questionnaires and consisted of 191 customers who utilize Investment Trust Company. Descriptive. Descriptive Statistics including percentage, frequency, means, and standard derivation, t-test, one-way ANOVA with Scheffe test, multiple regression analysis were used to analyze the data. The following is a summary of major findings. 1) The customers knowledge about savings showed generally low-level. Especially the knowledge about tax and regulation of savings were the areas shown the lowest level. 2) The age, marital status, education and occupation of customers and total period of utilizing company were the factors affecting the knowledge of customers in the one-way ANOVA analysis. 3) The result of regression analysis indicated that age of customers and total periods of utilizing company were the significant predictors of customers’knowledge. These two variables explained 25.77% of variance of customers’knowledge about savings.

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Scale and Scope Economies and Prospect for the Korea's Banking Industry (우리나라 은행산업(銀行産業)의 효율성분석(效率性分析)과 제도개선방안(制度改善方案))

  • Jwa, Sung-hee
    • KDI Journal of Economic Policy
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    • v.14 no.2
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    • pp.109-153
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    • 1992
  • This paper estimates a translog cost function for the Korea's banking industry and derives various implications on the prospect for the Korean banking structure in the future based on the estimated efficiency indicators for the banking sector. The Korean banking industry is permitted to operate trust business to the full extent and the security business to a limited extent, while it is formally subjected to the strict, specialized banking system. Security underwriting and investment businesses are allowed in a very limited extent only for stocks and bonds of maturity longer than three year and only up to 100 percent of the bank paid-in capital. Until the end of 1991, the ceiling was only up to 25 percent of the total balance of the demand deposits. However, they are prohibited from the security brokerage business. While the in-house integration of security businesses with the traditional business of deposit and commercial lending is restrictively regulated as such, Korean banks can enter the security business by establishing subsidiaries in the industry. This paper, therefore, estimates the efficiency indicators as well as the cost functions, identifying the in-house integrated trust business and security investment business as important banking activities, for various cases where both the production and the intermediation function approaches in modelling the financial intermediaries are separately applied, and the banking businesses of deposit, lending and security investment as one group and the trust businesses as another group are separately and integrally analyzed. The estimation results of the efficiency indicators for various cases are summarized in Table 1 and Table 2. First, security businesses exhibit economies of scale but also economies of scope with traditional banking activities, which implies that in-house integration of the banking and security businesses may not be a nonoptimal banking structure. Therefore, this result further implies that the transformation of Korea's banking system from the current, specialized system to the universal banking system will not impede the improvement of the banking industry's efficiency. Second, the lending businesses turn out to be subjected to diseconomies of scale, while exhibiting unclear evidence for economies of scope. In sum, it implies potential efficiency gain of the continued in-house integration of the lending activity. Third, the continued integration of the trust businesses seems to contribute to improving the efficiency of the banking businesses, since the trust businesses exhibit economies of scope. Fourth, deposit services and fee-based activities, such as foreign exchange and credit card businesses, exhibit economies of scale but constant returns to scope, which implies, the possibility of separating those businesses from other banking and trust activities. The recent trend of the credit card business being operated separately from other banking activities by an independent identity in Korea as well as in the global banking market seems to be consistent with this finding. Then, how can the possibility of separating deposit services from the remaining activities be interpreted? If one insists a strict definition of commercial banking that is confined to deposit and commercial lending activities, separating the deposit service will suggest a resolution or a disappearance of banking, itself. Recently, however, there has been a suggestion that separating banks' deposit and lending activities by allowing a depository institution which specialize in deposit taking and investing deposit fund only in the safest securities such as government securities to administer the deposit activity will alleviate the risk of a bank run. This method, in turn, will help improve the safety of the payment system (Robert E. Litan, What should Banks Do? Washington, D.C., The Brookings Institution, 1987). In this context, the possibility of separating the deposit activity will imply that a new type of depository institution will arise naturally without contradicting the efficiency of the banking businesses, as the size of the banking market grows in the future. Moreover, it is also interesting to see additional evidences confirming this statement that deposit taking and security business are cost complementarity but deposit taking and lending businesses are cost substitute (see Table 2 for cost complementarity relationship in Korea's banking industry). Finally, it has been observed that the Korea's banking industry is lacking in the characteristics of natural monopoly. Therefore, it may not be optimal to encourage the merger and acquisition in the banking industry only for the purpose of improving the efficiency.

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Use of REITs for Improving Housing Welfare (주거복지 확충을 위한 리츠의 활용 방안)

  • Park, Wonseok
    • Journal of the Economic Geographical Society of Korea
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    • v.16 no.2
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    • pp.275-292
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    • 2013
  • This paper aims at analyzing the use REITs for improving housing welfare, especially focusing on affordable housing. To do this, firstly, current state and main problems of domestic housing welfare are analyzed, secondly, housing welfare system involving capital market and case study of affordable housing REITs in United State are examined. and thirdly, utilization schemes of REITs for improving affordable housing are analyzed. In the process of executing housing welfare, various systemic bases for attracting capital market are constructed. Under these systemic basis, affordable housing REITs such as Community Development Trust are operated. This scheme also can be applied in Korea. In the context, the structures of using management on commition REITs and the structure of using real estate fund are proposed.

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A Proposal on Fintech Platform Model Based on Digitalized Securities to Activating the Independent Financial Advisory System (독립투자자문업 활성화를 위한 디지털 수익증권 기반 핀테크 플랫폼 모델 제안)

  • Moon, Myung-Deok;Kim, Sun-Woong;Choi, Heung Sik
    • Knowledge Management Research
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    • v.23 no.1
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    • pp.149-164
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    • 2022
  • This paper analyzes the independent financial advisory business that is not yet active in Korea and proposes a plan to activate the independent financial advisory business using fintech technology. A bill was enacted in 2017 for the domestic independent financial advisory business, but it has not been activated much until now for various reasons. Although existing studies have proposed solutions in various ways, there is no clear solution yet. This paper proposes a new method of revitalizing the independent financial advisory business through fintech technology using the trust system that has recently attracted attention. Digital securities fintech technology using blockchain distributed ledger technology presents new possibilities in the real estate and music copyright markets, and related fintech venture companies continue to emerge in Korea. By combining these digital securities fintech technologies and the business process of ETF, a method was derived so that independent financial advisors can have their own financial products. The proposed model is more decentralized than the existing financial product sales structure, and presents the possibility of a protocol economy through a structure close to a private blockchain while complying with the existing financial order. This paper is meaningful in that it presented new solutions to completely different markets from information convergence perspectives on two completely different markets, and we hope that more business solutions will emerge through knowledge management activities that converge various perspectives in the future.