• Journal of Distribution Science
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• v.13 no.9
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• pp.37-45
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• 2015

Purpose - This paper's aim is to investigate whether or not gross profitability explains the cross-sectional variation of the stock returns in the Korean stock market. Gross profitability is an alternative profitability measure proposed by Novy-Marx in 2013 to predict cross-sectional variation of stock returns in the US. He shows that the gross profitability adds explanatory power to the Fama-French 3 factor model. Interestingly, gross profitability is negatively correlated with the book-to-market ratio. By confirming the gross profitability premium in the Korean stock market, we may provide some implications regarding the well-known value premium. In addition, our empirical results may provide opportunities for the fund distribution industry to promote brand new styles of funds. Research design, data, and methodology - For our empirical analysis, we collect monthly market prices of all the companies listed on the Korea Composite Stock Price Index (KOSPI) of the Korea Exchanges (KRX). Our sample period covers July1994 to December2014. The data from the company financial statementsare provided by the financial information company WISEfn. First, using Fama-Macbeth cross-sectional regression, we investigate the relation between gross profitability and stock return performance. For robustness in analyzing the performance of the gross profitability strategy, we consider value weighted portfolio returns as well as equally weighted portfolio returns. Next, using Fama-French 3 factor models, we examine whether or not the gross profitability strategy generates excess returns when firmsize and the book-to-market ratio are controlled. Finally, we analyze the effect of firm size and the book-to-market ratio on the gross profitability strategy. Results - First, through the Fama-MacBeth cross-sectional regression, we show that gross profitability has almost the same explanatory power as the book-to-market ratio in explaining the cross-sectional variation of the Korean stock market. Second, we find evidence that gross profitability is a statistically significant variable for explaining cross-sectional stock returns when the size and the value effect are controlled. Third, we show that gross profitability, which is positively correlated with stock returns and firm size, is negatively correlated with the book-to-market ratio. From the perspective of portfolio management, our results imply that since the gross profitability strategy is a distinctive growth strategy, value strategies can be improved by hedging with the gross profitability strategy. Conclusions - Our empirical results confirm the existence of a gross profitability premium in the Korean stock market. From the perspective of the fund distribution industry, the gross profitability portfolio is worthy of attention. Since the value strategy portfolio returns are negatively correlated with the gross profitability strategy portfolio returns, by mixing both portfolios, investors could be better off without additional risk. However, the profitable firms are dissimilar from the value firms (high book-to-market ratio firms); therefore, an alternative factor model including gross profitability may help us understand the economic implications of the well-known anomalies such as value premium, momentum, and low volatility. We reserve these topics for future research.

• Progress in Superconductivity and Cryogenics
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• v.3 no.1
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• pp.35-39
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• 2001

The optimum cross-sectional area profile of gas-cooled high-temperature superconductor(HTS) current lead is analyzed to have minimum helium boil-off rate. The conventional constant area HTS lead has much higher helium consumption than the optimum HTS lead considered in this study. The optimum HTS lead has variable cross-sectional area to have constant satiety factor. An analytical formula of optimum shape of lead and temperature profile are obtained. For multi-stacking HTS current leads, the optimum tape lengths and minimum heat dissipation rate are also formulated. The developed formulations are applied to the Bi-2223 material, and the differences between constant area, constant safety-factor, and multi-stacking current leads are discussed.

• Asia-Pacific Journal of Business
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• v.11 no.4
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• pp.243-254
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• 2020

Purpose - This paper explores whether overnight returns measured from the last closing price to today's opening price explain the cross-section of stock returns. Design/methodology/approach - This study is conducted using the Korean stock market data from 1998 to 2018, obtained from DataGuide database. The analysis begins with portfolio-level tests, followed by firm-level cross-sectional regressions. Findings - First, when decile portfolios sorted on the daily average of overnight returns in the previous months, the highest decile portfolio exhibits a significant negative risk-adjusted return. This suggests that stocks with higher average overnight returns are temporarily overvalued due to buying pressure from investors. Second, at least 6 months of persistence exists in average overnight returns, which is in line with the results reported by Barber, Odean and Zhu (2009) that investor sentiment persists over several weeks. Finally, Fama-MacBeth cross-sectional regression of expected returns after controlling for a variety of firm characteristic variables such as firm size, book-to-market ratio, market beta, momentum, liquidity, short-term reversal, the slope coefficient for overnight returns remains negative and statistically significant. Research implications or Originality - Overall, the evidence consistently suggests that overnight return is considered as a new priced factor in the cross-section of expected returns. The findings of this paper not only adds to finance literature, but also could be useful to practitioners in making stock investment decision.

• Fashion & Textile Research Journal
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• v.20 no.4
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• pp.457-463
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• 2018

This study examined the water absorption and drying properties of the thirteen types of the knitted fabrics for sports wear. These physical properties were analysed with relation to the constituent fiber cross-sectional shape and structure parameters of the knitted fabrics by regression analysis. Absorption and drying properties of the knitted fabric specimens were increased with increasing the porosity of the constituent yarns, which was attributed to the capillary channels in the yarns. The water absorption and drying properties were increased and decreased with increasing tightness factor and stitch density of the knitted fabric. The absorption property of the knitted fabric for perspiration absorption and fast dry sport-wear clothing was mostly influenced mostly by fiber cross-sectional shape and its characteristics, whereas, drying property was dependent on the structural parameters of the knitted fabric such as tightness factor and stitch density. Therefore, superior perspiration absorption and fast drying knitted fabric could be obtained in the fabric structure with optimum tightness factor and stitch density, and constituent yarn structure with non-circular fiber crosssection and high porosity. GATS method and MMT method are used to measure sweating fast drying properties and it is necessary to carry out studies using these measurement methods in order to compare with the results of this study.

• Asia-Pacific Journal of Business
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• v.12 no.1
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• pp.121-134
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• 2021

Purpose - This study examines whether flight-to-liquidity (FTL) explains the dynamic liquidity risk on stock returns, and whether it has a significant influence on determinants the cross-section of stock returns. Design/methodology/approach - This study suggests a new risk factor, dynamic liquidity hedge portfolio (DLP), to reflect the dynamic impact of liquidity risk on stock returns and the Fama-MacBeth 2 stage regression analysis is employed in order to analyze the data. Findings - First, the DLP factor shows more positive and significant beta for the small or illiquidity stocks. Second, the DLP shows a different influence than SMB (size risk factor), HML (value risk factor), NMP (liquidity risk factor), FTVOL (total volatility factor) in determining the cross-section of stock returns. In addition, the DLP has a statistically significant risk premium of around 5%, which is relatively larger than other risk factors. Research implications or Originality - This study has academic value in terms of newly confirming that the DLP factor has a more significant impact on cross-sectional determination of stock returns than other risk factors by proposing a conditional liquidity factor that can explain the FTL phenomenon.

• Computers and Concrete
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• v.17 no.2
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• pp.281-294
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• 2016

The increased awareness of electromagnetic wave hazards has prompted studies on electromagnetic shielding using conductive materials in the construction industry. Previous studies have explored the effects of the types of conductive materials and their mix proportions on the electromagnetic shielding performance; however, there has been insufficient research on the effect of the geometry of the conductive materials on the electromagnetic shielding performance. Therefore, in this study, the dependence of the electromagnetic shielding performance on the cross-sectional geometry, diameter and length of fibers was investigated. The results showed that the electromagnetic shielding performance improved when the fiber length increased or the diameter decreased, but the effect of the cross-sectional geometry of the fibers was smaller than the effect of the fiber spacing factor.

• Proceedings of the Korea Institute of Applied Superconductivity and Cryogenics Conference
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• 2001.02a
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• pp.84-88
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• 2001

The optimum cross-sectional area Profile of gas-cooled high-temperature superconductor (HTS) current lead is analyzed to have minimum helium boil-off rate. The conventional constant area HTS lead has much higher helium consumption than the optimum HTS lead considered in this study. The optimum HTS lead has variable cross-sectional area to have constant safety factor. An analytical formula of optimum shape of lead and temperature profile are obtained. For multi-step HTS current leads, the optimum tape lengths and minimum heat dissipation rate are also formulated. The developed formulations are applied to the Bi-2223 material, and the differences between constant area, constant safety-factor, and multi-step current leads are discussed.

• The Korean Journal of Financial Management
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• v.15 no.2
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• pp.401-419
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• 1998

This paper examines the international arbitrage pricing model (IAPM) in regional equity markets setting. Factor analyses are used to estimate the international common risk factors. And the cross-sectional regression analyses are used to test the validity of regional IAPMs and Chow tests are used to evaluate the integration of regional equity markets. The results of factor analyses show that the number of common factors in each regional group is seven. The cross-sectional regression results lead us not to reject that the IAPMs are regionally valid but Chow test results lead us to reject that regional equity markets are integrated.

• The Research Journal of the Costume Culture
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• v.30 no.5
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• pp.675-688
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• 2022

The purpose of this study is to analyze the body type characteristics of tall adult men aged 20 to 69 years to present base material on body dimensions for men's clothing companies. The research method comprised statistical analysis of 3D measurements after selecting items from the 8th Korean human body size survey related to the torso body types of 495 adult men who were at least 178cm tall. As a result, six factors were extracted, and the total explanatory variable of the entire factor was shown to be 80.499%. As a result of cluster analysis using this as an independent variable, three types were derived: Type 1, "a normal body type with an oval cross-sectional shape" (37.6%), with a larger vertical size and an oval chest cross-sectional shape compared to other types; Type 2: a "cylindrical thick body shape" (31.1%), which is the first stage of BMI obesity, with narrow shoulders and a cylindrical shape with a round cross-section; Type 3, "a body shape with broad shoulders and developed chest parts" (31.3%), with a horizontal size similar to Type 2 above the waist, but similar to Type 1 below. The results of this study are expected to be used as a basis for a clothing dimension system and clothing development for tall men reflecting the characteristics of the torso.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.17 no.2
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• pp.215-222
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• 2004

Drift design methods using resizing techniques have been presented as a practical drift control methods of high-rise buildings. Most drift design methods using the resizing techniques have adopted the cross-sectional area as the design variables for all structural members in a structure. However, the cross-sectional area is not always governing sectional property for the structural members, but the governing sectional property of each member is dependent on the characteristics of member forces. In this paper, a drift design method using the sectional property related to the governing displacement participation factor as the design variable of each member is presented and applied to the drift design of 20-story steel frame-shear wall system. It can be noted from example test that drift design method considering member characteristics shows similar or somewhat better results in the view point of structural weights and the accuracy of displacement estimation.