• Communications for Statistical Applications and Methods
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• 제27권1호
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• pp.79-95
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• 2020

The globalization of financial markets has broadened investment opportunities. International investors' investment portfolios consist of financial instruments from various countries; consequently, the risks associated with economic dependence among countries should be carefully considered. Step-down equity-linked securities (ELS) are a structured financial product that have recently become popular among Korean investors. Payoffs are based on two or three stock indices from different regions; therefore, dependence between the indices should be reflected in the risk analysis. In this study, we consider a regime-switching copula model to describe the joint behavior of two stock indices- the Eurostoxx50 and the Hang Seng China Enterprises Index (HSCEI). These indices are commonly used as underlying assets of step-down ELS. Using historical data, we analyze the risk associated with step-down ELS through the probabilities of early redemption. A regime-switching copula model can accommodate complicated dependence. Thus, it should be considered in the risk analysis of step-down ELS.

• 대한교통학회지
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• 제25권6호
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• pp.121-128
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• 2007

본 연구에서는 철도 운영에 따른 계층 간 형평성 향상 가치 산정방안을 제시한다. 이를 위하여 교통부문의 계층간 형평성을 사회집단 간 이동성 격차의 측면에서 살펴보고, 철도 운영에 따른 이동성 격차 완화의 사회적 가치를 형평성의 향상으로 해석한다. 특히 철도 서비스 등급별 형평성 향상 가치 원단위를 공익목적 요금감면액 규모로 정량화하며, 요금감면에 탄력적/비탄력적 수요의 소비자 잉여 산정방안의 차이점을 논의한다. 본 연구의 결과가 보다 신중한 철도사업 타당성 평가수행에 일조할 수 있기를 기대한다.

• 산경연구논집
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• 제12권11호
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• pp.9-16
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• 2021

Purpose: Carbon emissions have now become a major concern around the world, especially for the government and private sector. Unfortunately, in Indonesia, disclosure related to company carbon emissions is still done voluntarily. This research aims to provide empirical evidence on the effect of environmental performance, carbon emission disclosure, and carbon emission intensity on the cost of equity capital. Research design, data, and methodology: This research uses secondary data with a sample consisting of Indonesia companies that are sensitive to the environment and listed on the Indonesia Stock Exchange in 2017-2019. The analytical tool used in this research was multiple regression models. Result: The study found a carbon emission disclosure had a significant positive effect on the cost of equity capital. Carbon emission intensity and company size had a significant negative effect on the cost of equity capital. Meanwhile, environmental performance did not have a significant effect on the cost of equity capital. Conclusion: Therefore, the results of this research are expected to provide feedback to the company's stakeholders that environmental performance and carbon emissions are some of the points seen by investors in making investment decisions.

• The Journal of Asian Finance, Economics and Business
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• 제8권4호
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• pp.741-749
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• 2021

The research paper endeavors to investigate the presence of seasonal anomalies in the Indian equity market. It also aims to verify the notion that equity markets are for long-term investors. The study employs daily index data of Sensex, Bombay Stock Exchange, to understand its volatility for the period ranging from January 2001 to August 2020. To analyze the seasonal effects in the stock market of India, multiple regression techniques along with descriptive analysis, graphical analysis and various statistical tests are used. The study also employs the rolling returns at different time intervals in order to understand the underlying risks and volatility involved in equity returns. The results from the analysis reveal that daily and monthly seasonality is not present in Sensex returns i.e., investors cannot earn abnormal returns by timing their investment decisions. Hence, the major finding of this study is that the Indian stock market performance is random, and the returns are efficient. The other major conclusion of the research is that the equity returns are profitable in the long run providing investors a hope that they can make gains and compensate for the loss in one period by a superior performance in some other periods.

• 응용통계연구
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• 제24권6호
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• pp.1021-1031
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• 2011

주가연계증권(ELS)은 주가와 연동되어 수익률이 결정되는 금융상품으로 현재 증권회사뿐만 아니라 은행에서도 많이 판매되고 있는 간접투자상품이다. 이 논문에서는 수익다이어그램을 통해 대표적인 주가연계증권의 수익구조를 알아보며 특히 현재 가장 많이 판매되고 있는 원금비보장 상품인 스텝다운형에 관심을 가진다. KOSPI 200과 홍콩 HSI를 기초자산으로 설정한 스텝다운형 상품에서 투자시점의 시계열 특성에 따른 조기상환여부와 경험적 분포를 이용한 VaR를 통한 위험률에 대해 고찰해 본다.

• East Asian Economic Review
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• 제23권4호
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• pp.353-379
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• 2019

This paper aims to determine factors causing the stagnation of Korean firms' fixed investment after the global financial crisis, using panel data for the period of 1999-2016. Fixed investment remained sensitive to cash flow and Tobin's q although their effects decreased after the global financial crisis. A decreasing trend of cash flow and an increase in Tobin's q since the early 2000's imply that the worsening cash flow was a major factor behind the sluggish investment after the crisis. Meanwhile, debt-equity ratio remained significant for non-chaebol affiliated firms, reflecting disparity in access to external financing. Volatility of stock returns also became insignificant after the crisis, casting doubt on the argument that uncertainty was a major factor contributing to the decline of fixed investment. Analysis of financial investment confirmed the significant effect of cash flow, larger than that on financial investment than on fixed investment. In particular, debt repayment and other financial investment, except share repurchase, were sensitive to cash flow. However, the substitution of fixed investment by financial investment is a consequence, rather than a cause of declining fixed investment.

• 지역연구
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• 제10권2호
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• pp.45-51
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• 1994

The purpose of this paper is to present the optimal investment conditions of SOC facilities for maximizing regional social welfare in implementing the urban development project in the theoretical fashion. Particularily, SOC facilities are divided into both supply-side($P_s$) and demand-side SOC ($P_d$) in the paper. General equilibrium analysis from the intra-regional viewpoint by utilizing Pareto's Optimal Conditions and by revising Samuleson's Conditions for public goods($P_s$ and $P_d$) results in the optimum pattern of SOC investment. The following are important implications from the analysis. First, rather than the pursue social equity, SOC investment is to resolve the issue of efficiency to activate the regional economy. Second, the marginal rate of transformation (MRT) between $P_s$ and $P_d$ in the region is to play a significant role in structuring SOC investment plant of local government for social welfare maximization. Third, the optimal SOC investment policy based on this regional economy but also to generate the enhancement of soical amenities of the residents.

• Asia pacific journal of information systems
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• 제27권4호
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• pp.233-244
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• 2017

IT portfolio, meaning the ratio of investment with four different purposes of IT, is widely used for evaluating the adequacy of investment and its performance within firms. Despite of such a useful framework looking at investment on IT, IT portfolio in agriculture industry seems to be differentiated from other industries. In this study, we compared IT portfolios of farms: grain, field fruit and vegetable, greenhouse fruit, greenhouse vegetable, beef cattle and pig. We classified farms by their return on equity (ROE) in order to analyze the relationship between IT portfolio of each crop and performance. Then, we found patterns of IT portfolios of top-performance farms compared to all farms for each agricultural product. Lastly, peculiarities of each crop are interpreted and discussed to find out top-performance farms' IT investment patterns. From our study, it could be inferred that monotonous IT investments may not be as effective.

• 벤처혁신연구
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• 제7권2호
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• pp.125-141
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• 2024

본 연구는 2020년부터 국내에 벤처투자 방법 중 하나로 도입된 조건부지분인수계약 활용과 관련된 쟁점을 검토하고 위험요인을 정량적으로 분석함으로써 동 제도 활용의 활성화를 위한 정책적 시사점을 제시하고자 수행되었다. 국내 조건부지분인수계약은 제도 도입 이후, 정책금융기관을 중심으로 활용이 이루어졌으며, 일부 민간 벤처투자조합에서도 조건부지분인수계약을 활용하는 등 일정 부분 제도 활성화가 이루어진 것으로 평가된다. 다만, 최근 벤처투자의 급격한 위축으로 인하여 적극적인 활성화는 이어지지 못하는 실정이다. 6,800여건의 스타트업 투자정보에 대한 분석결과를 요약하면, 조건부지분인수계약을 기존 지분투자계약과 비교할 때, 후속투자 문제로 발생가능 한 추가적인 위험률은 최대 약 1.8%p 수준으로 나타났다. 이는 조건부지분인수계약 방식이 가지는 장점 대비 수치화된 추가적인 리스크의 크기가 그다지 크지 않다는 것을 보여준다. 즉, 투자자가 추가적으로 부담하여야 할 리스크와 동 제도가 가지는 장점의 상쇄가 가능한 수준으로 판단할 수 있으며, 이는 조건부지분인수계약을 활용하는데 직접적인 제약이 크지 않다는 점을 시사한다. 다양한 벤처투자방식이 도입되고 활용될수록 벤처투자 생태계가 보다 활성화될 수 있다는 측면에서 초기기업에 대한 조건부지부인수계약의 적극적인 활용을 고려해 볼 수 있을 것이다.

• 디지털융복합연구
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• 제12권6호
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• pp.115-123
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• 2014

본 연구는 중소기업을 대상으로 첫째, 매출액순이익률, 총자산회전율 및 부채비율이 주주의 자본수익성지표인 자기자본순이익률에 어떤 영향을 미치는지, 둘째, 총자산순이익률이 자기자본순이익률에 미치는 영향관계를 부채비율이 조절하는지, 마지막으로 수정된 부채비율과 자기자본순이익률과의 영향관계를 실증적으로 분석하였다. 분석결과, 부채사용은 자기자본순이익률에 전반적으로 긍정적인 측면이 있는 것으로 나타났다. 그러나 수정된 부채비율의 2차함수 곡선모형에서 볼 수 있듯이 부채사용은 레버리지효과를 통해 자기자본순이익률의 증 감폭을 크게 확대하고 있음을 알 수 있다. 결국, 부채사용은 동전의 양면과 같이 긍정적인 측면뿐만이 아니라 부정적인 측면을 가지고 있다 할 것이다. 그래서 부채의 사용은 기존의 핵심 사업으로부터 창출되는 영업현금흐름(혹은 총자산영업이익률)으로 이자(혹은 이자율)를 커버할 수 있는 범위 내로 제한되어야 한다는 시사점을 제공하고 있다.