• The Journal of the Korea Contents Association
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• v.18 no.10
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• pp.490-497
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• 2018

In this study, we examined whether common idiosyncratic volatility(CIV), a risk factor for idiosyncratic volatility, can be evaluated as a pricing factor. The sample is listed on the Korea Exchange. The analysis period is 288 months from July 1992 to June 2016. The main results of this study are as follows. First, in the empirical verification of the market excess returns of the testing portfolios, the difference in the return on the CIV factor sensitivity difference was statistically significant. In other words, we confirmed that there is a risk premium for CIV factors. Second, CAPM, FF3 factor model, and FF5 factor model do not explain the risk premium for CIV factors, whereas factor models that add CIV factors explain the risk premium for CIV factors. In other words, the CIV factor can be evaluated in terms of pricing factors.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.513-521
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• 2020

In this paper, we have developed a Fama - French five factor model (FF5 model) from Fama & French (2015) by using concept of time-varying coefficient. For a data set, we have used monthly data form Kenneth R. French home page, it include Japan portfolios (classified by using size and book-to-market) and 5 factors from July 1990 to April 2020. The first analysis, we used Augmented Dickey-Fuller test (ADF test) for the stationary test, from the result, all Japan portfolios and 5 factors are stationary. Next analysis, we estimated a coefficient of Fama - French five factor model by using a generalized additive model with a thin-plate spline to create the time-varying coefficient Fama - French five factor model (TV-FF5 model). The benefit of this study is TV-FF5 model which can capture a different effect at different times of 5 factors but the traditional FF5 model can't do it. From the result, we can show a time-varying coefficient in all factors and in all portfolios, for time-varying coefficients of Rm-Rf, SMB, and HML are significant for all Japan portfolios, time-varying coefficients of RMW are positively significant for SM, and SH portfolio and time-varying coefficients of CMA are significant for SM, SH, and BM portfolio.

• Management & Information Systems Review
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• v.33 no.5
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• pp.249-260
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• 2014

This paper explores the relationship between firm-specific volatility and some firm characteristics such as size, the market-to-book ratio of equity, PER, PBR, PCR, PSR and turnover in KOSDAQ market. In addition, I investigate whether portfolios with difference to realized range-based volatility and firm-specific volatility have different investment performance using CAPM and FF-3 factor model. The main findings of this study can be summarized as follows. First, firm-specific volatility have mostly positive relationship between firm-specific volatility and some firm characteristics. Second, this study found that realized range-based volatility and firm-specific volatility are positively related to expected return. It means that portfolios with high idiosyncratic volatility have significantly higher expected return than portfolios with low firm-specific volatility.

• Korean Journal of Animal Reproduction
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• v.22 no.2
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• pp.177-186
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• 1998

While tubal pregnancy is frequently observed in human, it has been reported to rarely occur in other mammals. To investigate the reason of the absence of tubal pregnancy in other mammals, the ability of bovine tubal(oviductal) fluid to su, pp.rt the outgrowth of mouse embryos waw examined by using an in vitro model system wherein the trophoblast cells of hatched mouse blastocysts attach to and outgrow on tissue culture plates coated with FBS. When mouse blastocysts grwon in vitro from 2-cell embryos were cultrued in the dishes coated with FBS, human follicular fluid(hFF) and bovine follicular fluid(bFF), respectively, underwent outgrowth by spreading onto the plastic dishes during 48 hr. In contrast, none of the embryos cultured in the dishes coated with BSA or bovine obiductal fluid(bOF) did outgrow but remained as late blastocysts. Since addition of bOF at 5mg/ml or higher conc. to the culture medium resulted in degeneration of all embryos during 48 hr culture, 10mM conc. of glutathione(GSH) was added to the bOF-containing medium to circumvent the toxicity of bOF. In addition, bOF was heated $65^{\circ}C$ for 30 min(hbOF) to get rid of its precipitating properties and then added to the culture medium. When blastocysts were cultured in the presence of both hbOF and GSH 45.4% of embryos attached to the culture dishes. However, none of these embryos underwent outgrowth. Fially embryos were cultured in the presence of both hbOF and GSH but in the dishes coated with FBS. When they were examined after 48 hr, all of the blastocysts exhibited well-developed outgrwoth. Based upon these results, it is concluded that bovine oviductal fluid is capable of su, pp.rting the attchment of mouse blastocysts onto the culture plaste whereas it cannot promote the outgrwoth of mouse blastocysts in vitro, probably due to the lack of outgrwoth factor.

• Journal of Korean Society of Occupational and Environmental Hygiene
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• v.6 no.2
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• pp.176-186
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• 1996

The fit of a respirator to the face of an individual can be determined by a qualitative fit test (QLFT) or a quantitative fit test (QNFT). The pass/fail decision from a QLFT or QNFT for the same respirator on the same individual may vary from one wearing to the next, because the human facial features are complex and the respirator may not fit to the face in the same way every time it is worn. This study reports how the fit factors (FF) resulting from a QNFT on an individual vary from day to day and depend on the movements in the six fit test exercises. The reported FFs provide an objective and numerical basis (FF) which does not depend on the subject's voluntary or involuntary response. Four half-mask (H1-H4) and four full-facepiece respirators (F1-F4) were fit tested on one wearer 10 times a day for 5 days with a PortaCount (model 8010, TSI). The FFs obtained for each set of 10 fit tests on a specific day and 50 fit tests on five days involving one of the six exercise regimes have been recorded as log-normal distributions. All of the geometric standard deviations (GSD) of the overall FFs varied widely among every wearing and day except for H1 and F3, and the variability of the half-mask respirators was larger than that of the full-facepiece respirators. Among the six exercise regimes, reading or talking (RT) had markedly the lowest exercise FFs on the tested individual. Generally, there were significant differences between the first normal breathing (NB1) FFs and the remaining exercise FFs.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.16 no.10
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• pp.6511-6516
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• 2015

This paper examines the relationship between idiosyncratic volatility(IVOL) puzzle and trading volumes by trader types in the Korean stock market. The data set includes all stock in both KRX and KOSDAQ for the period from January 1999 through December 2013. Idiosyncratic volatility is measured by using the Fama-French's three-factor model. Traders are classified into individual, institution, and foreign trader. We construct (5X5) portfolios based on each trader's net buying and idiosyncratic volatility. We find that there are some special portfolios that show the idiosyncratic volatility puzzle. For individual investors, top net buying portfolios show clear the idiosyncratic volatility puzzle. However, for institution and foreign investors, lowest net buying portfolio show the idiosyncratic volatility puzzle. This results imply that the idiosyncratic volatility puzzle in the Korean stock market is mainly caused by individual investors.