• 재무관리연구
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• 제23권2호
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• pp.1-25
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• 2006

본 논문에서는 1980년부터 2003년까지 한국 증권시장을 대상으로 과거 주식수익률과 변동성을 이용한 반대투자전략의 초과수익을 분석하였다. 즉 과거 주식수익률을 이용한 투자전략의 초과수익에 시장변동성이나 개별기업의 변동성이 영향을 미치는지 검증하고자 하였다. 우선 한국 증권시장을 6년 단위의 하위 포트폴리로 구분하여 과거 주식수익률을 이용한 반대투자전략의 초과수익을 측정하였다. 그 결과 시장변동성이 가장 작은 기간이었던 1980년${\sim}$1986년까지의 표본기간에서는 계속투자전략이 유의한 투자전략으로 나타났으나 그 외의 기간에서는 반대투자전략이 유의한 투자전략으로 나타났다. 따라서 시장변동성 뿐 아니라 개별기업의 변동성 역시 과거 주식수익률을 이용한 투자전략의 초과수익에 영향을 미치는지 확인하였다. 개별기업의 변동성을 하나의 지표로 포트폴리오를 구성하여 과거 주식수익률을 이용한 투자전략의 초과수익을 확인한 결과 과거 개별기업의 변동성이 작았던 포트폴리오에서는 계속투자전략이 유의한 투자 전략으로 나타난데 비해서 과거 개별기업의 변동성이 큰 포트폴리오에서는 유의한 계속투자전략의 초과수익을 확인할 수 없었다. 따라서 과거 주식수익률 뿐 아니라 변동성까지 고려하여 투자전략을 구성하는 것이 보다 높은 양(+)의 초과수익을 얻는 방법이라고 할 수 있다.

• East Asian Economic Review
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• 제21권2호
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• pp.147-165
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• 2017

This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency prevail during the sample period. Meanwhile, the search frequency has a negative association with the one-week- ahead stock return but not vice versa. In addition to identifying dynamic correlations, the paper also aims to serve as a test bed in which the existence of profitable trading strategies based on big data is explored. Specifically, the strategy interpreting the heightened investor attention as a negative signal for future returns appears to have been superior to the benchmark strategy in terms of the expected utility over wealth. This paper also demonstrates that the big data-based option trading strategy might be able to beat the market under certain conditions. These results highlight the possibility of big data as a potential source-which has been left largely untapped-for establishing profitable trading strategies as well as developing insights on stock market dynamics.

• 대한수학회보
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• 제56권6호
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• pp.1467-1483
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• 2019

This paper analyzes a robust optimal reinsurance and investment strategy for an Ambiguity-Averse Insurer (AAI), who worries about model misspecification and insists on seeking robust optimal strategies. The AAI's surplus process is assumed to follow a jump-diffusion model, and he is allowed to purchase proportional reinsurance or acquire new business, meanwhile invest his surplus in a risk-free asset and a risky-asset, whose price is described by an Ornstein-Uhlenbeck process. Under the criterion for maximizing the expected exponential utility of terminal wealth, robust optimal strategy and value function are derived by applying the stochastic dynamic programming approach. Serval numerical examples are given to illustrate the impact of model parameters on the robust optimal strategies and the loss utility function from ignoring the model uncertainty.

• 한국병원경영학회지
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• 제16권3호
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• pp.57-74
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• 2011

The purpose of this study is to analyze the relationship between the BSC model's non-financial factors such as learning and growth, internal process, customer and financial factor in general hospitals. To achieve research purpose, the data were collected from 293 employees of 5 hospitals using a standardized questionnaires which were constructed to include BSC model, and applied the structural equation modeling to examine the relationship between non-financial and financial factor. The results show that the learning and growth factor of the model has positive effects of the internal process and customer factor. The internal process and customer factor are strongly related to financial factor. Hospitals have to know non-financial factor which has positively relate to financial factor. Therefore, the results of this study help to enhance the health care center to become aligned and focused on implementing the long-term competitive strategy. This study proposes an effective performance indicators for general hospitals and it is expected to be likely to have positive influence upon enhancing services of general hospitals.

• 동아시아경상학회지
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• 제11권4호
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• pp.19-28
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• 2023

Purpose - research the main methods of financial analysis of corporation in the condition of inflationary processes: the analysis of financial sustainability, liquidity, profitability and etc. Research design, Data, and methodology - the main methodical aspects of financial analysis of operations in the conditions of inflation, their efficiency are presented in the theses. Also the main financial indicators are generalized and systematized with the factor of inflation. The general scheme of adjusting the analysis of financial stability for the factor of inflation is presented. Result - The specifics of adjusting the company's assets and liabilities for the factor of inflation during the analysis of prospective financial stability are details revealed in the article. The features of a comprehensive prospective assessment of liquidity and the financial stability are determined. Conclusion - The account of factor of inflations in the financial operations enable reduce the losses, to identify the price of price strategy on the market, to analyze the problematic situations and develop scenarios for the development of the organization's activities in these conditions. The article the limitations and recommendations for adjusting for the factor of inflation are presented, including the necessary to clearly define the levels of their detail, since the study may be overloaded with calculations.

• 국제지역연구
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• 제15권2호
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• pp.51-68
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• 2011

본 연구의 목적은 2008년 글로벌 금융위기 이후 미국의 힘에 대한 중국의 인식을 살펴보는 것이다. 중국은 글로벌 금융위기로 인해 미국의 경제적 패권의 지위는 약화되었지만, 미국의 패권은 단지 경제력만이 아닌 미국의 종합적인 국력기반 위에 구축되어 있기 때문에 전반적인 국제질서에서 미국이 차지하는 패권적 지위가 약화되지는 않을 것으로 전망하고 있다. 또한 미국의 패권적 지위가 지속될 것이기 때문에 소위 '일초다강'이라는 국제질서에 근본적인 변화가 발생하지는 않겠지만 미국 경제력의 퇴보로 중국은 미국과의 격차가 줄어들 수 있는 기회를 맞이할 것이라고 진단하고 있다. 단기적으로 볼 때, 중국은 경제적 측면에서 글로벌 금융체제 개혁의 이니셔티브를 확보하기 위한 정책을 펼칠 가능성이 높다. 안보적 측면에서 역내에 미국의 영향이 중국의 핵심 이익을 위배하지 않는 범위 내에서 중국은 미국과 보다 협력적인 정책을 취할 것이라고 예상된다.

• Journal of Information Technology Applications and Management
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• 제19권1호
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• pp.13-24
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• 2012

Usability and knowledge drawn from utilizing various ways of representing accounting data were examined. Classroom experiments were conducted to compare students' assessment of financial data using table of numbers, 2-dimensional column graphs (2D), 3-dimensional column graphs (3D), and mixed reality visualization of true 3-dimensional graphs (MR). The results showed that in assessing the financial status and performance of a firm, Table of numbers and MR took longer than 2D and 3D graphs. The time spent on true 3D graphs using MR technology was about the same as Table of numbers. When compared the assessment scores of the firm's financial status and performance between participants and experts, the difference was the least when participants used 2D graphs. However, MR was seen as being a new way to provide data of greater complexity and was very useful for financial information.

• International Journal of Human Ecology
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• 제6권1호
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• pp.1-16
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• 2005

Due to increasing life expectancy, Americans live nearly 20 years after retirement. During this period, elderly persons have to stretch finances to manage the level of living without earnings. However, decision making ability decreases with age. One coping strategy for this problem would be seeking help from others. We examine factors affecting elderly persons' assistance use with respect to financial management using the 2000 Health and Retirement Study (N=3,823). It was found that age, education, health status, and ethnicity significantly affect elderly persons' financial management assistance use. The older-olds, those with lower educational attainment and poorer health status were more likely to use financial management assistance. However, Hispanic elderly were less likely to use financial management assistance.

• 통상정보연구
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• 제8권1호
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• pp.417-435
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• 2006

A Systematic Wealth Management Framework (SWMF) was developed as a private banking management tool to enable more integrative personal finance management of personal wealth. It is a reference model that provides an unified framework for development, operation, and management and makes provision for personal financial services in today's complex financial environment. This study suggested some practical results from banks and insurance companies that have established SWMF as the differentiation business strategy for wealthy customers. The focus of this manuscript is on capturing the methodological approach most financial institutions in Korea adopted to execute new e-finance planning and implementation based on the SWMF. The alignment between the wealth management business goals and information system architecture at an organization constitutes the main theoretical basis of the study. Relevant discussions are made on the wealth management framework as a general business model for financial industry, on the functional relationship between new information systems and business organizations. Finally, lessons learned from the SWMF implementation are discussed.

• Asia Marketing Journal
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• 제17권4호
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• pp.89-104
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• 2016

Based on the observation that insurance companies in Korea, unlike those in other financial sectors and those in other countries, dominantly use the agent-based push-type marketing strategy, this paper hypothesizes that difference in distribution systems originating from characteristics of financial products can lead to welfare asymmetry between financial institutions and customers, merely due to their financial matching. For this analysis, we employ a simple matching theoretic model, try to understand the welfare implications of distribution systems from a matching theoretic perspective, and analyze the bottom of negative perceptions of insurance industry. The proposed model suggests that this welfare asymmetry derives mainly from financial matching through the distribution systems, which implies that any efforts to improve the insurance industry must consider changes in the matching process, namely the distribution system. We hope that this paper complements and extends the existing literature on insurance distribution systems in terms of methodologies and research subjects.