• The Korean Journal of Financial Management
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• v.22 no.2
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• pp.135-164
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• 2005

We analyze trade and balance records of 10,000 stock investment accounts of individual investors for the period of 1998 to 2003. Individual investors em an annual gross return of 12.3% while the KOSPI and the value weighted composite including KOSDAQ stocks yield 13.6% and 9.7% respectively during the same period. Net return performance is 8.3%, a drop of 5.3% mainly due to heavy trading. Individual investors' annual turnover amounts to over 270 percent. In an analysis of groups formed on the month's end position value, the performance of the top quintile is found comparable to the market while the rest yield significantly lower risk-adjusted returns than the market. We also find evidence rejecting the rational expectation model while supporting the overconfidence hypothesis which states overconfidence leads to a higher level of trading, resulting in poor performance. Individuals tilt their stock investment toward high-beta, small, and value stocks.

• The Korean Journal of Financial Management
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• v.22 no.2
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• pp.43-69
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• 2005

This study provides empirical evidence that the stochastic beta model based on Bayesian analysis outperforms the existing conditional beta model and GARCH model in terms of the estimation accuracy and the explanatory power in the cross-section of stock returns in Korea. Betas estimated by the stochastic beta model explain $30{\sim}50%$ of the cross-sectional variation in stock-returns, whereas other time-varying beta models account for less than 3%. Such a difference in explanatory power across models turns out to come from the fact that the stochastic beta model absorbs the variation due to the market anomalies such as size, BE/ME, and idiosyncratic volatility. These results support the rational asset pricing model in that market anomalies are closely related to the variation of expected returns generated by time-varying betas.

• The Journal of the Korea Contents Association
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• v.15 no.6
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• pp.411-420
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• 2015

With the rapid increase in the price of house lease, a unique housing form in Korea, a serious social issue has been raised as to the use value of house lease and residence stability of the ordinary people. This study thus aimed to analyze the direct factors that affect lease guaranteed loan and market volatility in order to explore the right direction of financial policy to reduce housing burdens. To this end, the direct variables affecting house lease guaranteed loan, including lease price, transaction price and lending rate, were defined. Vector Error Correction Model (VECM), a time series analysis, was employed to dynamically explain the data. Based on the house lease prices and bank data on loans between January 2010 and December 2014, it was found that the increase in lease price was the direct result of the increase in lease guaranteed loan, not that of the decrease in lending rate or increase in housing transaction price.

• Journal of Labour Economics
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• v.23 no.2
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• pp.61-80
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• 2000

Using raw data of the 'Family income and expenditure survey,' we find that the earning distribution worsened in Korea after the financial crisis; the gap between ninetieth and tenth percentile grew larger after the crisis more than before. Such a phenomenon is apparent within narrowly defined education and labor market experience variables. We found that the increase in earning inequality came from the rapidly increasing return to the components of skill other than the schooling and experience, which is caused by the increasing demand of skill after the crisis. Therefore, we can interpret the growing demand for skill is an important factor leading the increase in the earning inequality after the Crisis. And then, we think that the reason for the increasing demand for skill after the crisis can be found in the changes of the technology, the organizational and personnel practice, the globalization, and the labor market. We can derive policy implications from this : To narrow the inequality we must invest the industrial demand-oriented education.

• Korean Journal of Construction Engineering and Management
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• v.14 no.5
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• pp.12-25
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• 2013

Unsold new houses have increased before the financial crisis, and have steadily accumulated since domestic diffusion ratio of house exceeded 100%. From a long term point of view, it is important to liquidate unsold new houses and raise funds from the capital market till the housing market recovers because the accumulation of unsold new houses is a financial burden to the construction company and for that reason, the housing policies to support the liquidity of unsold new houses must be consistently available means. Therefore, the purpose of this study is to analyze the effectiveness of government's policy to support the liquidity of unsold new houses using CR-REITs from among these policies with system dynamics. Using the system dynamics model, this study finds the significance and limitation of the policy to liquidate unsold new houses using CR-REITs and suggests the measures to improve the policy.

• Journal of Fisheries and Marine Sciences Education
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• v.24 no.6
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• pp.901-919
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• 2012

The purpose of this study is to conceptualize some issues around university restructuring in Korea, and explore rational-practical solutions ensuring the survival of higher education institutes confronting many challenges like rapid decreasing rate of birth, global open market of higher education system, and the phenomena of concentration on capital city area etc.. In order to achieve study goals, higher education policies and provisions of past governments from DaeJung Kim's to current MeongBak Lee's were analyzed, and also characteristics and directions of university restructuring of each government were identified. Through this analysis, it was evident that the main concern of university restucturing discourse was primarily focused on how to make public universities have high level of competitiveness. On the other hand, private universities had been totally alienated from university restructuring discourse since 1990's, despite their historical and great contributions to national development of our country. Based on some criticisms of educational policies of national government and partial revision proposal of the higher education act initiated by a few assemblymen, this study suggested eight solutions for developmental restructuring of private universities; constructing comprehensive framework of university restructuring, keeping market-friendly restructuring principle to allow universities take an autonomous position, revising methods, criteria and indexes of university evaluation, reducing the number of enrolling students, not the number of universities and colleges, a new policy to develop local universities allying with universities located at capital city area, differentiating private universities into two types of semi- or quasi-national university and complete autonomous university, legislating financial supports to private universities, and lastly, equal treatment of public and private universities in pursuit of half price tuition.

• The Korean Journal of Financial Management
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• v.22 no.1
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• pp.93-118
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• 2005

This paper examines credit spreads in Korea corporate market using one of structural models, the mean reverting leverage ratio model (Collin-Dufresne and Goldstein (2001)). Compared to the actual credit spreads, we show that the credit spreads induced by the model are overpredicted. We also investigate the systematic errors that cause the over-pre-diction of credit spreads using the t-test. We show that the systematic errors are affected by the current leverage ratio and asset volatility.

• The Korean Journal of Financial Management
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• v.26 no.3
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• pp.1-29
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• 2009

Since convertible debt has both characteristics of stocks and bonds, its issuance can be related to both interests of stockholders and bondholders. Nevertheless, the existing studies focused mainly on the wealth effect on stockholders. In this paper we revisit the hypotheses on the issue of convertible debt especially from the viewpoint of a firm's growth, by making an additional investigation into bondholders' wealth effects. We find that stockholders' wealth increases with bondholders' wealth in the firm whose book-to-market ratio is low and thus is considered a growth firm. This finding seems consistent with the hypothesis in which the issue of convertible debt mitigates the agency cost of debt in the high-growth firm.

• The Korean Journal of Financial Management
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• v.25 no.4
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• pp.79-116
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• 2008

This paper examines and estimates GARCH-VaR models (RiskMetrics, GARCH, IGARCH, GJR and APARCH) with three different distributions such as Gaussian normal, Student-t, Skewness Student-t Distribution using the daily price data from Korean Stock Market during Jan. 1, 1980-Sept. 30, 2004. It also compares them. In-sample test, this finds that for all confidence level as $90%{\sim}99.9%$, the performance and accuracy of IGARCH with ${\lambda}=0.87$ and skewness Student-t distribution are superior to other models and distributions in long position, but GARCH and GJR with Skewness Student-t distribution in short position. For above 99% confidence level, the performance and accuracy of IGARCH with ${\lambda}=0.87$ in both long and short positions are superior to other models and distributions, but Skewness Student-t distribution for long position and Student-t distribution for short position are more accuracy and superior to other distributions. In-out-of sample test, these results also confirm the evidences that the above findings are consistent as well.

• Korean Journal of Construction Engineering and Management
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• v.4 no.3 s.15
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• pp.76-84
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• 2003

The bankruptcy possibility of construction firms have been higher by the environment of current construction industry. Thus, converting management environment for growth into that for value or profit is required. Nowadays, funds of construction firms is almost provided by financial institutions. As the firms' size grow, they have a form of fund provision through the securities market; however, fair distribution for returns is not practiced by opening company. Especially, construction firms lost trust of Investor by lack of awareness to firm clearness, and then a vicious cycle of no effectiveness in fund provision through securities market is continued again. On this study correlation between stock quotations and primary financial factors of firms in order to grasp actual management condition in construction firms was analyzed. By this, the correlation between stock quotations and the result of firm management was provided. Also, necessity of firm's capital provision was explained, thus ways to ensure firm clearness was searched.