• Fashion & Textile Research Journal
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• v.10 no.6
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• pp.917-925
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• 2008

The purpose of this study was to find out the relationship between consumer's perceived risks and return behavior on internet clothing shopping. Questionnaires were distributed to the consumers, total 517, males and females, aged from 20 to 39, who had experience of clothing purchasing through internet shopping malls. The results showed that consumer's return factors related to the perceived risks on internet shopping process. The results were as follows. First, factors of perceived risks in internet clothing shopping were categorized into product performance, account-related, delivery, economic, and social psychological risk. 5 consumer types of perceived risk were segmented by low-perceived risk group, product performance/delivery-perceived risk group, account related-perceived risk group, harmony with oneself/account related-perceived risk group, and harmony with others/economic-perceived risk group. Second, the consumer's perceived risks on internet shopping process affected one's return behavior. The factors of return was differentiated on the types of consumer's perceived risk. The relation between consumer's perceived risks and return behavior on internet clothing shopping was significant. Therefore company had better draw various strategies to manage consumer's perceived risk, in order to reduce the returns and improve consumer's satisfaction.

• Asia-Pacific Journal of Business
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• v.11 no.4
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• pp.37-48
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• 2020

Purpose - This study empirically investigates whether the risk property included in fat-tails of return distributions is systematic or unsystematic based on the devised statistical methods. Design/methodology/approach - This study devised empirical designs based on two traditional methods: principal component analysis (PCA) and the testing method of portfolio diversification effect. The fatness of the tails in return distributions is quantitatively measured by statistical probability. Findings - According to the results, the risk property in the fat-tails of return distributions has the economic meanings of eigenvalues having a value greater than 1 through PCA, and also systematic risk that cannot be removed through portfolio diversification. In other words, the fat-tails of return distributions have the properties of the common factors, which may explain the changes of stock returns. Meanwhile, the fatness of the tails in the portfolio return distributions shows the asymmetric relationship of common factors on the tails of return distributions. The negative tail in the portfolio return distribution has a much closer relation with the property of common factors, compared to the positive tail. Research implications or Originality - This empirical evidence may complement the existing studies related to tail risk which is utilized in pricing models as a common factor.

• Magazine of the Korean Society of Agricultural Engineers
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• v.27 no.2
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• pp.23-37
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• 1985

This studies were carried out to get characteristics of frequency distribution, probable flood flows according to the return periods, and the correlation between return periods and those length of records affect the Risk of failure in the annual maximum series of the main river systems in Korea. Especially, Risk analysis according to the levels were emphasized in relation to the design frequency factors for the different watersheds. Twelve watersheds along Han, Geum, Nak Dong, Yeong San and Seom Jin river basin were selected as studying basins. The results were analyzed and summarized as follows. 1. Type 1 extremal distribution was newly confirmed as a good fitted distribution at selected watersheds along Geum and Yeong San river basin. Three parameter lognormal Seom Jin river basin. Consequently, characteristics of frequency distribution for the extreme value series could be changed in connection with the watershed location even the same river system judging from the results so far obtained by author. 2. Evaluation of parameters for Type 1 extremal and three parameter lognormal distribution based on the method of moment by using an electronic computer. 3. Formulas for the probable flood flows were derived for the three parameter lognormal and Type 1 extremal distribution. 4. Equations for the risk to failure could be simplified as $\frac{n}{N+n}$ and $\frac{n}{T}$ under the condition of non-parametric method and the longer return period than the life of project, respectively. 5. Formulas for the return periods in relation to frequency factors were derived by the least square method for the three parameter lognormal and Type 1 extremal distribution. 6. The more the length of records, the lesser the risk of failure, and it was appeared that the risk of failure was increasing in propotion to the length of return periods even same length of records. 7. Empirical formulas for design frequency factors were derived from under the condition of the return periods identify with the life of Hydraulic structure in relation to the risk level. 8. Design frequency factor was appeared to be increased in propotion to the return periods while it is in inverse proportion to the levels of the risk of failure. 9. Derivation of design flood including the risk of failure could be accomplished by using of emprical formulas for the design frequency factor for each watershed.

• Magazine of the Korean Society of Agricultural Engineers
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• v.28 no.3
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• pp.69-78
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• 1986

This studies were established to find out the characteristics of frequency distributiom for the number of occurrence and magnitude, probable flood flows according to the return periods, design floods, and design frequency factors for the studying basins in relation to the risk levels which can be correlated with design return period and the life of structure in the non-annual exceedance series. Eight watersheds along Han, Geum, Nak Dong and Seom Jin river basin were selected as studying basins. The results were analyzed and summarized as follows. 1. Poisson distribution and Exponential distribution were tested as a good fitted distributions for the number of occurrence and magnitude for exceedance event, respectively,at selected watersheds along Han, Geum, Nak Dong and Seom Jin river basin. 2.Formulas for the probable flood flows and probable flood flows according to the return periods were derivated for the exponential distribution at the selected watersheds along Han, Geum, Nak Dong, and Seom Jin river basin. 3.Analysis for the risk of failure was connected return period with design life of structure in the non-annual exceedance series. 4.Empirical formulas for the design frequency factors were derivated from under the condition of the return periods identify with the life of structure in relation to the different risk levels in the non-annual exceedance series. 5.Design freguency factors were appeared to be increased in proportion to the return periods while those are in inverse proportion to the levels of the risk of failure. Numerical values for the design frequency factors for the non-annual exceedance series ware appeared generally higher than those of annual maximum series already published by the first report. 6. Design floods according to the different risk levels could be derivated by using of formulas of the design frequency factors for all studying watersheds in the nor-annual exceedance series.

• The Korean Journal of Financial Management
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• v.26 no.3
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• pp.199-226
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• 2009

We examine the intertemporal relation between risk and return in the Korean stock market and foreign exchange market based on the two factor ICAPM framework. The standard GARCH model and the GJR(1993) model are employed to estimate conditional variances of the stock returns and foreign exchange rates. The covariance between the rates of stock returns and changes in the exchange rates are estimated by the constant conditional correlation model of Bollerslev(1990) and the dynamic conditional correlation model of Engle(2002). The multivariate GARCH in mean model and quasi-maximum likelihood estimation method, consequently, are applied to investigate riskreturn relation jointly. We find that the estimated coefficient of relative risk aversion is negative and statistically significant in the post-financial crisis sample period in the Korean stock market. We also show that the expected stock returns are negatively related to the dynamic covariance with foreign exchange rates. Both estimated parameters of conditional variance and covariance in the foreign exchange market, however, are not statistically significant. The GJR model is better than the standard GARCH model to estimate the conditional variances. In addition, the dynamic conditional correlation model has higher explanatory power than the constant correlation model. The empirical results of this study suggest following two points to investors and risk managers in hedging and diversifying strategies for their portfolios in the Korean stock market: first, the variability of foreign exchange rates should be considered, and second, time-varying correlation between stock returns and changes in foreign exchange rates supposed to be considered.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.12 no.4
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• pp.129-134
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• 1992

This paper presents the relation between risk and safety factor for optimal storm sewer design in urban area. For reliability analysis of the storm sewer, uncertainty of the various parameters of constituting equation determining the capacity and load of storm" sewer is considered and risk is determined. In this study, reliability analysis method is applied to Seongsan detention reservoir basin which area is $381,000m^2$ Darcy-Weisbach equation is used for determining capacity of the storm sewer and rational formula is used for determining load. Safety factor representing ratio of the sewer capacity and design flowrate is calculated, and relating with risk. Then risk and safety factor with return period is obtained and it is used for optimal design of storm sewer.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.2
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• pp.25-39
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• 2021

This purpose of this study is to investigate the association among mutual funds (MFs) risk measures and return parameters, evaluate mutual fund performance and also explore the best appropriate mutual fund performance measure for investment in Pakistan. Therefore, thirty-five mutual funds have been selected for the period 2007-2015. The Sharpe, Treynor, Jensen Alpha, Information ratio and Fama's Net Selectivity measures has been used to analyze MF performance. Our study findings show significant positive relation exist between Sharpe and Jenson alpha & information ratio (IR); Treynor ratio is negatively correlated to Jenson alpha and Jenson alpha is positively allied with IR. Moreover, association among performance measures, Fama's net selectivity is a major driver in leading to other measures but Sharpe and IR lead to Treynor ratio as well. Furthermore, performance measures are ranked in accordance standard deviation with the arrangement of Fama's net selectivity at top, Jenson Alpha at second, Sharpe ratio at third, IR at fourth and Treynor ratio at fifth position according to risk parameters in Pakistan. Overall, Jensen Alpha measure appears to be the best suitable mutual fund performance measure in Pakistan due to its practical nature. Finally, the Pakistani stock market index KSE100 (as benchmark) performs better than MF industry of Pakistan.

• The Journal of Asian Finance, Economics and Business
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• v.1 no.3
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• pp.5-16
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• 2014

This study aims to examine the dynamics of price changes and trading volume of Kuala Lumpur Options and Financial Futures Exchange (KLOFFE) from 2000 to 2008. With augmented analysis, our results support two hypotheses. First, under information spillover, our findings support noise traders' hypothesis as the time span for variance of past trading volume to cause variance of current return is found to be asymmetric under bull and bear markets. Second, looking at the dynamic relation between volume and volatility of price changes, our findings support Liquidity-Driven Trade hypothesis as past trading volume and subsequent volatility of return exhibit positive correlation. In terms of investors' behavior in response to the news, we find that investors are more risk taking in bull market and more risk reverse in bear market. Our study suggests that investors should adjust their strategy in the futures market in a dynamic manner as the time span of new information arrival is not consistent. Also, uninformed investors with information asymmetry should expect noninformational trading from informed investors to establish their desired positions for better liquid position.

• The Journal of the Korea Contents Association
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• v.16 no.3
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• pp.81-90
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• 2016

This study aims to investigate the association between stock performance and credit ratings, and credit rating changes using a sample of 1,691 KRX firm-years that acquire equity in the form of long-term bonds from 2002 to 2013. Previous U.S. literature is mixed with regard to the relation between credit ratings and stock price. On one hand, there is evidence of a positive relation between credit ratings and stock prices, an anomaly established in U.S. studies. On the other hand, the CAPM model suggests a negative relation between stock prices and credit ratings, implying that investors expect financial rewards for bearing additional risk. To our knowledge, we are the first to examine the relationship between stock price and default risk proxied by credit ratings in period t+1. We find a negative (positive) relation between credit ratings (risk) in period t+1 and stock returns in period t, suggesting that credit rating agencies do not consider stock returns as a metric with the potential to influence default risk. Our results suggest that market participants may prefer firms with higher credit risk because of expected higher returns.

• Journal of Intelligence and Information Systems
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• v.26 no.1
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• pp.119-133
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• 2020

Fama asserted that in an efficient market, we can't make a trading rule that consistently outperforms the average stock market returns. This study aims to suggest a machine learning algorithm to improve the trading performance of an intraday short volatility strategy applying asymmetric volatility spillover effect, and analyze its trading performance improvement. Generally stock market volatility has a negative relation with stock market return and the Korean stock market volatility is influenced by the US stock market volatility. This volatility spillover effect is asymmetric. The asymmetric volatility spillover effect refers to the phenomenon that the US stock market volatility up and down differently influence the next day's volatility of the Korean stock market. We collected the S&P 500 index, VIX, KOSPI 200 index, and V-KOSPI 200 from 2008 to 2018. We found the negative relation between the S&P 500 and VIX, and the KOSPI 200 and V-KOSPI 200. We also documented the strong volatility spillover effect from the VIX to the V-KOSPI 200. Interestingly, the asymmetric volatility spillover was also found. Whereas the VIX up is fully reflected in the opening volatility of the V-KOSPI 200, the VIX down influences partially in the opening volatility and its influence lasts to the Korean market close. If the stock market is efficient, there is no reason why there exists the asymmetric volatility spillover effect. It is a counter example of the efficient market hypothesis. To utilize this type of anomalous volatility spillover pattern, we analyzed the intraday volatility selling strategy. This strategy sells short the Korean volatility market in the morning after the US stock market volatility closes down and takes no position in the volatility market after the VIX closes up. It produced profit every year between 2008 and 2018 and the percent profitable is 68%. The trading performance showed the higher average annual return of 129% relative to the benchmark average annual return of 33%. The maximum draw down, MDD, is -41%, which is lower than that of benchmark -101%. The Sharpe ratio 0.32 of SVS strategy is much greater than the Sharpe ratio 0.08 of the Benchmark strategy. The Sharpe ratio simultaneously considers return and risk and is calculated as return divided by risk. Therefore, high Sharpe ratio means high performance when comparing different strategies with different risk and return structure. Real world trading gives rise to the trading costs including brokerage cost and slippage cost. When the trading cost is considered, the performance difference between 76% and -10% average annual returns becomes clear. To improve the performance of the suggested volatility trading strategy, we used the well-known SVM algorithm. Input variables include the VIX close to close return at day t-1, the VIX open to close return at day t-1, the VK open return at day t, and output is the up and down classification of the VK open to close return at day t. The training period is from 2008 to 2014 and the testing period is from 2015 to 2018. The kernel functions are linear function, radial basis function, and polynomial function. We suggested the modified-short volatility strategy that sells the VK in the morning when the SVM output is Down and takes no position when the SVM output is Up. The trading performance was remarkably improved. The 5-year testing period trading results of the m-SVS strategy showed very high profit and low risk relative to the benchmark SVS strategy. The annual return of the m-SVS strategy is 123% and it is higher than that of SVS strategy. The risk factor, MDD, was also significantly improved from -41% to -29%.