• Asia-Pacific Journal of Business
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• v.15 no.1
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• pp.1-14
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• 2024

Purpose - We investigate whether a potential missing pricing factor plays a significant role in the idiosyncratic volatility puzzle. Design/methodology/approach - We theoretically show how a missing pricing factor can affect the idiosyncratic volatility puzzle, and also show how to get around the problem empirically. We adopt the Fama-French five factor model for the estimation of the idiosyncratic risk and use randomly constructed portfolios as test assets. Findings - We find that a missing factor does not drive the idiosyncratic volatility puzzle. Thus, we conclude that the idiosyncratic volatility does affect the risk premium of its stock. Research implications or Originality - The Fama-French five factor model does a pretty good job in explaining the risk premiums of stocks, and it can be used to reliably estimate idiosyncratic risk of stocks.

• The Journal of Fisheries Business Administration
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• v.47 no.1
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• pp.87-100
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• 2016

Suhyup Bank became to be subject to regulation of capital ratio by Basel III which was introduced in order to enhance stability of the financial institution. Accordingly, Suhyup Bank will require recapitalization. It is important to estimate the risk-weighted assets in calculating of Suhyup Bank's recapitalization scale. Therefor, this study aimed to present a scientific model as estimated the risk-weighted assets. Risk-weighted assets are calculated by applying different risk weights for loans, may have a certain relationship with the loans. Results show that the risk-weighted assets is affected by the previous year's risk-weighted assets and influenced the increase in loans during the year. Since the required basic capital adequacy ratio was specified, the risk-weighted assets should be predicted reasonably. Accordingly, on this study it was tried to derive the accounting equation to predict the risk-weighted assets based on management data of a bank since introduction of Basel III. As the risk-weighted assets were weighted differently according to the type of loans, if the accounting equation is derived by using the type of loans, then it would be helpful for the risk management of banks in the long-term. According to this, the increase of loan would be predicted on the basis of past management performance of Suhyup Bank, and for this reason, the future risk-weighted assets of Suhyup Bank were predicted. The result of this study was showed that 98.3% of risk-weighted assets of the previous year, 62.4% of the secured loan changes and 95.1% of the credit loan changes affected risk-weighted assets.

• Journal of Distribution Science
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• v.18 no.5
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• pp.5-13
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• 2020

Purpose: The aim of this article is to test the link between growth of loan distribution and Bank Valuation in Vietnam's banking sector. At the same time, the study also compared the differences in the effect of growth of loan to valuation bank in banks of different sizes, ownership rates and bank values. Research design, data and methodology: With panel data estimation techniques along with robust standard error for a sample of the banks listed on Vietnam stock exchange from 2012 to 2019. Results: Growth of loan has a positive impact on Bank Valuation (by Tobin's Q). A closer investigation provides evidence for the differential valuation effect of loan growth depending on different features of banks. Specifically, loan growth is found positively and significantly associated with Bank Valuation in small and non-state-owned banks only. Besides, bank size, deposit, and return on equity are found negatively associated with Tobin's Q, while loan loss provisions exhibit a positive relation with this measure of Bank Valuation. Conclusions: These findings provide contributions to the literature on the existence of the effect of loan growth on Bank Valuation. At the same time, the study also provides practical implications for policy makers in banks and investors.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.7
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• pp.1-15
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• 2022

Combining the strength of both Mixed Data Sampling (MIDAS) Regression and realized variance measures, this paper seeks to investigate two objectives: (1) evaluate the post-sample performance of the proposed weekly Realized Variance-MIDAS (RVar-MIDAS) in one-week ahead volatility forecasting against the established Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and the less explored but robust STES (Smooth Transition Exponential Smoothing) methods. (2) comparing forecast error performance between realized variance and squared residuals measures as a proxy for actual volatility. Data of seven private equity mutual fund indices (generated from 57 individual funds) from two different time periods (with and without financial crisis) are applied to 21 models. Robustness of the post-sample volatility forecasting of all models is validated by the Model Confidence Set (MCS) Procedures and revealed: (1) The weekly RVar-MIDAS model emerged as the best model, outperformed the robust DAILY-STES methods, and the weekly DAILY-GARCH models, particularly during a volatile period. (2) models with realized variance measured in estimation and as a proxy for actual volatility outperformed those using squared residual. This study contributes an empirical approach to one-week ahead volatility forecasting of mutual funds return, which is less explored in past literature on financial volatility forecasting compared to stocks volatility.

• International Journal of Knowledge Content Development & Technology
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• v.12 no.2
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• pp.29-40
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• 2022

The study investigated the challenges of recruitment and selection process of librarians in federal university libraries in South-South, Nigeria. The study adopted a descriptive survey. The population of the study consists of 108 librarians. 95 copies of the questionnaire were filled and returned. The questionnaire was used in collecting data. The overall reliability of the instrument yielded 0.95 with the use of Cronbach Alpha Coefficient. Standard deviation and mean was used to generate the data that was gathered. The rating scale of 4 points was subjected to an estimation procedure using SPSS version 17.0. A mean score of 2.5 and above on any item was accepted. The findings revealed that the librarians identified the challenges to include ethnicity influence; favouritisms; recruitment based on godfatherism; dwindling budgetary allocation. The librarians also identified some of the strategies to include performance at interview as benchmark; equity and fairness as benchmark; recruitment should be done according to relevant discipline; and having channels for reporting cases of corruption during recruitment. Based on the above findings the study recommended among others that recruitment and selection of qualified librarians should be done according to the laid down procedures.

• International conference on construction engineering and project management
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• 2007.03a
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• pp.509-519
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• 2007

Private financing is playing an increasing role in public infrastructure construction projects worldwide. However, private investors/operators are exposed to the financial risk of low profitability due to the inaccurate estimation of facility demand, operation income, maintenance costs, etc. From the operator's perspective, a sound and thorough financial feasibility study is required to establish the appropriate capital structure of a project. Operators tend to reduce the equity amount to minimize the level of risk exposure, while creditors persist to raise it, in an attempt to secure a sufficient level of financial involvement from the operators. Therefore, it is important for creditors and operators to reach an agreement for a balanced capital structure that synthetically considers both profitability and repayment capacity. This paper presents an optimal capital structure model for successful private infrastructure investment. This model finds the optimized point where the profitability is balanced with the repayment capacity, with the use of the concept of utility function and multi-objective GA (Generic Algorithm)-based optimization. A case study is presented to show the validity of the model and its verification. The research conclusions provide a proper capital structure for privately-financed infrastructure projects through a proposed multi-objective model.

• Journal of Korean Society of Transportation
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• v.23 no.5 s.83
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• pp.7-14
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• 2005

Traffic congestion causes enormous social costs as well as loss of travel time and waste of energy. Though the Seoul metropolitan government implemented various forms of transportation policies such as urban road pricing and public transportation reform, traffic volume which across the Seoul metropolitan borders have greatly increased because of housing land development in suburban area. The purpose of this study is to estimate individual's willingness-to-pay(WTP) for extensive implementation of congestion pricing through policy-mix with bus rapid transit(BRT) system. So the field survey interviews carried out. The empirical analysis was done with priority given to the following two topics; derivation of individual WTP and prior evaluation of policy effect from the equity aspect. To estimate individual WTP, we adopted contingent valuation method (CVM). The former is to estimate individual WTP for respondent's maintaining his/her transit pattern when he/she is faced with congestion pricing by using compensating variation(CV) concept. And, the latter aims at evaluating policy effect from the equity aspect by calculating the Proportion of WTP to average income using WTP in income bracket for policy scenarios.

• Journal of Navigation and Port Research
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• v.39 no.1
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• pp.69-75
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• 2015

The concrete purpose of this study is to suggest actually a debt ratio to optimize the capital structure providing a kind of approach to estimate the proper debt ratio with an analytical model and empirical data in Korean shipping industry. The mathematical and analytical model is started from the first equation about ROE, return of net operating income on equity, with an independent variable, debt ratio. It is constructed with several parameters, ROS(return of operating income on sales), TAT(total assets turnover), and NFCL(net finance cost to liabilities). There could not be a certain relationship between debt ratio and ROS or TAT, while some correlation or causality between debt ratio and NFCL. In other words, most of firms with high debt ratio is likely to burden higher finance cost than others with low one. In this case, there is a linearity relationship between debt ratio and NFCL, so then the second equation considering this relation could be included within the analytical approach of this paper. To be short, if the criteria of adequate debt ratio has to be defined as some level of debt ratio to optimize ROE, the ROE could be illustrated as a quadratic equation to debt ratio from two equations. Next, this research estimated those parameters' numbers through the single regression method with data over 12 years of Korean shipping industry, and identified empirically the fact that optimal debt ratio would be approximately 400%. To conclude, if that industry's sales and operating incomes are stable, the debt ratio could be accepted until twice of 200% had forced in order to guarantee its financial safety in past time.

• The Journal of the Convergence on Culture Technology
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• v.7 no.4
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• pp.1-7
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• 2021

The purpose of this study was to analyze the effect of household loan share on bank management soundness. The results of the empirical analysis are summarized as follows. First, as a result of estimating coefficient of the mortgage loan ratio shows a significant negative relationship with the BIS equity capital ratio of banks. In addition, it was found that the mortgage loan ratio had a significant positive (+) effect on Eunhae's BIS and equity capital ratio after the financial crisis. Second, as a result of the estimation coefficient of the mortgage ratio showed a significant positive (+) relationship with the NPL of the bank and below. In addition, it is estimated that the bank's secured loan ratio changed significantly before and after the financial crisis in the effect of banks' NPL and substandard-and-below loans. It is expected to make implication to financial policy and banking regulation and supervision. We believe that more efforts should be made to increase the soundness of household loans in preparation for risk factors that may arise from exogenous factors such as changes in the international financial environment and falling property prices.

• The Korean Journal of Franchise Management
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• v.13 no.4
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• pp.39-48
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• 2022

Purpose: COVID-19 has negatively influenced the financial performance of restaurant firms. Previous literature suggests that the franchising strategy effectively helps restaurant firms recover from difficult business conditions through various methods for expanding business size and enhancing business efficiency. According to risk-sharing theory, restaurant franchisors may minimize operational risks by sharing the risks with their franchisees. For instance, restaurant franchisors could generate more stable cash flow using franchise fees from their franchisees. However, research on the effect of franchise's risk reduction factor on business performance during pandemic is scarce. Thus, this study aims to examine the positive moderating effect of franchising between COVID-19 and restaurants' financial performance. Research design, data, and methodology: Panel data including financial information and franchising status of restaurant firms were collected for analysis. In order to control for unobserved firm-specific factors, generalized least squared estimation in fixed effects model was conducted. Huber-White robust standard errors were used to deal with heteroscedasticity issues. Results: It was found that COVID-19 pandemic has a negative effect on the restaurants' financial performance such as ROA (return on assets), ROE (return on equity), and PM (profit margins), which confirms the findings from existing literature. More importantly, results show that the degree of franchising has a positive moderating effect on the relationship between COVID-19 and financial performance of restaurant firms. This suggests that more active engagement in franchising may decrease negative impacts of COVID-19 on the restaurants' financial performance. Conclusions: The study supports existing literature related to risk-sharing theory, by confirming that pandemics, such as COVID-19, negatively affect financial performance of the restaurants. Furthermore, it was found that franchising strategy can help lessen negative impacts of pandemics on the firm performance. These findings can contribute to the franchise and restaurant management literature by suggesting the role of franchising in reducing business risks, thereby positively affecting financial performance. Moreover, this study offers business managers of franchisors and franchisees insights for utilizing franchising in restaurant risk management. Policymakers may also gain information on aiding restaurant firms during global crisis, such as COVID-19.