• 한국산학기술학회논문지
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• 제4권4호
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• pp.428-433
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• 2003

본 논문은 우리나라 M＆A 시장이 선진국형의 시장 경쟁원리에 근거하여 보다 자율적이고 경쟁적인 분위기하에서 이루어 졌던 1990년부터 1997년까지의 기업합병 사례들을 대상으로 합병기업과 피 합병기업간의 M＆A사례를 표본으로 하여 합병성과를 실증 분석하였다. 합병성과 측정모형은 시장모형(market model) 과 시정조정모형(market adjusted model)을 이용하여 누적비정상 평균수익률(CAR)을 비교 검토하였다. 본 연구의 결과는 80년대의 기존 연구와는 특징적 차이가 있는 것으로 나타났으며 합병기업보다 피 합병기업에게 큰 폭의 정 (＋)의 누적초과 수익이 나타났다.

• 한국산학기술학회논문지
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• 제4권4호
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• pp.422-427
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• 2003

본 논문은 1990년부터 1997년 IMF금융위기가 일어난 시점까지 이루어진 다각화 합병과 비다각화 합병기업들의 M&A사례를 표본으로 하여 합병성과를 분석하였다. 합병성과 측정모형은 시장모형(market model)과 시장조정 수익률 모델(market-adjusted return model)을 그리고 검증은 t-통계량을 이용하였다. 연구결과, 본기간에 발생된 합병성과는 80년대에 비하여 경쟁적이고 보다 자율적인 M&A특성으로 인하여 비다각화합병 기업에게 부(-)의 성과가, 다각화합병기업에게는 정(＋)의 성과로 나타났다.

• The Journal of Asian Finance, Economics and Business
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• 제7권12호
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• pp.605-613
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• 2020

In unfrictionless markets, one measure of asset pricing is its height of friction. This study develops a three-factor model by loosening the assumptions about stocks without friction, without risk, and perfectly liquid. Friction is used as an indicator of transaction costs to be included in the model as a variable that will reduce individual profits. This approach is used to estimate return, beta and other variable for firms listed on the Indonesian Stock Exchange (IDX). To test the efficacy of friction-adjusted three-factor model, we use intraday data from July 2016 to October 2018. The sample includes all listed firms; intraday data chosen purposively from regular market are sorted by capitalization, which represents each tick size from the biggest to smallest. We run 3,065,835 intraday data of asking price, bid price, and trading price to get proportional quoted half-spread and proportional effective half-spread. We find evidence of adjusted friction on the three-factor model. High/low trading friction will cause a significant/insignificant return difference before and after adjustment. The difference in average beta that reflects market risk is able to explain the existence of trading friction, while the difference between SMB and HML in all observation periods cannot explain returns and the existence of trading friction.

• Safety and Health at Work
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• 제11권3호
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• pp.291-300
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• 2020

Background: The study aimed to determine the association of individual cognitive ability in late midlife with labor market participation among older workers. Methods: This prospective cohort study estimates the risk of long-term sickness absence, disability pension, early retirement, and unemployment from scores on the Intelligenz-Struktur-Test 2000R by combining data from 5076 workers from the Copenhagen Aging and Midlife Biobank with a register on social transfer payments. Analyses were stepwise adjusted for age, gender, physical and psychosocial work environment, health behaviors, occupational social class, education, and chronic diseases. Results: In the fully adjusted model, low cognitive ability (≥1 standard deviation below the mean for each gender) and high cognitive ability (≥1 standard deviation above the mean for each gender) were not associated with risk of any of the four labor market outcomes. Conclusion: Individual cognitive ability in late midlife was not associated with risk of long-term sickness absence, disability pension, early retirement, and unemployment in the fully adjusted model. Thus, no direct effect of individual cognitive ability in late midlife was observed on the risk of permanently or temporarily leaving the labor market.

• The Journal of Asian Finance, Economics and Business
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• 제8권5호
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• pp.839-850
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• 2021

Risk-adjusted return is believed to be one of the optimal parameters to determine an optimum portfolio. A risk-adjusted return is a calculation of the profit or potential profit from an investment that takes into account the degree of risk that must be accepted to achieve it. This paper presents a new procedure in portfolio selection and utilizes these results to optimize the risk level of risk-adjusted Islamic stock portfolios. It deals with the weekly close price of active issuers listed on Jakarta Islamic Index Indonesia for a certain time interval. Overall, this paper highlights portfolio selection, which includes determining the number of stocks, grouping the issuers via technical analysis, and selecting the best risk-adjusted return of portfolios. The nominated portfolio is modeled using Quadratic Programming (QP). The result of this study shows that the portfolio built using the lowest Value at Risk (VaR) outperforms the market proxy on a risk-adjusted basis of M-squared and was chosen as the best portfolio that can be optimized using QP with a minimum risk of 2.86%. The portfolio with the lowest beta, on the other hand, will produce a minimum risk that is nearly 60% lower than the optimal risk-adjusted return portfolio. The results of QP are well verified by a heuristic optimizer of fmincon.

• 재무관리연구
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• 제25권1호
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• pp.109-140
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• 2008

본 연구는 투자자간의 의견차이가 수익률의 비대칭적 변동성 현상에 영향을 주는지 검증하고, 정보량이 비대칭적 변동성에 미치는 영향을 검증하였다. 2000년 1월 4일부터 2005년 12월 29일까지의 유가증권시장 주가지수의 일별 종가와 거래량을 표본자료로 이용하였으며, 일별 거래량과 시장가치 수준별로 개별기업을 대상으로 각각 포트폴리오를 구성하여 분석하였다. 실증분석에서 TGARCH 모형을 기본모형으로 이용하였으며, 투자자간 의견차이의 대용변수인 거래량을 추가한 수정모형을 통하여 분석하였다. 주가지수를 대상으로 기본모형을 분석한 결과는 비대칭적 변동성이 존재하는 것으로 나타났으나, 수정모형의 분석 결과에서는 비대칭적 변동성이 유의적으로 감소되는 것으로 나타났다. 그리고 포트폴리오를 대상으로 분석한 결과는 정보량(거래량, 시장가치)이 많을수록 비대칭성 계수와 비대칭성 비율이 대체적으로 높은 것으로 나타났으며, 또한 기본모형에 비해 수정모형에 의해 추정된 비대칭성 계수와 비율이 제한적이나마 유의적으로 감소하는 것으로 나타났다. 이상의 결과에서 우리나라 증권시장에서 투자자간 의견차이가 비대칭적 변동성을 설명하는 요인 중의 하나라고 할 수 있으며, 정보량이 비대칭적 변동성에 제한적으로 영향을 미치는 것을 알수 있었다. 한편, 시장가치가 높은 포트폴리오일수록 비대칭적 변동성이 높게 나타났는데 이는 투자자간 의견차이 뿐만 아니라 정보의 신뢰성 차이에 기인한 투자자들의 의견수정 정도에 의해 나타난 것으로 사료된다.

• KDI Journal of Economic Policy
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• 제43권4호
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• pp.45-67
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• 2021

We analyze the social welfare effect when a policy-based financial system (PFS) enters a decentralized financial market. Particularly, the PFS in this case supports the interest spread for corporate loans held by firms with heterogeneous bankruptcy decisions under an imperfect information structure. Although support for capital costs through the PFS expands the economy consistently, the optimal level of PFS out of the corporate loan market is estimated to be 8.6% by a simulation model considering social welfare adjusted by the disutility of labor. This result is much lower than the recent level of PFS in the Korean financial sector.

• Ocean and Polar Research
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• 제34권2호
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• pp.175-183
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• 2012

A project to build a large oceanographic research ship was proposed to improve the level of ocean research. This paper attempts to measure the non-market benefits of the project. To this end, the dichotomous choice contingent valuation method is used. In particular, the recently proposed one and one-half bounded model is applied. The model can reduce the potential for response bias compared to the double bounded model, while maintaining much of its efficiency. Moreover, in order to deal with zero WTP observations, a spike model is adjusted for our data. A survey of 500 randomly selected households was implemented in the Metropolitan area. The respondents were asked in person-to-person interviews about how they would be willing to pay for implementing the project. Overall, respondents accepted the contingent market, and were willing to contribute a significant amount (3,244 won), on average, per household per year. The aggregate value of the project nationwide would amount to approximately 40.1 billion won per year.

• Journal of Korea Trade
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• 제27권1호
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• pp.79-100
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• 2023

Purpose - The purpose of this study is to analyze the market power of the Korea Container Shipping Market (Intra Asia, Korea-Europe, and Korea-U.S.) to verify the existence of collusion empirically, and to answer whether the joint actions of liner market participants in Korea have formed market dominance for each route. Precisely, it will be verified through the Lerner index as to whether the regional market of Asia is a monopoly, oligopoly, or perfect competition. Design/methodology - This study used a Lerner index adjusted with elasticity presented in the New Imperial Organization (NEIO) studies. NEIO refers to a series of empirical studies that estimate parameters to judge market power from industrial data. This study uses B-L empirical models by Bresnahan (1982) and Lau (1982). In addition, NEIO research data statistically contain self-regression and stability problems as price and time series data. A dynamic model following Steen and Salvanes' Error Correction Model was used to solve this problem. Findings - The empirical results are as follows. First, λ, representing market power, is nearly zero in all three markets. Second, the Korean shipping market shows low demand elasticity on average. Nevertheless, the markup is low, a characteristic that is difficult to see in other industries. Third, the Korean shipping market generally remains close to perfect competition from 2014 to 2022, but extreme market power appears in a specific period, such as COVID-19. Fourth, there was no market power in the Intra Asia market from 2008 to 2014. Originality/value - Doubts about perfect competition in the liner market continued, but there were few empirical cases. This paper confirmed that the Korea liner market is a perfect competition market. This paper is the first to implement dynamics using ECM and recursive regression to demonstrate market power in the Korean liner market by dividing the shipping market into Deep Sea and Intra Asia separately. It is also the first to prove the most controversial problems in the current shipping industry numerically and academically.

• 기술혁신연구
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• 제12권3호
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• pp.159-177
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• 2004

Technological innovation is one of the critical success factors determining firm's Technological innovation is one of the critical success factors determining firm's value in the knowledge based economy. The study examines whether the information release on technological innovation has information contents in the stock market. The abnormal returns and cumulative abnormal return were calculated by using Market and Risk Adjusted Return Model. The results say that the market positively reacts to the information release of technological innovation on the event date. Especially, the disclosure on technology development causes stable increase of the firm's value. It is concluded that the market reacts favorably to technological innovations.