5요인 모형의 한국 주식시장에서의 설명력에 관한 연구

류호영,정대성,김태혁 한국자료분석학회 2016 Journal of the Korean Data Analysis Society Vol.18 No.5

This study investigates the explanatory power of Fama, French (2015) five factor model in the Korean stock market using the monthly stock return and financial statements data of KOSPI common stocks from January 1987 to June 2015. In the part 1, 16 portfolio returns are compared by constructing 4 size portfolios and 4 other (BM, operating profit, and capital investment) portfolios and following results are found. Stock returns are negatively related to size and positively related to profitability. But, in contrast to result of Fama, French (2015), stock returns increase with capital investment in Korean stock market. By controlling size, BM effect appears only in medium size portfolios. In the part 2, the explanatory power of Fama, French five-factor model (2015) and three-factor model (1993) is examined by regressing time series portfolio returns on five factors (market risk premium, size, BM, profitability, and capital investment) returns and portfolio returns on three factors (market size, BM) returns. The average absolute value of the intercept and the absolute value of the intercept over the average absolute value of individual portfolio's deviation from the cross-section average are compared. Judged on regression intercepts, Fama, French’s five factor model has a better empirical power than their three factor model in the Korean stock market. This study also shows profitability premium factor provides more convincing explanation than capital investment premium factor does. In addition, value premium factor cannot explain variation in stock returns. 본 연구는 Fama, French(2015) 5요인 모형의 한국 주식시장에서의 설명력에 관하여 분석하였다. 실증분석은 한국거래소의 유가증권시장을 대상으로 시행하였으며, 분석기간은 1987년 1월부터 2015년 6월까지 총 342개월이다. 먼저 기업규모와 다른 변수들을 통제한 포트폴리오를 구성한 16개 포트폴리오 수익률의 패턴을 분석한 결과, 기업규모는 주식수익률과 부(-)의 관계를 가지고 수익성과는 정(+)의 관계를 가지는 것으로 나타났다. 그러나 자본투자의 경우 주식수익률과 정(+)의 관계를 가지는 것으로 나타났는데, 이는 미국 주식시장을 대상으로 연구한 Fama, French(2015)의 주장과 상반된 결과이다. 그리고 주식수익률에 있어서 가치 효과의 존재는 중규모 포트폴리오 수익률에서만 확인되었다. 또한 본 연구는 Fama, French(2015)에서 제시한 5요인 모형과 Fama, French(1993) 3요인 모형을 우리나라 주식시장에 적용하여 각 모형에 대한 설명력 비교 분석하였다. 5요인 모형의 경우 기업규모, BM, 수익성, 자본투자를 통제한 분석 대상 포트폴리오 수익률을, 3요인 모형의 경우 기업규모, BM을 통제한 포트폴리오를 대상으로 회귀분석을 시행하였다. 절편의 절대값과 절편의 절대값 대비 개별 포트폴리로 수익률의 횡단면 수익률 평균에 대한 편차의 절대값의 비율을 분석한 결과, 분석 대상 포트폴리오에 상관없이 Fama, French 5요인 모형은 3요인 모형에 비해 높은 설명력을 가지는 것으로 나타났다. 이러한 결과는 한국 주식시장에서 주식수익률의 움직임을 설명하는 데 있어서 5요인 모형이 3요인 모형보다 적합하다는 것을 시사한다.

The Time-Varying Coefficient Fama - French Five Factor Model: A Case Study in the Return of Japan Portfolios

LIAMMUKDA, Asama,KHAMKONG, Manad,SAENCHAN, Lampang,HONGSAKULVASU, Napon Korea Distribution Science Association 2020 The Journal of Asian Finance, Economics and Busine Vol.7 No.10

In this paper, we have developed a Fama - French five factor model (FF5 model) from Fama & French (2015) by using concept of time-varying coefficient. For a data set, we have used monthly data form Kenneth R. French home page, it include Japan portfolios (classified by using size and book-to-market) and 5 factors from July 1990 to April 2020. The first analysis, we used Augmented Dickey-Fuller test (ADF test) for the stationary test, from the result, all Japan portfolios and 5 factors are stationary. Next analysis, we estimated a coefficient of Fama - French five factor model by using a generalized additive model with a thin-plate spline to create the time-varying coefficient Fama - French five factor model (TV-FF5 model). The benefit of this study is TV-FF5 model which can capture a different effect at different times of 5 factors but the traditional FF5 model can't do it. From the result, we can show a time-varying coefficient in all factors and in all portfolios, for time-varying coefficients of Rm-Rf, SMB, and HML are significant for all Japan portfolios, time-varying coefficients of RMW are positively significant for SM, and SH portfolio and time-varying coefficients of CMA are significant for SM, SH, and BM portfolio.

What Explains China’s GEM Market? Evidence from the Five Factors

Shengjie Su,Yun Joo An,Moon Sub Choi 아시아유럽미래학회 2020 유라시아연구 Vol.17 No.1

본 연구에서는 Fama-French 5요인 모형과 3요인 모형을 이용하여 중국의 GEM (Growth-Enterprise- Market) 시장에 상장된 주식의 자산가격을 분석한다. GEM 시장은 기술 섹터 중소형 주식 위주로 이루 어진 주가지수이다. 본 연구는 Fama-French 5요인의 설명력을 계산하는 방법론으로 1요인 분석, 다중 요인 분석, 그리고 다중 요인 모형 회귀분석을 사용한다. 본 연구의 결과로는 ‘Robust Minus Weak’ 요 인이 GEM에 상장된 주식의 가격을 5요인 중 가장 잘 설명한다는 것이다. 3요인에 비해 5요인에 새로 추가된 요인인 ‘Robust Minus Weak’ 요인은 또한, ‘Size/Book to Market’ 요인의 설명력을 약화시킨다. ‘Size/Book to Market’ 요인의 약한 설명력은 중소형 주식이 대형 주식보다 size에 대한 민감도가 높아서 이기 때문이라고 결론낸다. We investigate the applicability of the Fama-French five-factor model and three-factor model on China’s Growth Enterprise Market (GEM), which is a small-mid capital equity-based proxy in technology industries. We calculate the explanatory powers of the five factors by contrasting them against single-factor tests, multi-factor tests, and multi-factor model regression. We argue that in GEM, the ‘Robust Minus Weak’ factor best predicts stock price, whereas such profitability factor weakens the potential of ‘Size/Book to Market’ factor. The weakness of size factor is due to the high sensitivity of small-size enterprises on size factor.

성격특성이 재미가치와 장소애착을 통해 관광만족에 미치는 영향 : 성격 5요인 모델을 중심으로

김대석,방원기,고영공 K기업경영연구원 2023 KBM Journal(K Business Management Journal) Vol.7 No.1

This study examined the effects of a five-factor model of personality traits (extroversion, conscientiousness, openness, agreeableness, and neuroticism) on experiential value, place attachment, and tourism satisfaction, the effect of experiential value on place attachment and tourism satisfaction, and the effect of place attachment on tourism satisfaction for tourists with tourism experience. A survey was conducted on tourists, 251 survey data were collected, and research hypotheses were verified using Smart PLS 3.0 and SPSS 25.0. The results of the study are follows. Firstly, among the five-factor model of personality traits, the factors of conscientiousness, openness and agreeableness had a positive(+) effect on the experiential value, and the neuroticism had a negative(-) effect. On the other hand, it was found the influencing relationship was not established for the extroversion factor. Secondly, among the five-factor model of personality traits, the openness, agreeableness and neuroticism had a positive(+) effect on the place attachment, but the extroversion and conscientiousness did not have an influencing relationship. Thirdly, among the five-factor model of personality traits, the openness, agreeableness had a positive(+) effect on tourism satisfaction, but the extroversion, conscientiousness and neuroticism show no influencing relationship. Fourthly, experiential value had a positive(+) effect on place attachment and tourism satisfaction. Lastly, place attachment had a positive(+) effect on tourism satisfaction. Based on the above research results, theoritical and practical implications are presented, and it is expected to lay a practical foundation for revitalizing tourism companies and establishing efficient marketing strategies.

대학생의 성격 5요인이 온라인 수업 내 상호작용과 온라인 수업 만족도에 미치는 영향

문주현 ( Moon-ju Hyun ),최문용 ( Choi-mun Yong ) 한국교육정보미디어학회(구 한국교육정보방송학회) 2020 교육정보미디어연구 Vol.26 No.4

본 연구는 성격 5요인이 온라인 수업 내 상호작용과 온라인 수업 만족도에 미치는 영향을 파악하기 위해 시작되었다. 이를 위해 이론적 배경에서 선행 연구들을 살펴보았고, 연구모형과 연구가설을 설정하였다. 설문지는 온라인으로 배포ㆍ회수되었는데 총 257부를 회수하였고, 정제를 거쳐 총 217부를 최종통계분석에 사용하였다. 연구결과를 요약하면 다음과 같다. 첫째, 가설 1-1의 성격 5요인은 온라인 수업 내 상호작용 하위요인 중 학습자 외적요인에 부분적으로 영향을 미치는 것으로 나타났다. 외향성, 우호성은 정의 방향으로 영향을 미치는 것으로 나타났고, 신경증은 부의 방향으로 영향을 미치는 것으로 나타났다. 둘째, 가설 1-2의 성격 5요인은 온라인 수업 내 상호작용 하위요인 중 학습자 내적 요인에 부분적으로 영향을 미치는 것으로 나타났다. 성실성, 외향성, 우호성은 정의 방향으로 영향을 미치는 것으로 나타났다. 셋째, 가설 2의 온라인 수업 내 상호작용은 온라인 수업 만족도에 영향을 미치는 것으로 나타났다. 특히 학습자 외적요인이 상대적으로 중요한 변수임이 입증되었다. 온라인 수업 내 상호작용 과정에서 교수와의 의사소통, 교수와의 질의응답, 콘텐츠의 질, 학습관리시스템 등으로 요약되는 학습자 외적요인이 온라인 수업 만족도에 보다 영향을 미친다는 의미이다. 향후 비대면 온라인 수업 만족도를 제고하기 위해서는 수업 내 상호작용 과정에서 학습자-교수자, 학습자-학습환경 등을 면밀하게 검토할 필요가 있다는 것을 알 수 있다. This study demonstrated a methodology that the five-factor model of personality for students played in the relationship between interaction within the online class and online class satisfaction. To achieve this purpose, the following study questions were drawn. First, does the five factor model of personality effect interaction within the online class? Second, does the relationship within the online class effect online class satisfaction? For the study, using 217 self-reported online survey data from students across the college and university. The conclusion from the analysis indicated as follows. First, five factors including openness, conscientiousness, extraversion, agreeableness, neuroticism(OCEAN) were derived as student’s personality traits. Second, the five-factor model of personality had a partially positive relation to the degree of interaction within the online class, especially student’s external factors(extraversion, agreeableness, neuroticism), and student’s internal factors(conscientiousness, extraversion, agreeableness). Third, interaction within the online class had a positive relation to the degree of online class satisfaction according to hypothesis 2. The results suggested that the five-factor model of personality contributed most to interaction within the online class & online class satisfaction in the university students.

호텔리어의 성격 5요인이 직무만족과 직무성과에 미치는영향 -서울지역 특급호텔을 대상으로-

문주현,박정숙 (사)한국관광레저학회 2018 관광레저연구 Vol.30 No.11

The purpose of this study was to explore the role that the Five-Factor Model played in the relationship between their job satisfaction with and job performance in the hospitality industries. For the study, using 153 self-reported survey data from hoteliers across the hotels. A multiple regression analysis were performed to determine if hotelier’s personality trait could be grouped meaningfully based on the Five-Factor Model and job satisfaction & job performance. The conclusion from results and discussions were as follows. First, five factors including neuroyicism, extraverson, openness, agreeableness, conscientiousness(OCEAN) were derived as hotelier’s personality traits. Secons, as a result of the analysis of multiple regression, the Five-Factor Model had a partially positive relation to the degree of job satisfaction (intrinsic satisfation), job satisfaction (extrinsic satisfaction), but no positive to the degree of job satisfaction (work environment) according to the hypothesis Ⅰ. Third, job satisfaction had a positive relation to the degree of job performance, especially intrinsic satisfaction according to the hypothesis Ⅱ. Therefore, this result suggested that the Five-Factor Model contributed most to job satisfaction & job performance in the hospitality industries.

A Comparison of New Factor Models in the Korean Stock Market

Hankil Kang,Jangkoo Kang,Wooyeon Kim 한국재무학회 2016 한국재무학회 학술대회 Vol.2016 No.05

We compare empirical performance of the Fama and French (2015) five-factor model, the Hou, Xue, and Zhang (2014) q-factor model, and their variations in the Korean stock market. Among the models considered, we show that the adjusted five-factor model, which includes the quarterly-based profitability factor instead of the yearly-based one, best explains the size, value, investment, and profitability sorted portfolio returns. The adjusted five-factor model outperforms the other factor models in digesting various anomalies in the Korean market.

DSM-Ⅳ 성격장애와 성격 5요인 간의 관계

황순택,윤훈,이숙희 한국임상심리학회 2008 Korean Journal of Clinical Psychology Vol.27 No.3

The purpose of this study is to investigate whether the factors from the Five-Factor Model of Personality can be applied to a categorical model of personality disorders. Three hundred ninety subjects, who were over 19 years of age, participated in collecting the data. The five factors (neuroticism, extroversions, openness to experience, agreeableness, conscientiousness) of personality showed significantly correlations with the scores of the ten DSM-Ⅳpersonality disorders. On the results of multiple regression analysis, the five factors of personality significantly predicted the DSM-IV personality disorders. The Paranoid, Schizotypal, Borderline, Avoidant, and Dependant PDs were positively predicted by ‘neuroticism’. The Paranoid, Schizoid, Avoidant, and Obsessive-Compulsive PDs were negatively predicted and the Borderline PD was positively predicted by ‘extroversion’. The Schizotypal, Borderline, and Narcissistic PDs were positively predicted by ‘openness to experience’. The Paranoid, Schizotypal, Antisocial, Borderline, Histrionic, and Narcissistic PDs were negatively predicted by ‘agreeableness’. The Paranoid and Obsessive-Compulsive PDs were positively predicted and the Histrionic and Narcissistic PDs were negatively predicted by ‘conscientiousness’. These results suggest that personality disorders can be represented by the Five-Factor Model of Personality.

Specialty choice preference of medical students according to personality traits by Five-Factor Model

Oh Young Kwon,So Youn Park 한국의학교육학회 2016 Korean journal of medical education Vol.28 No.1

Purpose: The purpose of this study was to determine the relationship between personality traits, using the Five-Factor Model, and characteristics and motivational factors affecting specialty choice in Korean medical students. Methods: A questionnaire survey of Year 4 medical students (n=110) in July 2015 was administered. We evaluated the personality traits of Extraversion, Agreeableness, Conscientiousness, Neuroticism, and Openness by using the Korean version of Big Five Inventory. Questions about general characteristics, medical specialties most preferred as a career, motivational factors in determining specialty choice were included. Data between five personality traits and general characteristics and motivational factors affecting specialty choice were analyzed using Student t-test, Mann-Whitney test and analysis of variance. Results: Of the 110 eligible medical students, 105 (95.4% response rate) completed the questionnaire. More Agreeableness students preferred clinical medicine to basic medicine (p=0.010) and more Openness students preferred medical departments to others (p=0.031). Personal interest was the significant motivational factors in more Openness students (p=0.003) and Conscientiousness students (p=0.003). Conclusion: Medical students with more Agreeableness were more likely to prefer clinical medicine and those with more Openness preferred medical departments. Personal interest was a significant influential factor determining specialty choice in more Openness and Conscientiousness students. These findings may be helpful to medical educators or career counselors in the specialty choice process.

Influencing Factors of Research Collaboration Intention in Virtual Academic Communities in China

Yan, Chunlai,Li, Hongxia Korea Institute of Science and Technology Informat 2021 Journal of Information Science Theory and Practice Vol.9 No.2

Research collaboration is an important strategy to improve research output, and virtual academic communities (VACs) have become an important platform to collaborate on. This paper reveals the influencing factors of researchers' collaboration intention in VACs from two attributes: individual, and inter-members. On the basis of the Social Cognitive Theory, Social Exchange Theory, social network theory, and Five-Factor Model, this paper constructed a model demonstrating the influencing factors of VACs researchers' collaboration intention. A self-administered questionnaire was employed on members of four VACs in China to collect data; subsequently, 558 usable responses were analyzed using structural equation modeling. The result showed that openness, conscientiousness, reciprocity, trust, and the social network characteristic had a significant influence on the collaboration intention of researchers in VACs, while self-efficacy, agreeableness, extroversion, neuroticism, and experience had no significant effects on the collaboration intention of researchers in VACs. This model plays a positive role in promoting the research collaboration intention of Chinese VACs researchers and in guiding the construction of VAC platforms.