고유변동성, 왜도와 포트폴리오 주식수익률

변영태,김태혁 한국자료분석학회 2012 Journal of the Korean Data Analysis Society Vol.14 No.2

The overall goal of this study is to examine the cross-sectional relationship between firm-specific volatility, firm-specific skewness and stock returns in Korean stock market. To achieve this goal, this study measured firm-specific volatility and firm-specific skewness using FF-3 factor model and tested whether stocks with difference to firm-specific volatility have different average returns following the approach suggested by Ang, Hodrick, Xing, and Zhang (2006) and Boyer, Mitton, and Vorkink (2010). A total of 551 stocks on KOSPI from January, 1999 to December, 2008 were used for this study. This study found that stock returns are negatively related to firm-specific volatility. It means that portfolios with highest firm-specific volatility have significantly lower return than portfolios with lowest firm-specific volatility. firm-specific volatility is robust to controlling for firm-specific skewness and coskewness, which is consistent with Ang et al. (2006)’s result. 본 연구는 KRX 유가증권시장에서 거래되는 KOSPI의 전체 종목 중에서 1999년 1월 이후부터 2008년 12월 30일까지 연속상장된 종목을 대상으로 고유변동성 및 고유왜도와 주식수익률 간의 관계에 대해 실증분석하였다. 연구결과에 의하면 고유변동성은 동일가중 주식수익률과 음(-)의 관계를 가지는 것으로 나타났다. 즉, 고유변동성이 낮은 포트폴리오의 수익률은 높고 고유변동성이 높은 포트폴리오의 수익률은 낮은 결과를 보였다. 이러한 결과는 Ang et al.(2006)과 한국 주식시장의 KOSPI 전체종목을 대상으로 한 김태혁․변영태(2011)연구와 일치한다. 한편, 고유변동성이 높을수록 낮은 성과를 보이는 고유변동성효과가 고유왜도와 공왜도에 의해 설명되는 지에 대해 분석을 하였다. 고유변동성 효과는 고유왜도와 공왜도를 고려하더라도 여전히 강건하게 존재하는 것으로 나타났다.

애널리스트의 목표주가 변경은 투자자들에게 유용한 정보인가?

변영태,김수경 한국무역통상학회 2020 무역통상학회지 Vol.20 No.1

This paper studies the stock price response centering on the target stock price change announcement date in order to find out whether the price change of analysts belonging to domestic securities firms can be useful information for investors. The data used in the empirical analysis of this study are the stocks of the securities market whose target price has changed for the past five years from January 2014 to December 2018. The changes of target price is 9,695 upwards and 9,971 downwards. The main findings of this study are as follows. First, when analysts changed target stock price, such as upwards and upwards, the stock price continued to rise from around D-200 to D+2. In addition, when the target stock price was changed from downward to upward, the share price fell, and then rose sharply from about D-30 before the announcement date to D+2 on the release date, and then gradually dropped thereafter. On the other hand, it is interesting to note that when analysts changed target stock price upwards, the pace of stock price increases as announcement date approach. Second, when analysts changed their target price continuously downward, the share price dropped sharply from about D-200 before the announcement date to D+3 on the release date, and then slowly dropped. In addition, when the price target was changed from upward to downward, the target stock price rises slowly and then drops sharply from D-60 days to D+1 days immediately after the announcement. The share price continued to fall after D+1, just after the announcement date. The results of this study are meaningful in that investors in the capital market are provided with appropriate information on the buying and selling timing and holding period in the short term.

내재위험회피도에 반영된 기대와 위험선호의 이질성

변영태,이명철,강태훈 한국재무관리학회 2010 財務管理硏究 Vol.27 No.4

The study empirically examines the anomaly patterns of implied risk aversion obtained by comparing the statistical density of KOSPI 200 index returns and the state-price density implied in KOSPI 200 index options prices and potential source of the anomaly patterns with heterogeneous beliefs as center. The anomaly patterns can be summarized as pronounced U-shaped patterns and negative values of risk aversion. The methodology of Jackwerth(2000), Aїt-Sahalia and Lo(2000)is used to infer implied risk aversion, which can estimate time-varying implied risk aversion functions across each state of underlying asset price at option’s maturity and do not need ex-ante assumptions of a complete market and the specific utility function of representative agent. The empirical results are summarized as follows. Firstly, the implied risk aversion estimates are puzzling, exhibiting pronounced U-shaped patterns and negative values. Secondly, the smile patterns of implied risk aversion functions across several estimation periods of the subjective distributions suggest that heterogeneous beliefs are likely cause of the smile. When the smile patterns caused by heterogeneous beliefs are disappeared after applying subjective distributions having short-term estimating periods, preferences of the pricing-representative agent exhibit decreasing relative risk aversion functions. According to the theory derived by Benninga and Mayshar(2000),the essence of this results is heterogeneity in investor attitudes towards risk. Lastly, because of the investors' risk preferences heterogeneity, negative values of risk aversion imply possibility of the existence of some investors who like to take risk and is even willing to pay for it. 본 연구는 Aїt-Sahalia and Lo(2000), Jackwerth(2000), Perignon and Villa(2002) 등의 기존 연구들에서 발견된 내재위험회피도의 이례현상이 국내 금융자본시장에서도 관찰되는 가를 확인하였다. 그리고 투자자 기대의 이질성을 중심으로 이례현상을 설명할 수 있는 가능한 원인을 고찰하였다. 내재위험회피도를 추정하기 위한 방법론으로는 Bliss and Panigirtzoglou(2004)과는 달리 완성시장의 가정과 효용함수의 범위를 사전적으로 제약하지 않으며, 기초자산 가격의 상태별로 시간가변적인 내재위험회피도를 추정할 수 있는 Jackwerth(2000), Aїt-Sahalia and Lo(2000)의 방법론을 이용하였다. 분석결과, KOSPI 200 지수와 지수옵션시장의 경우에도 선물가격 근처에서 스마일의 형태를 가지며, 음의 값을 가지는 내재위험회피도의 이례현상이 관찰되었다. 그리고 주관적확률분포의 추정기간이 줄어들수록 스마일의 굴곡도 단조감소하기 때문에, Ziegler(2007)가 이론적인 모형과 시뮬레이션을 통해 지적하였던 투자자의 이질적 기대가 스마일의 이례현상을 설명하는 가능한 원인이 됨을 알 수 있었다. 또한 이질적 기대로 인한 스마일의 패턴이 제거된 상대위험회피도는 부의 수준이 증가할 때 단조감소하였는데, 이는 Benninga and Mayshar(2000)와 Ziegler(2002)에 의해서 이론적으로 증명되고 Kliger and orilevy(2002)에 의해서 실증적으로 확인된 것처럼, 투자자의 위험선호가 이질적이기 때문인 것으로 해석될 수 있다. 마지막으로 투자자들의 위험선호가 이질적일 경우, 음의 위험회피계수는 위험 선호적으로 의사결정하는 투자자들이 존재함을 의미한다.

광변조기/스위치의 광학재료 기술현황

변영태,김선호 한국세라믹학회 2001 세라미스트 Vol.4 No.2

PPpinNN 이종접합구조를 이용한 W-도파로 1x2 MMI 결합기

변영태,김형권,박화선,김재헌,김선호,이종창 한국통신학회 2002 한국통신학회 기타 간행물 Vol.2002 No.10

저손실의 단일모드 $Al_{0.042}Ga_{0.958}As/GaAs/Al_{0.042}Ga_{0.958}As$ strip-loaded 광 도파로

변영태,박경현,김선호,최상삼,임동건 한국광학회 1995 한국광학회지 Vol.6 No.2

The low loss single-mode $Al_{0.042}Ga_{0.958}As/GaAs/Al_{0.042}Ga_{0.958}As$ strip-loaded waveguides had been designed using an effective index method and fabricated using a MOCVD technique and chemical wet etching method. The propagation loss and facet reflectivity were measured by the Fabry-Perot resonance method and sequential cleaving experiment at $1.31{\mu}m$ wavelength. As a result, the propagation loss is as low as 0.62 dB/cm and the facet refiectivity(R) equals to 0.299 for straight waveguides with width $ w=4.1{\mu}m$.. 저손실의 단일모드 $Al_{0.042}Ga_{0.958}As/GaAs/Al_{0.042}Ga_{0.958}As$ strip-loaded 도파로들이 유효굴절률 방법으로 설계되고 MOCVD 성장기법과 화학적인 습식 식각방법으로 제작되었다. 제작된 도파로의 전파손실과 도파로 단면의 반사율은 $1.31{\mu}m$ 파장에서 Fabry-Perot 공명방법과 연속적인 절단 실험을 이용하여 측정되었다. 실험결과 폭이 $ w=4.1{\mu}m$인 직선 도파로에 대해 전파손실은 0.62dB/cm로 작았으며 도파로의 반사율은 0.299가 되었다.

코로나19 사태 전후 미국 주식시장의 정보이전현상과 외국계투자자의 매매행태에 관한 연구

변영태,김수경 한국무역통상학회 2022 무역통상학회지 Vol.22 No.6

This study analyzed whether there was any change during this period in the information transfer phenomenon of the US stock market to the domestic stock market by dividing it into before and after the outbreak of the corona crisis. Also, during this period, we looked at the changes in the impact of foreign investors' trading behavior on the domestic stock market. The period for the empirical analysis was from January 2, 2017 to June 17, 2022, and March 11, 2020, when the WHO declared a pandemic, was used as the reference point for the distinction between before and after the outbreak of COVID-19. The main analysis results are as follows. First of all, it was confirmed that the same information transfer phenomenon occurs in the US stock market in terms of yield and volatility in the domestic stock market as in previous studies. However, in the case of the transfer of the return of the domestic stock market to the US stock market, the night return showed a strong effect, but the weekly return showed the opposite result. Therefore, it was found that the domestic stock market overreacted to the US market at the beginning of the day and then went through an adjustment process during the day. No significant differences were found when comparing the domestic nighttime and weekly returns before and after the corona crisis regarding the yield transfer phenomenon from the US market. Second, the trading behavior of foreign investors was found to have a positive (+) effect on the domestic stock market, as expected. When net purchases by foreign investors have a positive (+) value, the KOSPI, as well as large-cap, mid-cap, and small-cap stock indices generally rise. Unlike before and after the outbreak of COVID-19, foreign investors' trading behavior continued to show an advantage over significant selling, but in terms of their influence on the domestic stock market, no significant difference could be found before and after the outbreak of COVID-19. However, before the outbreak of COVID-19, most indices showed a positive (+) relationship between the nightly yield and the trading behavior of foreign investors, but after that, there was no statistical significance between them. The results of this study are meaningful in that the movements of the US stock market and the trading behavior of foreign investors after the COVID-19 crisis provide important information to investors participating in the domestic capital market in making investment decisions.

높은 열처리 온도를 갖는 GOI 웨이퍼의 직접접합

변영태,김선호,Byun, Young-Tae,Kim, Sun-Ho 한국재료학회 2006 한국재료학회지 Vol.16 No.10

A direct wafer bonding process necessary for GaAs-on-insulator (GOI) fabrication with high thermal annealing temperatures was studied by using PECVD oxides between gallium arsenide and silicon wafers. In order to apply some uniform pressure on initially-bonded wafer pairs, a graphite sample holder was used for wafer bonding. Also, a tool for measuring the tensile forces was fabricated to measure the wafer bonding strengths of both initially-bonded and thermally-annealed samples. GaAs/$SiO_2$/Si wafers with 0.5-$\mu$m-thick PECVD oxides were annealed from $100^{\circ}C\;to\;600^{\circ}C$. Maximum bonding strengths of about 84 N were obtained in the annealing temperature range of $400{\sim}500^{\circ}C$. The bonded wafers were not separated up to $600^{\circ}C$. As a result, the GOI wafers with high annealing temperatures were demonstrated for the first time.

SOI 제작을 위한 습식 열산화막에 대한 실험적 고찰

변영태,김형권 한국물리학회 2003 새물리 Vol.46 No.5

The thermal oxidation processes necessary for SOI fabrication with smart-cut technology were studied by using a wet oxidation technique. Oxide strips were fabricated by using both a photolithographic process and a wet etching technique. Their widths were 3, 4 and 5$\mu$m on an optical mask. A TENCO 500 surface profiler was used to measure the thickness of the oxide strips. Thermal oxides were grown for various oxidation times, O$_2$ flow rates, oxidation temperatures and cleaning methods. As a result, we found that the increase in the oxide thickness strongly depended on the oxidation temperature. Smart-cut 기술을 이용하여 SOI 제작에 필요한 열산화(thermal oxidation) 공정이 습식 산화 방법을 이용하여 연구되었다. 산화막 띠들은 포토리소그라피 공정기술과 습식 식각 방법을 이용하여 제작되었다. 산화막 띠의 폭은 광마스크 상에서 3, 4, 5 $\mu$m이었다. TENCO 500 surface profiler가 산화막 띠의 두께를 측정하기 위해 이용되었다. 열산화막은 산화시간, 산소유량, 산화온도, 그리고 세정방법을 변화시켜 가면서 성장되었다. 그 결과 산화막 두께 증가는 산화온도에 크게 의존한다 것을 알았다.

Quantum-well Intermixing Process for Large Blueshifting in an Ion-implanted InGaAs/InGaAsP Multiple-quantum-well Structure Using Two-step Annealing

변영태,전영민,김선호 한국물리학회 2010 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.57 No.5

We describe studies on implantation-enhanced quantum-well intermixing in a lattice-matched InGaAs/InGaAsP multiple-quantum-well p-i-n heterostructure. Samples are implanted with a dose of 5 × 1014 P+ ions /cm2 at a high energy of 1 MeV. The band gaps in the samples are determined from the photoluminescence at room temperature. The Rapid Thermal Annealing (RTA) process is carried out at 675 ℃ for 9 minutes, and the blue-shift of the band gap is as large as 107 nm. However, the band shift is improved to 140 nm when a novel two-step annealing process is conducted at 675 ℃ (9 min) and at 875 ℃ (1 min) in sequence.