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최성섭,정지호,박유근,박태준,박형진,김용애 대한화학회 2012 Bulletin of the Korean Chemical Society Vol.33 No.5
The orientational and dynamic behavior of liquid crystal molecules on the alignment layer surfaces of liquid crystal display (LCD) devices is crucial to their performance, but there are only a few methods of experimentally elucidating the interactions between the liquid crystals and the alignment layers. Inspired by the natural and technical similarities between membrane proteins in lipid bilayers and liquid crystals in LCDs, we employed solid-state NMR methodologies originally developed for the study of membrane proteins in lipid bilayers for the in-situ analysis of liquid crystal display panels. In this article, we present a home-built 500 MHz narrowbore (NB) 19F-13C double resonance solid-state NMR probe with a flat-square coil and the first application of this probe for the in-situ analysis of LCD panel samples.
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최성섭,이미영 한국재무관리학회 2014 財務管理硏究 Vol.31 No.3
Recent studies find that a position in at-the-money (ATM) zero-beta straddles consistently yields losses. This has been interpreted as evidence for the non-redundancy of options and as a risk premium for volatility risk. This paper analyses whether this is the case in terms of Korean market KOSPI 200 index option data. We have found that under normal market circumstances, zero-beta ATM straddles in Korean market also generate statistically significant negative returns. During turbulent credit crisis periods, however, zero-beta ATM straddles behave differently, by showing positive returns, albeit statistically not significant. We have further investigated whether the different pattern of zero-beta ATM straddles relates to exogenous factors that have something to do with hedge demands vs. speculative demands. Although only a small percentage of their variation can be explained by exogenous factors, we have found that under normal market circumstances, hedge demands seem to play a role in Korean market KOSPI 200 index option data, while the market appears to follow a different pattern during turbulent credit crisis periods. 최근 외국 연구에 따르면 제로베타 등가격 스트래들은 통계적으로 유의한 음(-)의 수익률을 보이고 있다. 이는 옵션이 더 이상 잉여자산이 아니라는 증거일 뿐 아니라, 이론적으로는 이 같은 현상이 옵션의 변동성위험에 대한 헤지수요를 충족시키는 역할에서 비롯되었기 때문이라고 해석될 수 있다. 본 논문은 국내시장에서도 이와 같은 현상이 관찰되는지를 살펴보았다. 그 결과, 금융위기 이전과 이후의 기간에서는 제로베타 등가격 스트래들이 통계적으로 유의한 음(-)의 수익률을 보이고 있음을 확인하였다. 하지만 금융위기 기간 중에는 보다 높은 변동성과 함께 제로베타 등가격 스트래들이 비록 통계적으로 유의하지는 않았지만 양(+)의 수익률 값을 나타냈다. 왜 이런 현상이 나타나는지를 살펴보기 위해 헤지수요와 투기수요를 나타내는 외생변수 대용치를 사용하여 제로베타 등가격 스트래들 수익률 사이에 결정요인 회귀분석을 하였다. 설명력이 높게 나오지는 않았으나, 금융위기가 아닌 정상적인 기간 중에는 헤지수요와 관련된 변수가 상대적으로 중요하게 영향을 주고 있음을 알게 되었고, 동시에 금융위기 중에는 이와는 다른 양상이 나타남을 확인하였다.
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장부가치와 주당 이익을 이용한 선형회귀모형과 신경망모형의 주가예측
최성섭,구형건,김영권,Choi, Sung-Sub,Koo, Hyeng-Keun,Kim, Young-Kwon 한국재무관리학회 2000 재무관리연구 Vol.17 No.1
본 연구는 주가를 예측하는데 있어서 선형 회귀모형을 이용하는 방법과 비선형 인공신경망 모형을 이용하는 방법을 비교 분석하여, 어떤 모형이 더 우수한 예측성과를 내는지를 검증한다. 자본시장에서 투자자들은 접근하는 정보가 다르고 각기 상이한 예측 변수들을 토대로 나름대로의 예측치를 만들어 낸다. 이렇게 볼 때 개별 투자자들이 이용하는 다양한 정보집합을 결합하여 단일의 뛰어난 정보집합을 만들어내는 것은 매우 어려운 과제이다. 따라서 본 연구에서는 이용 가능한 소수의 예측 변수들을 어떤 방식으로 결합하는 것이 예측오차의 분산을 최소화할 수 있는지에 대한 현실적인 접근방법을 모색하고자 한다. 거시경제변수나 시장자료를 입력변수로 사용한 기존 연구와는 달리 본 연구에서는 재무제표 정보를 입력변수로 사용하였다 즉, 대차대조표의 최종요약치인 주당 지분의 장부가치와 손익계산서의 최종요약치인 주당 순이익을 입력변수로 사용했으며 1991년부터 1995년까지의 추정(학습)결과를 토대로 모형을 선택하여 1996년의 제무제표 정보로 1997년의 주가를 예측하는 것이 본 연구의 과제이다. 연구결과, 대체로 선형회귀모형에 비해 비선형 신경망 모형이 예측오차의 분산을 감소시키는 것으로 나타났다.
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Nonparametric Stock Price Prediction
최성섭,박주헌,Choi, Sung-Sup,Park, Joo-Hean Korean Financial Management Association 1995 재무관리연구 Vol.12 No.2
When we apply parametric models to the movement of stock prices, we don't know whether they are really correct specifications. In the paper, any prior conditional mean structure is not assumed. By applying the nonparametric model, we see if it better performs (than the random walk model) in terms of out-of-sample prediction. An interesting finding is that the random walk model is still the best. There doesn't seem to exist any form of nonlinearity (not to mention linearity) in stock prices that can be exploitable in terms of point prediction.
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최성섭 한국상업교육학회 2020 상업교육연구 Vol.34 No.3
This paper investigates the importance of FF-3, 5 factor models, as well as FF-6 factor model by adding Liquidity(LIQ) to FF-5 factor model. Previous studies have emphasized the role of liquidity in Korean market. Using the monthly data from year 1998 to 2016, we have also divided the whole period into three different sub-periods; one before the global credit crisis, another during the crisis, and the last one after the crisis. We apply not only FF (2015, 2017) 4 metrics and spanning tests, but also Fama-MacBeth cross-sectional tests. According to FF (2015, 2017) 4 metrics, none of the models considered pass GRS test at 5% significance level, in the case of the whole period. Nevertheless, FF 3 factor model seems to perform the best, based on FF 4 metrics. When we replace HML by LIQ in FF-3 factor model, the original FF-3 factor model performs better. In addition, FF-5 factor model almost always perform better than FF-6 factor model. These tell us that LIQ may not be a necessary factor in Korea. When we look at sub-periods, most results are similar. Interestingly, most models also pass the GRS test in the case of sub-periods. Based on FF (2015, 2017) spanning test, we find Mkt, SMB, HML are not spanned, while RMW, CMA, LIQ are spanned, when we consider the whole period. The results are similar when we look at sub-periods, except that before the crisis, Mkt, SMB, HML factors all play roles, while after the crisis, only SMB plays a role. Overall, both FF (2015, 2017) 4 metrics and spanning tests show that FF 3 factor model is the best. The result of Fama-MacBeth cross-sectional test, however, doesn’t support it. As in previous studies, SMB plays a major role, and both LIQ and CMA tend to be statistically significant, which implies that FF 6 factor model performs relatively better. This is the case, whether we look at the whole period, or we look at sub-periods. To sum up, FF (2015, 2017) 4 metrics and spanning tests support FF-3 factor model, while Fama-MacBeth tests support FF-6 factor model.
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배당안정화 현상이 있는 한국기업의 ESG등급과 배당수익률 관계 연구
최성섭 한국상업교육학회 2023 상업교육연구 Vol.37 No.6
This study incorporates the dividend smoothing phenomenon into the model to examine the statistically significant relationship between dividend yield and ESG ratings. Due to the inclusion of the dividend smoothing phenomenon - represented in the dependent variable as the current dividend yield and in the independent variable as the prior dividend yield - endogeneity inevitably arises. To address this issue, the study utilizes a dynamic panel data model along with the Generalized Method of Moments (GMM) estimation method. Analyzing companies listed on the stock market from 2012 to 2021, specifically non-financial companies with ESG ratings, the study did not find a statistically significant relationship between ESG activities and dividend yields. This contrasts with recent studies that revealed a positive correlation between ESG ratings and dividend yield without considering endogeneity. According to the model in this paper, the factors that significantly influenced the dividend yield were the prior dividend yield, ROA (a profitability indicator), and the macroeconomic indicator known as the term premium. All these variables had positive values, indicating that, over the past decade, domestic companies showed a higher current dividend yield when the prior dividend yield was high, the ROA value was large, and the term premium increased at the macro level. Notably, the statistically significant positive influence of the prior dividend yield on the current dividend yield suggests that the dividend smoothing phenomenon is also crucially observed in domestic companies.
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