차익거래 제한요인이 이익공시 후 주가지연현상에 미치는 영향

이병주(Byeung-Joo Lee),김동철(Dongcheol Kim),최경진(Kyung Jin Choi) 한국증권학회 2018 한국증권학회지 Vol.47 No.4

본 연구는 국내 주식시장의 분기별 이익공시 후 주가지연현상(post-earnings announcement drift; PEAD)이 자산가격결정모형에서 누락된 위험요인에 대한 위험프리미엄에 의한 것인지 아니면 차익거래 제한요인에 의한 투자자들의 과소반응 때문에 발생하는 mispricing의 결과인지 검증하였다. SUE(standardized unexpected earnings)를 기반으로 구성한 포트폴리오(SUE1~SUE4)의 무위험 수익률을 초과하는 가중평균 수익률(value-weighted excess raw return)과 이익공시 후 누적초과수익률(cumulative abnormal return; CAR)을 살펴본 결과, 한국 주식시장에서 뚜렷한 PEAD가 있음을 볼 수 있었다. CAPM, Fama-French(1993) 3-요인 모형, Fama-French(2015) 5-요인 모형에 의해 위험을 조정한 후에도 SUE 포트폴리오의 초과수익률(abnormal return)이 SUE에 따라 일정하게 증가하는 패턴을 보였으며, SUE를 기반으로 구성한 차익거래 포트폴리오(SUE4-SUE1)의 각 모형에 대한 초과수익률도 통계적으로 유의하였다. 이 결과는 PEAD가 누락된 위험요인에 대한 위험프리미엄일 가능성이 낮다는 것을 의미한다고 볼 수 있다. 반면, 7개의 차익거래 제한 대용변수(proxy variable)를 이용하여 차익거래 제한의 정도와 SUE에 기반한 차익거래 포트폴리오(SUE4-SUE1)의 초과수익률의 관계를 살펴본 결과, 거래비용과 정보의 불확실성을 측정하는 대용변수에서 차익거래 제한의 정도가 심화됨에 따라 PEAD가 심화되고 있음을 발견하였다. 따라서, 본 연구의 결과는 국내 주식시장에서 PEAD가 관찰되는 원인은 자산가격결정모형에서 누락된 위험요인에서 기인한 것이 아닌 투자자들의 분기별 이익공시 정보에 대한 과소반응을 야기시키는 차익거래 제한요인에 의해 발생한 mispricing의 결과일 가능성이 높음을 시사한다고 볼 수 있다. This paper examines whether post-earnings-announcement drift (PEAD) in the Koeran Stock Market is a consequence of the risk premium for omitted latent risk factors or of systematic mispricing from investors’ delayed response to earnings news. To examine whether PEAD is still prominent after adjustment for risk factors, we form portfolios (SUE1~SUE4) sorted on standardized unexpected earnings (SUE). We find that value-weighted average excess raw returns and cumulative abnormal returns tend to monotonically increase across SUE portfolios. Further, the difference in average excess return between highest and lowest SUE portoflios (i.e., SUE4−SUE1), which is the return of the SUE-based zero-investment strategy, is positive and statistically significant. We also find that riskadjusted abnormal returns, which are computed from the well-known three models (i.e., CAPM, Fama-French three-factor model, and Fama-French five-factor model), still show a monotonic increasing pattern across SUE portfolios. The difference in abnormal return between highest and lowest SUE portfolios is also positive and statistically significant. Therefore, these results indicate that it is difficult to argue that PEAD is a consequence of the risk premium for omitted risk factors in the Korean stock market. We also examine the effect of limits-to-arbitrage on PEAD, and find that as the degree of limits-to-arbitrage is more profound, the degree of the drift is more prominent. That is, the difference, SUE4−SUE1, tends to increase in magnitude and statistical signiciance with the degree of limits-to-arbitrage. Furthermore, the difference in SUE4-SUE1 between the most and least severe limits-to-arbitrage portfolios (i.e., difference-in-difference) is positive and statistically significant. These results indicate that PEAD is more profound as limits-to-arbitrage becomes more severe. In summary, this paper provides evidence supporting the arguments that PEAD in the Korean stock market may be a consequence of delayed response to unexpected earnings news due to limits-to-arbitrage, rather than a manifestation of the risk premium for omitted latent risk factors. To our knowledge, this paper is the first in the literature in Korea that comprehensively evaluates the two explanations for PEAD.

CFA로 유도된 흰쥐의 관절염에 극저전류 치료가 마치는 효과

이병옥 ( Byeung Ok Lee ),황석연 ( Seok Yeon Hwang ),이경무 ( Kyung Moo Lee ),이광주 ( Kwang Joo Lee ),김은중 ( Eun Jung Kim ) 대한임상검사과학회 2002 대한임상검사과학회지(KJCLS) Vol.34 No.2

Drug therapy for rheumatoid arthritis must be maintained constant1y and for the whole life but is apt to induce adverse effects in the gastrointestinal or renal system. Therefore, newer methods are trying to reduce adverse effects. Thirty-two female rats separated into seven groups depending on the therapy or Freund’s adjuvant applied: the Normal control group (n=8) received nothing, Positive control group(n=8) only received adjuvant, MC15 group(n=8) received microcurrent with 15μ:A, MC30 group(n=8) received rrucrocurrent with 30μA. πle physical and hemat이ogical changes were evaluated in the groups with microcurrent at 15μA for 15 rrunutes and 30μA for 15 minutes. The summarized results follow. 1. Swelling of forepaw and hindpaw was significant1y reduced in MC15 and MC30. 2. Arthritis indices in the MC15 and MC30 group were significantly reduced compared to those in the PCG group. 3.Increases in leukocyte and C-reactive protein concentrations by adjuvant induced rheumatoid arthritis were significant1y attenuated by the microcurrent therapy. The change of swelling, arthritis index, gross feature to the naked eye, and hemat이ogical findings were significant1y improved in all groups.

Development and validation for the determination of dichlobentiazox agricultural products and liquidchromatography-tandem mass spectrometry

Eun Joo Baek,Hyejin Park,Chae Uk Lim,Hyerim Yu,Sujeong Shin,Han Sol Lee,Oh Hong Kim,Byeung Gon Shin,Soon-Kil Cho,Sung-Hee Hong 한국분석과학회 2022 학술대회논문집 Vol.2022 No.11

광촉매용 TiO₂ 강유전체 박막의 증착 두께에 따른 Photon Energy 특성에 관한 연구

김병인(Byeung-In Kim),전인주(Jun-In Joo),이상일(Sang-Il Lee) 한국조명·전기설비학회 2002 한국조명·전기설비학회 학술대회논문집 Vol.2002 No.-

This study evaporates TiO₂ layer thickness differently with RF sputtering method on Si Wafer(n-100). Thin film is made with the structure of Si+TiO₂ and Si+TiO₂+Al by evaporating TiN which is used as Antireflection of superintegrated semiconductor integrated circuit with Photo Catalyst. The research is peformed to increase the characteristics of photon energy according to TiO₂ thickness and the reliability and reproductibility of TiO₂ thin film. Reversal of electric Permittivity values is induced by dipole polarization shown in the dielectric of thin film. Complex electric constant (ε₁,ε₂) has larger peak values as it"s thickness is thinner and then it is larger according to the increase of frequency. Electric Permittivity by photon energy has large value in imaginary number and is reduced exponentially by the increase of carrier density according to that of photon energy.

The effect of Draw-in Pelvic Tilt Training Onset Times of Core Muscle and Postural Control in Adults Hemiplegic Patients

An Byeung Tae,Ko Joo Yeon,Lee Ju Sang 대한치료과학회 2019 대한치료과학회지 Vol.11 No.1

Objective: The objective of this research is to conduct a 4week study on two groups of stroke patientsdraw-in pelvic tilt training Group and general pelvic tilt training Group: and compared the results on the patients’onset time of core muscles and postural control. Method: This research was conducted on 20 random stroke patients undergoing physiotherapy at Gyeonggi-do C hospital from August, 2013 until October, 2013. The patients were divided into 2 groups 10 undergoing draw-in pelvic tilt training and 10undergoing pelvic tilt training.Both groups trained for 30 minutes a twice per day, 5 times a week, for 4weeks. Measurement toolsused were, trunk impairment scale(TIS), postural assessment scale for stroke patients(PASS), and functional reachtest (FRT). Surface electromyography(sEMG) was used in order to examine onset time of their core muscles.The difference the 2 groups was compared using paired t -test. Results: After 4 weeks of experimentation, the draw-in pelvic tilt training Group showed a more significant difference(p<0.05) in trunk impairment scale(TIS), postural assessment scale for stroke patients(PASS), and functional reach test(FRT), andsEMG. Conclusion: It can be concluded thatDraw-in pelvic tilt training is more effective inenhancing the postural control ability of stroke patient.

Shorting Costs and Profitability of Long–Short Strategies

Dongcheol Kim,Byeung-Joo Lee 한국재무학회 2019 한국재무학회 학술대회 Vol.2019 No.05

We examine how profitability of long–short arbitrage strategies based on anomalies is affected after adjustment for two shorting costs: implicit cost due to unavailability of stocks in the short-leg to sell short and loan fee actually paid to stock lenders. The combined shorting cost amounts to almost 40 percent of gross long–short arbitrage raw returns over the sample period from January 2006 to December 2017. After adjustment for these shorting costs, long–short arbitrage profits are thus reduced by almost 40 percent. Even after adjustment for risk, the proportion of shorting costs is also substantial. If other trade-related transaction costs are considered, long–short arbitrage profits would be reduced further. Our results cast doubt on the profitability of long-short arbitrage strategies based on anomalies.

희귀식물(稀貴植物) 눈측백나무(Thuja koraiensis Nak.)의 삽목증식(揷木增殖)

송정호 ( Jeong Ho Song ),이정주 ( Jung Joo Lee ),구영본 ( Yeong Bon Koo ),이갑연 ( Kab Yeon Lee ),한상돈 ( Sang Don Han ),양병훈 ( Byeung Hoon Yang ) 한국산림과학회 2006 한국산림과학회지 Vol.95 No.4

고밀도 물질에 기인한 CT영상 화질저하 개선을 위한 Iterative MAR 알고리즘 적용의 유용성에 관한 연구

강지원(Ji Won Kang),조인완(In Hwan Jo),김현주(Hyeun Joo Kim),정우준(Woo Joon Jeong),고병근(Byeung Geun Go),이정탁(Jeong Tak Lee),유회성(Hoi Seong Yoo),유병헌(Byeong Heon Yoo) 대한CT영상기술학회 2016 대한CT영상기술학회지 Vol.18 No.2

Purpose: In this research we tried to know the limitation and how much IMAR algorithm useful is in the clinical field by the evaluation of image and ana lysis using image data from phatom research and clinical research which used the Iterative MAR(Metal Artifact Reduction) algorithm from Inc. C that chose the way to get the data through its own HU of the kinds of metal in the human body(Titanium:4.5g/cm³ Around 6500HU, Stainless steel:7.8g/cm³ Around 50000HU, Gold:19.3g/cm³ Over 100000HU). Materials and Methods : We made the phantom with the dense material used in the replacement arthroplasty(L-spine : Titanium, Hip joint : Stainless steel), made of platinum for aneurysm in cerebral vessels and gold for dental filling. Also we used these machines, Somatom Derinition Flash from Inc. 5 and 64-MDCT Discovery 750 HD from Inc. G. we had studied from 1st May to 31st Oct. in 2015 using the image data from the patients to visit the hospital for f/u test. We used Advantage workstation program for alnalysis. We chose the ROI sized 2mm at the same part of Black Streak artifact and White streak artifact to record the average of the CT value after measuring it 20 times. Calculating the attenuation number, using the CT value measured, we calculate the attenuation number for each machines as the percentage to know how much the attenuation decrease, then compared and analyzed that. We got the image data after scan and set the same WW/WL of image data through Advantage Workstation program for research about clinical image. After then two groups, one consists of 2 radiologists and another one consists of 3 radiology technicians, evaluate how much the artifact reduce and the factors deciding the image quality such as resoultion and contrast. Result : As a result of converting attenuation coefficient into a percentage in the phantom research, Black streak artifact and White streak artifact of GDC coil image with MAR algorithm were 94% and 51% but both of them of GDC coil image with IMAR algorithm were 1% and 37%. Both of them decreased by 93% and 14% each. In Titanium, Black streak artifact decreased by 6%, from 17% to 11% and White streak artifact decreased by 19%, from 21% to 2% after using IMAR algorithm instead of MAR. In stainless steel Black streak artifact decreased by 5%, from 7% to 2% and White streak artifact decreased by 27%, from 34% to 7%. According to this phantom research, GDC coil, titanitum, and stainless steel are evaluated ‘adequate’ which had 3points in most of categories. Gold is the only one evaluated ‘good’ which had 4points in most of categories. This is the result of using IMAR algorithm instead of WFBP in the clinical image research, after converting attenuation coefficient into a percentage. Black streak artifact decreased by 17%, from 24% to 7%, and White streak artifact decreased by 7%, from 9% to 2% in plantium(GDC coil). In gold for dental filling, Black streak artifact decreased by 23%, from 33% to 10%, and White streak artifact decreased by 25%, from 30% to 5%. Also in stainless steel, Black streak artifact decreased by 48%, from 52% to4%, and White streak artifact decreased by 45%, from 46% to 1%. According to the evlauation for clinical images, GDC coil, titanium, and Stainless got 4points which meant ‘good’ in most of categories. Gold evaluated ‘adequate’, 3points in most of categories. Condusion : IMAR algorithm is more useful to reduce metal artifact caused by dense material rather than MAR algorithm. Using IMAR algorithm can provide information of various kinds to tissue with less artifact around metal foreign body, so it will be much more helpful for accurate diagnois. 목적 : 본 연구에서 인체에 삽입된 금속의 물질별(Titanium :4.5g/cm³ Around 6500HU, Stainless steel:7.8g/cm³ Around 5000HU, Gold:19.3g/cm³ Over 100000HU)로 고유의 HU(Hounsfield Unit)값을 적용하여 Data를 얻는 방식인 S사의 Iterative MAR(Metal Artifact Reduction) 알고리즘을 팬텀 연구와 임상 연구를 시행하여 획득된 영상데이터를 이용하여 정량적 분석과 임상 영상평가를 통하여 IMAR 알고리즘 유용성과 더불어 제한점을 알아보고자 하였다. 대상 및 방법 : 임상에서 치료목적으로 사용하는 재료 중 정형 외과적 치환술 시 이용하는 고밀도(L-spine: Titanium), (Hip joint: Stainless steel)물질과 머리 혈관 동맥류의 시술을 위해 사용하는 Platinum성분의 고밀도 물질인 GDC coil, 치아 충전재로 사용하는 Gold(Dental filling)를 이용하여 자체 제작한 팬텀과 이를 토대로 적용한 임상연구의 순으로 진행하였다. 연구를 위해 이용한 장비는 S사의 Somatom Definition Flash와 G사의 64-MDCT Discovery 750 HD를 사용하였다. 임상연구는 2015년 5월 1일부터 10월31일까지 5개월간 추적검사를 위해 내원한 환자의 영상데이터를 이용하였다. 정량적 분석은 Advantage workstation 프로그램에서 Black streak artifact와 White streak artifact의 동일한 부위에 직경 2mm의 ROI를 그려 CT value값을 20회 씩 측정 후 평균 CT value값을 기록 하였다. 측정 CT value 값을 이용하여 감약계수로 환산 후 각 장비별 인공물 감소 정도를 백분율로 계산 후 비교 분석 하였다. 임상영상 연구는 스캔 후 획득한 영상 Data를 Advantage Workstation 프로그램을 이용하여 WW/WL을 동일하게 설정 한 후 영상의학과 전문의 2명, 방사선사 3명 등 총 5명의 관찰자가 5점 척도로 인공물의 감소 정도 및 영상의 화질 좌우인자인 해상도 및 대조도 등의 항목을 적용하여 평가하였다, 결과 : 팬텀연구에서 감약계수를 백분율로 환산한 결과 GDC Coil에서 Black streak artifact와 White streak artifact순으로 MAR는 94%, 51%, IMAR는 1%, 37%로 93%, 14% 감소되었다. Gold에서 MAR는 30%, 22%, IMAR는 24%, 16%로 둘 모두 6% 감소되었다. Titanium에서 MAR는 17%, 21%, IMAR는 11%, 2%로 6%, 19% 감소되었다. Stainless steel에서 MAR는 7%, 34%, IMAR는 2%, 7%로 5%, 27% 감소되었다. 팬텀 영상 평가는 GDC coil, Titanium, Stainless steel 모두 Adquate(3점)이 가장 많았고, Gold는 Good(4점)이 가장 많았다. 임상 영상 연구에서는 감쇠계수를 백분율로 환산한 결과 Platinum(GDC Coil)에서 WFBP는 24%, 9%, IMAR는 7%, 2%로 17%, 7% 감소되었다. Gold(Dental filing)는 WFBP 33%, 30%, IMAR 10%, 5%로 23%, 25% 감소되었다. Titanium은 WFBP 93%, 61%, IMAR 35%, 15%로 58%, 46% 감소되었다. Stainless steel은 WFBP 52%, 46%, IMAR 4%, 1%로 48%, 45% 감소되었다. 임상 영상 평가는 GDC Coil, Titanium, Stainless steel 모두 Good(4점), Gold는 Adquate(3점)이 가장 많았다. 결론 : 고밀도 물질에 의한 Metal Artifact를 기존의 MAR Algorithm 보다 IMAR Algorithm을 적용시켰을 때 보다 유용하게 감소시킬 수 있으며. IMAR는 Artifact가 감소된 금속구조물주변의 다양한 조직들의 정보를 제공할 수 있어 영상의학과 판독의와 임상의에게 정확한 진단을 결정하는데 많은 도움을 줄 수 있을 것으로 사료된다.