지식기반산업의 기업가치 평가와 관련한 이익정보의 유용성

황시범,이건창 성균관대학교 경영연구소 2000 Sungkyun Management Research Institute Work Vol.10 No.-

공매도와 파생상품 중 정보거래자의 선택

우민철 성균관대학교 경영연구소 2020 자산운용연구 Vol.8 No.1

The purpose of this research is to analyze which market is more informative and whether information transfer between stock market and several derivative market occur. To this end, I analyzed for transactions in the ELW market, single stock option market, single stock future market, short sale of the korea stock market between 2016 and 2019. According to the results, informed traders prefer single stock future to short sale, and information transfer between stock market and single stock future occur efficiently These results are meaningful in that this is the first research of market choices for informed traders, and single stock future have higher predictive returns on stock market and information transfer between stock market and single stock future have been identified. In terms of the regulative government, temporary restrictions or bans on the short sale may not be much concern about the information efficiency and price mechanism

비트코인의 국내외 가격차이를 이용한 차익거래에 관한 연구

양철원 성균관대학교 경영연구소 2019 자산운용연구 Vol.7 No.2

This paper analyzes the law of one price and the possibility of arbitrage trading through the representative crypto-currency, Bitcoin. First, we examine the difference in price of Bitcoin between Korea and US, namely, the existence and size of ‘Kimchi Premium’. Second, after establishing three hypotheses such as market segmentation by rational motivation or psychology of investors, and limit of arbitrage hypothesis, we analyze the factors that determine the difference of domestic and foreign price of Bitcoin. As a result of analysis, psychology variables such as Google trend index difference, Naver trend index, and variables related limit of arbitrage such as transaction cost and Mempool transaction number are statistically significant. The above results support psychological market segmentation hypothesis or limit of arbitrage hypothesis. This means that the surge of interest and the hot wind of Bitcoin in Korea causes the KRW price to rise abnormally. Also, there are limit of arbitrage that can not resolve the difference in domestic and overseas prices quickly.

Spatial Dependences in the Stylized Hedge Fund Returns

조정근 성균관대학교 경영연구소 2020 자산운용연구 Vol.8 No.1

We apply an exploratory spatial data analysis framework for integrating the time series of hedge fund returns to its neighborhood, mapping, and local analysis for the feasible spatial modeling. Our approach takes into account option-like features and serial correlations in the stylized hedge funds' risk-return payoffs. By comparing the classic risk factor analysis of hedge fund performance of ordinary least squares regression with spatial autoregressive models, we investigate each model’s respective ability to estimate the stylized risk premiums. The time series analysis of hedge fund returns from the Barclays Hedge indicates that, for some of the sub-investment styles such as equity long-short, equity long-bias, event-driven arbitrage, convertible arbitrage, fixed-income arbitrage, distressed securities, multi-strategies, and commodity trading advisors, the spatial autoregressive modeling may provide consistent estimates of factor risk-premiums by correcting structural spatial dependence through the measure of endogeneity of implied volatilities. We employ spatial specifications including spatial lag (SLM) and spatial error (SEM) models to minimize the overestimation bias in factor risk premiums by exploring some practical implications in an ad hoc screening through the missing spatial autoregressive heterogeneity in the ordinary least squares approach. Both SLM and SEM models are applied to verify a ‘meant-to-be’ spatial dependence to a relatively short time series of a recently failed credit hedge fund previously marketed its vanishingly rare talent of return predictability and consistency.

자산배분 시 의사결정모형 활용방안 연구

송인욱 성균관대학교 경영연구소 2019 자산운용연구 Vol.7 No.2

Past studies about asset allocation focus on allocation methodology or estimating expected returns and expected risks. However, each pension fund has developed its own solution to solve these issues. On the other hands, pension funds express more difficulties to make qualitative decisions about target return, risk tolerance level, and optimal asset allocation choice. This study examines whether using decision making model for asset allocation under various scenarios can help pension funds in this domain and improve pension fund performances. Our study found that, if we use conservative decision making model, risk adjusted performance is improved compared to using traditional asset allocation model. When occurrence probability is not recognized, the Sharpe ratio is improved under Minimum-regret rule(Regret) as wee as under Hurwicz rule(Hurwicz2) with 70% weighted toward Minimax rule. When occurrence probability is recognized, the Sharpe ratio of Target-return optimization(Target2), which set real value maintaining(CPI+100bp) level as the target rate, is also improved. This new method also meets the management strategy of pension funds that pursue a stable and sustainable investment performance. Although the use of decision making model is rather qualitative and arbitrary, this kind of alternative approach can help advance the asset allocation process. Considering the practical importance of the topic, we expect similar studies to follow and contribute to the improvement of pension fund performances.

A Conditional Volatility Feedback Moderation Modeling to the Market Timing Behavior Per Hedge Funds’ Investment Styles

조정근 성균관대학교 경영연구소 2019 자산운용연구 Vol.7 No.1

A direct effect on the current performance of certain hedge fund investment styles by the one-month prior return of primitive trend following strategy on the short-term interest rate (PTFSIR) depends quadratically on the size of the returns of the one-month prior implied volatility index (“VIX”) as a primary moderator. To investigates empirically whether the past return of implied volatility information can explain the dynamic factor exposures of hedge funds over time, this manuscript advances the quantitative behavioral science literature for making inferences about the conditional process model with a quadratic moderator. Consistent with our view that hedge funds exhibit different levels of skills in exploiting the information contents of equity implied volatilities, we document substantial heterogeneity of processing one-month prior quadratic volatility returns by altering their risky asset exposures across hedge fund investment styles. We subsequently apply the same analytical framework to three different collections of individual liquid alternative hedge funds to test if the PTFSIR factor’s effect on hedge fund strategy returns is linearly moderated by one-month prior return volatilities of the VIX and the corresponding hedge funds’ dynamic risky asset and factor exposure management implications.

Dynamic Nelson-Siegel 모형을 이용한 국고채 최적 투자 포트폴리오

이상헌,김명직 성균관대학교 경영연구소 2019 자산운용연구 Vol.7 No.1

The purpose of this study is to answer the question empirically whether we can expect model based strategy to deliver the additional risk-adjusted return and the reduction of risk using available information or not. Specifically we use Dynamic Nelson-Siegel model and its variants to derive expected returns and covariance for solving mean-variance optimization problem. Constructing bond portfolio using the optimal weight, we compare it with the traditional bond stagey and do model comparisons. We use Caldeira, Moura, and Santos (2016) approach to analyze KTB optimal portfolio construction. As the result of empirical analysis for the duration of January 2015 to December 2018, as risk appetite increases, it is efficient to move short-term investment to long-term as time goes by. Despite of the volatile out-of-sample period, model based strategy show a little lower but similar risk-adjusted performance.

중국에 투자한 해외주식형 펀드는 초과성과를 얻고 있는가?

왕아평 성균관대학교 경영연구소 2019 자산운용연구 Vol.7 No.2

This study divides Korean investors invest in Chinese fund's performance into stock selection ability and market forecasting ability and evaluates it's performance and performance persistence. The analysis method can be divided into the growth cycle of China's stock market or the identification of portfolios according to the market excess return of funds. The empirical results are as follows. Firstly, from the perspective of China's overall conspiracy fund industry, considering the growth cycle of China's stock market, the stock selection ability and market forecasting ability are verified by market states. During the whole period, there is no fund selection ability, and the market forecast ability is low. Second, 1-month, 3-month, 6-month and 12-month portfolio performance reconfirm that there is no market forecasting ability. Market forecasting ability can be the most important factor of fund performance. Finally, performance persistence of portfolios do not exist There is no time selection ability.

고차 적률 위험을 고려한 포트폴리오 성과 평가

김봉준,전두배 성균관대학교 경영연구소 2019 자산운용연구 Vol.7 No.1

Most of portfolio performance measures used in the market do not consider higher order moment risk like skewness and kurtosis. This study presented general Sharpe ratio (GSR) considering higher order moment risk and estimated ex-post performance of zero cost investment strategies based on performance measures including GSR. It is summarized as follows. In the first place, cross-sectional correlations among Sharpe ratio, Treynor ratio, Jensen’s alpha, information ratio were found between 0.54 and 0.98. But correlation between GSR and these performance measures was located between 0.19 and 0.67. This difference is due to the fact that GSR considers higher order moments as additional risk factors. In the second place, investment strategy based on individual performance measure found statistically insignificant or negative performance. This supports the efficiency of KOSPI market and implies that it is hard to make a risk-adjusted excess return using performance measures.

외국인 지분율이 기업의 주가급락 위험에 미치는 영향에 관한 연구

정찬식 성균관대학교 경영연구소 2020 자산운용연구 Vol.8 No.1

This study investigates the effects of foreign ownership on future stock price crash risk of firms in Korea Stock Exchange over the period 2004-2015 using daily stock returns. The stock price crash risk decreases with more transparent information which a firm provides to the stock market. I suggest foreign ownership as a determinant variable of the transparency in the information that a firm provides, since the higher foreign ownership leads to the greater transparency in emerging markets such as Korea. I find that firms with higher foreign ownership are more likely to have lower future stock price crash risk. This evidence suggests that the relation of foreign ownership to stock price crash risk is due to the monitoring effect of foreign investors in Korean stock market.