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Illiquidity, duration and momentum profits: evidence from the Korean stock market
( Jaewan Bae ),( Changjun Lee ) 한국파생상품학회(구 한국선물학회) 2021 선물연구 Vol.29 No.1
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference in returns of short-duration and long-duration stocks captures well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than competing asset pricing models in explaining the momentum effect. Finally, when controlling for the duration factor, the explanatory power of the foreign/institutional illiquidity factor on the momentum profits disappears. In sum, our empirical finding indicates that the duration factor is the most important ingredient in understanding the momentum effect in the Korean stock market.
( Jeongjoon Park ),( Jaewan Bae ),( Changjun Lee ) 한국파생상품학회(구 한국선물학회) 2021 선물연구 Vol.29 No.2
Purpose - Given the importance of style allocation strategy under the outsourced chief investment officer (OCIO) structure, the authors examine the validity of style allocation strategies in the Korean stock market. The authors find that external investment agencies can improve performance by using newly suggested investment styles such as high dividend yield and low volatility as well as traditional styles. In addition, the authors find that the style combination strategies create economically large and statistically significant returns. Finally, empirical results indicate that factor timing strategies suggested in this study can improve the reward-to-risk ratio. In sum, the empirical findings indicate that external investment agencies under the OCIO structure can improve performance using active style allocation strategies.
신현수(Hyunsoo Shin),김창준(Changjun Kim),배진(Jin Bae),한창수(Changsoo Han) 한국자동차공학회 2008 한국자동차공학회 춘 추계 학술대회 논문집 Vol.- No.-
Active Front Steering (AFS) system enable vehicle performance to improve directional stability control and driver convenience. this AFS system is a complementary system for a front-steered vehicle that adds at lower speed or subtracts at higher speed based on vehicle information. Such as steering wheel angle, vehicle speed, lateral acceleration, yaw rate and road conditions. In this paper several mechanisms are studied which are realized in these AFS functions. Planetary gear system, Harmonic drive system and Link system are commonly known AFS mechanisms. And characteristic of each mechanism is referred in AFS functions.