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Comprehensive Asset Pricing Tests in the Korean Stock Market
Jaewan Bae,Jangkoo Kang,Jun Park 한국재무학회 2023 한국재무학회 학술대회 Vol.2023 No.11
We examine the empirical performance in the Korean stock market of three new asset pricing factor models: the Stambaugh–Yuan (2017) mispricing factor model, the Daniel et al. (2020) three-factor model, and the Hou et al. (2021) q5-factor model. We find that all factors in these factor models have significantly positive risk premiums and are not explained by the Fama– French six-factor model. Compared to other prevalent models, the q5 model shows the highest maximum Sharpe ratio, mainly due to its profitability and expected growth factors. Further, the q5 model exhibits superior performance in explaining the returns of 97 anomaly portfolios in the Korean market.
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.
Asset Pricing Implications of Firms’ Profit Sharing
Jaewan Bae,Jangkoo Kang 한국재무학회 2022 한국재무학회 학술대회 Vol.2022 No.11
This study examines the asset pricing implications of a profit-sharing scheme by measuring a profit-sharing coefficient (PSC), which captures the firm’s tendency to share profits with its employees. We first find that firms with a high PSC earn higher future stock returns than firms with a low PSC. This arises because investors underestimate the positive effects of PSC on worker productivity while overreacting to the increased wage costs due to the high PSC. We further reveal the role of PSC in lowering firm risk by showing that earnings and stock returns of high-PSC firms are less sensitive to aggregate risk than those of low-PSC firms.
하향변환된 인접 IF신호간의 보호대역을 고려한 최소 대역통과 샘플링 주파수 선택 알고리즘
배정화(Junghwa Bae),조재완(Jaewan Cho),고용채(Yongchae Ko),Tran Nguyen Cac,박진우(Jinwoo Park) 한국통신학회 2007 韓國通信學會論文誌 Vol.32 No.12A
본 논문은 SDR(software-defined radio) 시스템에 적용할 수 있는 기술로서, 대역통과 샘플링(bandpass sampling)이론을 사용하여 N개 RF 신호를 하나의 통신기기에서 직접 하향변환(down-conversion)할 때 요구되는 유효 샘플링 주파수 영역(valid sampling frequency range) 및 최소 샘플링 주파수를 찾는 방법을 제안하였다. 이 방식은 IF단의 신호배치에 대한 모든 순열을 고려하면서도 기존의 방식보다 효율적이며 복잡성이 낮은 방식을 새롭게 고안하여 N개의 신호에 대하여 수식을 유도하고 일반화 하였으며 컴퓨터 모의실험(simulation)을 통해 이 수식들을 증명하였다. 그리고 제안한 알고리즘은 샘플링 주파수를 결정할 때 인접 IF(intermediate frequency) 신호간의 보호대역(guard-band)이 고려되어 실제적인 하드웨어 설계 측면에 도움이 되도록 하였다. 또한 기존의 방식과의 비교를 통해 그 복잡성(complexity)및 정확성에서도 우수한 성능을 보여주었다. This paper proposes, based on a bandpass sampling theory, a novel method to find valid sampling frequency range and minimum sampling rate with low computational complexity for downconversion of N bandpass radio frequency(RF) signals, under application of all possible signal placements(full permutations) in a IF stage. Additionally, we have developed a complexity-reducing method to obtaine the opttimal and minimal sampling rate for supporting the user-wanted guard-band or spacing between adjacent downconverted signal spectrums. Moreover, we have verified through comparisons with other methods that the proposed methods have more advantageous properties.
( 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.
Go Eun Bae,Jaewan Jung,Soo-Youn Lee 대한임상검사정도관리협회 2023 Journal of Laboratory Medicine And Quality Assuran Vol.45 No.1
The measurement of metanephrine (MN) and normetanephrine (NMN) in plasma and urine using liquid chromatography-tandem mass spectrometry (LC-MS/MS) is the gold standard for the initial biochemical testing for pheochromocytomas and paragangliomas (PPGLs). Despite their high diagnostic value, there is a lack of consensus on the stability of MN and NMN in clinical specimens. This study aimed to analyze the stability of MN and NMN in both plasma and urine using LC-MS/MS under various conditions. Plasma and urine samples were prepared by spiking them with standard materials of MN and NMN. The samples were pretreated under solid phase extraction and analyzed using the LC-MS/MS system (Agilent Technologies, USA). In both plasma and urine specimens, MN and NMN were stable under the following conditions: (1) room temperature for 24 hours, (2) 4℃ for 8 days, (3) –20℃ for 8 days, and (4) –80℃ for 7 months. MN and NMN were stable after at least three cycles of the freeze and thaw process, and stable for 7 days in a container with dry ice. In this study, we comprehensively evaluated the stability of MN and NMN in plasma and urine and made recommendations to improve specimen handling to ensure reliable testing for PPGLs.
무선센서네트워크 환경에서 기대전송비용을 이용한 효율적인 포워딩 기법
배동주 ( Dongju Bae ),서재완 ( Jaewan Seo ),추현승 ( Hyunseung Choo ) 한국정보처리학회 2009 한국정보처리학회 학술대회논문집 Vol.16 No.2
위치기반 라우팅 기법들은 소스에서 목적지노드로 데이터 패킷을 전송하기 위한 목적으로 널리 사용된다. 오리지널 그리디 포워딩 기법은 실제 무선링크의 신뢰성을 고려하지 않아 수많은 데이터 패킷재전송이 발생한다. 이러한 문제를 해결하기 위해 PRR × Distance 기법이 제안되었지만 실제 무선링크의 비대칭성을 고려하지 않아 여전히 많은 재전송이 발생한다. 제안기법은 포워딩할 데이터 패킷을 가진 현재 노드의 전송 반경 내에서 전송 가능한 1-hop과 2-hop 라우팅 경로를 찾는다. 이들 라우팅 경로들 중 기대전송비용이 최소가 되는 경로를 선택하여 데이터와 ACK 패킷을 전송한다. 시뮬레이션을 결과를 통해 제안기법이 기존 기법들보다 높은 신뢰성과 에너지 효율을 가짐을 보인다.