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      • KCI우수등재

        Foreign Ownership and Exchange Rate Risks

        Ai Lian Bian,Jin Wan Cho 한국경영학회 2012 經營學硏究 Vol.41 No.5

        In this paper, we estimate several measures of a firm`s ``exposure to exchange rate risks`` -hereafter ``F/X exposure``-, and analyze how these exposures are affected by different firm characteristics including foreign ownership. By using the foreign ownership and stock return data of 571 Korean firms from 2000 to 2006, we find that foreign ownership is an important factor affecting the F/X exposures. In particular, during a month of home currency depreciation, the stock returns of firms with a higher ownership experience a greater negative shock, but during a month of increased exchange rate volatility, those firms with a lower ownership that experience a greater negative shock. Overall, various firm characteristics are found to affect F/X exposures in different directions, weakening the statistical significance of the exposure measures. This finding helps explain the previously documented weak association between exchange rates and stock returns.

      • KCI등재

        기업의 사회적 책임활동과 재무성과

        변애련(Ai-lian Bian),박경인(Kyung-In Park),문하영(Ha-young Moon) 한국무역연구원 2014 무역연구 Vol.10 No.4

        This paper studies the relationship between corporate social responsibility and financial performance with a focus on the experience of CSR reporting in Korea. The sample size for this study consisted of 183 firms in Korea during the period covering 2006-2009, using the KEJI index as CSR performance proxy. Specifically, this study examined the effect of CSR performance on subsequent financial performance and the effect of subsequent financial performance on CSR performance in Korean firms. The next phase of the study looked into the differences between firms that do CSR reporting and those that do not. In conclusion, the findings suggest that CSR performance is positively associated with some aspects of subsequent financial performance In addition, results showed that: (1) there is no effect in expediency of CSR reporting; (2) CSR performance is positively associated with prior financial performance more thus strongly supporting the slack resource theory.

      • KCI등재

        외환위기 전,후 한국기업의 환노출 비교 분석

        변애련 ( Ai Lian Bian ),박경인 ( Kyung In Park ),조진완 ( Jin Wan Cho ) 韓國國際經營學會 2006 國際經營硏究 Vol.17 No.3

        본 연구는 1994년부터 2002년을 표본기간으로 한국 증권시장에 상장되어 있는 기업 중 제조업의 환노출 정도와 환노출의 결정요인에 관한 내용을 실증분석 하였다. 또 자유변동환율 제도를 시행한 1997년 12월을 기준으로 표본기간을 두 개의 하위 표본기간으로 나누어 외환위기 전과 후 환노출과 환노출의 결정요인을 비교 분석하였다. 본 연구에서는 환노출의 정도를 측정하기 위하여 한국과의 교역량이 많은 국가들의 가중평균환율을 나타내는 JP morgan index를 사용하였다. 본 연구는 일본 기업들의 환노출을 분석한 Jia He와 K. Ng(1998)의 모형을 기초로 한국 기업들의 환위험에 대한 민감도를 분석하였다. 그 결과 첫째, 자유변동환율제도 도입 전ㆍ후로 환위험에 대한 민감도가 다르게 나타났다. 즉 외환위기 이후에는 외환위기 전에 비해서 오히려 환위험에 대한 민감도가 작게 나타났다. 둘째, 환노출의 결정요인에 대한 실증분석에서도 각기 다른 결과가 나타났다. 우선 전체 표본기간을 대상으로 한 경우에는 기업규모만이 유의한 음(-)의 영향을 주는 것으로 나타났다. 그러나 외환위기를 기점으로 하위표본으로 구분하여 실증분석을 한 결과 외환위기 전 기간을 대상으로 한 경우에는 환노출과 회사 규모(Size), 성장성(BM), 배당률(DIV)과는 유의한 음(-)의 관계를 당좌비율(QR)과는 유의한 양(+)의 관계를 나타냄으로써 많은 변수들이 환노출에 영향을 주는 것으로 나타났으나 외환위기 이후 기간을 대상으로 한 경우에는 모든 변수들에서 유의한 값을 찾을 수 없어 모형에서 설정된 변수들이 더 이상 설명력을 지니지 못하는 것으로 나타났다. 이것은 외환위기 이후 변동환율 제도가 도입됨에 따라 기업들이 당면하는 환위험은 증가할 수 있으나 기업들이 이에 맞추어 환위험 관리를 적절하게 하고 있는 것이 하나의 이유인 것으로 보인다. 본 논문은 기업의 환노출 정도를 나타낼 뿐 아니라 여러 변수들이 환노출에 어떤 영향을 미치는가를 실증분석 함으로써 기업들의 환위험 관리에 도움을 줄 수 있다고 생각된다. In this paper, we analyze the currency risk exposure borne by the Korean manufacturing firms that are listed in Stock Market at Korea Exchange. More specifically, we use the data from 1994 to 2002 to measure the extent of currency risk exposure, and investigate the factors that are known to affect the degree of exposure. Note that after the currency crisis that occurred around December 1997, the exchange rate regime for Korean Won changed from the managed float to the free float. Therefore, the data provide a natural experimental ground to investigate whether the firms react to the fundamental changes in the international monetary system. One of the features of this paper is that we use the trade-weighted exchange rates, namely JP Morgan Index of Korean Won to measure the currency risk more accurately. In order to measure the exposure, we estimate the sensitivity of stock returns to the changes in the local currency value. In order to do so, we base our analyses on the empirical model developed by He and Ng (1998). First we find that the currency beta actually decreases after the free float is adopted. This is surprising in that the exchange rate volatility actually increased dramatically after the flexible exchange rate regime was adopted. Second, when we conduct the cross-sectional analysis of the estimated currency beta against firm characteristics, we find that prior to the currency crisis, the currency beta is negatively related to the firm size, Book- to-Market ratio, dividend yield, and positively related to the quick ratio, but none of these factors become statistically significant after the free float was adopted. These findings imply that even though the exchange rate volatility increased with the introduction of flexible exchange rate regime, the currency risk exposure actually decreased at the firm level. Whether the reduction of the risk exposure results from the improved skills in managing risks is an interesting question, but we believe that this is beyond the scope of this paper and left for future research.

      • KCI등재

        The Dynamic Relationship between the NFT Index and Macroeconomic Factors in Korea

        Ke-Qin Liu,Ai-Lian Bian 한국무역연구원 2023 무역연구 Vol.19 No.3

        Purpose – This study attempts to analyze the dynamic relationship between the NFT index and macroeconomic factors, and make effective suggestions using research methods in the field of management finance. Design/Methodology/Approach – The study sample was from January 2020 to March 2023. The variables used in the analysis were based on monthly time series data, measured on the basis of the Metaverse–NFT Index (MVNX) index released by Wavebridge Limited in Korea to reflect the growth trend of the NFT market, money supply, US dollar–won exchange rate, gross domestic product, consumer price index, and other macroeconomic indicators. The analytical tools in this study included a unit root test based on the VAR model, the Johansen cointegration Test, Granger causality test, impulse response analysis, and variance decomposition. These methods are very effective in analyzing time series data. Findings – The results of the analysis show that macroeconomic factors, such as money supply, exchange rate, GDP, and consumer price index are important sources of information in predicting the NFT index. Research Implications – The results of this study are expected to provide practical information for NFT users, virtual asset trading platforms, investors, and policymakers related to NFT ecology. Furthermore, this study’s findings are of great significance, being the first global study to explore the relationship between NFTs and macroeconomic factors.

      • KCI등재

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