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Jong C Rhim,Mohammed F Khayum,Jungyu Kang 사람과세계경영학회 1997 Global Business and Finance Review Vol.2 No.1
This paper investigates the dynamic relationship between actual and PPP exchange rates involving five currencies of Pacific-Rim countries over the period 1973: 1Q-J994:4Q. The result of cointegration analysis indicate no long-run relationships between actual and PPP exchange rates. The vector autoregressive framework is used to show that both real and monetary shocks influence deviations from the PPP exchange rates. However, except for the New Zealand dollar neither real nor monetary shocks can adequately explain the deviations from PPP for three other currencies. A major implication for multinational businesses is that exchange rate exposure will require innovative internal accounting and organizational practices to deal with related budgeting problems.
THE EFFECTS OF INTEREST RATE LEVELS AND VOLATILITY ON THE MATURITY INTERMEDIATION DECISION
Jong C Rhim People&Global Business Association 2003 Global Business and Finance Review Vol.8 No.2
In this paper, we examine the effect of changing interest rate levels and volatility on the maturity intermediation decisions of a commercial bank. We point out the incentive for the bank to hold high risk long-term asset and liability maturity positions. Further, the greater the interest rate volatility, the greater is the incentive to accept the high risk position. We employ a framework of partial adjustment of revenues and costs to unexpected changes in interest rates to estimate the maturity intermediation and allow the parameters to vary over time. The estimates of maturity composition are then related to the levels and volatility of interest rates.
AN ESTIMATION OF EARLY EXERCISE PREMIUM FOR AMERICAN PUT OPTIONS
Jong C Rhim,Hong shik Kim People&Global Business Association 2000 Global Business and Finance Review Vol.5 No.1
This study empirically examines the value of early exercise and tests an American put valuation model's ability to predict the value of early exercise for American put options. This study performs three tests of the MacMillan (1986) and Barone-Adesi and Whaley (1987) American put valuation model: an accuracy test, a quality test, and a validity test. The results suggest that: (1) Early exercise premia for out-of-the-money put options were significant. (2) Consistent with theoretical predictions, the value of early exercise is significantly positively related to stock return volatility, interest rates, time to maturity, and the degree to which an option is in-the-money. (3) The American put valuation model does not fully capture the value of early exercise embedded in American put prices. (4) A large proportion of put prices predicted by the model lie outside American put-call parity bounds even after filtering the sample based on no-arbitrage conditions.
Shear Strength of the Perfobond Connection of a Steel-Concrete Composite Slim Floor System
Rhim, Hong C.,Lee, Kwang Ho,Jang, Won Seok,Jeong, Seong Hoon,Kim, Dae Jin,Park, Jong Hwan Trans Tech Publications, Ltd. 2015 Applied Mechanics and Materials Vol. No.
<P>The use of steel-concrete composite members has been significantly increased as they have the advantages of the reduction of cross sectional areas, excellent ductility against earthquake loadings and a longer life span than typical steel frame members. In this paper, push-out tests were performed on six specimens to investigate the structural behavior and shear strength of perfobond connection of a steel-concrete composite slim floor system. An equation to theoretically estimate the shear strength of the perfobond connection is proposed, and its accuracy is examined by comparing its predictions with the test results. A finite element analysis model is also developed and used to confirm the effectiveness of the proposed strength equation.</P>
TESTS OF THE PECKING ORDER THEORY AND THE TRADEOFF THEORY OF OPTIMAL CAPITAL STRUCTURE
Soku Byoun,Jong C Rhim People&Global Business Association 2005 Global Business and Finance Review Vol.10 No.2
This paper investigates implications of the static tradeoff theory and the pecking order theory. The results suggest that firms adjust their debt levels according to target debt ratios as well as the pecking order. By combining the two theories, the research finds that firms are more likely to increase debt when they face financing needs as well as below-target debt level, while they are more likely to decrease debt level when they have surplus cash flows as well as above-target debt level. The pecking order is found to be a much more binding force for small firms, supporting the hypothesis that small firms are more likely to follow the pecking order because of the difficulty in accessing external financing sources due to asymmetric information. The research also finds that small firms are significantly slower than large firms in adjusting the debt level when the adjustment requires an increase in debt level according to the target adjustment model.
TESTS OF OF THE PECKING ORDER THEORY AND THE TRADEOFF THEORY OF OPTIMAL CAPITAL STRUCTURE
Soku Byoun,Jong C. Rhim 사람과세계경영학회 2005 Global Business and Finance Review Vol.10 No.2
This paper investigates implications of the static tradeoff theory and the pecking order theory. The results suggest that firms adjust their debt levels according to target debt ratios as well as the pecking order. By combining the two theories, the research finds that firms are more likely to increase debt when they face financing needs as well as below-target debt level, while they are more likely to decrease debt level when they have surplus cash flows as well as above-target debt level. The pecking order is found to be a much more bindingforceforsmallfirms, supportingthehypothesisthatsmallfirmsaremorelikelytofollowthepecking order because o f the difficulty in accessing external financing sources due to asymmetric information. The research also finds that small firms are significantly slower than large firms in adjusting the debt level when the adjustment requires an increase in debt level according to the target adjustment model.
CONTAGION EFFECTS OF THE ASIAN FINANCIAL CRISIS: REGIONAL OR GLOBAL IN SCOPE?
Mohammed F Khayum,Jong C Rhim,Krishnan Ramaya People&Global Business Association 2003 Global Business and Finance Review Vol.8 No.1
This paper examines the time-dependence of stock market return correlations. The increased frequency of financial crises (currency. banking, equity markets) and the experience of regional waves (ERM, Latin America. Asian) in such crises has focused attention on the phenomenon of contagion, whereby a crisis in one country leads to crises in other, geographically connected countries. Correlations represent one of the ways to determine the degree of linkage across national equity markets. This paper examines the characteristics of the Asian financial crisis from the behavior of stock prices in eight countries. Patterns in the co movements of stock prices are examined before, during and after the period of financial turmoil in eight Asian economies. The findings based on correlation and vector autoregression analyses are consistent with contagion effects among the selected equity markets. A measure of market integration calculated over the pre-crisis, crisis, and post-crisis periods suggests that five of the eight equity markets became more integrated in the global financial market context notwithstanding the turmoil surrounding the Asian financial crisis.
EMPIICAL DISTRIBUTIONS OF FOREIGN EXCHANGE RATES UNDER THE FLOATING EXCHANGE RATE SYSTEM
Mohammed F. Khayum,Jong C. Rhim,Robert J. Hartl 사람과세계경영학회 1996 Global Business and Finance Review Vol.1 No.1
The shape offoreign exchange probability distributions is important in practical applications oftheoretical models ofinternationalfinance. This paper extends previous analyses ofthe shape ofexchange rate distributions by considering a wider range ofcandidate processes. The results indicate that the logistic distribution provides the best representation ofcurrency returnsforfour major currencies (the German mark, Japanese yen, Canadian dollar and British pound) against the U. S. dollar between January 1973 and July 1995. These results are significant because they show that in spite ofthe apparent increase in exchange rate variability during the 1980s and J990s there has been a stable underlying distribution for major currencies.
Mohammed F Khayum,Jong C Rhim,David J Kim People&Global Business Association 1999 Global Business and Finance Review Vol.4 No.1
This paper investigates the forecasting performance of three exchange rate models over the period 1973:Q4 - 1997:Q4. The 1973:Q4 - 1987:Q4 sub-period was used to estimate the models for the Canadian Dollar, British Pound, German Mark and Japanese Yen and the parameter estimates were then used to generate out-of-sample forecasts for the 1988:Q4 - 1997:Q4 period. Based on the differences between actual and predicted results and whether predicted results were directionally accurate the findings indicate that an econometric model based on economic fundamentals tended to outperform market-based spot and forward rate models. However, composite forecasts representing weighted averages of the three individual model forecasts outperformed even the econometric model particularly in the out-of-sample forecasts.
EMPIRICAL DISTRIBUTIONS OF FOREIGN EXCHANGE RATES UNDER THE FLOATING EXCHANGE RATE SYSTEM
Mohammed F Khayum,Jong C Rhim,Robert J Hartl People&Global Business Association 1996 Global Business and Finance Review Vol.1 No.1
The shape of foreign exchange probability distributions is important in practical applications of theoretical models of international finance. This paper extends previous analyses of the shape of exchange rate distributions by considering a wider range of candidate processes. The results indicate that the logistic distribution provides the best representation of currency returns for four major currencies (the German mark, Japanese yen, Canadian dollar and British pound) against the U. S. dollar between January 1973 and July 1995. These results are significant because they show that in spite of the apparent increase in exchange rate variability during the 1980s and 1990s there has been a stable underlying distribution for major currencies.