Dividend-rollover Effect & the Ad Hoc Black Scholes Model

Youngsoo Choi,Steven J. Jordan,SoonChan Ok 한국재무학회 2011 한국재무학회 학술대회 Vol.2011 No.09

One of the most widely used option valuation models among practitioners is the ad hoc Black-Scholes (AHBS) model. The main contribution of this study is methodological. We carefully consider three dividend strategies (No dividend, Implied-forward dividend, and Actual dividend) for the AHBS model to investigate their eect on pricing errors. We suggest a new dividend strategy, implied forward dividend, which incorporates expectational information on dividends embedded in option prices. We demonstrate that our implied forward dividend strategy produces more consistent estimates between in-sample market and model option prices. Probably even more important is that our new implied forward dividend strategy makes more accurate out-of-sample forecasts for 1-day or 1-week ahead prices. Second, we document that both a Return-volatility Smile and a Return-pricing Error Smile exist. From these return characteristics, we make two conclusions: (1) the return dependency of implied volatility is an important explanatory variable and should be controlled to reduce the pricing error of an AHBS model, and (2) it is important for the hedging horizon to be based on return size, i.e. the larger the contemporaneous return, the more frequent an option issuer must rebalance the option's hedge.

The Design and Application of a Meta-evaluation Model for National R&D Programs

Youngsoo RYU(류영수),Byungdae CHOI(최병대),Sang Ok CHOI(최상옥) 한국기술혁신학회 2014 기술혁신학회지 Vol.17 No.4

국가연구개발사업에 대한 메타평가는 과학기술수요와 목표와 연계된 국가전체의 연구개발시스템의 틀 안에서 구축되어야 한다. 연구개발사업평가시스템은 투입, 수행, 산출, 활용의 전 과정으로 이해될 수 있다. 전문가 24명이 참여한 전문가 델파이기법을 통하여 24개의 평가지표가 개발되었다. 메타평가 모델은 중요한 관점 8개의 하위시스템을 포함하고 있다. 8개 하위시스템에는 기획의 적실성, 정보의 충실성, 평가투입에서 평가자의 적정성, 평가수행과정과 방법의 적절성, 평가활용보고와 응용의 유용성등이 포함된다. 메타평가모형의 활용방법으로서 평정점수의 평균은 5점척도 기준으로 2.73이며, 이는 평가점수의 중앙값 3.0보다 낮게 나타났다. 평가결과의 환류는 연구개발프로그램의 개선에 특별히 강화될 것을 제언한다. Meta-evaluation for national R&D programs should be established within the framework of whole R&D system linked with science and technology needs and objectives. The R&D program evaluation system can be understood as a circulation of input, implementation, output, and utilization. In the result of the Delphi survey, which consisted of twenty-four experts (performed in three rounds), twenty-four indices were developed. The meta-evaluation model included sub-items which were important points of view of it as follow (eight items): propriety of planning, sufficiency of information, and propriety of evaluators in evaluation input; appropriateness of method and appropriateness of procedure in evaluation implementation; credibility of output in evaluation output; and usefulness of report and application of evaluation utilization. As the application of the meta-evaluation model, the total mean was lower than 3.0 of the median value of 2.73 (5 point Likert scale). Finally, it was suggested that the feedback of evaluation results should be more enforced to R&D program improvement particularly (evaluation utilization 2.50).

Visual Inspection of Tube Internal

YoungSoo Choi,JaiWan Cho,ChangHoi Kim,YongChil Seo,SeungHo Kim 제어로봇시스템학회 2003 제어로봇시스템학회 국제학술대회 논문집 Vol.2003 No.10

NONLINEAR DRIFT MODEL IN THE SHORT-TERM INTEREST RATE

YOUNGSOO CHOI,YOONDONG LEE 한국재무학회 2007 한국재무학회 학술대회 Vol.2007 No.04

This paper propose a new short-term interest rate model having a different nonlinear drift function and the same diffusion coefficient with Chan, Karolyi, Longstaff, and Sanders (1992) model. The fractional polynomial power of the drift function in our model is linked to the local volatility elasticity of the diffusion coefficient. While the nonlinear drift function estimated by A¨ıt-Sahalia (1996a) and others has a feature that higher interest rates tend to revert downward and low rates upward, the drift function estimated by our nonlinear model shows that higher interest rate mean-reverts strongly, but, medium rates has almost zero drift and low rates has a very small drift. This characteristic coincides the empirical result based on the nonparametric methodology by Stanton (1997) and the implication by the scatter plot of the short rate data. Furthermore, if our model is transformed to make the diffusion process have a constant term, the drift term in our model is very similar to that in A¨ıt-Sahalia model. In the viewpoint of data, while his model is applied to the original interest rate data, our model is applied to the transformed data.

Do Implied Put and Call Sneers Contain Different Information?

Youngsoo Choi,Steven J. Jordan,Wonchang Lee 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.09

The ad hoc Black-Scholes model is one of the most widely used models for forecasting implied volatility. In this paper, we propose a methodology that provides more accurate out-of-sample implied volatility forecasts. Standard approaches estimate the whole volatility smile using both out-of-the-money puts and calls. The improvements from our method are obtained by taking advantage of information contained in the asymmetric slopes of the put and call implied volatility sneers that result in a discontinuity when moneyness is equal to 1. These improvements in out-of-sample implied volatility forecasts are large and significant. Our results are robust across several dimensions, including: time period, forecast horizon, moneyness, and model specification.

ON THE GENERALIZED KORTEWEG-DE VRIES EQUATION WITH DISSIPATION

Choi, Youngsoo 대한수학회 1996 대한수학회지 Vol.33 No.3

Does Buy-and-Hold Pay Off in Structured Products? An Analysis of Account-Level Transactions

Youngsoo Choi,Woojin Kim,Eunji Kwon 한국재무학회 2014 한국재무학회 학술대회 Vol.2014 No.05

This paper documents that median holding period in structured products based on market index is less than a day from initial purchase to liquidation even for retail investors. Less than 6% of all series ever traded by retail investors are held until maturity. More importantly, buy-and-hold strategies perform worse than frequent trading. Based on a unique proprietary dataset that provides the details of all transactions - including account identifier and direction of the trade - in the Korean ELW (equity linked warrant) market between 2009 and 2011, we find that both HFT (high frequency trader) accounts and non-HFT accounts perform worse when either average holding period is long or average end-of-the-day position is large. Such failure of buy-and-hold strategy likely reflects time decaying properties, i.e. theta, of option-like products. Our findings suggest that measuring expected returns for options simply assuming that they are held until maturity may underestimate the true expected return.

우선주와 보통주 간의 가격비율과 거래유동성: 유통 대비 유동 주식수

최영수 ( Youngsoo Choi ),박서영 ( Seo-young Park ),안우혁 ( Woo-hyuk An ) 한국재무관리학회 2022 財務管理硏究 Vol.39 No.3

보통주 대비 우선주 가격비율에 대한 기존 연구에서는 1) 유통주식수를 이용한 독립변수로 가격비율을 분석하고, 2) 가격비율과 거래유동성 간의 관계를 규명하고, 3) 분석 자료의 주기를 회계자료와 연동하여 분기 혹은 연간으로 분석 기간을 수년간으로 분석하고 있다. 본 연구에서는 2003년부터 2021년 7월까지의 유통/유동주식수 및 거래주식수 일별 자료를 사용하여 개별 기업의 특성을 반영한 패널분석(panel analysis)을 하였다. 실증 분석한 결과, 우선주 가격비율은 1) 의결권 가치 지표인 우선주 발행비율 및 시가총액에 부(-)의 영향을, 2) 유동성 관련 지표인 유통 대비 유동주식수비율과 거래량회전율에 우선주[보통주] 경우에는 정(+)[부(-)]의 영향을, 3) 보통주 대비 우선주 거래량비율에는 부(-)의 영향을 매우 유의적으로 받는다. 즉 일별 가격비율의 고변동성(high volatility)을 설명하려면 기업 지배구조에 관련된 유통주식수 대신에 주식 거래 유동성 특성을 고려할 수 있는 유동주식수 및 거래주식수 사용이 필요하다. 아울러 의결권 가치 혹은 유동성 지표 수준에 따라 주주친화정책 도입에 따른 우선주 가격상승을 보여주는 주식 그룹과 수급 쏠림에 기반한 머니게임 현상을 보이는 주식 그룹이 공존한다는 연구 결과를 정책 도입에 반영할 필요가 있다. Previous studies on the preferred-to-common stock price ratio were conducted as follows: (1) The price ratio is analyzed using the outstanding number of shares as an independent variable; (2) The relationship between the price ratio and liquidity is investigated; (3) Quarterly, or annual data ― in tandem with that of accounting data - is used over several sample years. We analyze a panel data from January 2003 until July 2021, at a daily frequency, with individual company characteristics including the floating and outstanding number of shares. We empirically find that the price ratio is (1) negatively affected by the issue ratio of preferred-to-common stocks and the market capitalization―which represent the value of voting rights; (2) positively (negatively) affected by the ratio of floating-to-outstanding shares and the turnover ratio of trading―which proxy for liquidity―for preferred (common) stocks; (3) negatively affected by the trading volume ratio of preferred-to-common stocks. Furthermore, to account for the high volatility of the daily price ratio, it is necessary to use the floating shares and the number of traded shares that can consider the characteristics of stock trading liquidity instead of the outstanding shares related to corporate governance. Lastly, according to the level of voting rights or liquidity indicators, it is necessary to reflect our finding in the regulatory policy that a bullish preferred stock-holding group upon a shareholder-friendly policy and a money-game group with excess demand and supply biases coexist.

Projector 회로 소음 및 진동 저감의 실험적 연구

최영수(Youngsoo Choi),송근영(Keunyoung Song),이종권(Jongkwon Yi),오홍렬(Honglyeol Oh),이승규(Seunggyu Lee) 한국소음진동공학회 2013 한국소음진동공학회 학술대회논문집 Vol.2013 No.4

This paper deals with noise reduction on a light source driving board in a projector. We analyze causes of noise/vibration in the circuit with the present increasing use of LD and LED driving boards. The main source of noise is the MLCC in the driving board. Our aim is to investigate how the mechanical arrangement of the circuit elements affects noise reduction. The result of our experiment shows that noise can be reduced by symmetrical arrangement and slots in PCB. This result is expected to facilitate a variety of applications for manufactures without a need to change circuit elements.

차량용 초음파 센서의 간섭 예측

최영수(Youngsoo Choi),서영수(Youngsoo Seo),김영훈(Younghoon Kim) 한국자동차공학회 2018 한국자동차공학회 부문종합 학술대회 Vol.2018 No.6