전환사체(轉換社債)의 전환가액(轉換價額)에 관한 연구

이승환 ( Seung Hwan Lee ) 연세대학교 법학연구원 2009 法學硏究 Vol.19 No.3

Convertible bond is a corporate bond with conversion privilege that can be converted into share of common stock after a certain period. Convertible bond holders, in times of slow markets, can hold on to convertible bonds till the maturity date and collect on interest or in a lively market, can exercise the option to convert the convertible bond to stock, and thereby participate in the growth of the company`s equity value. On the issuer`s perspective, convertible bond is a beneficial way of financing since convertible bonds can be issued at a lower rate than regular debentures and hence can raise capital with reduced interest payment and later can be converted from debt to capital by converting into new shares. When convertible bond are converted to new share, the value of shareholder`s equity may be reduced due to stock dilution. Depending on the type of the dilution the convertible bond holder is protecting against, a price protection clause provides for an adjustment in the conversion price upon the issuance of additional shares at a price below the then-current conversion price (conversion-price formula) or the then-current market price (market-price formula). In other words, a conversion-price formula will protect against dilution to the convertible bond holder`s initial investment and a market-price formula will protect against dilution to the current value of the investment. The difference between the two formulas is that in conversion-price formula, conversion price, after adjustment, will remain consistent, and not be changed or affected by the market. However, in market-price formula, conversion price will be influenced and determined by the market. In other words, the two formulas are distinguished by the fact whether the issuance of additional shares due to conversion is affected by the then-current market price of the issued shares. Hence, market-price formula can be more speculative than conversion-price formula; however, both are intended to prohibit economic dilution to convertible bond holders. Some convertible bond markets, especially in Japan, allow the issuance of Moving Strike convertible bond or Death Spiral convertible bond which are new types of convertible bonds that let the market value of shares determine the conversion price. These new types convertible bonds can cause serious dilution by letting convertible bond holders become debenture underwriter and use short sale to cause a sharp fall in the stock price. Such drastic decrease in the stock value would let the holders convert more number of shares, resulting in further dilution. In order to protect existing shareholder against such dilution, there is maximum and minimum cap on conversion price. Issuance of such convertible bond as death spiral might help with immediate financing, but it causes serious dilution of stock value and the falling price cause by such dilution will further alarm other investors and weaken the share price, making the company share undesirable to new investors and limiting the company`s ability to obtain financing. Therefore, issuance of such convertible bond needs extreme caution.

분양전환 공공임대아파트 문제점 해결을 위한 제한자산형 주택협동조합(LEC) 도입 검토

김선영 ( Kim Seon Yeong ) 농협대학교 협동조합경영연구소 2020 협동조합경영연구 Vol.53 No.-

The purpose of this study is to examine the Limited Equity Cooperatives (LEC) in terms of supplying and maintaining affordable housing to resolve conflicts over pricing of public rental apartments and privatization of development profits. Since public rental apartments were introduced to help low-income people own their houses, the provision of sales prices, which states the pricing should be at less than the appraised price, is inadequate for the purpose of affordable housing, and the uncertainty of standards causes conflicts between the interested parties. On the other hand, because the market price has risen a lot during the rental period, there has been many negative effects in which the residents sell their apartments at the high market prices and privatize all the development profits. This study shows an actual case of a public rental apartment in which the transaction price surged right after the conversion for sale to individual residents. In order to solve this problem, this study investigates the effect in terms of maintaining an affordable price through a simulation transaction limited to the maximum price. The application of the LEC’s resale price formula allows sellers to enjoy an appropriate level of asset disposal gains while maintaining a low market price for subsequent buyers.

The Price-Rent Ratio in the U.S. Housing Market

고민욱,김장렬 국제지역학회 2014 국제지역연구 Vol.18 No.1

This paper uses the Campbell-Shiller present value formula to decompose the US price-rent ratio into the expected present discounted values of housing market fundamentals, i.e., rent growth, real interest rate, and risk premium for investing in housing. To handle the expectations of the fundamentals, we cast the Campbell-Shiller formula into a state-space model and specify the expectations of the fundamentals as unobserved components as AR(2) processes. The model is estimated with the U.S. housing market data over 1970:Q1-2012:Q4 period. Our primary finding is that the movements in the price-rent ratio are largely attributable to the variations in expected housing premium, while the expected rent growth and real interest rate explain only small fractions of variations in the price-rent ratio. Also, while the individual contributions of the expected market fundamentals constitute much larger variations than in the price-rent ratio itself, the correlations among them widely dampen fluctuations in the ratio.

영문 ; 미국 주택시장에서의 주택가격-임대료 비율

( Min W Ko ),( Jan R Kim ) 국제지역학회 2014 국제지역연구 Vol.18 No.1

본 논문에서는 Campbell-Shiller의 현재가치공식을 이용하여 미국 부동시장에서의 주택가격-임대료 비율의 움직임을 고찰한다. 동 공식에 따르면 주택가격-임대료 비율은 임대료 증가율, 실질 이자율, 및 주택투자에의 위험 프리미엄과 같은 본원변수의 미래 기대치로 표시된다. 나타난다. 이에 상기 기대치들의 움직임을 AR(2)로 설정하여, 주택가격-임대료 비율을 상태공간모형으로 나타낸 후, 최우추정법을 통해 1970:Q1-2012: Q4간의 자료를 이용하여 모형을 추정하였다. 가장 두드러진 추정 결과는, 미국의 주택가격-임대료 비율의 움직임은 대부분 위험 프리미엄의 기대치에 의해 결정되며 미래의 임대료 증가 및 실질 이자율에 대한 기대는 매우 작은 부분만을 설명한다는 것이다. 또한 위의 세 변수들의 개별적 변동성은 주택가격-임대료 비율의 변동성에 비해 매우 크게 나타나나, 세 변수간의 높은 상관관계에 의해 개별 변수들에 의해 초래되는 주택가격-임대료 비율의 변동성이 상당부분 완화되는 결과를 얻었다 This paper uses the Campbell-Shiller present value formula to decompose the US price-rent ratio into the expected present discounted values of housing market fundamentals, i.e., rent growth, real interest rate, and risk premium for investing in housing. To handle the expectations of the fundamentals, we cast the Campbell-Shiller formula into a state-space model and specify the expectations of the fundamentals as unobserved components as AR(2) processes. The model is estimated with the U.S. housing market data over 1970:Q1-2012:Q4 period. Our primary finding is that the movements in the price-rent ratio are largely attributable to the variations in expected housing premium, while the expected rent growth and real interest rate explain only small fractions of variations in the price-rent ratio. Also, while the individual contributions of the expected market fundamentals constitute much larger variations than in t he p rice-rent ratio itself, the correlations among them widely dampen fluctuations in the ratio.

THE PRICING OF VULNERABLE OPTIONS UNDER A CONSTANT ELASTICITY OF VARIANCE MODEL

우준희,김동현,윤지훈 충청수학회 2020 충청수학회지 Vol.33 No.2

This paper suggests the price of vulnerable European option under a constant elasticity of variance model by using asymptotic analysis technique and obtains the approximated solution of the option price. Finally, we illustrate an accuracy of the vulnerable option price so that the approximate solution is well-defined.

VALUATION FUNCTIONALS AND STATIC NO ARBITRAGE OPTION PRICING FORMULAS

INTAE JEON,CHEOL-UNG PARK 한국산업응용수학회 2010 Journal of the Korean Society for Industrial and A Vol.14 No.4

Often in practice, the implied volatility of an option is calculated to find the option price tomorrow or the prices of ‘nearby’ options. To show that one does not need to adhere to the Black- Scholes formula in this scheme, Figlewski has provided a new pricing formula and has shown that his ‘alternating passive model’ performs as well as the Black-Scholes formula [8]. The Figlewski model was modified by Henderson et al. so that the formula would have no static arbitrage [10]. In this paper, we show how to construct a huge class of such static no arbitrage pricing functions, making use of distortions, coherent risk measures and the pricing theory in incomplete markets by Carr et al. [4]. Through this construction, we provide a more elaborate static no arbitrage pricing formula than Black-Sholes in the above scheme. Moreover, using our pricing formula, we find a volatility curve which fits with striking accuracy the synthetic data used by Henderson et al. [10].

Estimating the price premium of LNG in Korea and Japan: The price formula approach

Choi, Gobong,Heo, Eunnyeong Elsevier Science Ltd 2017 Energy Policy Vol.109 No.-

<P><B>Abstract</B></P> <P>Focusing on the price premium, which reflects the negotiation power of exporting and importing countries, this study empirically investigates the liquefied natural gas (LNG) price formula for Korea and Japan. Applying the state-space model and Kalman filter to the price formula adopted in the LNG contracts in the Asia–Pacific region, this study estimates the long-run price formula and time-varying premiums on the LNG import prices by trade routes, from Qatar, Oman, Indonesia, and Malaysia, to Korea and Japan. Furthermore, this study also discusses the differences between Korea and Japan and the event-based changes in the price premiums, namely, the appearance of Russia as a new supplier to Korea and Japan in April 2009, and the Fukushima nuclear disaster in March 2011. The estimation results show that the appearance of a new supplier does not always lead to a decrease in the premium. In addition, LNG importers in Northeast Asia should pay attention to demand and supply in Europe as well as Asia because Northeast Asia and Europe share the same Middle Eastern exporting countries. Furthermore, Korea, Japan, and other Northeast countries need to establish close cooperation to enhance their negotiation power within the global LNG market.</P> <P><B>Highlights</B></P> <P> <UL> <LI> The price formula and time-varying premium of LNG for Korea and Japan were estimated. </LI> <LI> The appearance of new LNG supplier does not always mean the decrease in premium. </LI> <LI> After Fukushima nuclear disaster, the premium on LNG from Indonesia and Malaysia increased. </LI> <LI> The overall increases in the premium of Japan were higher than that of Korea. </LI> </UL> </P>

입목가 평가를 통한 임업의 수익성 분석

민경택 한국산림과학회 2019 한국산림과학회지 Vol.108 No.3

표준적인 산림 조건을 가정하여 주요 경제수종의 기준 벌기령 입목가를 평가하여 임업의 수익성을 분석하였다. 벌기령의 입목가는 원목가격에서 벌목·운반비를 빼는 시장가역산법으로 평가하였다. 일본잎갈나무의 경우 기준 벌기령(30년) 에서 입목가는 약 450만원/㏊, 잣나무의 경우 기준 벌기령(50년)에서 입목가는 약 370만원/ha로 산정되었다. 이는 수확후재조림비용 606만원 이하에 머물러 보조금이 뒷받침되지 않으면 갱신으로 이어지지 않는다. 육림비용을 포함하면 그 차이는 더욱 커진다. 장래에도 목재가격은 상승하지 않을 것이고 인건비는 상승할 것이므로 임업의 수익성은 더욱 악화될 것이다. 현재의 고비용 임업방식을 개선하지 않으면 지속가능한 산림경영을 실현하기 어렵고 공적 투자에 의존할 수밖에 없을것이다. 따라서 임업의 비용을 절감하기 위해 천연갱신처럼 조림비용이 들지 않는 저비용 임업을 채용할 필요가 있다. 또, 임목수확의 비용절감을 위해 임도를 비롯한 임업 인프라에 투자해야 한다. We analyzed the profitability of Korea’s forestry by evaluating stumpage prices of the main economic tree species. Stumpage prices are evaluated with a market value formula, subtracting logging and transporting costs from market prices of logs. If trees are sold at the current cutting age, the stumpage price of larch is about 4.5 million KRW per hectare and that of Korean pine is about 3.7 million KRW per hectare. The stumpage prices do not cover reforestation cost, which is about 6.1 million KRW per hectare. If government subsidies did not support the cost of reforestation and silviculture, there would be no profits at all. The cost of forestry is very high in terms of planting and silviculture. In the future, the prices of logs are not predicted to rise and the wages for labor are not predicted to fall. Without reforming the current forestry regime, Korean forestry is, thus, not sustainable. Therefore, low-cost forestry efforts like natural regeneration should be adopted to make forestry viable. Investments in forestry infrastructure like forest roads are also required to decrease the timber logging and transporting costs.

공시지가지수 산정에 관한 연구: 서울시 개별공시지가 활용을 중심으로

이소윤,심교언 한국도시부동산학회 2022 도시부동산연구 Vol.13 No.3

In Korea, a lot of statistical information on the real estate markets has been constructed and provided in the forms of many statistics to the public. But most of them are on the residential, office, etc., and there remains a dearth of statistical information on the land market. Set in the high demand for the development of the land market index, this study constructed the Laspeyres' chained land price index using annually publicly announced land prices in Seoul. Additionally to improve the timeliness of the statistical information, this study converted the annual index to the monthly index using benchmarking method. At the same time, this study found out that there were statistically significant differences between the two low-level residential indexes as well as between the monthly Laspeyres' chained land price index and the government's official statistics.

외국약가 참조기준 개선 관련 국가별 약가구조 검토: 공장도출하가 산출식을 중심으로

주진한,김병수,윤상헌 건강보험심사평가원 2022 HIRA RESEARCH Vol.2 No.2