미국 옵션시장의 거래제도

신민식,이승우 한국재무관리학회 1988 財務管理硏究 Vol.5 No.1

KOSDAQ 시장에서의 Fama-French 3요인 모형의 유효성 검정

신민식,이동하 慶北大學校出版部 2005 經商論集 Vol.32 No.2

This paper examines Fama-MacBeth's cross section regression analysis to examine relation between corporation size, BE/ME, β and expected return to manufacturing industry that is listed to KOSDAQ securities market for 36 months from January 2000 to December 2002 all, and recognized whether is useful in case of manufacturing industry that 3 factors model of Fama-French through time-series analysis is listed to KOSDAQ securities market. Also, new listing bias and survival bias in that corporation size, BE/ME, β's factors explain cross section difference of expected return watch differences analyzed effect that reach. The main results of this study can be summarized as follows. First, cross section regression analysis result of Fama-MacBeth(1973), β, size and all BE/ME did not significantly. Only, in β's case, was expose that have significant at the ten-percent level value that keep in mind of negative(-) at analysis that is multi-regression, but show that β's explanatory power is ceilinged too because expected return is decrescent β grows. Second, market factor and BE/ME factor kept in mind in all portfolios in analysis that use 3 factors model of Fama-French(1993), and although corporation leading person was difference by type, delisting corporation appeared to significant on the whole except sample C that is included. Third, analysis result about effect that new listing bias and survival bias reach in 3 factors model of Fama-French(1993) can say that {R_(mt)-R_(ft)], HML variable is healthy about the survival convenience of new listing.

二項옵션 價格決定模型에 관한 硏究

申敏植 慶北大學校 經濟經營硏究所 1987 經濟經營硏究 Vol.3 No.-

This paper develops a complete binomial option pricing model. Although the mathematics of the model are quite simple, especially when compared to the Black-Scholes option pricing model, the economics of both models to option pricing are essentially same. Thus, the binomial model opens the door to the understanding of modern option pricing theory without the added complications associated with the solutions to stochastic differential equations. Moreover, the binomial model contains the Black-Scholes model as limiting case. The binomial model is written below so that it can be readily compared with the Black-Scholes model. Binomial model; C=SB(k≥a|n,p')-Xr^-nB(k≥a|n,p') Black-Scholes model; C=SN(d_1)-Xe^-rfTN(d_2) The two models look very similar. The variables S and X are exactly the same. Cox, Ross, and Rubinstein(1979) have proven that as n→∞ the two models converge, because r^-n→e^-rfT, B(k≥a|n,p')→N(d_1), and B(k≥a|n,p')→N(d_2). The binomial approach may be employed to value American options. If a stock pays a dividend, it may sometimes pay to prematurely exercise a call option on the stock before the dividend is paid rather than hold the option when the stock is almost certain to decline in value. Thus, one would expect American call options on dividend paying stocks to be worth than their European counterparts. On the other hand, if a stock is expected to pay a dividend, it is less likely that an American put option will be exercised prematurely since the stock is likely to decrease in value when the dividend is paid due to the ex-dividend effect.

기업의 현금흐름이 현금보유에 미치는 비대칭적 영향

신민식,김수은 한국재무학회 2013 한국재무학회 학술대회 Vol.2013 No.05

본 연구는 1999년 1월 1일부터 2010년 12월 31일까지 한국거래소의 유가증권시장과 코스닥시 장에 상장된 기업을 대상으로 현금흐름이 현금보유에 미치는 비대칭적 영향을 실증분석 하였으며, 주요한 분석 결과는 다음과 같다. 먼저, 재벌기업의 경우에는 현금흐름이 현금보유에 미치는 영향이 매우 약하게 나타났는데, 이는 재벌기업의 내부자본시장과 부분적으로 관련이 있다. 그러나 비재벌기업의 경우에는 현금흐름이 현 금보유에 미치는 영향이 더 강할 뿐만 아니라 비대칭적 영향도 더 크게 나타났으며, 세부적인 분석 결과는 다음과 같다. 먼저, 기업의 현금흐름 환경이 양(+)이냐 음(-)이냐에 따라 현금흐름이 현금보 유에 비대칭적으로 영향을 미치는 것으로 나타났다. 먼저, 기업의 현금흐름 환경이 양(+)일 때는 현 금흐름이 현금보유에 양(+)의 영향을 미치는데, 이는 현금흐름이 양(+)인 기업은 실물자산의 생산 성이 높거나 현행 프로젝트가 양(+)의 NPV를 갖는다는 증거가 되기 때문에, 양(+)의 현금흐름으로 인하여 현금보유가 계속 증가함을 의미한다. 그리고 현금흐름이 음(-)인 기업은 실물자산의 생산성 이 낮거나 현행 프로젝트가 음(-)의 NPV를 갖는다는 증거가 되기 때문에 현금보유의 유출을 막기 위해 음(-)의 NPV인 수익성이 없는 프로젝트를 중단하고 현금보유를 더 크게 증가시킨다. 따라서 기업의 현금흐름 환경이 음(-)일 때는 양(+)일 때보다 현금흐름에 대한 현금보유의 민감도가 더 크 게 증가한다. 그리고 재무적 제약 여부를 고려하더라도 현금흐름이 현금보유에 비대칭적으로 영향을 미치는 것으로 나타났다. 즉, KZ 지수, 자본시장 접근성, 신용평점과 같은 3가지 기준을 사용하여 재무적 제약 여부를 고려하였으나, 기업의 현금흐름 환경이 음(-)일 때는 양(+)일 때보다 현금흐름 에 대한 현금보유의 민감도가 더 크게 증가한다. 나아가, 대리인 문제를 고려하더라도 기업의 현금 흐름 환경이 음(-)일 때는 양(+)일 때보다 현금흐름에 대한 현금보유의 민감도가 더 크게 증가하는 것으로 나타났다. 결론적으로, 재벌기업은 내부자본시장으로 인하여 현금흐름이 현금보유에 미치는 영향이 매우 약 하다. 그러나 비재벌기업의 경우에는 현금흐름이 현금보유에 미치는 영향이 더 강할 뿐만 아니라, 현금흐름 환경이 음(-)일 때가 양(+)일 때보다 현금흐름이 현금보유에 미치는 영향이 더 큰 것으로 나타났다. 그리고 재무적 제약 여부나 대리인 문제를 고려하더라도, 현금흐름 환경이 음(-)일 때가 양(+)일 때보다 현금흐름이 현금보유에 미치는 영향이 더 크다. 따라서 경영자들은 재벌기업의 경 우에는 내부자본시장을 고려하여 현금관리를 할 필요가 있고, 비재벌기업의 경우에는 현금흐름 환경 이 양(+)이냐 음(-)이냐에 따라 현금흐름이 현금보유에 비대칭적으로 영향을 미친다는 점을 고려하 여 현금관리를 할 필요가 있다. In this paper, we empirically analyze the asymmetric effects of cash flows on cash holdings of firms listed on Korea Exchange. Sample firms are classified into chaebol and non-chaebol firms, and also non-chaebol firms are classified into the financially unconstrained and constrained firms, on the basis of financial constraints. The financial constraints are judged by KZ index, capital market accessibility and credit rating scores according to the method of Faulkender and Smith (2007), and agency problems are judged by institutional holdings. The main results of this study can be summarized as follows. The effects of cash flows on cash holdings are lower for chaebol firms as compared to non-chaebol firms. Low sensitivity of cash holdings to cash flows for chaebol firms implies that there is an internal capital market(Shin and Park, 1999). The effects of cash flows on cash holdings for non-chaebol firms are asymmetric when facing positive or negative cash flow environment. The asymmetry my be due to several reasons, including binding project contracts, bad news withholding, and agency problems. The effects of cash flows on cash holdings are higher when a firm faces a negative cash flow environment, as compared to when a firm faces a positive cash flow environment. Moreover, The asymmetric effects of cash flows on cash holdings continue to hold in both financially constrained and unconstrained firms. Financially constrained firms, as compared to unconstrained firms, are less likely to invest in new projects or fund existing bad projects with negative NPV because they find it hard to obtain external financing. In addition, when institutional holdings are usable to control agency problems, firms with better outside monitoring by institutional investor dissave to capture good projects with positive NPV. In conclusion, because chaebol firms have internal capital market, the effect of cash flows on cash holdings are lower as compared to non-chaebol firms. However, the effects of cash flows on cash holdings are higher when a firm faces a negative cash flow environment, as compared to when a firm faces a positive cash flow environment. Although considering financial constraints and agency problems, firms have asymmetric responses to their cash holdings when facing positive or negative cash flow environment. This paper has a few limitations because it is an only early study about the asymmetric effects of cash flows on cash holdings when facing positive or negative cash flow environment. Specifically, this paper does not adequately capture all of the subtle features of cash holdings. Thus, it is necessary to expand sample firms and control variables, and use more elaborate analytic methods in future studies.

우리나라 上場企業의 資本構造 決定要因

申敏植 경북대학교 경제경영연구소 1989 經商論集 Vol.17 No.3

The purpose of this study is to test empirically the determinants of capital structure of the Korea Listed Firms. In order to accomplish the purpose of this study, both literature survey and empirical test have been made. For the empirical test, agency and asymmetric information factors as well as traditional ones have been throughly reviewed. Traditional factors tested in this study include firm-size, collateral value of the assets, business risk, tax, non-debt tax shields, and industry effects. Agency and asymmetric information factors include growth opportunities, the percentage of outstanding equity held by inside stockholders, and the number of inside stockholders. From the results of the cross-sectional regression analysis, the adjusted R-square is 19-31%, and the overall F-value indicates significance. For the analysis period, the signs of the variables except business risk are as predicted. Firm-size, collateral value of the assets, and business risk are significant at the .01-.05 level. In order to determine the influence of industry factors on the financial leverage, a total of 8 dummy variables are added to the regression model. The adjusted R-square incresed by 4.2% for the first analysis period(1983-1985) and 6% for the second analysis period(1986-1987). This suggests that industry factors are significant in explaining the variations in financial leverage across firms. In order to pursue the influence of agency and asymmetric information factors on the financial leverage, again the cross-sectional regression analysis is done for the middle size firms group(n=40). The adjusted R-square increased by 9.8% for the first analysis period(1983-1985) and 6.1% for the total analysis period(1983-1987), and all the signs was as predicted. But both the variables except the number of inside stockholders was not significant.

영업주기의 결정요인과 조정속도

신민식,김수은 한국산업경제학회 2011 산업경제연구 Vol.24 No.4

본 연구는 2000년 1월 1일부터 2009년 12월 31일까지 한국거래소의 유가증권시장과 코스닥시장에 상장된 중소기업을 대상으로 영업주기의 결정요인과 조정속도를 실증분석 하였으며, 중요한 분석결과는 다음과 같다. 먼저, 영업주기의 결정요인에 관하여 분석한 결과, 유형자산 비율, 수익성 비율, 매출 액 성장률 및 레버리지 비율은 영업주기에 유의한 음(-)의 영향을 미치고, 기업규모는 영업주기에 유의한 양(+)의 영향을 미치는 것으로 나타났다. 그리고 영업주기의 조정속도에 관하여 분석한 결과, 자본시장 접근성이 좋은 기업은 그렇지 않은 기업보다 영업주기를 더 빨리 조정하며, 신용평점이 높은 기업은 신용평점이 낮은 기업보다 영업주기를 더 빨리 조정하는 것으로 나타났다. 이는 실제 영업주기가 목표 영업주기를 이탈할 경우, 재무적 비제약기업은 제약기업보다 그 갭을 더 빨리 조정한다는 의미가 된다. 결론적으로, 한국거래소에 상장된 중소기업들은 유형자산 비율, 수익성 비율, 매출액 성장률, 레버리지 비율 및 기업규모와 같은 기업특성변수에 따라 영업주기가 결정된다. 이러한 중소기업들은 목표 영업주기를 가지고 있고, 실제 영업주기가 목표 영업주기를 이탈할 경우, 그 갭을 매년 부분적으로 조정 하는 것으로 나타났다. 그리고 영업주기의 결정요인들 뿐만 아니라, 재무적 제약 요인들도 영업주기의 조정속도에 상당한 영향을 미치는 것으로 나타났다. 따라서 중소기업 경영자들은 영업주기의 결정요인 들과 재무적 제약 요인을 종합적으로 고려하여 영업주기를 신속하게 조정함으로써 안정적인 운전자본 정책을 유지할 수 있다. In this paper, we analyse empirically the determinants and adjustment speed of operating cycle of small and medium Sized enterprises (SMEs) listed on Korea Exchange. The existence of financial constraints can be justified by the capital market accessibility and the credit rating score. Firms with capital market accessibility and high credit rating score are not financially constrained, because they can finance easily in capital markets. The main results of this study can be summarized as follows. The firm characteristic variables such as tangibility ratio, profitability ratio, sales growth rate and leverage ratio have positive and significant effect on the operating cycle, but firm size has a negative and significant effect on it. SMEs have the unobservable target operating cycle which adjusts partially their operating cycle in order to their current operating cycle to be close to the target one. The adjustment speeds of capital market accessibility firms or high credit rating score firms are roughly faster than capital market unaccessibility firms or low credit rating score firms. That is, the financially unconstrained firms adjust faster their operating cycle than the financially constrained firms because they can finance easily in capital markets. Moreover, although endogeneity problems are reflected in partial adjustment model, SMEs adjust partially their operating cycle in order to their current operating cycle to be close to the target one. In conclusion, SMEs listed on Korea Exchange have the target operating cycle, and adjust partially their operating cycle in order to their current operating cycle to be close to the target one. The financially unconstrained firms adjust faster their operating cycle than the financially constrained firms because they can finance easily in capital markets. Therefore, the former can maintain more stable working capital policy than the latter.

아파트 브랜드에 관한 연구

신민식 한국부동산경영학회 2011 부동산경영 Vol.3 No.-

As research apartment about apartment brand occupies very important part in residing culture of our society, interest about construction company's commercial value which build house is rising, and is caused each companies' competitive power reinforcement and competitive power reinforcement and investment about apartment brand is increasing continuously from late 1990s to each company. This research searches since when consumer is going to buy apartment, apartment brand exerts some effect and do by purpose that analyze about consumer's attitude in reply. Investigate what effect in though buy apartment value for brand through this exerts and to house building company's marketing administrator efficient and desirable that painful basis data for marketing strategy establishment that know offer wish to. Housing construction companies gain a competitive edge for the house also very important, but through the company's brand image associated with the housing projects have the reliability and the need for differentiation and the need to be highlighted in the marketing section has.

CAPM과 OPM을 利用한 M-M資本構造理論의 再吟味

申敏植 慶北大學校 經商大學 經濟學科 1987 慶商大學論集 Vol.15 No.-

賣渡者옵션이 T-bond 先物價格에 미치는 影響

申敏植,李俊植 慶北大學校 經濟經營硏究所 1994 經商論集 Vol.22 No.2-3

듀레이션과 債券포트폴리오의 이뮤니제이션

申敏植 慶北大學校 經商大學 經濟學科 1985 慶商大學論集 Vol.13 No.-