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Changes in Market Uncertainty and Profitability of Idiosyncratic Volatility Anomaly in Korea
김정무,박윤정,옥영경 한국무역연구원 2019 무역연구 Vol.15 No.6
Purpose - The idiosyncratic volatility (IVOL) puzzle is the anomaly that lower IVOL stocks earn higher future returns. We examine if global market uncertainty and market fear affect idiosyncratic volatility anomaly profits in Korea. Design/methodology/approach - Change in market uncertainty and investor fear is measured by change in the volatility index (VIX). Stocks are sorted into quintile portfolios based on their IVOLs in each month. To measure the anomaly profit, the return spread between two extreme portfolios is computed. Risk-adjusted returns are also calculated relative to capital asset pricing model (CAPM) and the Fama and French model. Then, we compare the difference of the IVOL investing profits in the decreasing and increasing VIX periods. Findings - We find that in the months following a decrease in VIX, stocks with low IVOLs earn 2.5% higher profits than stocks with high IVOLs. However, no such anomaly arises in the months following an increase in the VIX. Research implications or Originality - This result implies that mispricing is more significant when investors’ fears regarding market uncertainty are abated. Also, investors can obtain the IVOL anomaly returns by buying low IVOL stocks when the VIX decreases and selling them the following month. This finding suggests that the Korean stock market is integrated with the global market.
김정무,Kim, Jeong-Mu 한국방위산업진흥회 1999 國防과 技術 Vol.- No.244
동족 상잔의 비극 6.25가 있은지 벌서 49년이 지났다. 하지만 아직도 그 상처는 아물지 않고 민족의 가슴 속에 그대로 남아있다. 이 글은 6.25 당시 물 밀듯이 내려오는 북괴군을 맞아 최후의 방어선으로 다부동 전투와 함께 배수진을 치고 목숨을 걸고 사수한 영천지구 전투를 소개한다. 영천지구 전투는 8사단을 중심으로 조국수호를 위한 결사적인 호국정신과 돌격정신으로 이룬 일대 쾌거였으며, 다부동 전투에 비해 부각되지 않은 백절불굴의 통쾌한 승리였다
김정무,박윤정,옥영경 한국무역연구원 2019 무역연구 Vol.15 No.3
Purpose - The importance of investments by insurance companies in the Korean stock market is growing. Therefore, we examine the performance and the determinants of investments by insurance companies from 1999 to 2017. We also investigate whether the empirical results vary with the states of the economy or stock market conditions. Design/methodology/approach - This research uses portfolio analysis and Fama and MacBeth (1973) cross-sectional regression to analyze comprehensively. We focus on the momentum strategy which is known to be able to obtain significant positive excess returns in the Korean stock market since the 2000s. Findings - The main findings can be summarized as follows. First, insurance companies use the trading strategy that avoids a decline in profitability rather than a high profit. Second, insurance companies prefer past winner stocks with positive skewness, low turnover, and high one month prior return. Third, insurance companies tend to increase their investment during the period when the interest rate moves downward and they earn positive and significant returns on net buying position. Research implications or Originality - Using portfolio analysis and cross-sectional regression, we comprehensively analyze whether the rate of return differs depending on the net investment of the insurance investors and investigate the determinants of insurance companies’ stock investment.