Two-layer Investment Decision-making Using Knowledge about Investor's Risk-preference : Model and Empirical Testing

Won, Chaehwan,Kim, Chulsoo 한국경영과학회 2004 Management Science and Financial Engineering Vol.10 No.1

There have been many studies to build a model that can help investors construct optimal portfolio. Most of the previous models, however, are based upon the path-breaking Markowitz model (1959) which is a quantitative model. One of the most important problems with that kind of quantitative model is that, in reality, most of the investors use not only quantitative, but also qualitative information when they select their optimal portfolio. Since collecting both types of information from the markets are time consuming and expensive, making a set of target assets smaller, without suffering heavy loss in the rate of return, would attract investors. To extract only desired assets among all available assets, we need knowledge that identifies investors' preference for the risk of the assets. This study suggests two-layer decision-making rules capable of identifying an investor's risk preference and an architecture applying them to a quantitative portfolio model based on risk and expected return. Our knowledge-based portfolio system is to build an investor's preference-oriented portfolio. The empirical tests using the data from Korean capital markets show the results that our model contributes significantly to the construction of a better portfolio in the perspective of an investor's benefit/cost ratio than that produced by the existing portfolio models.

Mathematical Model of Optimal Payouts under Non-linear Demand Curve

Won, Chaehwan 한국경영과학회 2004 Management Science and Financial Engineering Vol.10 No.2

In this study, a mathematical model that shows the optimal payout policy is developed. The model is new and unique in the sense that not only continuous-time framework is used, but also both partial differential equation (PDE) and real-option approach are utilized in the derivation of optimal payouts for the first time. In the model building, non-linear demand curve for dividend payouts in the competitive capital markets is assumed. From the sensitivity analysis using traditional comparative static analysis, some useful managerial implications which are consistent with famous previous studies are derived under realistic conditions. All results in this study. however, are valid under the assumption that the opportunity costs follow geometric Brownian motion, which is widely used in economic science and finance literature.

A Model of Investment Valuation Using Martingale

Won Chaehwan 대한경영학회 2007 대한경영학회 학술발표대회 발표논문집 Vol.2007 No.3

폐쇄형뮤추얼펀드 퍼즐과 시장효율성

원재환(Chaehwan Won),이상호(Sangho Lee),이석원(Seok Weon Lee) 한국산업경영학회 2014 경영연구 Vol.29 No.2

본 연구의 목적은 재무분야에서 아직 명쾌하게 해결하지 못한 문제 중 하나인 폐쇄형뮤추얼펀드 퍼즐을 옵션가격결정모형을 통해 이론적으로 설명하고자 하는 것이다. 폐쇄형펀드 퍼즐이란 펀드가격이 펀드의 순자산가치보다 낮거나(할인) 높게(할증) 시장에서 형성되는 현상을 말하는 것으로 효율적시장가설(EMH)에 대한 반증으로 널리 인용되고 있다. 본 연구에서의 분석결과, 폐쇄형펀드의 할증이나 할인과 같은 이상현상은 효율적 시장에서도 존재할 수 있음을 이론적으로 확인하였는바, 할증과 할인을 풋옵션가치로 설명 할 수 있기 때문이다. 본 연구는 주로 이론적 고찰에 중점을 두며, 민감도분석을 통 해 중요한 시사점들을 도출한다. The purpose of this study is to theoretically explain the 'Closed-end mutual fund (CEF) puzzle' which is one of the unsolved issues in finance area. The CEF puzzle is the phenomenon that the fund is priced lower or higher than the net asset value(NAV) of the fund in the market, and it is frequently cited as a counter example of efficient market hypothesis(EMH). According to our analysis, both premiums and discounts on closed-end mutual fund can exist even in the context of efficient markets since both premium and discount can be specified as the values of put options. In this paper, we focus primarily on the theoretical nature of premiums on closed-end mutual funds. Some useful implications are then provided through sensitivity analyses. for studying the temporal behavior of the premiums or discounts.

Cyclical Consumption and Expected Stock Returns: Evidence from the Korean Capital Market

원영(Young W. Won),원채환(Chaehwan Won),원(Y. Won) People&Global Business Association 2021 Global Business and Finance Review Vol.26 No.3

Purpose: In this study, we empirically demonstrate how the new variable of ‘cyclical consumption’ can capture consumption risk and predict expected stock returns, which relationship is stronger and should be considered as the primary macro indicator for stock markets between KOSPI and KOSDAQ, and which specific industries exhibit stronger or weaker relationship with cyclical consumption in the Korean capital market. Design/methodology/approach: The basic research design is composed of three approaches as follows: After testing the predictability of ‘cyclical consumption’ for the overall market returns, we examine whether or not there are differential characteristics in return predictability between two capital markets in Korea, KOSPI and KOSDAQ. Then, we analyze which specific industries have stronger or weaker relationship with the consumption. To explore these main issues, we apply such models as return predictive regressions, alternative detrending methods, external habit model, and others. Hamilton(2018)’s detrending method plays a key role in constructing the appropriate cyclical consumption and in running return predictive regressions. Findings: First, cyclical consumption has a statistically significant inverse relationship with market returns; moreover, the more accumulated the market returns(up to five years), the stronger the relationship, and the result holds during both boom and recession periods. Second, cyclical consumption has stronger inverse relationship with KOSPI than KOSDAQ market and only KOSPI market shows statistical significance. Third, the relationship with cyclical consumption can also be applied to almost 11 industry portfolios for KOSPI, such as finance, manufacturing, electronics, and other 8 industries among 22 sample industries. Research limitations/implications: The results from this study can be widely used by investors, policy makers and other market participants in constructing investment strategies and in designing macroeconomic policies and market micro structures. In particular, investors can utilize the results in constructing individual portfolios for some industries. The shortage of data for the various consumption variables in Korea is the limitation of this study. Originality/value: This is the first paper to prove the relationship between the ‘cyclical’ consumption and stock returns in Korea. The differential characteristics between KOSPI and KOSDAQ and among industries are newly added value. In addition, this study can stimulate further research in other countries for enhancing the generality of the results.

Demonstration of Shingled-Type Si PV-Driven Electrochemical Conversion of CO₂ to CO

Tae-Won Kim,Jeon Ryang Lee,Jeong-Hyeon Lee,Min-Joon Park,Chaehwan Jeong,Eun Mi Han 한국신재생에너지학회 2022 AFORE Vol.2022 No.9

A Knowledge Integration Model for Corporate Dividend Prediction

Jinhwa Kim,Chaehwan Won,Jae Kwon Bae 한국경영정보학회 2008 한국경영정보학회 학술대회논문집 Vol.2008 No.-

Dividend is one of essential factors determining the value of a firm. According to the valuation theory in finance, discounted cash flow (DCF) is the most popular and widely used method for the valuation of any asset. Since dividends play a key role in the pricing of a firm value by DCF, it is natural that the accurate prediction of future dividends should be most important work in the valuation. Although the dividend forecasting is of importance in the real world for the purpose of investment and financing decision, it is not easy for us to find good theoretical models which can predict future dividends accurately except Marsh and Merton (1987) model. Thus, if we can develop a better method than Marsh and Merton in the prediction of future dividends, it can contribute significantly to the enhancement of a firm value. Therefore, the most important goal of this study is to develop a better method than Marsh and Merton model by applying artificial intelligence techniques.

Spectral Response of CuGaSe₂/Cu(In,Ga)Se₂ Monolithic Tandem Solar Cell With Open-Circuit Voltage Over 1 V

Wi, Jae-Hyung,Han, Won Seok,Lee, Woo-Jung,Cho, Dae-Hyung,Yu, Hye-Jung,Kim, Chae-Woong,Jeong, Chaehwan,Yun, Jae Ho,Kim, Chang-Il,Chung, Yong-Duck IEEE 2018 IEEE journal of photovoltaics Vol.8 No.3

<P>Thin-film multijunction solar cells are considered to be the most promising structure for next-generation photovoltaic devices. We fabricated CuGaSe<SUB>2</SUB> (CGS)/Cu(In,Ga)Se<SUB>2</SUB> (CIGS) monolithic tandem solar cells. The intermediate AZO film was used as a recombination layer between the top cell and the bottom cell, and its thickness was varied from 50 to 200 nm. The best tandem cell parameters with a 50 nm thick Al-doped ZnO (AZO) layer showed a <I>V</I><SUB>OC</SUB> = 1.03 V, <I>J</I><SUB>SC</SUB> = 10.24 mA/cm<SUP>2</SUP>, <I>FF</I> = 41.5%, and <I>efficiency</I> = 4.32%. We showed the <I>V</I><SUB>OC</SUB> of monolithic tandem cell to be over 1 V under illumination. We also observed the current continuity between the CGS cell and the CIGS cell which were connected in series as subcells. As the AZO thickness increased, the spectral response of the top cell decreased and the bottom cell was not completely saturated. The 50 nm thick AZO layer leads the CIGS bottom cell to be current-limiting, whereas the 200 nm thick AZO layer shifts the limitation to the CGS top cell. The results also showed that the In element diffusion into the CGS top absorber enhanced the electrical and optical properties of the top cell, whereas the Zn element diffusion into CIGS bottom absorber tended to degrade the bottom cell simultaneously.</P>

The Behavior and Predictive Power of Implied Volatilities in Spot and Futures Options

Kim, Doseong,Song, Minsub,Won, Chaehwan 경성대학교 산업개발연구소 2008 산업혁신연구 Vol.24 No.2

기업의 ESG활동이 신용등급에 미치는 영향: 국내 기업 적용사례

이미경(Mikyoung Lee),원재환(Chaehwan Won) 동국대학교 경영연구원 2024 경영과 사례연구 Vol.46 No.1

세계적으로 ESG경영이 중요한 이슈로 부각되면서 국내 기업들도 점차 ESG경영에 많은 관심을 가지고 자본조달과 투자에 임하고 있다. ESG경영을 단순히 기업 이미지 제고나 평판개선을 통한 기업가치제고 측면에서 접근하던 기업들이 이제는 기업의 지속가능경영과 생존을 위해서 반드시 필요하다고 인식하고 있다는 점이 많은 연구에서 확인되고 있다. 본 연구에서는 최근 ESG채권발행이 증가하고 있는 국내 기업들의 자본조달현황을 살펴보고, 기업의 생존에 직결되는 신용리스크관리 측면에서 ESG경영이 기업 신용등급변화에 어떤 영향을 주는 지 분석하고, ESG경영이 투자자의 투자전략수립, 기업의 신용리스크관리, 정부의 신용리스크 관련 규제 수립에 도움이 될 수 있는 시사점들을 도출하였다. ESG management gradually becomes one of major issues in global firms these day, and this phenomenon is not exception for Korean firms and they make use of ESG management in thier decisions in raising capital and investment. Although initially they focused on the improvement of firm image and firm value through ESG management, many studies support the fact that firms gradually recognize that ESG is very essential for the survival and sustainable growth. This study investigates the trend of the increase of ESG bonds in Korea and analyzes the impact of ESG management on the credit ratings and risk management of firms. Then, through the case studies for Korean firms, we draw some useful implications for the investment strategy for the investors, the credit risk management for the firms, and policy makings about credit ratings for the government.