http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
Comprehensive Asset Pricing Tests in the Korean Stock Market
Jaewan Bae,Jangkoo Kang,Jun Park 한국재무학회 2023 한국재무학회 학술대회 Vol.2023 No.11
We examine the empirical performance in the Korean stock market of three new asset pricing factor models: the Stambaugh–Yuan (2017) mispricing factor model, the Daniel et al. (2020) three-factor model, and the Hou et al. (2021) q5-factor model. We find that all factors in these factor models have significantly positive risk premiums and are not explained by the Fama– French six-factor model. Compared to other prevalent models, the q5 model shows the highest maximum Sharpe ratio, mainly due to its profitability and expected growth factors. Further, the q5 model exhibits superior performance in explaining the returns of 97 anomaly portfolios in the Korean market.
Asset Pricing Implications of Firms’ Profit Sharing
Jaewan Bae,Jangkoo Kang 한국재무학회 2022 한국재무학회 학술대회 Vol.2022 No.11
This study examines the asset pricing implications of a profit-sharing scheme by measuring a profit-sharing coefficient (PSC), which captures the firm’s tendency to share profits with its employees. We first find that firms with a high PSC earn higher future stock returns than firms with a low PSC. This arises because investors underestimate the positive effects of PSC on worker productivity while overreacting to the increased wage costs due to the high PSC. We further reveal the role of PSC in lowering firm risk by showing that earnings and stock returns of high-PSC firms are less sensitive to aggregate risk than those of low-PSC firms.
JaeWan Choi,Hyun-Soo Seol,Ju Lee 대한전기학회 2018 Journal of Electrical Engineering & Technology Vol.13 No.2
In this paper, interior permanent magnet synchronous motor (IPMSM) design for sensorless drive, considering magnetic neutral point shift according to magnetic saturation, has been proposed. Sensorless control was divided into a method based on inductance and a method based on back induced voltage. Because induced voltage is very small at zero or low speed, error in rotor initial position estimation may occur. Using the ratio of saliency addresses this problem. When using highfrequency injections at low speed, the rotor’s initial position is estimated at the smallest portion of the inductance. IPMSM has the minimum inductance at the d-axis. However, if magnetic saturation leads to magnetic neutral point variation, following the load current change, there is a change in the minimum point of inductance. In this case, it can lead to failure of initial rotor position estimation. As a result, it is essential that the blocking design has an inductance minimum point shift. As such, in this study, an IPMSM design method, by blocking magnetic neutral point change, has been proposed. After determining the inductance profile based on the finite element analysis (FEA), the results of proposed method were verified.
Illiquidity, duration and momentum profits: evidence from the Korean stock market
( Jaewan Bae ),( Changjun Lee ) 한국파생상품학회(구 한국선물학회) 2021 선물연구 Vol.29 No.1
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference in returns of short-duration and long-duration stocks captures well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than competing asset pricing models in explaining the momentum effect. Finally, when controlling for the duration factor, the explanatory power of the foreign/institutional illiquidity factor on the momentum profits disappears. In sum, our empirical finding indicates that the duration factor is the most important ingredient in understanding the momentum effect in the Korean stock market.