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This study examines the relationship between the Northeast Asian and U.S. markets with particular attention placed on the global financial crisis period. For this purpose, the paper employs dynamic approaches including DCC-MGARCH, BEKK and Risk Decomposition models to ensure the robustness of empirical findings. The results are as follows. First, The Northeast Asian stock market remains relatively independent from the U.S. market movements during the sample period. Second, the regional market shows an increasing trend of joint integration with the U.S. market. Third, an increased integration is found to be only unique to the crisis period. We find no evidence to support the findings of previous empirical studies which suggest the increased level of integration since the GFC.
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본 연구는 국내 벤처 펀드의 실제 운용자료를 바탕으로 벤처 펀드의 투자성과를 3가지 지표(PME, IRR, Multiple)로 측정하고, 각 투자성과지표의 특징과 결정요인을 국내 최초로 분석했다는 점에서 의의가 있다고 할 수 있다. 펀드 자체의 특성, 펀드 운용 주체의 특성, 그리고 펀드 운용 시장상황의 특성으로 나누어 펀드의 투자성과 결정 요인을 분석한 결과, 투자성과지표에 따라 결정요인이 다르며, PME 지표가 다른 지표에 비해 해당 결정요인들의 설명력이 높은 것으로 나왔다. 또한 PME와 Multiple은 대체로 유사한 패턴을 보이나, IRR은 벤처투자펀드의 투자성과지표로서 편향성이 있음을 발견하였다. PME와 Multiple 지표의 경우 펀드규모는 투자성과와 U자형의 관계를 가지나 IRR의 경우에는 음(-)의 관계로 나타났고, 펀드 운용기간이 짧을수록 성과가 좋은 것을 보였으며, IRR의 경우에는 cash inflow(회수)에 대해서만 유의한 결과를 보여 IRR이 회수의 방향으로 편향되어 있음을 알 수 있었다. 펀드 결성시점의 신규펀드의 결성 개수는 PME에, 펀드 청산시점의 청산펀드의 개수는 IRR에 유의한 음(-)의 영향을 미치는 것으로 나타났다.
Most venture investments in Korea are from venture funds supported by limited partners (LPs), and thus LPs always want to know the main determinants of the fund performance and how well their funds are operated. General partners (GPs) who want to successfully receive the investments for their venture funds from LPs are also very interested in the same issues. This study measures the performance of Korean venture funds using the public market equivalent (PME), internal rate of return (IRR), and multiple measures. The features and determinants of each performance measure are then analyzed using actual Korean venture fund data. Few studies have addressed these issues, due to limited access to and a shortage of Korean venture fund data. This study is the first to use actual venture fund data to investigate the performance and its determinants. To accurately measure the performance of venture funds, the Net Asset Value problem must be addressed. However, this study is free from that issue because the sample only contains fully liquidated venture funds. The PME measure (average 1.07) shows that on average, Korean venture funds performed slightly better than the Korea Composite Stock Price Index market from 1992 to 2010. This result may appear disappointing, but it is too early to draw conclusions, as our sample only includesthe funds formed until the early 2000s. The IRR is the most volatile ofthe three measures (its standard deviation is 10.2 times the average), because it is influenced by vintage years and market situations, such as fund liquidation periods. The average is much higher than the median for all three of the measures, suggesting that some larger funds perform considerably well. We analyze the determinants of fund performance based on three factors—fund characteristics, fund operator characteristics, and market situation characteristics—and find not only that each performance measure has different determinants, but also that the latter’s explanatory power is higher for the PME measure than for the other measures. We also find that the PME and multiple measures exhibit similar patterns, whereas the IRR is biased as a performance measure. The determinants that explain the PME measure well are fund size, fund operation period, fund cash inflow and outflow, and the number of new fund formations. The determinants that best explain multiple measures are fund size and fund cash inflow and outflow. The best determinants for the IRR measure are fund size (negative relation), fund operation period, fund cash inflow, number of liquidated funds, and vintage year. For the PME and multiple measures, fund size has a U-shaped relation with fund performance, whereas it has a negative relation with the IRR measure. The fact that the funds smaller than $3 million perform well, especially for the IRR measure, is a unique feature of Korean venture funds not found in Harris et al. (2014), who studied U.S. venture funds. This suggests that the IRR can be highly biased for smaller funds. Remarkably, the shorter the fund’s operation period, the better the fund performance in the case of the PME measure, but not in the case of the multiple measures. The performance differences among the investment fields stand out for the PME and multiple measures (especially the latter), but are not found for the IRR. For the PME and multiple measures, IT-specialized funds exhibit the best performance, and bio-specialized funds the worst. General funds without specialized investment fields only outperform specialized funds for the multiple measure. Funds with more than two cash flowsperform better than those with only one cash flow for all three of the measures. However, the IRR only shows a statistically significant result for cash inflows (liquidation), indicating that it is biased toward fund liquidation. There is no significant difference in performance between corporate venture capital (CVC)and non-CVC, between financial and non-financial venture capital (VC), and between individual and non-individual VC for all of the three measures. The number of new funds during the fund formation period has a significantly negative influence on the PME measure, and the number of liquidation funds during the fund liquidation period negatively influences theIRR measure. Because the average operating period of Korean venture funds is five-and-half years, the data used for this study only cover the venture funds mainly formed before 2005. With more fund data from the 1980s, 1990s, and 2000s, as in the U.S., it would be possible to obtain more meaningful results. It is probable that we willunderstand more about the Korean venture fund industry once we reach the mid-2010s and have access to the performance results of venture funds formed during the 2000s, which was a booming period for the Korean venture capital industry.
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본 연구는 일시납 연금 가입수요의 결정요인을 확인하기 위해 실험연구를 진행하였다. 결정요인으로는 개인의 금융상품 선택에 있어서 가장 중요한 요인인 위험회피(risk aversion) 정도와 시간선호(time preference)에 초점을 두었다. 40~59세의 한국인 500명을 대상으로 하여 설문과 실험 두 가지 방법을 모두 실시하여 개인들의 위험회피와 시간선호 변수를 추정하였다. 이를 통해 피설문자의 답변이 가질 수 있는 편의들을 실험환경을 통하여 획득한 정보와 비교해 보고, 일시납 연금의 가입수요에 적합한 변수 선정과 추정방식이 무엇인지 검증하였다. 연구의 주요 결과는 다음과 같다. 첫째, 설문 답변을 통한 변수들은 실험을 통해 추정한 변수들과 상당한 차이를 보여 주관적 편의 (subjective bias)의 문제를 내포하고 있음을 확인하였다. 둘째, 실험을 통해 추정한 변수들 중 미래에 대한 시간선호는 일시납 연금 가입의 중요한 결정요인이지만 위험회피 정도는 유의하지 않았다. 설문을 통한 본인자각적 답변들은 일시납 연금 수요의 결정요인이 아니었다. 셋째, 본인자각적 답변과 실험결과의 차이로 정의된 미래선호, 위험회피, 기대여명, 금융지식, 연금지식의 편의 변수는 일시납 연금 가입의향과 유의한 관계를 보였다. 위의 결과들은 금융상품의 잠재적 수요에 있어서 행태적, 선호적 편의가 중요한 영향을 미칠 수 있음을 의미한다.
Risk aversion and time preference are fundamental variables when people make financial decisions, but there are numerous opinions for how to estimate them. Researchers frequently estimate the demand of financial products with an ordinary survey, where subjects provide self-perceptive information. Given that behavioral financial questions are included in the simple questionnaire, the subjects may misunderstand such questions, or may not be able to completely understand the importance of the concepts driving them. Therefore, subjective bias could be implicitly problematic in many surveys, rendering their results untrustworthy. Although researchers can draw their conclusions based on the data collected from the survey, the economic results may be distorted or prove insignificant. This study takes the behavioral and experimental economics explored in Kahneman and Tversky (1979) and applies those theories to a financial product, such as a single payment annuity. This is a relatively new product in Korea’s aging population, thus demand for it has not been analyzed in the Korean context, despite the popularity of such products in the U.S. (Mitchell and Utkus, 2003). Following the method of eliciting risk aversion proposed by Holt and Laury (2002), we develop a new measure of risk aversion that is modified using the quantile normalization (Bolstad et al., 2003), and use the measure to check for subjective bias when choosing an annuity product. Time preference is also very critical in financial decisions. We propose a time preference measure that follows Coller and Williams (1999) and use it as an objective measure of the subject’s time preference. We design an experiment in which the subjects are guided by the instruction and payoff schemes, and follow several sessions. The participants choose a lottery from a pair of lotteries whose payoffs and probabilities are different, revealing the participants’ risk aversion preferences. In the next experiment on time preference, the participants choose a lottery from a pool of several featuring different interest rate payoffs with higher and lower payment spans, depending on the interest rates. During the experiment, the participants’ choices reveal their time preferences for our analysis. In addition to the results of the aforementioned experiments, we collect the participants’ background information, such as financial status, financial literacy, and intelligence. Given the dataset, we can then find that the subjective answers from the survey are not significantly related to the financial decision on single payment annuity. This allows us to verify that the subjective bias exists, and confirm that self-perceptive surveys are not trustworthy in choosing financial products. We also compare the self-perceptive answers and the experimental measures to test which methods are more reliable and significant. The results show that neither approach significantly determines time preferences and risk aversion in some model specifications. We construct the bias variables of risk aversion, time preference, life expectancy, financial literacy, and intelligence using the differences between the subjective answers and experimental results. Thus, when we execute econometric models with the bias variables of interest, we discover that the biased self-perceptive and experimental measures of the time preference, risk aversion, life expectancy, financial literacy, and pension literacy are significant determinants of the demand for single payment annuity. Therefore, the preferential and behavioral variables are critical in choosing financial products such as annuities, rather than the self-perceptive answers in the survey. We also run a Heckman two-step regression of the premium of the single payment annuity and find that financial status and portfolio are the most crucial determinants, regarding the moneywise incentive. Finally, the time preference and risk aversion experiments we design reveal that behavioral and preferential biases are critical in choosing financial products. Therefore, we conclude that researchers should take bias variables seriously when they estimate the demand for financial products, even after controlling for other variables.
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We investigate the effectiveness of the original PIN model (Easley, Kiefer, O’Hara, and Paperman, 1996) and five variants of the adjusted PIN model (Duarte and Young, 2009) in the Korean stock market. Throughout the series of likelihood-ratio fitness tests, we find that the unrestricted version of the adjusted PIN model fits best in the Korean stock market data.
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