Earticle

Weak form efficiency is implemented empirically by assuming that returns are serially uncorrelated. If the prices are really random and bear little relation to fundamentals, the serial correlation of prices over time could be zero. Therefore, in an efficient market, there should not be much predictability in returns.The aim of this paper is to derive theoretically a explanatory power within tolerable bounds for efficient market theory suggested by Ross(2003). In addition, by applying Ross's test theory, we find the tolerable bounds for efficient market in Korean stock market.We tested efficient markets using daily KOSPI data to the sample size of 1725 in the period 1999－2005. The test shows that any serial correlation will be rejected for the efficient market hypothesis if it is expected to do better than 0.1259% in its R2. In the first method for Ross's variance ratio test, a maximum serial correlation should be less than －0.03548 for the assumed sample size, T＝100. Given －0.03548, the variance ratio should be as high as 93.2 to hold weak form efficiency. Using the second method, a maximum serial correlation should be less than the order of －0.002980, thus, the variance ratio can be as high as 70.5 to hold weak form efficiency.

기존의 많은 실증적 연구에 의하면 Sharpe－Lintner－Black의 CAPM의 내용과는 달리 시장베타 이외에 기업규모(size), 장부가치/시장가치비율(B/M) 등의 기본적 변수가 주식수익률에 영향을 주고 있는 것으로 나타나고 있다. 이와 같은 연구결과는 자본자산가격결정모형(capital asset pricing model：CAPM)의 내용과 달리 시장베타 이외에 기본적 변수가 기대수익률의 횡단면적 차이를 설명할 수 있다는 근거를 제시한 것이다. 이를 바탕으로 Fama and French(1993)는 시장요인, 기업규모요인, 장부가치/시장가치요인을 이용한 3요인모형(three factor model)을 제시하였으며, 이에 관한 연구가 활발하게 진행되고 있다. 그동안 국내외에서 다요인모형과 주식시장과잉반응에 관하여 많은 실증연구가 진행되었다. 그러나 기존의 연구들은 동일한 결과를 제시하지 못하고 있으며, 특히 과잉반응현상 등 시장의 이례적 현상이 다요인모형에 의해 설명될 수 있는지에 대한 체계적 연구가 거의 이루어지지 못하고 있다. 따라서 본 연구는 Fama and French(1993) 등에 의해서 제시된 3요인모형이 한국주식시장에서 적용가능한지를 살펴보고, 또한 시장효율성에 반하는 증거로 제시되고 있는 시장의 이례적 현상인 과잉반응을 새로운 위험요인으로 볼 수 있는지를 살펴보는 데 그 목적이 있다. 본 연구에서는 다요인모형의 검증을 위하여 Black, Jensen, and Scholes(1972)의 시계열모형을 사용하였다. 실증분석결과를 요약하면 다음과 같다.첫째, 소규모주식, 고 B/M 주식, 과거수익률이 낮은 주식(패자포트폴리오)의 평균수익률이 높은 이유는 기업규모 및 B/M과 관련된 위험이 높기 때문인 것으로 판단된다. 이는 시장요인에 의해 설명할 수 없는 시장의 이례적 현상들이 기업규모요인, 장부가치/시장가치요인에 의해서 설명될 수 있음을 의미한다. 결론적으로 국내 증권시장에서도 Fama and French(1993)의 3요인모형이 성립하는 것으로 판단된다.둘째, 과잉반응요인을 추가함으로써 과잉반응효과를 보다 정확하게 설명할 수 있지만, 기업규모 포트폴리오와 B/M 포트폴리오에서는 유의하지 않게 나타나고 있기 때문에 새로운 위험요인으로서 사용하기에는 다소 문제가 있다고 판단된다.이상과 같은 본 연구의 결과는 CAPM, APM 등 기존 자산가격결정모형의 현실적 적용의 문제점을 해결할 수 있는 모형을 개발하는 데 기여할 수 있다. 그리고 본 연구에서 제시한 다요인모형은 포트폴리오의 선택, 포트폴리오의 성과측정, 사건연구에서의 비정상적 성과측정, 자본비용의 추정 등에 이용될 수 있다. 따라서 본 연구는 주식시장의 효율성뿐만 아니라 기업의 생산성을 향상시키는 데 기여할 수 있을 것이다.

The purpose of this study is to examine multi－factor model and stock market overreaction in korea. Some of previous studies reported the evidence of economically important return reversals over long intervals. Motivated by this observation, the paper constructs a portfolio whose return serves as a new factor that mimics overreaction. The paper shows whether this new factor can improve the performances of the Fama and French's(1993) three－factor model. The paper uses the time－series regression approach of Black, Jensen, and Scholes(1972). The results of this study are as follows. First, the results of time－series regressions say that the market, firm size, and book－to－market factors can explain the differences in average returns across stocks. Therefore the paper concludes that the three－factor model absorbs most of the anomalies that have plagued the CAPM. Second, the overreaction factor improves the performances of the three－factor model in several prior－return－based portfolios. But this new factor cannot improve the performances of the three－factor model in firm size and B/M portfolios

This study insists that product attributes based on different market view affect individual consumers' acceptance of high－tech new product.The current work presents that interactivity in a product can be classified into two different dimensions according to their characteristics. One of them is market－driving dimesion that have the interactivity offering innovation to consumers but that is unfamiliar to consumers, and the other is market－driven dimension that is familiar to consumers but that is not very much innovative.Proposed model was tested and the result supports the hypothesis that the perceived usefulness is affected by control and customization of market－driven dimension and flow is affected by product innovativeness and playfulness. Consequently they affects acceptance intention.

The topic of empowering leader behavior has received great attention in the field of society. The reasons is that the leader empowering behavior is conceived as essential component of employees’ empowerment construction. This research is aimed to reveal the relationship between the empowering leader behavior and HR productivity with respect to team commitment, and organizational citizenship behavior. In addition, this research focuses on the mediating role of perceived supervisor support in the influential role of empowering leader behavior on team commitment and organizational citizenship behavior. For this purpose, employees who worked in financial institutions completed the questionnaires and LISREL was employed. The findings are as follows：Firstly, leader empowering behavior consists of four dimensions such as leading by example, coaching, encouraging and showing concerns, and participative decision making. Secondly, empowering leader behavior influence directly on the team commitment and organizational citizenship behavior. Furthermore, this behavior also influences indirectly through mediating of perceived supervisor support on the team commitment and organizational citizenship behavior. Finally, some implications are included.

Most manufacturing firms have focused on managing efficiently their supply chains that purchasing raw materials, producing final products, and supplying them to retailers. Since a supply chain network is composed of several stages and components, a little variation of retail sales may result in significant changes for each component on supply chains. In this view, a manufacturer is expected both to synchronize its products with the retailer’s demand and to coordinate the ordering of raw materials with production processes so that both raw materials and final goods inventories are reduced. This paper addresses an integration of SCM and RM problems in manufacturing systems－specifically, the simultaneous determination of procurement of raw materials, production plan and supply policy for each customer in the circumstance of demand uncertainty. We focus on modeling our problem as a stochastic dynamic programming model and extensive computational results with randomly generated problems are reported.

This study compares the relative size of the HR department of firms in Korea to that of Eurorean countries and Japan and examines its antecedents and consequences. Using the 2004 Human Capital Corporate Panel that surveyed 454 Korean private companies, we find that the relative size of the HR department of Korean firms was much lower than that of most other countries, 11.5 out of 1000 employees on average. We also find that organizational size, the number of overseas branches, the strength of HR－oriented corporate culture, the degree of e－HRM advancement, and HR strategy were significantly associated with the relative size of HR department. The relative size of HR department had a relationship with turnover ratio and absenteeism, but dis not show any significant relationship with firm’s financial performance.

There are many researches to analyze the productivity or efficiency of the public financing support for the small business in terms of its contribution on the regional economic performance. The paper argues that the reason for the acceptable performance, however, may come from the methodological bias, instead of the empirical contents or theory itself. Thus, the objective of the research focused whether the public financing support such as credit guarantee is really effective. The empirical result shows the public financing pitfall by the “consultocracy” with negative effect and thus it requires the innovation not of the system, but of the governance.