Earticle

본 연구에서는 최근에 이동통신 시장이 음성 중심에서 데이터 중심으로 경쟁의 축이 이동되는 시장 상황 속에서 세분 시장 수준에서 고객 충성도를 확보하는 전략들이 무엇인지 분석하고자 하였다. 이동통신 시장의 최근의 연구들을 살펴보면 데이터 사용량이 많은 고객일수록 품질 기대 수준이 높아져서 고객 충성도가 저하된다는 연구 결과가 많은 지지를 얻고 있는데 이러한 결과는 이동통신사 입장에서는 초고속망 확보를 위한 막대한 투자가 오히려 고객 충성도 향상에 별로 도움이 안 될 수도 있다는 예측이 가능하다. 그러나 이러한 연구 결과는 전체 시장 수준에서 나온 연구 결과로서 세분 시장 수준에서는 다른 결과가 나올 가능성도 존재한다. 이 연구에서는 최근의 시장 상황을 반영한 시장 세분화를 통해서 세분 시장 수준에서 고객 충성도의 차이를 살펴보고 세분 시장별로 고객 충성도를 향상 시킬 수 있는 전략적 시사점들을 찾고자 하였다. 특히 기존의 연구 결과에서 데이터 사용량이 많은 고객일수록 고객 충성도가 약화되는 현상을 극복하기 위해서 데이터 사용량이 많은 세분 시장에서의 고객 충성도를 향상시킬 수 있는 전략적 방안을 제시하고자 하였다. 연구 결과 세분 시장 수준에서는 고객 충성도를 결정하는 요인들이 세분 시장별로 서로 다르기 때문에 시장 환경이 데이터 중심으로 변한다고 해도 세분 시장 수준에서는 데이터 품질이 반드시 고객 충성도를 결정하는 가장 중요한 요소가 아니라는 사실이 밝혀졌다.

In this exploratory study, the new approach for segmentation strategy in mobile communication industry is proposed through reviewing the existing study about market segmentation. In the new circumstance, data service is more important competitive factor than voice service. So we can expect the segmentation criteria will be changed to obtain the customer loyalty in the mobile industry. The data service quality is the most critical factor influencing the customer loyalty in the new data based competing circumstance. In the existing study, customers who are sensitive to data service quality show lower loyalty compare to those who are not sensitive to data service quality. However, in the segmentation market level, this theory derived from the total market level does not work as it worked in the past. First, we were tried to find the critical segmentation criteria derive from the study executed for market segmentation and classified these criteria into some categories. Also, in this study we were tried to know whether the categories for segmentation verified from the existing study can be applied to Korean mobile communication market. The various segments are derived from the empirical analysis classified to price based ones and non price based ones. Also the profiles of segments are testified using the various variables like price sensitivity, store loyalty, amount of money, customer royalty. Finally, we were going to find out the competitive strategies for major companies in Korean Market by analysing price sensitivity and customer royalty of each segment. Finally We find out that price and amount of data usage are the key factor deciding the customer royalty of each segment. In this study, critical segments that make new cash cow in the data oriented circumstance proposed to provide new the strategy can lead the participants of korea mobile communication market.

This study analyzes Korean and Chinese consumer perceptions of Hanbang (traditional Korean herbal) cosmetics, specifically focusing on Sulwhasoo’s Jaum two-piece set. Using topic modeling, 7,000 consumer reviews from Naver (Korea) and Baidu (China) were examined to uncover the key themes that influence consumer satisfaction and dissatisfaction. The results reveal significant similarities and differences between the two markets. In both countries, the product is frequently purchased as a gift, and price sensitivity is a major concern. However, Korean consumers prioritize delivery experiences and product functionality, while Chinese consumers focus more on product quality and effectiveness. These findings highlight the need for targeted strategies in each market. For success in Korea, competitive pricing and improved logistics are crucial, whereas in China, maintaining high product quality and capitalizing on the gifting culture are essential. Additionally, global expansion requires educating consumers on the benefits of Hanbang cosmetics, ensuring product consistency, and adapting to regional preferences. This research provides valuable insights for cosmetic companies aiming to enhance their market presence both locally and internationally.

본 연구의 목적은 한국에 진출해 있는 일본계기업을 분석하여, 그 기업들의 경영상황을 살펴보고 그에 따른 정책적 및 경영전략적 시사점을 도출하는 것이다. 분석대상이 된 기업은 한국신용평가정보(주)의 KIS Value 데이터베이스에 수록되어 있는 외국계기업이다. 일본계기업의 특징을 파악하는 방법으로서 일본계기업이 외국계기업 전체 및 미국계기업과 비교하여 어떠한 특징을 지니고 있는가를 살펴보고, 일본계기업만을 대상으로 그 기업들이 시계열 관점에서 어떠한 특징을 지니고 있는가를 살펴본다. 일본계기업의 대표적인 특징을 살펴보면, 먼저 세 차례의 한국진출 붐이 있었으며, 미국계기업에 비해 투자주체의 투자금액과 지분율이 낮고, 제조업 비중이 높고, 성장을 중시하는 경향이 있다. 한편 시계열적으로는 설립연도가 최근에 가까울수록 일본계기업도 점점 지분율이 높고, 서비스업종 비중이 높고, 수익률을 중시하며, 시장확보를 진출목적으로 하고 있다. 이러한 특징을 고려해 볼 때, 한국정부는 일본계기업이 한국에서 시장을 확보할 수 있도록 지원하는 정책과, 한국을 생산기지가 아니라 연구개발기지로 활용될 수 있는 정책을 개발할 필요가 있다. 나아가 한국기업은 일본기업과의 합작 또는 장기적인 거래를 통하여 상호이익을 도모할 필요가 있다.

The Purpose of this research is to figure out the characteristics of Japanese-invested firms in Korea and to draw some implications for government policy and business strategy through the analysis of those firms. The firms in the analysis are those listed in the KIS Value database of the Korean Information Service inc. As to the methods of the analysis, we compare the characteristics of the Japanese-invested firms with those of the whole foreign-invested firms and the US-invested firms, and analyze the time-series characteristics of the Japanese-invested firms only.Some of the main characteristics of the Japanese-invested firms are as follows. There were three times of establishment boom in the past. Compared to the US-invested firms, the amount of investment and the stock ratio of the main investor are low, and the proportion of the manufacturing business and the tendency of growth-oriented management are high. On the other hand, when we look at the time-series characteristics of the Japanese-invested firms, the more recent the establishment year of firms is, the proportion of service business firms and the tendency of profit-oriented management are higher and firms tend to look for the market potential of Korea. Considering these characteristics, the Korean government needs to develop policies that can help Japanese-invested firms to find customers in the Korean market and to utilize Korea not as a production site but as a R&D site. In addition, Korean firms had better try to make business with Japanese firms by establishing joint ventures or long-term business relationship.

본 연구에서는 우리나라에서 발표되고 있는 사회책임투자지수인 KRX SRI 지수와 KRX SRI-Eco지수, KRX SRI Governance 지수 그리고 환경관련지수로 KRX Green지수의 성과를 우리나라 시장의 평균적인 성과를 대표하는 KOSPI200 지수와 비교해보았다. 성과평가를 위해 Sharpe 지수, Treynor 지수, Jensen의 알파등과 같은 위험조정 수익률을 이용하여 지수들의 성과를 비교분석하였다. 연구결과는 첫째, 사회책임투자지수의 성과가 시장의 평균적인 성과보다 높을 것이라는 가설은 하위가설 1-2에서 살펴본 KRX-SRI Eco 지수만이 시장의 평균성과보다 더 높은 결과가 도출되어 부분적으로 채택되었고, KRX SRI는 시장의 평균적인 성과와 거의 유사한 성과를 보였다. 둘째, KRX SRI-Governance와 KRX Green은 시장평균보다 낮은 성과를 보였고, 특히나 KRX Green은 현저히 낮은 성과를 보여 지수별로 상반된 결과가 도출되었다. 이와 같이, 사회책임투자와 관련된 여러 가지 지수들이 시장의 평균성과와 비교하여 서로 상반된 결과를 보이기 때문에 우리나라에서 사회적책임투자가 재무성과와 높은 관련성이 있다는 볼 수는 없었다. 또한 지수별로 가지는 성격이 다르기 때문에 좀 더 우량한 기업들을 중심으로 선정된 SRI-Eco 지수만이 시장성과보다 높은 것으로 나타났다. 또한, 우리나라의 경우는 아직까지 SRI에 대한 투자자들의 인식이 높지 않고, 실증분석을 위한 자료의 축적도 많이 이루어지지 못한 상황이다. 향후, 좀 더 정교한 방법론과 지수에 포함되는 개별기업들의 성과분석을 한다면 좀 더 나은 결과가 나올 수 있을 것이다.

This study compared the performance of the KOSPI 200 Index that represents the average performance of the South Korean market with KRX SRI index, KRX SRI-Eco index, KRX SRI Governance index and KRX Green, announced in South Korea. For performance evaluation, the performances of the indices were compared and analyzed, using risk-adjusted returns such as Sharpe Ratio, Treynor ratio and Jensen’s alpha, etc. As for research results, first, regarding the hypothesis that the performance of SRI index would be higher than the average performance in the market, Hypothesis 1-2 which financial performance of KRX-SRI Eco would be higher than the market average, only was partially adopted, and KRX SRI showed almost similar performance to the average performance in the market. Second, KRX SRI-Governance and KRX Green showed lower performance than the market average, and especially, KRX Green showed noticeably low performance. Like this, since various indices related to SRI showed conflicting results as compared to the average performance in the market, it could not be considered that in South Korea, SRI had a high correlation with financial performance. In South Korea, the investors’ awareness of SRI is still not high, and not many data for an empirical analysis have been accumulated. In the future, if a more sophisticated methodology is used and the performances of individual companies included in the index are analyzed, better results would come out.

The standard gold futures listed in 1999 in the Korean market appears unsuccessful because of its intermittent trade pattern. Nonetheless, Korea Exchange listed mini gold futures in September 2010. We first examine what leads investors to trade gold futures as well as what obstructs trade. We observe that high tax rate on gold trades in the Korean market make investors hesitate in trading gold in a legal market, and almost 50% of total traded gold is illicit. Therefore, the standard gold futures that deliver physical gold at a maturity date is not attractive to investors. Trades of the gold futures, however, sharply increase when the demand for importing gold increases, when the exchange-rate or political risk becomes heightened, and when the Korean stock market destabilizes. In contrast to our expectation, changes in gold prices seem not to stimulate trade of the gold futures. After figuring out the obstruction and cause of demand, we investigate whether the gold futures in the Korean market can meet this demand. In the results, the trading strategy designed for hedging or speculating exchange-rate and political risks produce significant positive returns. In addition, we show that efficient frontier can be significantly improved by including the gold futures into a portfolio with Korean stocks and bonds. Efficient frontier is much more improved when the gold futures is included than when S&P 500 index is added in a portfolio.

일반적으로어떤기업이지적재산권침해를당하면,침해문제해결을위한법률비용이천문학적이다.그러므로한국의수많은중소기업들은부당한지적재산권침해에대하여강하게대응하지못하고,또한수많은중소기업들은동아시아기업들로부터부당한지적재산권침해를받고서도자신들의지적재산권을포기해버린다. 본연구는지적재산권과손해보험의일종인지적재산권보험에관한연구이다.정보통신시대에앞으로지적재산권보호는더욱강화될것이고, 전세계의네티즌들도지적재산권의보호와공격을더욱강화할것이다. 이와관련하여본연구는국제무역에서1인기업,벤처기업그리고중소기업들의지적재산권보호와침해문제를잘관리하기위하여지적재산권보험의활성화방안을제안한다.

On the whole, when a company faces with infringement litigation of intellectual property rights, relevant legal cost hits hundreds ofmillion. Hence a greatmany small andmediumfirms inKorea can not respond strongly against wrongful litigation, or they, small and medium firms duly abandon their intellectual property rights against infringement of intellectual property rights, patent rights and trademark fromcompanies in East Asia. This study relates intellectual property rights and intellectual property insurance which is a non-life insurance. As time goes by, protectionism of intellectual property rights is rapidly strict, and netizen in the worldwide has a tendency to attack and defend their intellectual property rights in an era of information technology. In this connection, this paper aims to suggest some ideas of expansion of intellectual property insurance(IPI) for the sakeof controllingrisksof infringement of intellectual property rights for one-man-business, venture-business andsmall andmediumfirm.

This study examines how corporate governance (CG) and leverage affect real earnings management (REM) in non-financial firms listed on the Korea Composite Stock Price Index during 2003-2011 by employing corporate governance score (CGS) and total, short-term, and long-term debt ratios (i.e., leverage) as independent variables, and four REM metrics as dependent variables. We find a significant positive relationship between leverage and REM, while there is a negative effect of CG on real manipulations. We also find that firms with a high-level of CG are low-leverage firms, whose managers are less likely to conduct REM activities than those of firms with a low-level of CG. Moreover, our results reveal that CG moderates and weakens the relationship between leverage and REM. These findings are consistent with the controlling hypothesis, alignment of interest between managers and owners, and increase of the firm’s transparency and reliability, which are characteristics of firms with strong CG, whose managers reduce their opportunistic behavior and do not engage frequently in REM activities. Our study complements the literature by detecting the moderating effect of CG, which might be considered an effective mechanism to reduce and avoid REM activities.

기업재무 분야에서 경영자와 주주 간의 대리인문제는 매우 중요한 이슈로, 많은 연구들이 경영자가 주 주의 이익에 부합하는 행동을 하도록 규율하는 감시수단을 제안하고 있다. 대표적인 수단 중 하나가 이 사회(board of directors)이지만, 학술적으로나 실무적으로 동 감시수단의 비효율성에 대한 논의가 활발 히 제기되고 있다. 기업지배구조 분야의 초기 연구들은 이사회의 특성이 경영의 성과나 의사결정에 미치는 영향에 대해 주로 주목하였다. 이들 연구는 이사회의 특성이 외생적으로 결정됨을 전제로, 경영자의 사적이득 추구 유인을 효과적으로 통제함으로써 주주가치 개선에 기여할 수 있음을 주장한다. 반면, 협상모형 (bargaining model)은 이사회의 특성이 내생적으로 결정되기 때문에 이를 통한 경영자 감시의 효율성은 다양한 내 외부 요인에 의존될 수 있음을 제기한다(Hermalin and Weisbach, 1998; Raheja, 2005). 이러 한 주장은 특히, 집중된 소유구조 하에 지배주주가 실질적 경영의사결정의 통제권을 행사하거나, 자본시 장의 발전수준이 미미한 신흥국가에 대해 적용 가능성이 확대될 수 있다. 한국은 대표적 신흥국가로서 외부 이사의 감시기능이 비교적 효율적으로 작동하지 못하는 것으로 지적되고 있는데, 이는 근본적으로 이들과 지배주주 간의 특수관계나 연고주의에 기초하여 독립성과 전문성이 담보되기 어렵기 때문이다. 자연히, 사전적으로 이사회의 형성과정에 주목하는 협상모형 검증의 필요성이 가중될 수 있다. 본 연구는 한국기업지배구조원에서 제공하는 이사회의 감시기능의 질(quality)을 종합적으로 측정하는 평가지수를 활용하여 Hermalin and Weisbach (1998)의 협상모형에서 제시하는 3가지 가설을 실증적으 로 검증한다. 구체적으로, 첫째, 이사회의 규모 및 구성을 통제한 이후 이사회의 감시기능 강화가 기업가 치에 정(+)의 관계에 성립하는지 분석한다. 둘째, 독립적인 외부 이사의 비중 및 이들의 독립성의 지속성 을 통제한 이후 경영자의 임기가 증가함에 따라 이사회의 감시기능이 약화되는지 확인한다. 마지막으로 주식성과 변수보다 회계성과 변수가 경영자의 교체에 대해 예측성이 더 우수한지 분석한다. 실증분석결과, 협상모형에서 제시한 것과 같이, 이사회의 감시기능 강화는 주식시장에서 해당 기업의 가치를 유의적으로 개선시키는 것으로 확인되었다. 경영자 임기와 이사회의 감시기능 간에는 유의한 음 (-)의 관계가 확인되었는데, 이는 경영자 임기의 증가함에 따라 이사회 구성 및 운영에 대한 협상력이 증가하였기 때문으로 Hermalin and Weisbach (1998)의 추론과 일치한다. 기업의 실적에 대한 회계적 변수들이 주식시장의 실적에 대한 변수보다 경영자의 교체에 대하여 더 나은 예측력을 가지고 있음을 확 인하였다. 한편, 이상의 결과들은 대규모 기업집단 소속 기업의 경우 약화되는 것으로 확인되었다. 본 연구는 이사회의 감시기능의 취약성이 빈번히 관찰되는 한국 기업을 대상으로 협상모형의 타당성 과 예측력을 실증적으로 검증한 최초의 연구라는 측면에서 학술적 의의가 있다. 특히, 한국 자본시장에 서 이사회의 감시기능에 대한 정책적, 실무적 관심이 높다는 측면을 감안할 때, 본 연구의 결과는 이사 회의 감시기능을 제고하기 위한 현실적인 대안을 모색하는 과정에 있어 기초자료로 활용이 가능하다는 의의도 가질 것으로 기대된다.

The agency conflict between the managers of a company and the shareholders of a company is a crucial issue in corporate governance. Many finance researchers have searched for ways to ensure that managers will act in the best interests of shareholders, which are referred to as monitoring mechanisms. There are many well-known monitoring mechanisms identified in the corporate finance literature, such as concentrated ownership by shareholders (block holders), board of director oversight, oversight by the market for corporate control, proxy contests and shareholder activism. Recently, discussions of the failures of corporate boards in company oversight have become popular both in academic and practitioner-focused finance literature. In academia, early models of corporate governance have been challenged by bargaining models. Early models of corporate governance focus on board characteristics and their impact on firm performance or firm-level decision-making (Fama, 1980; Fama and Jensen, 1983; Brickley et al., 1994; Kini et al., 1995; Yermack, 1996; Cotter et al., 1997; Dennis and McConnell, 2003). In contrast, bargaining models are based on the assumptions that there are divergent forces in corporate governance that facilitate or block effective monitoring mechanisms and corporate decision- making (Hermalin and Weisbach, 1998, 2003; Raheja, 2005). Especially Hermalin and Weisbach relate existing empirical findings to their theoretical work on bargaining models, including prior firm performance, the relationship between outside directors and CEO tenure, corporate decision-making of a firm, and the measures of firm performance (Coughlan and Schmidt, 1985; Warner et al., 1988; Jensen and Murphy, 1990; Weisbach, 1988; Goyal and Park, 2002; Dahya et al., 2002; Murphy and Zimmerman, 1993). This paper tests the empirical predictions of the bargaining model of corporate governance of Hermalin and Weisbach (1998) using Korean Stock Exchange companies. The objective of this paper is to empirically test the predictions of bargaining models including data from the Korean Corporate Governance Index (KCGI) as a proxy for the quality of board monitoring so that this paper can investigate the relationship between firm valuation and CEO tenure. Specifically, following the empirical predictions of Hermalin and Weisbach (1998), three hypotheses are examined: H1. The effect of the board quality index on firm performance is positive after controlling for board size and board characteristics. H2. The board quality index of a firm declines over the course of a CEO’s tenure after controlling for the independent director ratio and the persistence of board independence. H3. Accounting measures of performance are better predictors of management turnover than stock price performance. This paper uses a sample of Korean firms for empirical analysis in this paper for several reasons. First, empirical evidence is not enough related to the bargaining model for Korean firms. Second, Korean firms are different from U.S. firms in terms of their board compositions and board characteristics. In Korea, the monitoring role of outside directors is weak (Baek et al., 2006) and the independence of outside directors is also questionable (Kim and Kim, 2008). Moreover, there is a regulation imposing mandatory outside director ratios of 50 percent on large firms with assets greater than two trillion won (Black et al., 2006). The effect of outside director ratios on firm performance or corporate decision-making is questionable and is thus an empirical issue in Korea. Finally, the Korean Corporate Governance Index (KCGI) appears to be a good predictor of the quality of corporate governance for publicly listed companies in Korea (Black et al., 2006; Black et al., 2008; Black and Kim, 2012). Using the fixed effects estimation of panel data, this study finds a positive relationship between the ranking of a firm by the board quality and the valuation of a firm by the stock market (H1). Additionally, this paper finds that accounting measures of firm performance are a better predictor of CEO turnover than financial measures of firm performance (H3). These findings are particularly strong for Korean firms in non-business sample group. Finally, this paper finds a negative relationship between a firm’s board quality rank and a CEO’s tenure after controlling for board structure and the persistence of board independence (H2). However, similar results are not found for business group related Korean firms. Additionally, accounting measures of firm performance are a better predictor of CEO turnover than financial measures of firm performance when there is no financial subsidiary within the business group. The contribution of this paper is as follows. First, this is the first paper to investigate the empirical predictions of the bargaining model of corporate governance in Korea. In Korea, there are institutional difference from developed market, e.g. weak monitoring role and true independence of outside directors, and regulation imposing mandatory outside director ratios depending on the size of assets. Despite the difference, this paper adds an empirical evidence that supports prediction by Hermalin and Weisbach (1998). Additionally, this paper could also apply to U.S. firms under similar restrictions as in Korea.

Lentinula edodes (Berk.) Pegler is a wood-decaying mushroom belonging to the family Marasmiaceae in Agaricales. Fresh and dried L. edodes has been widely used in the cuisines of Asian countries. The artificial production of L. edodes is usually conducted by using log cultivation and bag cultivation. A number of commercial cultivars optimized for each cultivating method have been developed. In the Korean market, Chinese and Japanese cultivars as well as domestic ones are circulated. Especially a huge amount of L. edodes media which are already inoculated and fully incubated are being imported from China throughout the year. In this study, the authors aimed to develop the specific molecular markers that are able to distinguish the L. edodes cultivars consumed in the domestic market in Korea. Next-generation sequencing data of all the L. edodes cultivars were generated using Illumina Hiseq. Sequencing reads were mapped onto the reference genomes B17 ver. 2 (PRJNA310971), and mitochondrial genome akiyama A567 (NC_018365) using a bioinformatic tool, BWA. SNP genotyping was performed by PICARD and GATK, and the gene annotation was conducted with the aid of SnpEff. To design the sensitive and specific molecular markers we filtered out the SNPs with depth <5, SNP ratio <0.9. As a result, we could find several combinations of nuclear and mitochondrial genetic markers discriminating L. edodes cultivars.

Using the exogenous Covid-19 shock to the Korean stock market as a natural experiment, we examine the relationship between ES performance and stock returns surrounding the Covid-19 panic period. We find that socially responsible firms experienced greater declines in their stock prices during the panic period and slower recoveries in the subsequent post-panic period. Our findings contradict the dominant view in the relevant literature – the value-enhancing ESG view. We present further evidence that the negative relationship between firms’ ES performance and panic returns can be attributed to alternative explanations based on financial and operating leverages of socially responsible firms.

This study examines whether foreign investors increase informational efficiency in the Korean stock market from January 1999 to June 2013. Bae, Ozoguz, Tan, and Wirjanto (2012) document that the beneficial effect of foreigners facilitating information reflection on stock prices in other Asian markets is not observed in the Korean market even though the Korean market has a large amount of US equity holding. We reinvestigate the role of foreign investors in the Korean equity market by defining foreign investors’ investibility as the normalized trading volume of foreign investors. We estimate how much faster the reflection of global or domestic information becomes when foreign investibility increases. In the results of our cross-sectional analysis, unlike Bae et al., foreigners’ trades are shown to increase the informational efficiency for both global and local market information. In particular, in export-import companies that are expected to be more sensitive to the global market, the improvement in informational efficiency is significant when foreign investiblity increases. Our results prove that foreign investors play a beneficial role in the Korean equity market facilitating information transmission.

Motivated by Choe, Kho and Stulz (1999), this paper examines which type of investor among the Korean individuals, Korean institutions, and foreign investors is most responsible for the sudden drop of the Korean stock market during the global financial crisis period from September 2008 to February 2009. Herding by foreign investors is higher than these of Korean individuals and institutions before and during crisis, and foreigners’ herding behaviour increases during the crisis period, especially in the large stocks. In both event study with 5-minute intervals and price impact per trade, foreign investors’ sales have smaller impact on stock returns in absolute value than Korean individuals’ and institutions’ before crisis. However, price impact of foreign investors increases dramatically during crisis and its magnitude could not be negligible. The permanent component of price impact per trade of foreign investors is greater in absolute value than other investors’ in the large stocks.

We investigate whether herd behavior in equity market is led by ‘core’ stocks or by ‘peripheral’ stocks connected to core stocks, which we identify using the minimum spanning tree, a technique in network theory. Using non-securities stocks listed in the Korea Exchange from January 2005 to December 2015, we find that core stocks are not necessarily the stocks whose market values are large but are mid-sized stocks. As in previous studies, we find strong evidence of herding in the Korean stock market. However, herding arises only when the market is in stress: during bear states, core stocks herd toward to the market return and peripheral stocks herd to core stocks in their clusters. During bull markets, however, adverse herding arises mainly driven by securities stocks and thus cross-sectional dispersion in returns increases.

We examine whether prices in the Korean stock market had momentum from 1990 to 2010. In the result of this study, there was no momentum in the Korean stock market for the 1990’s, which is consistent with the previous studies about the momentum effect in the Asian markets. However, in the 2000’s, we observe the significant momentum especially in large companies. The observed momentum in this study is hardly seen as a manifestation of the momentum effect in the developed markets because the momentum is usually more prominent in small-size firms. To ascertain what brings momentum in the Korean stock market, we examine if risk factors which generate momentum have been planted as the Korean market gets developed. Not only does the factor exposure hypothesis fail to explain the momentum, but also the business cycle risk factor in Chordia and Shivakumar does not explain the momentum in the Korean stock market. Next, we investigate if individualistic and overconfident trading behavior of foreign investors attributes to the momentum in the market. The empirical results in the study support the foreign investors’ trading behavior hypothesis.

After Asian financial crisis in 1998, the regulation of stock trading against foreigners in Korea have been greatly released so that the foreigners' ownership of the whole Korean stock market in the late 2000s has increased around 40% from 10%. That change in investor constitution might have an effect on the dynamics of stock prices in the Korean market. Given the circumstance, this paper examines whether the momentum effect comes into being as a result of the increase of foreign investors' trading. In the results, the simple zero-cost portfolio with buying past six month winners and selling past six month losers does not show significant profit. However, we observe the significant momentum profit of the zero-cost portfolio composed of large firms. Since foreigners mainly invest in large firms in the Korean stock market, that momentum profit can be caused by foreigners. In the study, this presumption is supported by the analysis of price contribution on the zero-cost portfolio and the proportion of winners and losers in the portfolio classified by firm size and foreign ownership changes.

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.

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.

We study the relation between the illiquidity premium and economic states in the Korean stock market. We find that aggregate market liquidity improves following real economic expansions and expansive monetary states and worsens after economic recessions and restrictive monetary states. The improved liquidity in the expansion/expansive state generates a huge illiquidity premium, while an illiquidity premium does not exist in the recession/restrictive state. As a result, the observed illiquidity premium displays strong state-dependent variations. Our empirical results indicate that a significant unconditional illiquidity premium in the Korean stock market arises due to an astonishing illiquidity premium in the expansion/expansive state.