• Title, Summary, Keyword: portfolio effect

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An emmpirical test of the portfolio diversification effects (Evidence from KOSPI and KOSDAQ) (KOSPI와 KOSDAQ의 포트폴리오 분산효과 실증분석)

  • Lee, Young-Hywan;Yoon, Hong-Geun;Shin, Ju-Bum
    • Journal of Industrial Convergence
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    • v.5 no.1
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    • pp.45-59
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    • 2007
  • This paper empirically examines the portfolio diversification effect using data from both KOSPI and KOSDAQ. In KOSPI market, portfolio diversification effect disappears when more than 18 stocks are added in the portfolio. About 63% of portfolio risk is eliminated. In KOSDAQ market, the maximum portfolio diversification effect is achieved when 17 stocks are at least included in a portfolio. The maximum cumulative risk reduction is 35%.

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Does Portfolio Quality Influence Financial Sustainability? A Case of Microfinance Institutions in Kenya

  • BITOK, Stephen K.;CHEBOI, Josephat Y.;KEMBOI, Ambrose
    • The Journal of Business Economics and Environmental Studies
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    • v.10 no.1
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    • pp.37-43
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    • 2020
  • Purpose: The purpose of this study was to examine the relationship between portfolio quality and financial sustainability of microfinance institutions in Kenya. Research Design, Data, and Methodology: The analysis was based on a panel dataset of 30 microfinance institutions for the period of 2010 to 2018. Data was obtained from the Microfinance information exchange (MIX) database, and it was analyzed through descriptive and inferential statistics with the aid of STATA. Based on the results of the Hausman test, the study adopted the fixed effect regression model to test the research hypothesis. Results: The study found that portfolio quality had a positive significant effect on financial sustainability of Microfinance institutions in Kenya (β= 0. 211; p-value < 0.05). For the control variables; firm age had a positive effect (β= 0.773; p-value <0.05), while firm size (β= -0. 749; p-value < 0.05) had a negative effect on financial sustainability. Conclusions: The study concluded that portfolio quality has an important influence on the financial sustainability of microfinance institution. The study recommends that managers of microfinance institutions should devise good collection policies to improve portfolio quality while lessening loan default rate. The portfolio quality may improve the overall profitability and enhance investor confidence in their strategic decision-making on refinancing.

A Study of Verifying e-Portfolio System Success Model in a College Education (대학 e포트폴리오 성공모형의 검증에 관한 연구)

  • Lee, Yun Jae;Kim, Jin-Kyung;Park, Dongjin
    • The Journal of Information Systems
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    • v.28 no.3
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    • pp.203-225
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    • 2019
  • Purpose The purpose of this study is to empirically verify an ePortfolio success model which shows the structural causal relationships among the basic modeling constructs. We developed the success model based on DeLone and Mclean(2003) from IS perspective and on Balaban et al(2013) from ePortfolio perspective. And we are focused on the success of ePortfolio system designed for college students and professors. Design/methodology/approach Structural equation modeling techniques were applied to data collected 375 users of the ePortfolio system, K-Folio, at least one semester during one academic year. The structural model was analyzed using a Lisrel 8.54 statistical program. Findings The followings are the findings of the study. First, the constructs of IS success model are well applied to ePortfolio for college education. Second, the proposed model which has direct causal relationships from ePortfolio's quality to performance is more significant than the D&M and Balaban's model(2013). Third, the information quality among ePortfolio quality constructs does not have effect on system usability and performance. It means that information contents' quality issued by professor or system manager is not satisfied with the students yet. Finally, by using indirect analysis of structural equation model, we found that the ePortfolio operation manager should focus on ensuring system maintenance activities and providing fast and accurate services for improving ePortfolio performance.

The Effect of a Career Exploration Program Using Career Portfolio on Self-efficacy and Career Identity of Vocational High School Students (커리어포트폴리오를 활용한 진로탐색 프로그램이 전문계 고등학생의 자기효능감 및 진로정체감에 미치는 효과)

  • LEE, Jong-Ho;KIM, Jong-Un
    • Journal of Fisheries and Marine Sciences Education
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    • v.21 no.1
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    • pp.1-15
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    • 2009
  • The purpose of this study was to examine the effect of a career exploration program using career portfolio for vocational high school students and suggest ideas for making a decision their career and occupation. The number of subjects in this study were 50 high school students in Busan metropolitan city among which 25 were assigned for the experimental group and 25 in the control group. The career exploration program utilizing career portfolio in this study was composed of 12 sessions utilizing the career portfolio. This program was based on Jeong et al.'s career development program(2005) for high school students and Choi's career exploration program using internet(2005). The instruments of this study were self-efficacy scale and career identity scale. The average, standard deviation and the differences between the pre and post-test were calculated and processed by SPSS WIN 14.0. The major findings of this study can be summarized as follows: First, the career exploration program using career portfolio was effective to enhance significantly the level of the self-efficacy of vocational high school students. Second, the career exploration program using career portfolio was also effective to enhance career identity.

사업 포트폴리오의 기술시너지 효과 : 50대 재벌의 패널자료분석

  • 김태유;박경민
    • Journal of Technology Innovation
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    • v.5 no.1
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    • pp.15-43
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    • 1997
  • This paper investigates empirically the relationship between various business portfolio properties (particularly technological properties) and chaebol's performance using data on the 50largest chaebols in Korea. In addition to the traditional indexes to measure diversification such as entropy index, we calculated inter-industry technological similarity using R'||'&'||'D expenditure data by industry and 1990 Input-output Table in korea, and obtained chaebol-level technological relatedness and internal transaction proportion from chaebols' business profile, inter-inustry technological similarity and 1990 input-output table. We applied factor analysis on 13 business portfolio property indexes and showed that they could be grouped into 3 dimensions. diversification scope, inter-business relatedness and degree of vertical integration. In this paper, using 50 largest chaebols' financial data (1989-1994), we analyzed empirically the effect of business portfolio properties on ROS(Return On Sales) which is conventional index for firm performance and on TFP(Total Factor Productivity) growth which is a pure measure of firm performance. To utilize the advantage of panel data, FEM(Fixed Effect Model) and REM(Random Effect Model) were used. The empirical result shows that the entropy index as a measurement of inter-business relatedness in not significant but technological relatedness index is significant. OLS estimates on pooled data were considerably different from FEM or REM estimates on panel data. By introducing interaction effect among the three variables for business portfolio properties, we obtained three findings. First, only VI(Vertical integration) has a significant positive correlation with ROS. Second, when using TFP growth as an dependent variable, both TR(Technological Relatedness) and VI are significant and positively related to the dependent variable. Third, the interaction term between TR and VI is significant and negatively affects TFP growth, meaning that TR and VI are substitutes. These results suggest strategic directions on restructuring business portfolio. As VI is increased, chaebols will get more profit. A higher level of either TR or VI will increase TFP growth rate, but increase in both TR and VI will have a negative effect on TFP growth. To summarize, certain business portfolio properties such as VI and TR can be considered "resources" themselves since they can affect profit rate and productivity growth. VI and TR have a synergy effect of change in profit rate and productivity growth. VI increases ROS and productivity growth, while TR increases productivity growth representing a technological synergy effect.t.

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Effect of Portfolio Assessment in Elementary Science Teaching (초등 과학 학습지도에서 포트폴리오 평가의 효과)

  • 이민수;한안진
    • Journal of Korean Elementary Science Education
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    • v.20 no.1
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    • pp.107-122
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    • 2001
  • The Purpose of this study is to find the effects of the portfolio assessment on elementary students' scientific knowledge, inquiry process skill, scientific attitudes in the teaching of science. And finally the parents' response to the portfolio assessment is also investigated. In order to reach the goal of this study, the investigator developed the evaluation instrument such as an experimental report and a cumulative observation sheet for the 4th-grade Unit-1 'Light Propagation' and Unit-3 'Separating Mixtures', and then these were administered to 42 4th-grade elementary students in Inchon. Based upon the findings and within the limitations of this study, several conclusions can be drawn regarding the problems investigated. First, as the portfolio assessment offers enough information about individual student's performance, it has a highly positive effect on evaluating the students' scientific knowledges. It can also make possible to grasp the several aspects of the student's progress. Second, the portfolio assessment can be implemented without giving students any psychological pressure from testing itself. Therefore, the portfolio assessment is an effective means of appraising inquiry process skills. Third, the portfolio assessment is effective to evaluate the students' attitude toward science by means of individual records which include such aspects that is hardly found by the teacher who teaches science in the class. Fourth, as most parents showed a positive response to this portfolio assessment, it is considered to be effective method of appraising the result of teaching science at elementary school. Accordingly, this study demonstrated that the portfolio assessment is an effective method that can assess students' scientific knowledges, inquiry process skills, and scientific attitudes gained from science teaching-learning. Therefore, it is necessary to implement the portfolio assessment to other grade students as well in the following study where teacher may give more encouragements and suggestions to sti dents for the better learning motives. Also teachers should suggest more definite evaluation criteria to students so that they may improve the students' self and peer evaluation skills.

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Investment Performance of Markowitz's Portfolio Selection Model over the Accuracy of the Input Parameters in the Korean Stock Market (한국 주식시장에서 마코위츠 포트폴리오 선정 모형의 입력 변수의 정확도에 따른 투자 성과 연구)

  • Kim, Hongseon;Jung, Jongbin;Kim, Seongmoon
    • Journal of the Korean Operations Research and Management Science Society
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    • v.38 no.4
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    • pp.35-52
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    • 2013
  • Markowitz's portfolio selection model is used to construct an optimal portfolio which has minimum variance, while satisfying a minimum required expected return. The model uses estimators based on analysis of historical data to estimate the returns, standard deviations, and correlation coefficients of individual stocks being considered for investment. However, due to the inaccuracies involved in estimations, the true optimality of a portfolio constructed using the model is questionable. To investigate the effect of estimation inaccuracy on actual portfolio performance, we study the changes in a portfolio's realized return and standard deviation as the accuracy of the estimations for each stock's return, standard deviation, and correlation coefficient is increased. Furthermore, we empirically analyze the portfolio's performance by comparing it with the performance of active mutual funds that are being traded in the Korean stock market and the KOSPI benchmark index, in terms of portfolio returns, standard deviations of returns, and Sharpe ratios. Our results suggest that, among the three input parameters, the accuracy of the estimated returns of individual stocks has the largest effect on performance, while the accuracy of the estimates of the standard deviation of each stock's returns and the correlation coefficient between different stocks have smaller effects. In addition, it is shown that even a small increase in the accuracy of the estimated return of individual stocks improves the portfolio's performance substantially, suggesting that Markowitz's model can be more effectively applied in real-life investments with just an incremental effort to increase estimation accuracy.

Technological Synergy Effect of Business Portfolio : Panel Data Analysis on 50 Largest Chaebols in Korea (사업포트폴리오의 기술시너지효과 :50대 재벌의 패널자료분석)

  • 김태유;박경민
    • Proceedings of the Technology Innovation Conference
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    • pp.265-295
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    • 1996
  • This paper investigates empirically the relationship between various business portfolio properties (particularly technological properties) and chaebol′s performance using data on the 50 largest chaebols in Korea. In addition to the traditional indexes to measure diversification such as entropy index we calculated inter-industry technological similarity using R&D expenditure data by industry and 1990 Input-output Table in Korea, and obtained chaebol-level technological relatedness and internal transaction proportion from chaebols′business profile, inter-industry technological similarity and 1990 input-output table. We applied factor analysis on 13 business portfolio property indexes and showed that they could be grouped into 3 dimensions, diversification scope, inter-business relatedness and degree of vertical integration. In this paper, using 50 largest chaebols′financial data (1989-1994), we analyzed empirically the effect of business portfolio properties on ROS (Return On Sales) which is conventional index for firm performance and on TFP(Total Factor Productivity) growth which is a pure measure of firm performance. To utilize the advantage of panel data, FEM(Fixed Effect Model) and REM(Random Effect Model) were used. The empirical result shows that the entropy index as a measurement of inter-business relatedness is not significant but technological relatedness index is significant. OLS estimates on pooled data were considerably different from FEM or REM estimates on panel data. By introducing interaction effect among the three variables for business portfolio properties, we obtained three findings. First, only VI (Vertical integration) has a significant positive correlation with ROS. Second, when using TFP growth as an dependent variable, both TR(Technological Relatedness) and f[ are significant and positively related to the deepened variable. Third, the interaction term between TR and VI is significant and negatively affects TFP growth, meaning that TR and VI are substitutes. These results suggest strategic directions on restructuring business portfolio. As VI is increased, chaebols will get more profit. A higher level of either TR or W will increase TFP growth rate. but increase in both TR and VI will have a negative effect on TFP growth. To summarize, certain business portfolio properties such as VI and TR can be considered "resources" themselves since they can affect profit rate and productivity growth. VI and TR have a synergy effect of change in profit rate and productivity growth. VI increases ROS and productivity growth, while TR increases productivity growth representing a technological synergy effect.

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The Influence of Completeness of the Learning-portfolio on Academic Achievement and Program Satisfaction of College Students Participating in the Learning-portfolio Program (학습포트폴리오 프로그램에서 학습포트폴리오의 완성도가 대학생의 학업 성취도 및 프로그램 만족도에 미치는 영향)

  • Seo, Eun Hee
    • The Journal of the Korea Contents Association
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    • v.19 no.1
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    • pp.16-23
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    • 2019
  • The purpose of this study was to examine the influence of completeness of the learning-portfolio on academic achievement and program satisfaction of college students participating in the learning-portfolio program. For the aim, the evaluation tool of the learning-portfolio was developed. It assesses the report of goals of the course, diaries of studying, and reflection journals. The data of the grade in the course connected with learning-portfolio, grade point average(GPA), and satisfaction surveys of learning-portfolio program for 389 college students joining in learning-portfolio program were gathered. The findings showed that the score in the evaluation tool of the learning-portfolio significantly and positively affects the grade in the course connected with learning-portfolio, GPA and the satisfaction of learning-portfolio program. The results imply that it is important to evaluate the quality of the learning-portfolio in order to improve the effect of learning-portfolio program.

THE EFFECT OF INFLATION RISK AND SUBSISTENCE CONSTRAINTS ON PORTFOLIO CHOICE

  • Lim, Byung Hwa
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.17 no.2
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    • pp.115-128
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    • 2013
  • The optimal portfolio selection problem under inflation risk and subsistence constraints is considered. There are index bonds to invest in financial market and it helps to hedge the inflation risk. By applying the martingale method, the optimal consumption rate and the optimal portfolios are obtained explicitly. Furthermore, the quantitative effect of inflation risk and subsistence constraints on the optimal polices are also described.