2022, Vol.10, No.1

Asset Management Review 2023 KCI Impact Factor : 0.55

pISSN : 2288-6672 / eISSN : 2713-6248
https://journal.kci.go.kr/capm

The asset to expenditure ratio is an indicator of a fund's purchasing power and financial soundness that evaluates the size of its assets by its expenditure. It can be used as a financial indicator of a government policy fund that follows the pay-as-you-go funding system or the partial funded system. This study studies an asset allocation model that reflects the characteristics of the expenditure growth rate and business balance, which are factors that change the asset to expenditure ratio. In order to reduce the risk of the asset to expenditure ratio, we prove that an asset class that has a positive correlation with the expenditure growth rate and a negative correlation with the business balance is advantageous. Through this, we propose the methodology for deriving the optimal weight of risky assets. As a result, we prove that when the asset to expenditure ratio risk constraint is used compared to the asset only shortfall constraint, a set that cannot be invested in the asset shortfall constraint can be investable under the asset to expenditure ratio risk constraint. It is expected that it can be used as an asset allocation model based on ALM (Asset and Liability Management) for a government policy fund which has no explicit liabilities.

The terms and conditions of the installment deposit allow depositors to prepay/delay their monthly savings when they deposit earlier/later than contracted dates. The number of days of pre-payment and delayed payment are calculated respectively to offset each other. Based on these principles, we devise asset management strategies that completely replicate the money flow pattern of 12~13 month time deposits using 12 month installment deposits. Using 13 years (from November 2008 to October 2021) of interest rate data from savings banks in Korea, we analyze the performance of these strategies. Our empirical analysis reveals that the probabilities of generating additional profits of our strategies compared to the ordinary time deposits are 94~98% and that the average of additional profits are 43~55bp based on 12 months period. Our work has the following practical implication. Given that the interest rate of installment deposits is relatively higher than that of time deposits, depositors who need time deposits can earn more profits if the money flow pattern of time deposits is replicated by using installment deposits appropriately.

A stock price crash occurs suddenly when negative information accumulated inside a company flows into the market at once. If investors can recognize the stock crash risk in advance, they will demand a high risk premium for stocks with a high stock crash risk. Most of the previous studies focused on finding the determinants of stock crash risk, so it was difficult to find the effect of stock crash risk on the wealth of shareholders. Therefore, this study aims to examine how stock crash risk affects the wealth of shareholders by examining the effect of stock crash risk on stock returns. To verify this, CRHML, a factor mimicking portfolio that well reflects stock crash risk, was constructed and the existence of a risk premium was verified. As a result of the empirical test of this study, it was confirmed that stock crash risk is a risk that is out of the trade-off between risk and return, and that appropriate compensation is not given for taking the stock crash risk. This study is different from previous studies in that it deals with ex post investment performance related to stock crash risk and provides overall information on firm value and investor performance using variables expressed as returns.