The existing literature about portfolio management has investigated how to update a portfolio allocation, conditional on the information that possibly predicts asset returns and volatilities. We add several innovations to fill the lacuna of prior research in the contexts of global asset allocation. First, we suggest a simple method of how to rebalance portfolios automatically and dynamically in order to exploit potential market inefficiencies. The existing literature has not developed such a strategy. Out-of-sample tests demonstrate that our strategy dominates both static allocation and dynamic strategies that do not account for possible mispricing. Thus, our strategy can contribute not only to academia, but also to practical portfolio managers who endeavour to beat markets. Second, we elaborate portable alpha strategies using the new dynamic strategy. Once we add an alpha strategies using the new dynamic strategy. Once we add an alpha portfolio to existing portfolios, then they perform better in terms of mean and risk. Thus, it makes our alpha portfolio portable, i.e., we can apply the alpha portfolio to any fund and can enhance its performance. Third, our dynamic strategy implies a convenient method to estimate a conditional mean and covariance matrix as functions of predictive information matrix without consuming much computational risk managers and traders who need to control the risks of large target portfolios on a real time basis.
We examine the joint dynamics of stocks and bonds in the Japanese marker by computing the prices of risks and their relationship in stock and bond factors. We deconstruct market factors into industry factors and incorporate bond factors such as the level. Slope, and curvature of yield curves. This paper contributes to the: literature by identifying the risk-return relationship in Japanese financial market in explaining the cross-sectional variations of stock returns in consideration of the bond market, and illustrating the importance of macro information in stock returns. Our approach and results provide practical implications to hedge fund managers, mutual fund managers, and basket traders.
Conventional wisdom would predict firms with little financial and technological capabilities to fail. This is especially true for such firms in the high-tech sector during periods of industry downturn. In this paper, we ask how firms experiencing financial and technological gaps can succeed by transforming current challenges into opportunities via governance innovation. We select Hynix and the semiconductor industry for the investigation. Hynix emerged from near bankruptcy become the number two player in the global semiconductor memory market. We find that Hynix’s case requires extending prevailing theory to focus on governance and control. We pinpoint specific factors that contributed to Hynix’s success from the perspective of governance innovation for the theoretical extension and suggest practical implications.
This article reviews corporate governance literture of family firms and business groups which is relevant to Korean conglomerates. We summarize major issues on corporate governance for Korean conglomerates and classify studies according to those issues: existence of controlling shareholder. deviation from the one share-one vote principle, family members' participation in management, succession of control to family members, and the relationship between financial and industrial capital within business groups. Existing literacure shows chat firms with controlling shareholders are common globally. While many factors related to corporate governance impact firm value, they create both positive and negative ramifications in a nuanced manner. Also, corporate governance endogenously emerges under different circumstances-law, degree of market development, or management-union relations across countrics. Thus, there is no strict standard corporate governance system that can apply to all family business groups in different countries. Proper frameworks for policy makers and managers will arise only in the particular contexts in which family business groups operate.
This paper suggests ways to develop healthy industrial relations at foreign-invested enterprises after M&A by studying Oriental Brewery Co., Ltd (“OBC”) case. OBC has the unique feature of being a foreign private-equity-fund (KKRKohlberg Kravis Roberts) invested company with dual unions. It is the only consumer product company in Korea that has regained the number one position in 2011 after 15 years of a continuous drop from the once dominant position with up to 70% of market share in the early 1990s. We have identified the contributing factors of such success from the perspective of union-management relationship before and after the M&A.