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        • KCI등재

          금융변수의 주가수익률 예측력 검정

          김현석 ( Hyunseok Kim ),여효성 ( Hyosung Yeo ) 한국금융학회 2017 금융연구 Vol.31 No.1

          본 연구는 한국주식시장을 대상으로 배당수익률, 이익주가 비율(E/P 비율), 이자율, Yield Gap과 같은 금융변수의 주가수익률 예측력을 검정하였다. 이를 위해 예측회귀분석 시 발생 가능한 계량적 문제들을 효과적으로 처리하기 위하여 Choi, Jacewitz, and Park(2016)의 변동성 시계 표본을 이용한 Cauchy 추정법을 적용하여 실증분석을 수행하였으며, 주요한 분석 결과는 다음과 같다. 첫째, 주가수익률의 QV(quadratic variation)을 기반으로 변동성 시계로 변환한 모형에서는 어떤 변수도 주가수익률 예측력을 가지지 못하는 것으로 나타났지만, 주가수익률의 BPV(bipower variation)을 기반으로 변동성 시계로 변환한 모형에서는 배당수익률이 주가수익률 예측력을 가지는 것으로 나타났다. 둘째, 장단기 Yield Gap의 주가수익률 예측력 검정 결과, 장단기 Yield Gap 중 어느 변수도 주가수익률 예측력을 가지지 못하는 것으로 나타났다. 본 연구는 금융변수의 주가수익률 예측력 검정 시 나타날 수 있는 다양한 문제들을 새로운 계량적 기법을 사용하여 효과적으로 처리하였다는 점에서 기존연구와 차별성을 가진다. 또한 주가수익률에 대한 예측 변수로서 선진금융시장에서 흔히 사용되는 Yield Gap을 소개하고, 이의 주가수익률 예측가능성을 추가적으로 검정하였다는 점에서 보다 진일보된 실증분석 연구로서의 의미를 갖는다. In this paper, we examine stock return predictability in the Korean stock market using the random time Cauchy estimator. Various financial variables have been tested for stock return predictability, but the results remain inconclusive. In the Korean stock market, Kim and Kim (2004), Kim and Park (2009) and Chung and Kim (2010) try to find evidence of return predictability using the dividend-price ratio, earnings-price ratio, and interest rates, but their conclusions are mixed. More recently, Choi et al. (2016) propose a robust test of stock return predictability which combines the time-change method with a Cauchy estimator. They show that the random time Cauchy test has an exact size of test and comparable power to Campbell and Yogo (2006) and Chen and Deo (2009)`s tests. We apply this new methodology to the KOSPI index and report the empirical results, providing comparison with other widely used tests for return predictability. Stock returns have nearly nonstationary stochastic volatility, and this causes substantial size distortions on standard tests relying on constant variance. To handle this nonstationary stochastic volatility in returns, we implement a simple time change. For the required time change, “we wait for volatility to reach a certain threshold before collecting each observation such that there is a constant level of volatility across all observations in our sample.”(Campbell and Yogo, 2006) Using the daily KOSPI index, we first test the presence of discrete jumps in our sample. We detect a total of 15 jumps between January 2001 and December 2014 with the windows size 16 and a 5% significance level, using Lee and Mykland (2008) test. Depending on the presence of discrete jumps, we measure the realized variance and realized bi-power variation. When we allow for only the continuous martingale in the regression error, we remove the detected daily jumps and compute the total realized variance by squaring and summing up daily excess returns. When we allow our continuous time regression model to have discrete jumps, we compute the realized total bi-power variation without removing detected jumps. We have a total of 168 months in our sample span. The computed total realized variance (TQV) and total realized bi-power variation (TBPV) are then divided by the number of months and we set this as our volatility threshold △<sub>QV</sub> and △<sub>BPV</sub> for a time change with QV and a time change with BPV, respectively. Using the given volatility threshold, we add up daily squared excess returns until it hits our set △ and resample our regression variables on that date and repeat the process until we reach the TQV and TBPV. After correcting for stochastic volatility in returns, we implement a Cauchy estimator to handle the persistent endogeneity of covariates. The Cauchy estimator uses the sign transform of a covariate as an instrumental variable. “The advantage of using a Cauchy estimator is that the asymptotic normality of the Cauchy t-ratio holds regardless of any statistical anomalies in covariates including nonstationarity, fat-tailed innovations, structural breaks, and jumps.” (Choi et al., 2016) Thus, it is well suited for testing return predictability in cases where many commonly used covariates are highly persistent and correlated with the regression residuals. Inferences using the Cauchy t-ratio are also valid even in the presence of structural breaks and jumps. We test for stock return predictability in the Korean market using the log of dividend-price ratio, the log of earnings-price ratio, the riskfree rate, and short-term, medium-term and long-term yield gaps. For the dividend-price ratio, conventional OLS t-test over-rejects the null hypothesis of no predictability. We could not find evidence for predictability using other tests except the random time Cauchy with BPV. For the earnings- price ratio, none of our tests reject the null. The coefficients of risk-free rates are insignificant except for Campbell and Yogo (2006)`s BQ test where its 90% confidence interval does not include zero value. Using the Amihud and Hurvich (2004) and Campbell and Yogo (2006)`s test, shortterm yield gap has predictive power. But using the Chen and Deo (2009)`s chi-square 1 and random time Cauchy t-test, we could not reject the null. After correcting for persistent endogeneity in the medium-term yield gap, evidence for return predictability disappears, and all our tests except for OLS t-test cannot reject the null. Finally, we could not find any evidence for predictability using the long-term yield gap.

        • KCI등재

          횡격막허니아에 병발한 긴장성기흉 1례

          김현석(Hyunseok Kim ),윤수경(Soo-kyung Yun),손원균(Won-gyun Son),장민(Min Jang),황혜신(Hyeshin Hwang),조상민(Sang-min Jo),신지원(Chi Won Shin),김완희(Wan Hee Kim),윤정희(Junghee Yoon),이인형(Inhyung Lee) 한국임상수의학회 2016 한국임상수의학회지 Vol.33 No.4

          A 1.86 kg, 3-year-old, female, Maltese was presented to the Veterinary Medical Teaching Hospital of Seoul National University after being hit by a car. The patient was diagnosed with urinary bladder rupture, diaphragmatic hernia and fracture of ilium, tibia and fibula. Repair surgery was performed after stabilizing treatment. During the surgery, hypoxia was identified and it worsened after positive pressure ventilation (partial pressure of oxygen in arterial blood (PaO₂): 52 mmHg, pulse oximetry (SpO₂): 87%, arterial hemoglobin oxygen saturation (SaO₂): 85.8%). In addition to hypoxia, blood pressure decreased to 30 mmHg. Positive pressure ventilation was discontinued because hypoxia and hypotension were aggravated. After suturing the diaphragm, air was withdrawn to form negative pressure within the thorax. However, negative pressure was not attained despite continuous withdrawal of air. A thoracostomy tube was placed because tension pneumothorax was strongly suspected. The patient recovered through close monitoring with the tube for 3 days. Due to limitation of evaluation of the lung, predicting occurrence of tension pneumothorax is difficult in patient of diaphragmatic hernia. Therefore, it is recommended that indicators of tension pneumothorax should be closely monitored during diagnosis and repair procedures of diaphragmatic hernia.

        • 주관절 외측상과염의 침치료에 대한 국내 연구 동향 분석

          김현석 ( Kim Hyunseok ),이치호 ( Lee Chiho ),오민석 ( Oh Minseok ) 대전대학교 한의학연구소 2016 한의학연구소 논문집 Vol.25 No.1

          Objectives : Lateral epicondylitis on elbow is one of the most common causes of elbow pain. Lateral epicondylitis can be managed with acupuncture, but the evidence for its effectiveness is uncertain. The purpose of this review is to investigate the trends of acupuncture treatments on lateral epicondylitis. Methods : We investigated the studies about acupuncture treatments for lateral epicondylitis via searching 5 Korean web databases(KTKP, RISS, OASIS, KCI, Kisti) The key search terms were ‘Lateral epicondylitis’, ‘Tennis elbow’, ‘External epicondylitis’. 12 research papers(10 case reports, 1 RCT, 1NRCT) were found to be analyzed according to their published year, the titles of journals, published institution, the types of study, the number of cases, the types of treatments, the instruments for assessment and ethical approvals. The effectiveness of acupuncture treatment was classified. Results : 12 papers were published since 2003. The studies on acupuncture treatments about lateral epicondylitis were mainly published in The journal of pharmacopuncture. 10 case reports, 1 non-randomized controlled trials, 1 randomized controlled trials had been under research. In most of the research, the number of the cases were not enough. In 9 cases of the studies, various korean medicine treatments including acupuncture were used to treat the symptoms. In 3 cases of the studies single method was used to treat the symptoms. Visual analogue scale(VAS) and range of motion(ROM), grip strength were used as primary assessments. Among 12 clinical studies, 1 of them were accepted by institutional review board(IRB). Conclusions : In this study, we analyzed the trends of acupuncture treatments on lateral epicondylitis. Reviewing the domestic trends of studies on acupuncture treatments for lateral epicondylitis and examining the strong and weak points of those treatments are essential for the future studies.

        • KCI등재

          국가별 제도적 차이에 따른 배당스무딩 결정 요인

          김현석(Hyunseok Kim),최경섭(Kyeong-seop Choi) 한국증권학회 2016 한국증권학회지 Vol.45 No.3

          본 연구는 1988년부터 2010년까지 전세계 26개국 기업들을 대상으로 배당스무딩의 횡단면 결정요인을 실증분석 하였으며, 주요한 분석결과는 다음과 같다. 첫째, 기업특성 변수들과 배당스무딩간 관련성을 분석한 결과, 상대적으로 정보비대칭 이론보다는 대리인이론이 배당스무딩행태를 설명하는데 적합한 것으로 나타났다. 구체적으로 설명하면 기업규모가 작고, 기업연령이 짧으며, 이익의 변동가능성이 클수록 배당스무딩이 감소하는 것으로 나타나 정보비대칭이 가장 클 것으로 예상되는 기업이 배당스무딩을 많이 할 것이라는 정보비대칭 이론의 예상과는 상반되는 결과를 보여주었다. 한편 MB 비율이 낮을수록 그리고 레버리지 비율이 낮을수록 배당스무딩이 증가하는 것으로 나타나, 기업들이 대리인 문제를 완화하기 위한 수단으로 배당스무딩을 증가시킨다는 대리인 이론을 지지하는 결과가 나타났으나, 재무적 여유변수는 배당스무딩에 유의한음(-)의 영향을 미치는 것으로 나타나 대리인 이론의 예상과는 상반되는 결과가 나타나기도 하였다. 둘째, 국가 단위의 결정요인들, 즉 투자자보호제도, 금융시스템, 법체계, 문화, 종교 등과 배당스무딩간 관련성을 분석하였다. 먼저 투자자보호제도가 취약할수록 배당스무딩이 증가하는 것으로 나타났는데, 이는 투자자보호제도가 취약한 국가에 속한 기업일수록 기업 내부자가 소액주주에게 좋은 평판을 얻기 위한 수단으로 배당스무딩을 증가시킨다는 대체모형 가설(La Porta et al., 2000)을 지지하는 결과이다. 또한 시장중심적 금융시스템을 가진 국가, 관습법 체계를 가진 국가, 개인주의적이고 남성적이며 불확실성 회피정도가 크지만 너그럽게 봐주는 문화적 특성을 가진 국가, 그리고 개신교 국가에서 기업의 배당스무딩 현상이 강한 것으로 나타났다. 국가 단위의 결정요인들과 배당스무딩간 관련성을 모두 종합적으로 검토해보면, (앵글로-색슨) 영미권 국가에 속한 기업들이 배당스무딩을 많이 하는 것을 알 수 있다. This paper investigates how different national characteristics affect firms’ dividend smoothing around the world. Firstly, consistent with prior literature, known firm-level determinants of dividend smoothing support the agency-cost explanation of it, rather than the information-asymmetry one. Secondly, country-level determinants, i.e. investor protection, financial systems, legal regimes, culture, religion, are put in regressions. Firms in countries with stronger investor protection smooth dividends less, which supports the ‘substitute model’ (La Porta et al., 2000). Firms smooth dividends more in market-based countries, in common-law countries, in more individualistic, masculine, uncertainty-avoiding, indulgent countries, and in Protestant countries. Finally, therefore, collecting the national characteristics that have positive effects on dividend smoothing, we come to adumbrate the Englishspeaking Anglo-Saxon world where firms smooth dividends the most.

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