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방승욱(Seung Wook Bahng) 한국경영학회 1996 經營學硏究 Vol.25 No.2
As a modification of Morck, Shleifer, Vishny(1988), this research writing focuses on how ownership structure of Korean firms affects market valuation. In dealing with the research topic, this article introduces the concept of switching regression, and derives a special form with unknown changing points, thus differentiating itself from the referenced articles of identical research category. The analytical derivation is empirically applied, by using RATS program, to the relationship between ownership structure and market valuation in order to test both the convergence of interest hypothesis and the entrenchment hypothesis. Specifically speaking, the hypotheses include whether the linear relationship of the two variables differs at some intervals of ownership site, whether affiliation of firms affects relationship pattern of the variables and whether the linear relationship differs from year to year. The produced results indicate some evidences inconsistent with those of previous studies.
방승욱(Seung Wook Bahng) 한국경영학회 1999 經營學硏究 Vol.28 No.1
This study investigates whether national differences in capital structure have converged. In order to analyze converging trend, the paper selected the capital structures of major OECD countries during the past 20 years as a data base. A graphical review indicated converging evidence in the national debt ratios over the years. Motivated by this evidence, this research then attempted to confirm the hypothesis of convergence using econometric models. The empirical analysis showed that the capital structure of Japan converged toward the global trend. Depending on the samples taken and the debt ratios defined. conflicting results were obtained as to β- and σ- convergence hypotheses.
주가수익률의 안정 파레토 분포 적용과 무한분산 탐색에 관한 연구
방승욱(Seung Wook Bahng) 한국경영학회 1997 經營學硏究 Vol.26 No.1
This paper focuses on an application of stable Paretian distribution to Korea`s stock returns. One motive for this paper is that previous research on the stable Paretian distributions is seldom found in the financial literature of Korea. This paper also investigates the possibility of infinite variance of stock returns. Weekly returns of fifty randomly selected stocks are used as a data base, and the stability under addition test and a new technique for infinite variance are conducted. Statistical investigation into the hypothesis of infinite variance rejected the hypothesis of the infinite variance.
방승욱(Seungwook BAHNG) 한국EU학회 1998 EU학연구 Vol.3 No.1
This study is a literature survey on corporate governance, an issue which has recently raised world-wide discussions. With an intention to find ways for better corporate governance of the Korean companies in the 21st century, the paper attempted to consider corporate governance systems of developed countries. The U.K. system was selected as a topic for this research, partly because of the international competitiveness of British companies and partly because of a lack of existing research on British corporate governance in Korea. The historical fact that the Industrial Revolution first took place in Britain was also considered In deciding the country. This study established the framework of corporate governance system and dichotomized the system into internal and external governance systems. This research also explored the possibility of applying compefifile aspects of British corporate governance system to Korea.
방승욱(Seung Wook Bahng) 한국경영학회 2002 經營學硏究 Vol.31 No.3
This Paper proposes the asymmetric Pareto-Levy distribution as an alternative distribution model for actual stock returns, and attempts to measure its parameters in a way different from Previous studies. In this study, we place special emphasis on the questions of how to select location and scale parameters and to Create probability distribution tables for the standardized asymmetric Pareto-Levy distribution. To explain estimated skewness of the sample stock returns, we depend on Monte Carlo experiments. This paper then suggests median absolute deviation(MeAD) as an alternative measure for the dispersion parameter. Finally, we create standardized probability distribution tables by generating characteristic components and skewness parameters from the original population of the asymmetric Pareto-Levy distribution.
Structural Breaks and the Normality of Stock Returns
SEUNGWOOK BAHNG(방승욱),金石鎭, 高康錫 한국산업경영학회 2003 한국산업경영학회 발표논문집 Vol.- No.-
This paper attempts to explain the distribution of actual stock index returns using a mixture of the normal distributions model. This paper first defines the concept of structural breaks and derives a special form of structural breaks under the normality framework. It then applies the derived methodology to the monthly returns of the Swiss stock index to confirm whether the observed non-normality of stock returns can be explained with the derived model. Empirical results provide evidence that the entire period consists of three or four sub-periods in which different normal distributions exist. To check the statistical power of the model, this study generates random data from the normal distributions. Simulation results support the statistical power of the new methodology, and indicate the possibility that, despite being a seemingly non-normal test statistic for the entire data set, the underlying distribution is made up of a mixture of normal distributions.