• 유통과학연구
• /
• 제19권1호
• /
• pp.27-35
• /
• 2021

Purpose: This study is to investigate the effect of managerial ownership level in distribution and service companies on the stock price crash. The managerial ownership level affects the firm's information disclosure policy. If managers conceal or withholds business-related unfavorable factors over a long period, the firm's stock price is likely to plummet. In a similar vein, management's equity affects information opacity, and information asymmetry affects stock price collapse. Research design, data, and methodology: A regression analysis is conducted using the data on companies listed on the Korea Composite Stock Price Index (KOSPI) between 2012-2017 to examine the effect of the managerial ownership level on stock price crash risks. Results: Logistic and regression results indicate that the stock price crash risk was reduced as managerial ownership levels are increased. The managerial ownership level has a significant negative coefficient on stock price crash risk, negative conditional return skewness of firm-specific weekly return distribution, and asymmetric volatility between positive and negative price-to-earnings ratios. Conclusions: As the ownership and management align, the likeliness of withholding business-related information is reduced. This study's results imply that the stock price crash risk reduces as the managerial ownership level increases because shareholder and manager interests coincide, thereby reducing information asymmetry.

• Communications for Statistical Applications and Methods
• /
• 제19권3호
• /
• pp.501-506
• /
• 2012

This paper investigates the central subspace related with SIR, DOC and SAVE when the response has more than two values. The subspaces constructed by SIR, DOC and SAVE are investigated and compared. The SAVE paradigm is the most comprehensive. In addition, the SAVE coincides with the central subspace when the conditional distribution of predictors given the response is normally distributed.

• Communications for Statistical Applications and Methods
• /
• 제22권6호
• /
• pp.557-573
• /
• 2015

In this paper we develop a Bayesian inference for a multiplicative double seasonal autoregressive (DSAR) model by implementing a fast, easy and accurate Gibbs sampling algorithm. We apply the Gibbs sampling to approximate empirically the marginal posterior distributions after showing that the conditional posterior distribution of the model parameters and the variance are multivariate normal and inverse gamma, respectively. The proposed Bayesian methodology is illustrated using simulated examples and real-world time series data.

• 대한수학회논문집
• /
• 제18권3호
• /
• pp.541-550
• /
• 2003

We consider the generalized autoregressive model with conditional heteroscedasticity process(GARCH). It is proved that if (equation omitted) β/sub i/ < 1, then there exists a unique invariant initial distribution for the Markov process emdedding the given GARCH process. Geometric ergodicity, functional central limit theorems, and a law of large numbers are also studied.

• Communications for Statistical Applications and Methods
• /
• 제8권2호
• /
• pp.311-317
• /
• 2001

It is necessary to check the linearity of selected covariates in regression diagnostics. There are various graphical methods using residual plots such as partial residual plots, augmented partial residual plots and combining conditional expectation and residual plots. In this paper, we propose the modified pseudolikelihood ratio test statistics based on these residual plots to test linearity of selected covariate. These test statistics which measure the distance between the nonparametric and parametric models are derived as a ratio of quadratic forms. The approximate distribution of these statistics is calculated numerically by using three moments. The power comparison of these statistics is given.

• Communications for Statistical Applications and Methods
• /
• 제6권1호
• /
• pp.25-32
• /
• 1999

A single outlier can influence on the least squares estimators and can invalidate analysis based on these estimators. The Cook's statistic has been introduced to measure influence of individual data point on parameter estimation and the quantile of the F distribution is recommended as a reference value. but in practice subjective judgement is applied in the choice of appropriate quantile. A simple reference value is introduced in this paper which is developed by approximating conditional quantities of Cook's measure. The performance of the proposed criterion is evaluated through analysis of real data set.

• Journal of the Korean Data and Information Science Society
• /
• 제21권5호
• /
• pp.973-981
• /
• 2010

Quantile regression investigates the quantiles of the conditional distribution of a response variable given a set of covariates. M-quantile regression extends this idea by a "quantile-like" generalization of regression based on influence functions. In this paper we propose a new method of estimating M-quantile regression functions, which uses kernel machine technique. Simulation studies are presented that show the finite sample properties of the proposed M-quantile regression.

• Communications for Statistical Applications and Methods
• /
• 제6권3호
• /
• pp.719-728
• /
• 1999

This paper discusses an optimal burn-in procedure to minimize total costs based on the assumption that the failure rate pattern follows a bimodal mixed Weibull distribution. The procedure will consider warranty period as a factor of the total expected burn-in cost. A cost model is formulated to find the optimal burn-in time that minimizes the expected burn-in cost. Conditional reliability for warranty period will be discussed. An illustrative example is included to show how to use the cost model in prctice.

• 한국지구과학회지
• /
• 제35권1호
• /
• pp.69-87
• /
• 2014

이 논문에서는 구성 자료의 지구통계학적 시뮬레이션을 위해 다중 자료 변환 기반 조건부 시뮬레이션 틀을 제안하였다. 우선 일반적인 통계 기법의 적용이 가능하도록 구성 자료에 로그비 변환을 적용하였다. 다음 변환들로는 최소/최대 자기상관 인자 변환과 지시자 변환을 순차적으로 적용하였다. 독립적인 새로운 변수의 생성을 위해 최소/최대 자기상관 인자 변환을 적용하였으며, 적용 결과 개별 변수들의 독립적인 시뮬레이션이 가능해진다. 그리고 다중 가우시안 확률 모델을 따르지 않는 변수들의 비모수적 조건부 누적 확률 분포 모델링을 위해 지시자 변환을 적용하였다. 최종적으로는 적용한 변환 방법들의 역순으로 역 변환을 적용하였다. 간석지 표층 퇴적물 성분 자료를 대상으로 제안 시뮬레이션 기법의 적용 가능성을 예시하였다. 모든 시뮬레이션 결과들은 구성 자료의 제한 조건을 만족하면서 샘플 자료의 통계 특성을 잘 반영하였다. 구성 자료의 다수의 시뮬레이션 결과들을 이용한 표층 퇴적물 분류를 통해 기존 크리깅에서는 얻을 수 없는 분류 결과의 확률론적 평가가 가능하였다. 따라서 제안 시뮬레이션 틀은 다양한 구성 자료의 지구통계학적 시뮬레이션에 효과적으로 이용될 수 있을 것으로 기대된다.

• 전기학회논문지
• /
• 제62권6호
• /
• pp.870-875
• /
• 2013

After introducing diagnosis equipment power failure prevention activities for distribution system have become more active. To do facility diagnosis and maintenance work more efficiently we need to evaluate reliability for the system and should determine the priority line with appropriate criteria. Thus, to calculate risk factor for the power distribution line that are composed of many component facilities its historical failure events for the last 5 years are collected and analysed. The failure statics show that more than 60% of various failures are related to environment factors randomly and about 20% of the failures are refer to the aging. As a strategic evaluation system reflecting these environmental influence is needed, a system on the basis of the probabilistic approach related statical variables in terms of failure rate and failure probability of electrical components is proposed. The figures for the evaluation are derived from the field failure DB. With adopting Bayesian rule we can calculate easily about conditional probability query. The proposed evaluation system is demonstrated with model system and the calculated indices representing the properties of the model line are discussed.