• Journal of Distribution Science
• /
• v.13 no.5
• /
• pp.71-82
• /
• 2015

Purpose - The purpose of this study is to investigate risk price implied from the pricing kernel of Korean stock distribution market. Recently, it is considered that the quantitative easing programs of major developed countries are contributing to a reduction in global uncertainty caused by the 2007~2009 financial crisis. If true, the risk premium as compensation for global systemic risk or economic uncertainty should show a decrease. We examine whether the risk price in the Korean stock distribution market has declined in recent years, and attempt to provide practical implications for investors to manage their portfolios more efficiently, as well as academic implications. Research design, data and methodology - To estimate the risk price, we adopt a non-parametric method; the minimum norm pricing kernel method under the LOP (Law of One Price) constraint. For the estimation, we use 17 industry sorted portfolios provided by the KRX (Korea Exchange). Additionally, the monthly returns of the 17 industry sorted portfolios, from July 2000 to June 2014, are utilized as data samples. We set 120 months (10 years) as the estimation window, and estimate the risk prices from July 2010 to June 2014 by month. Moreover, we analyze correlation between any of the two industry portfolios within the 17 industry portfolios to suggest further economic implications of the risk price we estimate. Results - According to our results, the risk price in the Korean stock distribution market shows a decline over the period of July 2010 to June 2014 with statistical significance. During the period of the declining risk price, the average correlation level between any of the two industry portfolios also shows a decrease, whereas the standard deviation of the average correlation shows an increase. The results imply that the amount of systematic risk in the Korea stock distribution market has decreased, whereas the amount of industry-specific risk has increased. It is one of the well known empirical results that correlation and uncertainty are positively correlated, therefore, the declining correlation may be the result of decreased global economic uncertainty. Meanwhile, less asset correlation enables investors to build portfolios with less systematic risk, therefore the investors require lower risk premiums for the efficient portfolio, resulting in the declining risk price. Conclusions - Our results may provide evidence of reduction in global systemic risk or economic uncertainty in the Korean stock distribution market. However, to defend the argument, further analysis should be done. For instance, the change of global uncertainty could be measured with funding costs in the global money market; subsequently, the relation between global uncertainty and the price of risk might be directly observable. In addition, as time goes by, observations of the risk price could be extended, enabling us to confirm the relation between the global uncertainty and the effect of quantitative easing. These topics are beyond our scope here, therefore we reserve them for future research.

• Proceedings of the Korean Society of Postharvest Science and Technology of Agricultural Products Conference
• /
• 2000.04a
• /
• pp.6-7
• /
• 2000

개발도상국의 급격한 인구 증가에 의해 세계 60억 이라는 인구도 2050년을 맞아 약 100억에 도달할 것이라고 일컬어진다. 이로 인한 장래의 식량 위기에 대비하여 벼, 밀, 옥수수 등의 증산, 품종 개발도 물론 필요하지만 선진국을 중심으로 시장성 높은 작물의 소비가 우선되어지는 상황에 맞추어 세계적으로 주식이 될 수 있는 새로운 곡류의 확보와 생산체제도 중요한 문제이다. 한편으로 생활의 향상에 따른 식물의 다양화와 건강지향의 관점으로 본 다 품목 소량형의 식생활을 하는 것이 식물성 allergy의 방지 측면으로서의 곡류 특히 잡곡류의 유효 이용이 부각되어진다. 이들 중 amarans, quinoa는 벼과 식물에 비교해서 광합성능이 좋은 C4식물로서 생장이 빠르고 동시에 비타민, 무기질, 지질이 풍부하고 구성 단백질 중에 필수 아미노산을 많이 함유하여 아미노산 등급도 높고 특히 영양 발란스도 우수하다. 또 cholesterol 저하작용, 식물섬유에 의한 대장암의 억제 작용 등이 잘 알려져 있다. 그리l고 quinoa에 대해서는 아메리카 항공우주국(NASA)에서 CELSS(Controlled Ecological Life Support System; 장기간 우주특무비행의 승선원을 위한 공기중의 이산화탄소를 제거하고 식량·산소·물을 만들어 내기 위해 식물을 이용하는 방법)에 적합한 작물 후보로써 선택되어 신규 식품소재로써 주목받고 있다. 이상과 같은 견지로부터 amarans, quinoa를 일상식화되고 있는 빵에 이용하기 위해 제빵성 및 혼합중의 반죽의 모든 성질에 대해서 검토했다. amarans는 초과의 Amaranthus에 속하고 주요 생산국은 아메리카, 멕시코, 페루등이지만 일본에서는 주로 A.hypochondriacus가 수입되어 이용 되어지고 있다.amarans의 가루는 단독으로는 점탄성 있는 반죽을 형성하지 않기 때문에 밀가루에 일부를 대용한 wheat flour dough를 사용하고 가정용 제빵기로 구워 최종 단계에까지의 제빵성 결과를 산출했다. amarans folur 5%의 대체에는 빵의 비용적이 비교적 증대했지만 그 이상 amarans flour을 대처하면 확연히 비용적은 감소했다. amarans flour 10% 대체에 hemicellulase 1250U 이상을 첨가하면 비용적은 눈에 띄게 증대했다. farinograph에 있어서 반죽의 안정성은 amarans flour 10% 대용에 현저히 감소했다. 반죽의 점탄성(아축응력, 탄성률, 점성계수)는 amarans flour 10%를 대용한 것이 무첨가한 것보다 많이 단단해졌음을 알 수 있었다. 혼합중의 반죽의 조사형 전자현미경 관찰로 amarans flour로 대체한 gluten이 단단해졌음을 알수 있었다. 유화제 stearly 칼슘, 혹은 hemicellulase를 amarans 10% 대체한 밀가루에 첨가하면 확연히 비용적을 증대시킬 수 있다는 사실을 알 수 있었다. quinoa는 명아주과 Chenopodium에 속하고 페루, 볼리비아 등의 고산지에서 재배 되어지는 것을 시료로 사용하였다. quinoa 분말은 중량의 5-20%을 quinoa를 대체하고 더욱이 분말중량에 대하여 0-200ppm의 lipase를 lipid(밀가루의 2-3배)에 대하여 품질개량제로서 이용했다. 그 결과 quinoa 대량 7.5%에서 비용적, gas cell이 가장 긍정적 결과를 산출했고 반죽의 조직구조가 강화되었다. 또 quinoa 대체에 의해 전분-지질 복합제의 흡열량이 증대된 것으로부터 전분-지질복합제의 형성 촉진이 시사되었다.이것으로 인하여 호화억제에 의한 노화 방지효과가 기대되었지만 실제로 빵의 노화는 현저히 진행되었다. 이것은 quinua 대체량 증가에 따른 반죽의 안정성이 저하되어 버린 것으로 생각되어진다. 더욱이 lipase를 첨가하면 반죽이 분화하는 경향이 보여졌지만 첨가량 75ppm에 있어서 상당히 비용적의 증대가 보였다. 이것은 lipase의 가수분해에 의해 생긴 monogliceride에 의한 유화각 일어나서 보존성이 개선되어진 것으로 quinoa를 보다 많이 빨에 이용하기 위해서는 lipaserk 품질개량제로서 유효하다는 것을 알 수 있었다. 또 lipase는 quinoa의 대체량이 비교적 많은 10-20%의 섭취가 곧 allergy 질환 문제의 개선책이 되는 것은 물론 amarans, quinoa에는 lysine, 함황아미노산이 많고 지질중의 지방산조성도 좋고 무기질도 많이 함유되어 있다. 이와같이 우리들 개인의 건강에 대한 배려도 있고 amarans, quinoa등의 식품재료를 적극적으로 사용할 수 있도록 유념해 두었으면 하는 바램이다.

• The Journal of Information Technology
• /
• v.7 no.3
• /
• pp.19-36
• /
• 2004

This study examines the relation between accruals components of earnings and stock return. Earnings are decomposed into four components: discretionary accruals, nondiscretionary accruals, nondiscretionary income and cash flow from operations. Because reported earnings in financial statement consist of cash flow from operations plus total accruals. We decompose total accruals into a discretionary accruals and a nondiscretionary accruals separately. This paper examines the incremental informational content of discretionary accruals and nondiscretionary accruals components of net income by regressing return on earnings' components in multivariate models. The empirical analysis is conducted on a sample of 1,580 firm-years comprising 158 firms during 1991-2003. discretionary accruals are obtained by decomposing total accruals into discretionary and nondiscretionary accruals conponents, using a pooled variation of the Jones model(1991). These findings suggest that the discretionary accruals(measured using a variation the Jones model) is priced by the stock market. Specifically, the discretionary accruals and cash flow from operations are positively associated with the stock return, and also nondiscretionary income, discretionary accruals are positively associated with the stock return. While this result is consistent with the market prices the discretionary accruals because it captures value-relevant information. Additional test report evidence consistent with nondiscretionary accruals conveying information about the stock return.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
• /
• v.14 no.3
• /
• pp.185-199
• /
• 2019

Korea's facility horticulture has developed remarkably in a short period of time. However, in order to secure international competitiveness in response to unfavorable surrounding conditions such as high operating costs and market opening, it is necessary to diagnose the problems of facility horticulture and prepare countermeasures through analysis. The purpose of this study was to analyze the case of leading farmers by introducing information and communication technology (ICT) in hydroponic cultivation agriculture and horticulture, and to examine how agricultural technology utilizing smart farm and big data of facility horticulture contribute to farm productivity. Crop growth information gathering and analysis solutions were developed to analyze the productivity change factors calculated from hydroponics tomato farms and strawberry farms. The results of this study are as follows. The application range of the leaf temperature was verified to be variously utilized such as house ventilation in the facility, opening and closing of the insulation curtain, and determination of the initial watering point and the ending time point. Second, it is necessary to utilize water content information of crop growth. It was confirmed that the crop growth rate information can confirm whether the present state of crops is nutrition or reproduction, and can control the water content artificially according to photosynthesis ability. Third, utilize EC and pH information of crops. Depending on the crop, EC values should be different according to climatic conditions. It was confirmed that the current state of the crops can be confirmed by comparing EC and pH, which are measured from the supplied EC, pH and draining. Based on the results of this study, it can be confirmed that the productivity of smart farm can be affected by how to use the information of measurement growth.

• International Area Studies Review
• /
• v.21 no.1
• /
• pp.221-243
• /
• 2017

In this study, I examine overall conditions and problems of personal asset management processes by the old age people in Korea from the global perspectives. Major recommended policy implications for those are as follows.. First, the IRR (income replacement ratio) of public pensions in Korea is found to rank nearly the lowest among the OECD member countries. The relatively low fund performance compared to that of developed countries as well as this low IRR can be pointed out as major problems of public pension in Korea. It is recommended to reinforce specialty in fund management as a top priority to solve out these problems related with public pensions in Korea. Second, it is needed to set retirement pensions to be mandatory for almost all the firms in Korea to substitute for the above lower IRR of public pensions and to recover from the highest elderly poverty ratio among the OECD countries. Third, it is required to discuss about the expansion of tax refund policy application in the individual pension sector and many financial investment products under the correction of current budget control to motivate voluntary subscription for individual pension planning and to stabilize elderly lives of ordinary people in Korea. Fourth, it is required to induce market mechanism in controling price and longevity risk of reverse mortgages for the long-run sustainability.

• Journal of the Korea Convergence Society
• /
• v.12 no.6
• /
• pp.9-16
• /
• 2021

In the past, there have been various studies on predicting the stock market by machine learning techniques using stock price data and financial big data. As stock index ETFs that can be traded through HTS and MTS are created, research on predicting stock indices has recently attracted attention. In this paper, machine learning models for KOSPI's up and down predictions are implemented separately. These models are optimized through a grid search of their control parameters. In addition, a hybrid machine learning model that combines individual models is proposed to improve the precision and increase the ETF trading return. The performance of the predictiion models is evaluated by the accuracy and the precision that determines the ETF trading return. The accuracy and precision of the hybrid up prediction model are 72.1 % and 63.8 %, and those of the down prediction model are 79.8% and 64.3%. The precision of the hybrid down prediction model is improved by at least 14.3 % and at most 20.5 %. The hybrid up and down prediction models show an ETF trading return of 10.49%, and 25.91%, respectively. Trading inverse×2 and leverage ETF can increase the return by 1.5 to 2 times. Further research on a down prediction machine learning model is expected to increase the rate of return.

• Journal of the Korea Convergence Society
• /
• v.13 no.5
• /
• pp.249-259
• /
• 2022

More than a year has already passed since the Gyeongbuk Hemp Regulation Free Zone Project was implemented, and it is time to supplement and review the deficiencies in production history management for the domestic hemp industry after the Free Regulatory Zone. In this study, the current status and characteristics of cannabis history management in the Gyeongbuk Hemp Regulation Free Zone project were investigated, and problems with current history management were derived using service design tools such as pilot interviews, shadowing, and Customer journey map. The case of the cannabis production system and the CTS recommended for the legal cannabis market in Oregon, a leading country, was compared and analyzed, and the direction was to secure safety through production cycle history management suitable for growth characteristics, efficient technology application for real-time management, and history information sharing. Through this study, it is expected that it will help improve the current hemp production history management system and properly settle the history management system of domestic hemp industrialization in the future.

• Journal of the Korea Convergence Society
• /
• v.13 no.5
• /
• pp.219-228
• /
• 2022

In order to improve audit quality, it is essential to understand the occurrence of disagreement between auditors and managers, and this study aims to analyze the impact of Business Strategies on audit risk and accounting audit delay. To this end, we conducted an empirical analysis using sample 2,910 firm-year data from 2018 to 2020 of KOSPI-listed and KOSDAQ-listed companies. The results of the empirical analysis of this study are as follows. First, compared to the companies of defender type, prospectors can expand audit procedures for new products, R&D costs, and intangible assets, and increase audit delays due to disagreement between managers and auditors. Second, compared to KOSPI-listed companies, the prospectors in KOSDAQ are more likely to have lower financial reporting quality, which further increases audit delays. The results of this study analyzed whether a company's Business Strategy affects the possibility of disagreement between an auditor and a company, and verified whether there is a difference in the audit report lag by stock market. The results of this study show that auditors' strong duty of care is needed for the companies of prospector type with high audit risk, and it is meaningful to present reinforced audit systems and specific guidelines for the companies of prospector type through the definition of prospector type. It also enables the expansion of research to identify the relationship between non-financial factors and audit risks that make up the companies of prospector type.

• Asia pacific journal of information systems
• /
• v.24 no.4
• /
• pp.559-575
• /
• 2014

Individual investors are increasingly flocking to message boards to seek, clarify, and exchange information. Businesses like Seekingalpha.com and business magazines like Fortune are evaluating, synthesizing, and reporting the comments made on message boards or blogs. In March of 2012, Yahoo! Finance Message Boards recorded 45 million unique visitors per month followed by AOL Money and Finance (19.8 million), and Google Finance (1.6 million) [McIntyre, 2012]. Previous studies in the finance literature suggest that online communities often provide more accurate information than analyst forecasts [Bagnoli et al., 1999; Clarkson et al., 2006]. Some studies empirically show that the volume of posts in online communities have a positive relationship with market activities (e.g., trading volumes) [Antweiler and Frank, 2004; Bagnoli et al., 1999; Das and Chen, 2007; Tumarkin and Whitelaw, 2001]. The findings indicate that information in online communities does impact investors' investment decisions and trading behaviors. However, research explicating the correlation between information on online communities and stock market activities (e.g., trading volume) is still evolving. Thus, it is important to ask whether a volume of posts on online communities influences trading volumes and whether trading volumes also influence these communities. Online stock message boards offer two different types of information, which can be explained using an economic and a psychological perspective. From a purely economic perspective, one would expect that stock message boards would have a beneficial effect, since they provide timely information at a much lower cost [Bagnoli et al., 1999; Clarkson et al., 2006; Birchler and Butler, 2007]. This indicates that information in stock message boards may provide valuable information investors can use to predict stock market activities and thus may use to make better investment decisions. On the other hand, psychological studies have shown that stock message boards may not necessarily make investors more informed. The related literature argues that confirmation bias causes investors to seek other investors with the same opinions on these stock message boards [Chen and Gu, 2009; Park et al., 2013]. For example, investors may want to share their painful investment experiences with others on stock message boards and are relieved to find they are not alone. In this case, the information on these stock message boards mainly reflects past experience or past information and not valuable and predictable information for market activities. This study thus investigates the two roles of stock message boards-providing valuable information to make future investment decisions or sharing past experiences that reflect mainly investors' painful or boastful stories. If stock message boards do provide valuable information for stock investment decisions, then investors will use this information and thereby influence stock market activities (e.g., trading volume). On the contrary, if investors made investment decisions and visit stock message boards later, they will mainly share their past experiences with others. In this case, past activities in the stock market will influence the stock message boards. These arguments indicate that there is a correlation between information posted on stock message boards and stock market activities. The previous literature has examined the impact of stock sentiments or the number of posts on stock market activities (e.g., trading volume, volatility, stock prices). However, the studies related to stock sentiments found it difficult to obtain significant results. It is not easy to identify useful information among the millions of posts, many of which can be just noise. As a result, the overall sentiments of stock message boards often carry little information for future stock movements [Das and Chen, 2001; Antweiler and Frank, 2004]. This study notes that as a dependent variable, trading volume is more reliable for capturing the effect of stock message board activities. The finance literature argues that trading volume is an indicator of stock price movements [Das et al., 2005; Das and Chen, 2007]. In this regard, this study investigates the correlation between a number of posts (information on stock message boards) and trading volume (stock market activity). We collected about 100,000 messages of 40 companies at KOSPI (Korea Composite Stock Price Index) from Paxnet, the most popular Korean online stock message board. The messages we collected were divided into in-trading and after-trading hours to examine the correlation between the numbers of posts and trading volumes in detail. Also we collected the volume of the stock of the 40 companies. The vector regression analysis and the granger causality test, 3SLS analysis were performed on our panel data sets. We found that the number of posts on online stock message boards is positively related to prior stock trade volume. Also, we found that the impact of the number of posts on stock trading volumes is not statistically significant. Also, we empirically showed the correlation between stock trading volumes and the number of posts on stock message boards. The results of this study contribute to the IS and finance literature in that we identified online stock message board's two roles. Also, this study suggests that stock trading managers should carefully monitor information on stock message boards to understand stock market activities in advance.

• Journal of Distribution Science
• /
• v.14 no.1
• /
• pp.93-102
• /
• 2016

Purpose - The purpose of paper is studying the static and dynamic side for long-term memory storage properties, and increase the explanatory power regarding the long-term memory process by looking at the long-term storage attributes, Korea Composite Stock Price Index. The reason for the use of GPH statistic is to derive the modified statistic Korea's stock market, and to research a process of long-term memory. Research design, data, and methodology - Level shifts were subjected to be an empirical analysis by applying the GPH method. It has been modified by taking into account the daily log return of the Korea Composite Stock Price Index a. The Data, used for the stock market to analyze whether deciding the action by the long-term memory process, yield daily stock price index of the Korea Composite Stock Price Index and the rate of return a log. The studies were proceeded with long-term memory and long-term semiparametric method in deriving the long-term memory estimators. Chapter 2 examines the leading research, and Chapter 3 describes the long-term memory processes and estimation methods. GPH statistics induced modifications of statistics and discussed Whittle statistic. Chapter 4 used Korea Composite Stock Price Index to estimate the long-term memory process parameters. Chapter 6 presents the conclusions and implications. Results - If the price of the time series is generated by the abnormal process, it may be located in long-term memory by a time series. However, test results by price fixed GPH method is not followed by long-term memory process or fractional differential process. In the case of the time-series level shift, the present test method for a long-term memory processes has a considerable amount of bias, and there exists a structural change in the stock distribution market. This structural change has implications in level shift. Stratum level shift assays are not considered as shifted strata. They exist distinctly in the stock secondary market as bias, and are presented in the test statistic of non-long-term memory process. It also generates an error as a long-term memory that could lead to false results. Conclusions - Changes in long-term memory characteristics associated with level shift present the following two suggestions. One, if any impact outside is flowed for a long period of time, we can know that the long-term memory processes have characteristic of the average return gradually. When the investor makes an investment, the same reasoning applies to him in the light of the characteristics of the long-term memory. It is suggested that when investors make decisions on investment, it is necessary to consider the characters of the long-term storage in reference with causing investors to increase the uncertainty and potential. The other one is the thing which must be considered variously according to time-series. The research for price-earnings ratio and investment risk should be composed of the long-term memory characters, and it would have more predictability.