뗚13뻭뗚1웚2010쓪1퓂ꆡꆡꆡꆡꆡꆡꆡꆡꆡ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨JOURNALOFMꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뷰죚엝쒭폫웳튵춶ꋙ헅샻뇸1,2,컢돥럦2,펦틦죙3(1.짏몣솢탅믡볆톧풺뷰죚톧풺,짏몣201620;2.짏몣붻춨듳톧낲첩뺭볃맜샭톧풺,짏몣200052;3.짏몣듳톧맺볊릤짌폫맜샭톧풺뷰죚쾵,짏몣200444)햪튪:퇐뺿쇋뷰죚엝쒭뛔웳튵춶닟싔펰쿬뗄캢맛믺샭.퓚춶쿮쒿쫐뎡볛횵훐틽죫뷰죚엝쒭틲ퟓ,붨솢웰웳튵뗄춶뻶닟쒣탍,퇐뺿쇋엝쒭뛔춶룅싊뗄펰쿬,늢뛔엝쒭돖탸웚ꆢ뻶닟헟쫓뒰뫍죚맦쒣뫍랽쪽폫뷰죚엝쒭뛔춶뗄릲춬펰쿬뷸탐쇋럖컶.뷡맻뇭쏷:헽엝쒭뛔춶뻟폐췆뚯ퟷ폃,뢺엝쒭뻟폐틖훆ퟷ폃;헽엝쒭웚볤뷸탐뗄춶뎤웚뻟폐헛볛쟷쫆,뢺엝쒭웚볤뷸탐뗄춶볛횵폐짏짽쟷쫆;헽엝쒭돖탸웚풽뎤,춶뗄뿉쓜탔풽킡;뢺엝쒭뗄돖탸웚풽뎤,춶뿉쓜탔풽듳;퓚헽엝쒭웚,죴뻶닟헟풽뛌쫓,솢벴춶뗄뚯믺풽잿,웳튵욫쿲폚돶쫛막좨뷸탐춶;퓚뢺엝쒭웚,죴뻶닟헟풽뛌쫓,춶붫믡췆동,웳튵욫쿲폚틔웤쯻죚랽쪽뷸탐춶.맘볼듊:춶;엝쒭;십뛻뿆럲솴;쏀쪽웚좨훐춼럖샠뫅:ꆡꆡ컄쿗뇪쪶싫:Aꆡꆡ컄헂뇠뫅:1007-9807(2010)01-0060-100ꆡ틽ꆡ퇔뗷헻쫇붥뷸뗄,춶랽돌랴펳쇋떱잰놾듦솿쿲뫏틢놾맦쒣뗄뗷헻.붫뷰죚쫐뎡뫍웳튵춶탐웳튵춶쫇튻훖삩듳퓙짺닺탐캪.퓚탭뛠쟩캪뷡뫏웰살뗄퓲쫇췐뇶뗄Q샭싛,평폚쓜듓뿧쪱뿶쿂,웳튵춶볈뿉틔춨맽쪵컯춶ꆢ튲뿉춨맽늢웚톡퓱샭싛훐췆떼돶살[2-3],쯹틔췐뇶Q샭싛뫍릺뗃틔쪵쿖,떫쫇,뛔뺭볃훐돶쿖뗄탂탋탐튵,퓲Jorgenson뗈죋뗄탂맅뗤춶샭싛뻟폐쿠쯆탔.떫뎣뎣컞쿖돉뗄웳튵뿉틔늢릺,헢쪱뫲,쪵컯춶뻍쫇,헢솽훖믹놾샭싛뇏뺹쫇믹폚좷뚨탔럖컶뗄.죧늻뿉쳦듺.듓뎤웚살뾴,뫏샭뗄웳튵퇐랢ꆪ쪵컯춶맻춶뻟폐늻뿉쓦탔뫍뿉퇓동탔,쓇쎴캴살쫕틦ꋚ틲캪룄뇤웳튵뗄닺돶쓜솦뷸뛸룄뇤쇋ퟜ릩뗄늻좷뚨탔뛔춶뗄펰쿬뫜듳[4-5].Dixit뫍룸P[6]indyck뗈퓚늻좷뚨탔뺭볃훐붫웳튵펵폐뗄춶,쫇뺭볃퓶뎤뗄튻훖믹놾뚯솦;듓뛌웚살뾴,웳튵춶삩듳쇋ퟜ탨쟳튲믡쫇뺭볃늨뚯뗄풭틲믺믡뾴ퟷ튻룶웚좨,닉폃뷡릹뮯쒣탍랽램뷸탐,틲듋퇐뺿,헢훖랽램쓜릻럖컶웳튵춶뗄쿠믺뻶닟컊,뛔웳튵춶탐캪뗄퇐뺿쫇뺭볃톧뗄훘튪퇐뺿쇬폲쳢:웳튵뿉틔톡퓱뫏쫊뗄쪱믺뷸탐춶..뒫춳웳튵춶럖컶뿲볜쫇평[1]퇘ퟅ늻좷뚨탔뺭볃훐춶믺믡뿉뾴ퟷ튻룶쏀Jorgenson뗈죋랢햹웰살뗄틔벼쫵뗈뒿쪵볊뺭볃틲쯘뻶뚨뗄탂쪽웚좨(쪵컯웚좨)뗄쮼슷,탭뛠톧헟뛔듋뷸탐쇋맅뗤춶샭싛,돉캪쿖듺웳튵춶샭싛뗄믹뒡.퓚뷸튻늽뗄퇐뺿,냼삨틽죫늻췪좫탅쾢[7].맺쓚뗄헢훖샭싛훐,웳튵뗄닺돶쓜솦ꆢ닺욷볛룱뫍놾돉훚뛠톧헟튲춨맽쪵컯웚좨뗄랽램퇐뺿쇋폫웳튵춶놾뻶뚨쇋뫏틢뗄놾맦쒣(맽돌),뛸놾듦솿뗄쿠맘뗄룷랽쏦컊쳢,죧늻뛔돆탅쾢[8],뻟폐ꋙ쫕룥죕웚:2007-05-18;탞뚩죕웚:2009-09-26.믹뷰쿮쒿:맺볒ퟔ좻뿆톧믹뷰훺쿮쒿(70701023);훐맺늩쪿뫳믹뷰훺쿮쒿(20060390628);짏몣쫐뷌폽캯풱믡뿆퇐뒴탂훺쿮쒿(10ZS129).ퟷ헟볲뷩:헅샻뇸(1974ꆪ),쓐,쯄뒨죋,늩쪿(뫳),뢱뷌쫚.Email:zlb_zhang@ꋚ웳튵뗄퇐랢놾짭튲뿉뾴ퟷ튻훖춶탐캪.
뗚1웚헅샻뇸뗈:뷰죚엝쒭폫웳튵춶ꆪ61ꆪ샻쟩뿶쿂퇐랢뻶닟[9],뻟폐뺺헹뛔쫖쪱뗄웳튵춶뫍V[17][18]ishnyꆢBlanchard,Rhee,Summers퓲랢[10-11],짵훁퓚쪵컯웚좨훐틽죫쒣뫽탔[12]뗈.ퟜ쿖헢훖쿠맘탔뷏죵.뷼쓪살뗄퇐뺿퓲퇐뺿막욱볛쳥짏살쮵,퓚늻좷뚨탔쳵볾쿂,닉폃쪵컯웚좨벰웤룱훐듭컳뚨볛돉럖(엝쒭돉럖)폫웳튵춶횮볤삩햹퇐뺿웳튵뗄춶쪱믺,컞싛퓚샭싛뫍펦폃랽뗄쿠맘탔,랢쿖헢훖쿠맘탔뫜잿,죧Chirinko뫍쏦뚼믱뗃쇋뷏듳돉릦[19-20][21][22].Schaller,Panageas,Polk뫍Sapienza뺡맜죧듋,헢킩퇐뺿럖컶훐죔듦퓚ퟅ튻룶믹뗈23].Baker,Stein뫍W[urgler랢쿖막욱죚틀삵놾컊쳢:캴뾼싇죚쿞훆,벴볙짨웳튵뿉틔뫜랽뇣뛈풽룟뗄웳튵,웤춶뛔막욱볛룱풽쏴룐.ퟜ뗄살뗘믱뗃쯹탨뷰.쪵볊짏,웳튵뷸탐춶쪱뇘좻탨쮵,헢킩쪵횤퇐뺿뗄뷡맻뇭쏷,뷰죚닺볛룱훐뗄튪뷰뗄춶죫,쎻폐폃폚춶죫뗄뷰,웳튵춶탐엝쒭돉럖뛔웳튵춶뻶닟폐펰쿬.캪뻍늻뿉쓜쪵쿖.뛔짏쫐릫쮾뛸퇔,웳튵뗄췢늿죚평듋뿉틔뾴돶,죧맻붫췪좫폐킧뗄뷰죚쫐뎡랽쪽훷튪뿉틔캪좨틦탔죚뫍햮좨탔죚솽(컞엝쒭돉럖)쿂뗄웳튵춶탐캪뾴ퟷ샭탔뗄ퟮ샠,헢솽샠죚랽쪽뻹뿉틔춨맽뷰죚쫐뎡(랢탐폅탐캪,퓲뷰죚쫐뎡훐뗄엝쒭믡뛔헢훖ퟮ폅탐캪횤좯)살쪵쿖.헢퇹,뷰죚쫐뎡볈뿉뛔웳튵춶쳡닺짺얤쟺,떱좻,헢훐얤쟺뗄탐캪퓚웳튵ퟔ짭살뾴릩횧돖,튲뿉틔돉캪웳튵춶뗄죚쿞훆.틔Dixit죔좻쫇ퟮ폅뗄,틲캪웳튵횻쫇뛔늻첫샭탔뗄뷰죚뫍[6]Pindyck뗈퇐뺿늻뾼싇죚랽쪽뗄톡퓱뗄튻쫐뎡닺짺쇋샭탔뗄랴펦.평폚웳튵퓚헢훖쟩뿶쿂룶훷튪풭틲쫇쯻쏇뻹쫇믹폚뷰죚쫐뎡췪쏀뗄볙짨:뷰죚쫐뎡췪좫폐킧,룷훖죚랽쪽뿉틔췪좫쿠뗄탐캪놻뷰죚엝쒭얤쟺,쫆뇘뛔ퟜ쳥뺭볃뗄퓋탐뮥쳦듺튲닺짺쒳훖돌뛈뗄펰쿬.틲듋,웳튵퓚엝쒭쳵볾쿂,평듋,죚쫇뿉틔뾴ퟷ컞쒦닁뗄,웳튵뿉틔뫜랽뇣뗘믱뗃춶쯹탨뗄뷰뗄탐캪횵뗃짮죫퇐뺿.컊쳢뗄맘볼퓚폚:웳튵퓚듦.좻뛸퓚뷰죚엝쒭뗄쳵볾쿂,뺿뺹룃죧뫎뻶닟쓘?놾컄,뷰죚쫐뎡늢늻쿱뺭뗤뷰죚샭싛쯹돆뗄쓇퇹샭쿫,뷰죚닺뗄볛룱늢럇쪱쪱헦쪵뗘랴펳쫔춼뛔듋뷸탐믘듰.믹놾볛횵,헢퇹컞틉믡얤쟺뷰죚쫐뎡믹폚컞쒦닁쫗쿈,볙짨웳튵뗄뻶닟헟ꆪꆪꆪ맜샭죋(죧뺭샭)쫇ퟮ듳뮯쿖폐막뚫ퟮ듳샻틦뗄,늢쟒,맜샭죋쟩뿶쿂뗄뻟폐뗄풴엤훃릦쓜.뷰죚닺볛룱뎣틲캪펵폐뇈췢늿춶헟룼뛠맘폚웳튵뗄탅쾢(죧뎣믡뇭쿖돶룟맀믲뗍맀ꆢ늢퓚룟맀-헦쪵볛룱-뺻쿖뷰쇷벰웤럖늼),틲뛸뛔뷰죚쫐뎡훐쫇럱듦뗍맀횮볤뮻뗄쿖쿳,헢훖볛룱폫믹놾볛횵횮볤퓚엝쒭쓜릻뫏샭에뛏,헢퇹,맜샭죋폫뷰죚쫐뎡훐뗄욫샫놻돆캪ꆰ엝쒭ꆱ.뷰죚엝쒭뛔쪵쳥뺭볃뗄펰뗄췢늿춶헟쿠뇈쫇샭탔뗄.헢훖볙짨쪹뗃웳튵쿬뫜퓧뻍쫜떽맘힢,죧K[13]eynes죏캪,뛌웚뗄춶뛔폐쿞샭탔뗄뷰죚쫐뎡닺짺샭탔뗄랴펦.헟쟩탷훁짙퓚쒳킩쪱웚쫇춶뗄훘튪펰쿬솦웤듎,볙짨맜샭죋뻟폐튻뚨뗄쪱볤쫓뒰,탨튪솿[14].Malkiel뫍R[15]ichardson럖뇰ퟜ뷡쇋쏀맺막퓚웳튵뗄뛌웚쫐뎡뇭쿖(볛룱)뫍뎤웚볛횵횮볤욱쫐뎡짏놻뾴ퟷ엝쒭뗄쪱웚,헢킩쪱웚냼삨욽뫢.듓놾컄훐뿉틔뾴돶,죧맻뷰죚쫐뎡췪좫폐1959ꆪ1962쓪뗄뗧ퟓ뮯,1967ꆪ1968뗄퓶뎤막킧,볛룱쪱쪱랴펳뗄뚼쫇헦쪵볛횵,쓇쎴맜샭죋뗄욱,짏쫀볍70쓪듺퓧웚뗄ꆰniftyfiftyꆱ,짏쫀볍80쪱볤쫓뒰뛔춶쫇컞펰쿬뗄.쓪듺뗄ퟔ좻풴ꆢ룟탂벼쫵뫍짺컯벼쫵샠막욱,짏뗚죽,놾컄붫뷰죚쫐뎡훐뗄엝쒭돉럖럖캪죽쫀볍90쓪듺뗄췸싧막욱뗈.룶믹놾ힴ첬:컞엝쒭ꆢ헽엝쒭(볛룱룟맀)뫍뢺엝웹뷱캪횹,맘폚뷰죚엝쒭폫웳튵춶횮볤맘쒭(볛룱뗍맀),늢쟒뫶싔죽룶믹놾ힴ첬횮볤뗄뇤쾵뗄퇐뺿훷튪틔쪵횤캪훷.퓧웚뗄쪵횤퇐뺿맘힢뮯맽돌ꋛ,벴볙짨헢죽룶ힴ첬횮볤뗄틆쫇튻늽웳튵춶쫇럱뛔막욱볛룱쏴룐,헢샠퇐뺿믱뗃뗄췪돉뗄.뷡싛뇈뷏쒣뫽,죧B[16]arro죏캪웳튵춶폫막욱뗚쯄,볙짨춶쪱뗄돵쪼춶죫(만뚨돉놾)룸볛룱횮볤뻟폐뫜잿뗄쿠맘탔,뛸Morck,Shleifer뚨,퓚헻룶뻶닟맽돌훐놣돖늻뇤.튲뻍쫇쮵,웳튵ꋛ퓚탭뛠맘폚뷰죚쫐뎡엝쒭뗄쒣탍훐,뎣뎣볙짨(헽)엝쒭폐튻룶믽샛맽돌,벴돶쿖솬탸뗄(헽)뎬뛮쫕틦싊,엝쒭믽샛떽튻뚨돌뛈뫳놣돖튻뛎쪱볤,좻뫳퓙웆쇑,볛룱랢짺샠쯆쳸풾뗄벱뗸,캪쇋볲뮯,놾컄늻뾼싇듋믽샛맽돌.
ꆪ62ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨2010쓪1퓂쿈뻶뚨춶맦쒣,좻뫳룹뻝춶맦쒣움맀룃쿮쒿웤훐뇤솿y>0쏨쫶뷰죚쫐뎡폐쿞샭탔뗄돌뛈,뗄쿖뷰쇷,톡퓱춶쪱믺.뷰살풴뗄튻늿럖쫇뛔y>1뇭쪾뷰죚쫐뎡듦퓚헽뗄엝쒭,벴룟맀;y<1췢랢쫛막좨,헢퇹,춨맽췢늿죚뻍뿉틔붫웳튵춶뇭쪾뷰죚쫐뎡듦퓚뢺뗄엝쒭,벴뗍맀;y=1퓲뇭탐캪뫍뷰죚쫐뎡솪쾵웰살.쪾뷰죚쫐뎡헽좷뗘맀볛.퓚헢벸룶믹놾볙짨쳵볾쿂,놾컄붫웳튵돖폐볙짨y캪튻룶늻뚨웚뇤뮯뗄쯦믺맽돌,퓚죎뗄춶믺믡뾴ퟷ튻룶컞쿞웚뗄쏀쪽웚좨,늢퇐뺿틢쪱뿌,y볈뿉쓜놣돖늻뇤,튲뿉쓜닺짺튻룶쯦믺웳튵뗄춶탐캪,럖컶엝쒭뗄쫴탔뗈틲쯘뛔웳튵뗄뇤뮯,튲뻍쫇쮵,뷰죚쫐뎡듭컳뚨볛뗄돌뛈퓚늻탐캪뗄펰쿬.놾훊짏,놾컄퇐뺿뗄쫇뷰죚쫐뎡훐뗄뚨웚뗘랢짺룄뇤.캪쇋볲뮯,볙짨y뻟폐죽룶ힴ엝쒭뛔웳튵탐캪뗄ꆰ얤쟺ꆱ탐캪.놾컄뗄퇐뺿싟벭첬:yH,yO뫍yL,쟒yL<yO=1<붫퓚죽룶ힴ짏폫D[6]ixit뫍Pindyck뗈뗄쪵컯웚좨럖컶랽램쫇첬횮볤틆,퓚죎틢ힴ첬랢짺ힴ첬틆뗄잿뛈럖튻훂뗄,떫튲폐뷏듳뗄쟸뇰:뾼싇뷰죚엝쒭뗄펰뇰캪ꛋH,ꛋO뫍ꛋL.평폚y뻟폐죽룶ힴ첬,맊퓚죎틢쿬,뇘좻붫뷰죚쫐뎡솪쾵웰살,튲뻍쫇퓚웳튵뗄쪵ힴ첬튻떩랢짺ힴ첬틆쪱,뻹듦퓚솽훖ힴ첬틆컯닺믹놾볛횵뫍웤뷰죚쫐뎡짏뗄볛룱솪쾵웰뿉쓜,짨헢훖쳵볾ힴ첬틆룅싊캪qij,쟒살,듓헢룶뷇뛈짏쮵,놾컄뗄퇐뺿폫췐뇶Q샭싛뗄쮼슷튲뻟폐튻훂탔ꇆqij=1.틲듋,y쪵볊짏쫇튻룶뻟폐죽룶ힴ첬뗄jꇙi.십뛻뿉럲맽돌.평쪽(2)뫍(3)뿉뗃1ꆡ춶쿮쒿뗄볛횵dS/S=(ꛌ-ꛇ)dt+ꛒdw+zdJ(4)ꆡ춶쿮쒿믹놾볛횵쪽(4)훐,죴dJ=1뇭쪾y뗄ힴ첬랢짺쇋룄뇤,벴볙짨웳튵쏦쇙ퟅ튻룶춶믺믡,룃춶쿮쒿뷰죚쫐뎡훐뗄춶헟뗄쟩탷랢짺쇋뇤뮯,틽웰쇋뗄뺻쿖뷰쇷죫쯙싊캪v,쟒싺ퟣ죧쿂맽돌엝쒭믲엝쒭웆쇑;죴dJ=0퓲뇭쪾y캬돖풭ힴ,벴dv/v=(ꛌ-ꛇ)dt+ꛒdw(1)뷰죚쫐뎡훐뗄춶헟쟩탷컞훘듳룄뇤.z뇭쪾y뗄웤훐ꛇ>0뇭쪾뗄ꆰ슩돶ꆱ뇈싊(쪵볊짏벴룃쿮쒿ힴ첬룄뇤뗄퓶솿,평돵ힴ첬뫍쒩ힴ첬좷뚨(뇈죧z춶믺믡뗄돖폐돉놾싊),뇪ힼ늼샊퓋뚯w쏨쫶뺭뿉틔뗈폚yH-yL,뇭쪾y평Lힴ첬틆떽Hힴ첬,볃훐뗄럧쿕풴,퓲룃춶쿮쒿뗄믹놾볛횵s캪웤튲벴쫐뎡훐췢늿춶헟뗄쟩탷랢짺뇤뮯,쪹뷰죚캴살뺻쿖뷰쇷죫뗄헛쿖쫐뎡듓뗍맀뇤캪룟맀).쿔좻,쪽(4)쫇튻룶쳸풾sꇔEQꇒꇞ-r(s-t)veds=vtꛇ(2)-삩즢맽돌,쟒쳸풾뇤솿yힴ첬폐쿞.쪽놾컄맘폚뷰죚엝쒭뗄볲뮯볙짨쓜힡엝쒭뗄(2)뗄췆떼볻[5]Pindyckꆢ믲Dixit뫍믹놾쳘헷:쫗쿈,엝쒭뿉헽뿉뢺;웤듎,엝쒭퓚죽룶[6]Pindyck,웤훐헛쿖틲ퟓr볙짨캪뎣쫽,Q캪럧쿕훐탍룅싊.평쪽믹놾ힴ첬횮볤틆;뗚죽,떱엝쒭놣돖퓚쒳룶ힴ첬(2)뿉뗃쪱,틲z=0,뷰죚닺뗄볛룱죔좻싺ퟣ샭쿫뗄벸ds/s=(ꛌ-ꛇ)dt+ꛒdw틲듋,룃쿮쒿뗄볛횵캪s,뛸v=ꛇs캪ꆰ슩돶ꆱ쯙뫎늼샊퓋뚯맦싉,엝쒭돉럖(y-1)s튲쓜릻믱뗃싊뻹뫢쫕틦,늢쯦닺뗄믹놾볛횵뗄뇤뮯뛸뇤뮯,튲,퓚웳튵뷸탐춶잰늻쓜믱뗃,뛸튻떩췪돉쇋춶,v=ꛇs늿럖뻍돉캪웳튵쯹뗃(횱뷓뗄쿖뷰쇷뻍쫇쮵,엝쒭돉럖늢늻쫇뫣뚨뗄;떱엝쒭ힴ첬랢짺죫틆쪱,zꇙ0,듋쪱믡폐믲헽믲뢺뗄뎬뛮쫕틦.),틲듋v=ꛇs쫇룃춶쿮쒿뗄돖폐돉놾.ꆡ뷰죚엝쒭듋췢,뮹볙짨y뻟폐죧쿂탔훊:y폫닺믹뒡볙짨뷰죚쫐뎡ퟜ쳥짏쫇폐쿞샭탔뗄,춶헟볛횵컞맘,쟒Ey=ꇆpiyi=yO=1.볙짨y폫뷰i뗄쟩탷뫍쫐뎡붻틗훆뛈릲춬ퟷ폃,떼훂뷰죚쫐뎡죚닺뗄믹뒡볛횵컞맘쫇틲캪y쫇평춶헟ퟜ쳥훐듦퓚믲헽믲뢺뗄엝쒭.짨춶쿮쒿퓚뷰죚쫐뎡쟩탷틽웰뗄;Ey=1뗄볙짨룹뻝쫇듓뎤웚살뾴,뷰짏뗄볛룱S뻟폐죧쿂탎쪽죚닺볛룱폐쿲웤믹놾볛횵믘맩뗄쟷쫆.pi뇭쪾yS=sy(3)뒦폚iힴ첬뗄컞쳵볾룅싊.헢퇹,평쪽(3)뿉횪
뗚1웚헅샻뇸뗈:뷰죚엝쒭폫웳튵춶ꆪ63ꆪES(t)=Es(t).ힴ첬i뗄컞쳵볾룅싊pi평뿂쒪룧y-1)[(1-ꛈ)ꛋ+ꛈ]+1싥럲잰뷸랽돌뻶뚨m(ax{S-I,0}yꇆ(8)pꛋq=pꛋ(5)iiijjjiꇙj짨컞쿞웚춶웚좨뗄볛횵캪O(S),퓲뻟폐죧쿂평폚볙짨y뻟폐죽룶ힴ첬,틲듋쪽(5)쪵볊짏쫇뷡싛:평죽룶랽돌릹돉뗄랽돌ퟩ,볓짏틾몬뗄쳵볾쏼쳢1ꆡ떱뷰죚쫐뎡듦퓚엝쒭쪱,죴Oi뇭쪾iꇆpힴ첬쿂뗄춶웚좨,Oi,S뫍Oi=1,뻍뿉틔믱뗃ힴ첬뗄컞쳵볾룅싊.i,SS럖뇰뇭쪾춶웚i뛔펵폐춶믺믡뗄웳튵살쮵,춶쿮쒿뗄쿖좨맘폚S뗄튻ꆢ뛾뷗떼쫽,퓲컞쿞웚뗄춶웚좨볛뷰쇷횵퓚뷰죚쫐뎡룟맀ꆢ헽뎣맀볛뫍뗍맀쟩뿶쿂럖뇰v뿉틔움맀,룹뻝쪽(2)뿉평v믱뗃s,틲뛸s쫇뿉맛닢뗄;쇭튻랽쏦,볙짨맜샭헟뇈췢늿춶헟싺ퟣ캢럖랽돌펵폐룼잿뗄샭탔,쓜릻에뛏쫐뎡뒦폚룟맀뮹쫇뗍rOH=(r-ꛇ)SOHO,S+1ꛒ22SH,SS+ꛋHꇁ2맀,맊y튲뿉틔볙짨캪뿉맛닢뗄.틲듋,뛔웳튵맜샭헟살쮵,ퟜ뿉틔볙짨S쫇뿉맛닢뗄.헢퇹ꆡꆡyy(OOLH(S)q,춶HO+OH(S)qHL-OH)(9)yHyH쿮쒿뗄뇟볊췐뇶뇈싊캪22rOO=(r-ꛇ)SOO,S+1ꛒSOO,SS+ꛋOꇁ2QTobin=S=vyKꛇ(6)vK헢샯횮쯹틔돆짏쪽캪뇟볊췐뇶뇈싊ꆡꆡyHy,쫇틲캪뛔웳(OO(S)qOH+OLO(S)qOL-OOyOyO)(10)튵살쮵,뷸탐춶쪱뢶돶놾퓶솿K뫍뗃떽웳튵뗄쫐뎡볛횵퓶솿rOL=(r-ꛇ)SOL,S+1ꛒ22SOL,SS+ꛋLꇁS2.ꆡꆡyHyO(OL(S)qLH+OL(S)qLO-OLy)(11)LyL2ꆡ춶웚좨쟒춶웚좨뗄볛횵캪O=ꛁASi=ꛁA(syi),i=H,O,L(12)펵폐춶믺믡뗄웳튵볈뿉틔춶,튲뿉틔늻iiiii닎쫽ꛁHꆢꛁO뫍ꛁL럖뇰캪춶,뮹뿉틔톡퓱춶뗄쪱볤,틲듋,펵폐룃춶믺믡뻍쿠떱폚펵폐튻룶웚좨.볙짨웳튵뗄뻶닟헟F2H(x)=1ꛒx(x-1)+(r-ꛇ)x-r+ꛋHꇁ2(죧뺭샭,믲쯹폐샏막뚫)퓚뎤웚뫍뛌웚쫕틦횮볤ퟶ돶좨뫢,뛔뛌웚뢳폨뗄좨훘캪ꛋ,퓲뛔뎤웚뢳폨ꆡꆡꆡyOxy(qHO()+LxqHL()-1yHyH)=0(13)뗄좨훘쿠펦캪1-ꛋ,웤훐ꛋꇊ[0,1]쏨쫶뻶닟헟F뗄뛌쫓돌뛈.듋췢O(x)=1ꛒ2x(x-1)+(r-ꛇ)x-r+ꛋOꇁ2,웳튵뮹뻶뚨붫춶쿮쒿뗄늿럖쯹폐좨뛔췢돶쫛,웤뇈샽캪ꛈ,퓲풭막뚫돖폐뗄춶ꆡꆡꆡyHxyLx쿮쒿뗄막좨뇈샽캪(qOH()+qOL()-1y1OyO)=0(14)-ꛈ.헢퇹,춨맽춶,웳튵뿉틔믱뗃뗄쫕틦캪FL(x)=1ꛒ2x(x-1)+(r-ꛇ)x-r+ꛋLꇁꛋ2(S-I)+(1-ꛋ)[(1-ꛈ)s+ꛈS-I]=ꆡ(y-1)[(1-ꛈ)ꛋ+ꛈ]+1ꆡꆡꆡyHxyO(qLH()+xqLO()-1y)=0(15)S-I(7)yLLy웤훐뗄헽뷢.쾵쫽Ai듽뚨.,S-I뇭쪾뻶닟헟췪좫뛌쫓쟩뿶쿂쯹죏뿉뗄뛌쫓쫕틦쏼쳢1뗄횤쏷맽돌볻뢽슼.;(1-ꛈ)s+ꛈS-I뇭쪾뻶닟헟췪좫럇뛌쫓쟩뿶쿂죏뿉뗄쫕틦,뛸ꛈ캪쇋폫컞엝쒭뷰죚쫐뎡쳵볾쿂뗄웳튵춶탐S뇭쪾돶쫛막좨쯹뗃,(1-ꛈ캪쿠뇈뷏,볙짨컞뷰죚엝쒭쳵볾쿂웳튵뗄춶웚)s퓲뇭쪾풭막뚫볌탸돖폐뗄춶막럝뗄헦쪵볛횵(뎤웚);I캪춶뗄만뚨돉놾.헢퇹웳튵춶좨캪O=ꛁAs,웤훐ꛁ캪F(x)=1ꛒ2x(x-1)+2뗄쒿뇪캪ퟮ듳뮯춶뗄쫐뎡쫕틦(r-ꛇ)x-r=0뗄헽룹,늢쟒ꛁ>1,퓲퓚헢훖쳵
ꆪ64ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨2010쓪1퓂볾쿂뛔펦뗄춶횴탐쳵볾캪3ꛁS=Iꛁ(Dixit뫍9O(iyOi-1)[(1-ꛈ)ꛋ+ꛈ]+1i=,,S=-19Syi[6]Pindyck).탨튪힢틢뗄쫇,컞엝쒭뷰죚쫐뎡쳵볾ꆡꆡꆡi=H,O,L(17)쿂뗄춶쪱믺폫폐엝쒭뷰죚쫐뎡훐떱엝쒭캪0쪱뗄웤훐쪽(16)돆캪횵쳵볾,뇭쪾횴탐웚좨쪱,웚좨춶쪱믺쫇늻춬뗄.쏼쳢2쫇ꛁi횮볤뗄맘쾵뫍폐맘뗄볛횵뗈폚솢벴횴탐뗄쯹뗃(벴뗈듽볛횵캪0);쫴탔.쪽(17)돆캪욽뮬쳵볾,ퟷ캪웚좨볛횵뗄튻뷗쳵쏼쳢2ꆡ짨ꛁ캪F(x)=1ꛒ2x(x-1)+(r-볾,놣횤횴탐쪱춶웚좨좡벫횵.룹뻝쪽(12)ꆢ2ꛇ(16)뫍(17),뫜죝틗뗃떽쏨쫶ퟮ폅춶쪱믺뗄쇙)x-r=0뗄헽룹,죴쏼쳢1훐뗄ꛁ>1,퓲쯼쏇뻟i폐죧쿂맘쾵뷧쳵볾ꋜ:ꛁ3ꛁIyL<ꛁ<ꛁHS=iii늢쟒ꛁ-1(y-1)[(1-ꛈ,)ꛋ+ꛈ]+1iiꆡꆡꆡꆡi=H,O,L(18)9ꛁH9ꛁ>L0,떱Sꇝ3Si쪱,웚좨뿉틔횴탐.듋췢뮹뿉틔믱뗃쾵H9ꛋ<09ꛋL쏼쳢2뗄횤쏷늢늻뢴퓓,뢽슼룸돶쇋쮵쏷,웤쫽1Ai:Ai=I뷡싛폐훺폚놾컄뗚3뷚훐춶룅싊럖컶ꛁ3ꛁ,i=H,O,L.듓쪽(18)뿉틔Sii-1i.닎쫽ꛁO폫ꛁ뗄듳킡맘쾵뿉평쿂쏦뗄뷡싛좷뚨뾴돶,횱뷓펰쿬춶쪱믺뗄틲쯘캪ꛁi뫍yi,늢쟒ꛁ:i쏼쳢3ꆡ죧맻qOHyH+qOLyL>yO,퓲ꛁO<ꛁ;뫍yi풽듳3,Si풽킡,틲뛸춶뗄뿉쓜탔퓶듳ꋝ.죴qOHyH+qO평듋,춶웚좨뗄볛횵캪LyL<yO,퓲ꛁO>ꛁ;죴qOHyH+qOLyL=yO;퓲ꛁO=ꛁ.Oi=ꛁAiSii,ꆡꆡꆡꆡꆡꆡꆡSiꇜ3Si쏼쳢3뿉평쪽(14)벰쏼쳢2뢽슼훐뗄쮵쏷뫜Oi=(y-1)[(1-ꛈ)ꛋ+ꛈ]+1i랽뇣뗘뗃돶Si-I,Si>평쪽(8)뿉횪춶웚좨볛횵뗄쿂쿞(뇟뷧)(19)캪limSϖꇞO()iS=ꇞ,퓙룹뻝춶웚좨뗄뷢뗄탎쪽떱y=yH,듋쪱뷰죚쫐뎡뒦폚뻟폐헽엝쒭ힴ(12),뿉횪쏼쳢2훐뗄볙짨ꛁi>1쫇뇘탨뗄.뷡뫏첬,평쏼쳢2뿉뗃ꛁH>ꛁ.평쪽(18)뿉횪,뷰죚쫐쏼쳢2뿉횪,탫폐ꛁL>1,평쪽(15)뿉횪,횻탨튪뎡듦퓚헽엝쒭쪱춶뗄쇙뷧쳵볾뷏킡,벴3SH/yH<3ꛋyHyOS(20)L(qLH+qLO-1yLy)<ꛇL틲캪뿉춶쟸볤뗄룅싊캪P{sꇝ3S벴뿉H/yH},평쪽.죧맻듋쳵볾늻싺ퟣ,쓇쎴ꛁLꇜ1,퓲듓뗚3뷚훐뿉틔뾴돶,틲캪늻쓜싺ퟣ쏀쪽웚좨뗄욽뮬쳵(20)뿉횪헽엝쒭뛔춶뻟폐췆뚯ퟷ폃.헢폐훺폚볾뷢쫍C[19]hirinko뫍Schaller뛔죕놾뷰죚엝쒭뫍만,퓲샭탔뗄웳튵뻶닟헟늻믡횴탐룃춶웚좨,맊놾컄늻뾼싇ꛁLꇜ1뗄쟩뿶.뚨춶횮볤헽쿠맘맘쾵뗄퇐뺿뷡싛.듋췢,Chirinko뫍[20]Schaller랢쿖,훁짙뛔쒳킩웳튵살3ꆡ웳튵춶뻶닟쮵,쫐볛뗄룟맀떼훂쯼쏇맽뛈뗄춶;Polk뫍S[22]apienza튲랢쿖웳튵춶뫍듭컳뚨볛(볛횵룟ꆡ춶쪱믺쏀쪽웚좨뗄횴탐탨튪싺ퟣ죧쿂솽룶믹놾쳵볾맀)횮볤뻟폐뷏쿔훸뗄헽쿠맘맘쾵.헢킩쪵횤퇐뺿횧돖놾컄쒣탍뗄뷡싛.(y-1)[(1-ꛈ)ꛋ+ꛈ]+1Oi=iS-I,y떱y=yL,듋쪱뷰죚쫐뎡뒦폚뻟폐뢺엝쒭ힴiꆡꆡꆡi=H,O,L(16)첬,평쏼쳢2,ꛁL<ꛁ,평쪽(18)뿉횪,뷰죚쫐뎡ꋜ쇙뷧쳵볾쯤좻캪춶쿮쒿뗄쫐뎡볛룱,떫평뗚1뷚뗄럖컶뿉횪,쫐뎡볛룱뿉틔뮯캪춶쿮쒿뗄쿖뷰쇷쯙싊,틲캪춶쿮쒿뗄쿖뷰쇷쯙싊쫇뿉틔맛달뗄,쯹틔쫐뎡볛룱튲쿠떱폚뿉맛달뗄.ꋝ평쏼쳢1죝틗뾴돶,ꛁ놾짭튲폫y폐맘,늢쟒쫇y뗄퓶몯쫽,헢퇹,횻탨y풽듳,퓲춶뗄뿉쓜탔뻍풽듳.iii
뗚1웚헅샻뇸뗈:뷰죚엝쒭폫웳튵춶ꆪ65ꆪ듦퓚뢺엝쒭쪱춶뗄쇙뷧쳵볾횵뷏듳,벴PBI=ꇆP{Sꇝ3Sy}ii|y=y}P{y=ii3iSL/yL>3S(21)틲듋,뢺엝쒭뛔춶뻟폐틖훆ퟷ폃ꆡ=.ꇆ[1-N(ꛄ)i]pi>0i떱y=yO,듋쪱뷰죚쫐뎡훐늻듦퓚엝쒭,평쏼=1-쳢ꇆp(ꛄ)(iNi26)3뿉횪i,ꛁO폫ꛁ횮볤뗄듳킡맘쾵듦퓚죽훖뿉쓜:ꛁOꇝꛁ,퓲뛔춶뻟폐췆뚯ퟷ폃;죴ꛁO<ꛁ죴룸뚨뷰죚엝쒭ힴ첬뗄컞쳵볾룅싊p(평쪽(7)i,퓲뛔춶뻟폐틖훆ퟷ폃;죴ꛁ릹돉뗄랽돌ퟩ뻶뚨),퓲웳튵뗄컞쳵볾춶룅싊O=ꛁ,퓲뛔춶늻뻟폐쪵훊탔펰쿬.평ꛄi뻶뚨.평쪽PI(26)뿉횪9,-p9ꛄ=i<(ꛄ)i<0,죝틗횪뗀,춶쪱뗄쇙뷧뇟볊췐뇶뇈싊i웤훐<(ꆤ)뇭쪾뇪ힼ헽첬럖늼쏜뛈몯쫽,맊퓚튻Q3Tobin,i캪뚨뗄랶캧쓚,ꛄi풽듳,웳튵뗄컞쳵볾춶룅싊믡풽3SꛁQ3iT킡;틲obin,i==iꇁKꛁꛄlimϖꇀꇞ<(ꛄ)i=0,맊떱ꛄiϖꇞ믲ꛄiϖ-ꇞ쪱,ii-1춶룅싊뛔ꛄi뗄뇤뮯늻쏴룐.듓쪽(25)훐뮹뿉틔ꆡyiI,(y(i-1)[1-ꛈ)ꛋ+ꛈ]+1K뾴돶헢퇹뗄맘쾵:ꛄL>ꛄH,헢튲랴펳쇋헽엝쒭뛔ꆡꆡꆡꆡi=H춶웰췆뚯ퟷ폃,뛸뢺엝쒭뛔춶웰틖훆ퟷ폃뗄,O,L(22)평잰쏦뗄뷡싛뫍쪽(22)늻쓑뾴돶,떱ꛋ<1쪱,y쫂쪵.i풽듳죧맻뷰죚쫐뎡쫇췪좫폐킧뗄,늻듦퓚엝쒭쿖,Q3Tobin,i풽킡.틲듋,퓚뷰죚쫐뎡듦퓚헽엝쒭웚볤,뻟폐뷏킡뗄뇟볊췐뇶뇈싊쪱웳튵뻍뿉틔뷸쿳(벴pH=pL=0),퓲늻쓑믱뗃웳튵뗄춶룅싊탐춶PI캪,헢튲쮵쏷뷰죚쫐뎡훐뗄헽엝쒭뛔춶뗄듙뷸ퟷ폃PI=1-N(ꛄ)(27).3ꛁꆡ춶룅싊ln퓚죎틢쪱뿌,웳튵뗄춶뿉쓜뷸탐,튲뿉쓜늻웤훐ꛄ(s=0(ꛁ-1))-(ꛌ1-ꛒ2)t2ꛒ.뇈뷏쪽(26)뷸탐,헢틀삵폚떱쪱뗄ힴ첬Si쫇럱듳폚춶뗄쇙뫍(27),늻쓑랢쿖,솽룶컞쳵볾춶룅싊폫훮뛠닎쫽뷧쳵볾3Si.뛔룸뚨뗄엝쒭ힴ첬,뛔웳튵춶쓜릻폐맘,틲뛸웤듳킡맘쾵뷏쓑좷뚨.떫죝틗뾴돶,죴뷸탐뗄룅싊,붫웤돆캪쳵볾춶룅싊;뛔죎틢ힴ첬PB쿂뗄춶뿉쓜탔,돆웤캪컞쳵볾춶룅싊I-PI>0,쮵쏷(ퟜ쳥)뷰죚엝쒭퓚ퟜ쳥짏뛔웳튵.떱춶뻟폐췆뚯ퟷ폃;랴횮,죴PBI-PI<0,쮵쏷뷰죚y뒦폚iힴ첬쪱,웤쳵볾춶룅싊캪P{Siꇝ엝쒭뛔웳튵춶웰틖훆ퟷ폃,헢퇹뻟폐죧쿂뷡싛:3Si|y=y}=P{qꇝ3q},늻쓑쯣돶i|y=yiii떱N(ꛄ)-ꇆpꛄ)iN(i>0,뷰죚엝쒭ퟜ쳥짏뛔iP{Siꇝ3Si|y=yi}=1-N(ꛄ)(i23)웳튵춶뻟폐췆뚯ퟷ폃;웤훐N(ꆤ)쫇뇪ힼ헽첬럖늼샛믽몯쫽,쟒떱N(ꛄ)-ꇆpiN(ꛄ)i<0,뷰죚엝쒭ퟜ쳥짏뛔3Sii1ln-(ꛌ-ꛒ2)t웳튵춶뻟폐틖훆ퟷ폃;ꛄs0yi=i2ꛒ(24)떱N(ꛄ)-ꇆpiN(ꛄ)i=0,뷰죚엝쒭ퟜ쳥짏뛔쪽i(24)훐,s0=s(0)뇭쪾춶쿮쒿믹놾볛횵뗄돵웳튵춶쎻폐펰쿬.쪼횵,볙짨s0틑횪.붫쪽(18)듺죫쪽(24)뿉뗃ꆡꛄ쳘뇰뗘,떱N(ꛄ)-ꇆpiN(ꛄ)i=0쪱,쯤좻웳튵ii=ꛁ춶탐캪폫췪좫폐킧뷰죚쫐뎡쳵볾뗄춶탐캪컞춳iI12ln()ts0(ꛁ-1)(y-1)[(1-ꛈ)ꛋ+ꛈ]+1)-(ꛌ1-ꛒ2볆닮틬,떫뷰죚쫐뎡훐죔좻뿉쓜듦퓚ퟅ엝쒭.iiꛒꆡ춶뗄뎤웚벨킧(25)놾뷚뾼싇웳튵춶뗄뎤웚벨킧.떱웳튵뷸탐춶헢퇹,웳튵뗄컞쳵볾춶룅싊캪쪱,뇘좻폐Sꇝ3Si,춶쫕틦캪W=S-I.쫂쪵짏,
ꆪ66ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨2010쓪1퓂3춶쪱헦쪵뗄믱틦캪W=9ꛁHS>Hs-I=,틲듋9yi9ꛋH9ꛓ>0,헢쮵쏷헽엝쒭뗄돖탸웚풽H듓뎤웚살뾴,틲캪볙짨뷰죚엝쒭뗄웚췻캪Ey=뎤,춶뗄쇙뷧쳵볾풽듳,틲캪웳튵풸틢뗈듽룼뎤1,틲듋,웳튵춶쪱,춶쿮쒿뗄헦쪵볛횵폫춶볛뗄쪱볤믱뗃룼뫃뗄믺믡.횵횮볤듦퓚뗄닮틬캪떱뷰죚쫐뎡뒦폚뢺엝쒭웚쪱,평쏼쳢2뿉횪,W-W=(1-y)3is(28)9ꛁL9S헢뻍쫇쮵,죧맻웳튵춶랢짺퓚헽엝쒭웚볤<L0,맊(벴yi=9ꛋL9ꛓ<0,쮵쏷뢺엝쒭뗄돖탸웚풽뎤,LyH),퓲W-W>0,쓇쎴듓뎤웚살뾴,룃쿮쒿뗄쫐뎡웳튵춶뗄쇙뷧쳵볾랴뛸풽킡,헢쫇틲캪죴뢺엝볛룱붫폐튻룶헛볛쟷쫆.놾컄뗄뷡싛춬뷼쓪살뗄쪵쒭돖탸웚풽뛌,웳튵뿉틔뗈떽뢺엝쒭ힴ첬뇤뮯늢횤퇐뺿뷡맻뻟폐튻훂탔:Baker,S[23]tein뫍Wurgler횧뢶뷏짙뗄뗈듽돉놾,죴뢺엝쒭돖탸웚풽뎤,웳튵뗄쪵횤뷡맻뇭쏷,뛔막좨죚틀삵탔잿뗄웳튵,웤춶뗈떽뢺엝쒭ힴ첬뇤뮯쪱쯹횧뢶뗄뗈듽돉놾풽듳.쪱춨뎣뻟폐뷏룟뗄Q횵(쯻쏇죏캪훁짙Q횵ퟮ룟ꆡ뻶닟헟쪱볤쫓뒰뗄웳튵,웤막볛뻟폐놻룟맀뗄뿉쓜탔),춨맽막좨죚평잰쏦뗄쒣탍뿉횪,ꛋꇊ[0,1]쏨쫶웳튵뻶뷸탐춶뫳,웤뎤웚쫕틦캪뢺.Chirinko뫍닟헟뗄쪱볤쫓뒰,ꛋ풽듳,쮵쏷웳튵뻶닟헟풽뛌S[20]challer뗄퇐뺿뷡싛튲죧듋.쫓.평쪽(18)뿉뗃쇭튻랽쏦,죴웳튵춶랢짺퓚뢺엝쒭웚볤(벴39Sꛁiy9ꛋ=iIy(i1-y)(i1-ꛈ)ꛁi-1i=yL),W-W<0,퓲듓뎤웚살뾴,룃쿮쒿뗄쫐뎡볛{(y-1)[(1-ꛈ)ꛋ+ꛈ]+2,1}i룱믡폐튻룶짽횵쟷쫆.평폚떱뒦폚뢺엝쒭웚쪱,춨뎣ꆡꆡꆡꆡi=H,O,L(30)웳튵붫쟷쿲폚닉폃웤쯻죚랽쪽(볻놾컄뗚뷚뗄3뷡싛헢퇹,죴쫐뎡뒦폚룟맀쪱웚9SH,0,쮵쏷죴뻶닟9ꛋ<),맊쿖폐뗄쪵횤퇐뺿컞램춨맽탂랢탐막욱뗄쫕틦싊볬퇩헢튻뗣(틲캪헢훖쟩뿶쿂튪쎴닉폃웤쯻죚헟풽뛌쫓,춶뷸탐뗄쇙뷧쳵볾뻍풽킡;죴쫐뎡뒦랽쪽3,튪쎴늻춶).평폚춶쿮쒿볛횵붫쳥쿖퓚웳튵ퟜ볛횵훐폚뗍맀웚9SL,,틲9ꛋ>0,쮵쏷죴뻶닟헟풽뛌쫓,춶뷸듋웳튵쫐뎡볛횵튲뻟폐샠쯆뗄쟷쫆.탐뗄쇙뷧쳵볾뻍풽듳;뛸떱뷰죚쫐뎡뒦폚헽뎣맀3볛쪱9SO,9ꛋ=0,뻶닟헟뛌쫓폫럱뛔춶뷸탐뗄쇙4ꆡ쳖ꆡ싛뷧쳵볾쎻폐펰쿬.4쪵볊짏,죧맻뻶닟헟벫뛋뛌쫓,벴뻶닟헟췪좫.1ꆡ엝쒭돖탸웚쯹캽엝쒭뗄돖탸웚,쫇횸엝쒭쒳룶ힴ첬돖탸뗄맘힢춶쿮쒿뗄떱잰쫐뎡볛룱,쓇쎴ꛋ=1,평쪽욽뻹쪱볤.엝쒭뇤솿(7)뿉횪웤뛔펦뗄쒿뇪캪y뗄ힴ첬뇤뮯평닎쫽ꛋi뻶뚨,ꛋi풽듳,iힴ첬풽늻컈뚨.짨ꛓi뇭쪾iힴ첬뗄돖탸쪱볤뎤max{S-I,0}(31)뛈춶쪱믺캪,퓲틲캪Pti{ꛓi-t}=-ꛋe,헢퇹,iힴ첬뗄욽뻹돖탸웚캪3ꛁISi=iꛁ,i=H,O,L(32)i-1ꛓ=1iꛋ헢훖쟩뿶폫Dixit뫍[6]Pindyck뗈뗄뷡맻뻟폐쿠춬i쓇쎴,평쪽(18)뿉횪뗄탎쪽,늻춬뗄횻쫇ꛁi뗄횵뛸틑.339Si9S9ꛁ쿠랴,죧맻뻶닟헟췪좫맘힢춶쿮쒿뗄뎤웚=ii9ꛋi9ꛓ9ꛁ9ꛋ9ꛓ=iiii볛횵뛸럇떱잰쫐뎡볛룱,쓇쎴ꛋ=0,평쪽(7)뿉Iyi29ꛁi횪,웚좨횴탐쪱,웤뛔펦뗄쒿뇪캪2i(ꛁ)(y1-ꛈ)ꛋ+ꛈꛋ]+19ꛋ,i-1i-1)[(iꆡꆡꆡꆡm(y-1)ꛈ+1ax{S-I,0}(33)i=H,O,L(29)y떱뷰죚쫐뎡뒦폚헽엝쒭웚쪱,평쏼쳢2뿉횪,춶쪱믺캪
뗚1웚헅샻뇸뗈:뷰죚엝쒭폫웳튵춶ꆪ67ꆪ3ꛁi헽엝쒭웚쪱(yi=yH>1),쪽(36)듳폚쪽(18),Si=iIyꛁ=H,O,L(34)i-1(yi-1)ꛈ,i+1헢쮵쏷웳튵틔돶쫛막좨뗄죚랽쪽뷸탐춶뗄쇙떱ꛈꛁ=1쪱3뷧쳵볾뷏킡,틲듋웳튵믡욫쿲폚돶쫛막좨(죧랢,Si=iIꛁ,튲뻍쫇쮵,떱웳튵뾼싇i-1탐탂막)뷸탐춶;떱뷰죚쫐뎡뒦폚뢺엝쒭웚쪱좫늿돶쫛웤춶늿럖뗄막좨쪱,춶쪱믺폫Dixit(y뫍i=yL<1),쪽(36)킡폚쪽(18),쮵쏷웳튵틔P[6]indyck뗈뗄뷡맻뻟폐쿠춬탎쪽.돶쫛막좨뗄죚랽쪽뷸탐춶뗄쇙뷧쳵볾뷏듳,춶뻶닟헟뗄쪱볤쫓뒰뛔춶뗄펰쿬뿉틔헢틲듋웳튵욫쿲폚틔웤쯻죚랽쪽뷸탐춶;떱뷰퇹샭뷢:떱뷰죚쫐뎡뻟폐헽엝쒭쪱,죴뻶닟헟풽뛌죚쫐뎡뒦폚컞엝쒭웚쪱,죚랽쪽뛔춶쪱믺컞쫓,뻍풽뾴훘쒿잰뗄룟맀볛룱,틲듋솢벴춶뗄뚯펰쿬.믺풽잿;랴횮,떱뷰죚쫐뎡뻟폐뢺엝쒭쪱,죴뻶닟B[23]aker,Stein뫍Wurgler랢쿖막욱죚틀헟풽뛌쫓,뻍풽ꆰ퇡뛱ꆱ쒿잰뗄뗍맀볛룱,틲듋뻍삵뛈풽룟뗄웳튵,웤춶뛔막욱볛룱풽쏴룐;믡폐췆동춶뗄뚯믺.떱뷰죚쫐뎡뒦폚헽좷뚨볛C[22]hirinko뫍Schaller튲죏캪,춨맽랢탐룟맀뗄웚쪱,틲캪헢쪱뫲뗄뛌웚볛룱뫍뎤웚볛룱짏횻듦막욱믱뗃솮볛뗄죚퓚웳튵춶훐냧퇝쇋훘튪뷇퓚쪱볤볛횵닮틬(뛌웚볛횵쫇뎤웚볛횵뗄헛쿖),즫.놾컄뗄샭싛퇐뺿횧돖쯻쏇뗄쪵횤뷡싛:퓲떱뒦틲듋,뎤뛌웚볛룱횮볤늻듦퓚놾훊짏뗄닮틬,맊웳폚뢺엝쒭ힴ첬쪱,웳튵뗄춶쏅볷믡뫜룟(틲캪튵뻶닟헟뗄쪱볤쫓뒰컞펰쿬.ꆡ막좨죚맦쒣9ꛈ>0),랢탐탂막뷸탐춶쓑틔쪵쿖;뛸죴뒦쒣탍볙짨웳튵뻶뚨붫춶쿮쒿뗄늿럖쯹폐좨3뛔췢돶쫛폚헽엝쒭ힴ첬쪱,춶쏅볷퓲믡뷏뗍9SH(9ꛈ<0).,웤뇈샽캪ꛈ,퓲풭막뚫돖폐뗄춶쿮쒿뗄막좨뇈샽캪1-ꛈ,틲듋ꛈ쏨쫶쇋춶뗄쿠뛔막뫜쿔좻,죧맻웳튵뛔막좨죚뗄틀삵뛈럇뎣룟,퓲좨죚맦쒣:ꛈ풽듳,막좨죚뗄쿠뛔맦쒣풽듳.춶퓚헽엝쒭웚볤뷸탐뗄뿉쓜탔튪듳폚퓚웤쯻ힴ평쪽(18)뿉뗃첬,헢퇹쪹뗃쪵횤쪱(죧Baker,Stein뫍39SꛁiW[23]urgler)틗랢쿖춶뛔막욱볛룱뫜쏴룐:막욱9ꛈ=iIꛁꇁi-1볛룱뷏룟쪱(헢쪱뫲뫜뿉쓜룟맀)춶죝틗뷸탐,ꆡ(1-ꛋ)y(i1-y)i랴횮막욱볛룱뷏뗍쪱(듋쪱뫜뿉쓜뗍맀)춶믮{(yi-1)[(1-ꛈ)ꛋ+ꛈ,]+21}뚯쫜쿞.ꆡꆡꆡꆡi=H,O,L(35)듓쪽(35)뿉틔뾴돶,떱뷰죚쫐뎡뒦폚헽엝쒭웚쪱35ꆡ뷡ꆡ싛9SH(yi=yH>1),9ꛈ<0,쮵쏷막좨죚맦쒣풽듳,춶쇙뷧쳵볾풽킡,솢벴뷸탐춶뗄뿉쓜탔풽듳;떱놾컄퇐뺿쇋뷰죚엝쒭뛔웳튵춶닟싔뗄펰3쿬.퓚춶쿮쒿쫐뎡볛횵훐틽죫뷰죚엝쒭틲ퟓ,붨뷰죚쫐뎡뒦폚뢺엝쒭웚쪱9SL(yi=yl<1),9ꛈ>0,솢웰뻟폐튻뚨쪱볤쫓뒰뗄춶뻶닟헟뗄춶뻶닟막좨죚맦쒣풽듳,춶쇙뷧쳵볾풽듳쒣탍,닉폃쏀쪽웚좨뗄럖컶랽램,퇐뺿쇋늻춬엝쒭,솢벴춶뗄뿉쓜탔풽킡;떱뷰죚쫐뎡뒦폚컞엝쒭웚쪱(yi=웚뗄춶쪱믺뫍엝쒭뛔ퟜ뗄춶룅싊뗄펰쿬,늢39S뛔엝쒭돖탸웚ꆢ뻶닟헟쫓뒰뫍죚맦쒣뫍랽쪽폫yO=O1),9ꛈ=0,막좨죚맦쒣뛔춶쇙뷧쳵볾뷰죚엝쒭뛔춶뗄릲춬펰쿬뷸탐쇋럖컶,웤믹놾컞펰쿬.뷡싛뛔쿖폐뗄쪵횤퇐뺿뷡싛뻟폐뷏잿뗄뷢쫍솦.떱ꛈ=0쪱,뇭쏷웳튵춶캴뛔췢돶쫛막좨,훷튪뷡싛죧쿂:뛸쫇춨맽웤쯻랽쪽뷸탐죚.듋쪱쪽(18)뇤캪(1)헽엝쒭뛔춶뻟폐췆뚯ퟷ폃,뢺엝쒭뻟폐틖훆ퟷ폃;3ꛁyiSi=iIꛁ,i=H,O,L(36)i-1(yi-1)ꛋ+1(2)헽엝쒭웚볤뷸탐뗄춶뎤웚살뾴뻟폐헛뇈뷏쪽(18)뫍(36)뿉틔뾴돶:떱뷰죚쫐뎡뒦폚볛쟷쫆,뢺엝쒭웚볤뷸탐뗄춶볛횵폐짏짽뗄
ꆪ68ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨2010쓪1퓂쟷쫆;닟헟풽뛌쫓,뻍풽ꆰ퇡뛱ꆱ쒿잰뗄뗍맀볛룱,틲듋(3)헽엝쒭뗄돖탸웚풽뎤,춶뗄쇙뷧쳵볾뻍믡폐췆동춶뗄뚯믺.풽듳,춶뗄뿉쓜탔풽킡;뢺엝쒭뗄돖탸웚풽뎤,(5)떱뷰죚쫐뎡뒦폚헽엝쒭웚쪱,웳튵틔돶웳튵춶뗄쇙뷧쳵볾랴뛸풽킡,춶뗄뿉쓜탔쫛막좨뗄죚랽쪽뷸탐춶뗄쇙뷧쳵볾뷏킡,틲풽듳;듋욫쿲폚돶쫛막좨(죧랢탐탂막)뷸탐춶;떱뷰(4)떱뷰죚쫐뎡뻟폐헽엝쒭쪱,죴뻶닟헟풽죚쫐뎡뒦폚뢺엝쒭웚쪱웳튵틔돶쫛막좨뗄죚랽뛌쫓,뻍풽뾴훘쒿잰뗄룟맀볛룱,틲듋솢벴춶뗄쪽뷸탐춶뗄쇙뷧쳵볾뷏듳,욫쿲폚틔웤쯻죚뚯믺풽잿;랴횮,떱뷰죚쫐뎡뻟폐뢺엝쒭쪱,죴뻶랽쪽뷸탐춶.닎뾼컄쿗:[1][J].AmericanEconomicReview,1963,(53):47-56.[2][M].NewYork:Galand,1979.[3]BlanchardOJ,:Basicinfinitehorizonmodels[R].LecturesinMacroeconomics,Cambridge:MITPress,1989:37-90.[4][M]//SirJohnHicks,,:EdinburghUniversityPress,1968:1-19.[5],uncertainty,andinvestment[J].JournalofEconomicLiterature,1992,29(3):1110-1148.[6]DixitA,[M].Princeton:PrincetonUniversityPress,1994.[7],sunkcostsandinvestmentunderincompleteinformation[J].R&DManagement,2001,31(2):11-29.[8]훜볎쓏,믆뗇쫋.퓌몬삩헅웚좨뗄춶쿮쒿뻶닟탐캪퇐뺿[J].맜샭뿆톧톧놨,2006,9(2):28-35ZhouJianan,[J].JournalofManagementSci2encesinChina,2001,9(2):28-35.(inChinese)[9]톦쏷룞,릨ꆡ웓.뻟폐샻뗄R&D쿮쒿쪵컯웚좨움[J].맜샭뿆톧톧놨,2006,9(3):,&Dprojectwithpatent[J].JournalofManagementSciencesinChina,2006,9(3):39-44.(inChinese)[10]낲,헅ꆡ캬.웚좨늩?샭싛뗄랽램쒣탍럖컶폫랢햹[J].맜샭뿆톧톧놨,2001,4(1):,[J].JournalofManage2mentSciencesinChina,2009,9(3):39-44.(inChinese)[11]믆톧뻼,컢돥럦.늻좷뚨뮷뺳쿂퇐랢춶뻶닟뗄웚좨늩?쒣탍[J].훐맺맜샭뿆톧,2006,14(5):,&Dinvestmentdecisionunderuncertainty[J].ChineseJournalofManagementScience,2006,14(5):33-37.[12]뛅쿈뷸,쯯쫷뚰,쮾쫩뇶,닌횾잿.늻좷뚨쳵볾쿂뛠쒿뇪R&D쿮쒿ퟩ뫏톡퓱폅뮯[J].쾵춳릤돌샭싛폫쪵볹,2008,28(2):98-104DuXianjin,SunShudong,SiShubin,&Dportfolioselectionoptimizationunderuncertainty[J].SystemEngineeringꆪTheory&Practice,2008,28(2):98-104.(inChinese)[13],Interest,andMoney[M].Cambridge:MacmillanCambridgeUniversityPress,1936.[14][M].NewYork:&.[15]RichardsonSA,[R].UniversityofPensylvaniaWorkingPaper,://
뗚1웚헅샻뇸뗈:뷰죚엝쒭폫웳튵춶ꆪ69ꆪ[18]BlanchardRC,,profit,andinvestment[J].QuarterlyJournalofEconomics,1990,108:115-136.[19]ChirinkoRS,:TheJapanesecase[J].AmericanEconomicsReview,2001,91:663-680.[20]ChirinkoRS,:TheRealStory[R].://
ꆪ94ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨2010쓪1퓂ArrivalrateoftradersandinfluencingfactorsXUMin,LIUShan2cunSchoolofEconomicsandManagement,BeihangUniversity,Beijing100191,ChinaAbstract:ꆯ,selectingthedataontheShanghaiSecurityEx2change(SSE)fromJuly1,2003toDecember31,2003,andemployingEKOPmodel(Easley,Kiefer,OꆯHaraandPaperman,1996).Then,itinvestigateshowthemarketcharactersaffectthetradersꆯ:1))Bid(ask)volumeandsupply(demand)elasticityinfluencestheinformedtradersꆯ,:informativetrading;arrivalrate;elasticity;informedtrader;uninformedtrader(짏뷓뗚69튳)ꛁH캪랽돌(13)뗄헽룹.퓚랽돌(13)훐,틲캪ꆡꆡ쿠쯆뗘,떱뷰죚쫐뎡럖뇰뒦폚뗍맀뫍헽뎣뚨볛쪱,쪽yOy<L1,<1,맊뿉횪떱xꇝ1쪱dFH(x),<dF(x),틲(A3)뇤캪yHyHdxdx듋뿉뗃ꛁH>ꛁ;rO=(r-ꛇ)SOS+1ꛒ22SO2SS+ꛁL캪랽돌(15)뗄헽룹.퓚랽돌(15)훐,틲캪yH>1,ꆡꆡꛋyyyLLO(OH(S)qOH+O(S)qOL-OyOyO)(A7)yO>1,맊뿉횪떱L(x)dF(x)xꇝ1쪱dF,>,맊ꛁyLdxdL<ꛁ;xrO=(r-ꛇ)SOS+1ꛒ22SO2SS+뛔쏼쳢2뗄뗚뛾늿럖,틲캪:ꆡꆡꛋyyFL(OH(S)qLH+OO(S)qLO-OyL)(A8)H(x,ꛋH)=1ꛒ2x(x-1)+(r-ꛇ)x-r+y2L쪽(A7)뫍(A8)뗄뷢럖뇰캪ꆡꆡꛋyOxyH(qHO()+LxqHL()-1OyHyH)O=AꛁOSOO=AꛁOO(syO)(A9)Oꛁ뛔늻춬뗄ꛋLH뛔펦ퟅ늻춬뗄FH(x,ꛋH)쟺쿟.룸뚨늻춬뗄L=AꛁLSLL=AL(syL)(A10)닎쫽ꛋH뫍ꛋiH,벴ꛋjHꇙꛋ짨iH,볙j웤훐ꛁO뫍ꛁL럖뇰캪1ꛒ2x(x-1)+(r-ꛇ)x-2FH(x,ꛋH)=FiH(x,ꛋH)j퓲뇘폐ꛋH=ꛋiH,헢폫ꛋyjHꇙꛋ짨쎬뛜.헢쮵쏷iH뗄볙늻춬jHxyLxr+ꛋO(qOH()+qOL()-1yOyO)=0뫍1ꛒ2x(x-1)+2뗄ꛋH뛔펦ퟅ늻춬뗄FH(x,ꛋH)쟺쿟늻쿠붻.죝틗뾴돶,죴ꛋH>ꛋHiH,뇘폐FjH(x,ꛋH)<FiH(x,xyOx(r-ꛇ)x-r+ꛋyL(qLH()+qLO()-1yꛋLyL)=0뗄뷢.H),헢퇹,뷏듳뗄ꛋjH쪹뗃랽돌FH(x,ꛋH)=0뻟폐뷏듳틲캪떱Sϖꇞ쪱,Oϖꇞ,맊ꛁ>0.횤뇏.ii뗄헽룹,평듋탔훊뫜죝틗믱뗃9ꛁH쏼쳢9ꛋ>쮵쏷H:틲캪ꛁ캪F샠쯆뗘튲뿉틔믱뗃9ꛁL뷡싛.횤뇏.(x)=1ꛒ2x(x-1)+(r-ꛇ)x-r=029ꛋ>0뗄L뗄헽룹,뫜쿔좻,ꛁ>1.
