2007쓪뗚3웚늻췪좫샭탔ꆢ춶헟쟩탷폫럢뇕쪽믹뷰횮쏕3컩퇠좻ꆡ몫솢퇒ꆡꆡ쓚죝쳡튪:놾컄뗄훷튪릱쿗퓚폚퓋폃늻췪좫샭탔춶헟뗄쟩탷뷢컶훐맺ꆰ럢뇕쪽믹뷰횮쏕ꆱ,늢쟒싛횤춶헟쟩탷쫇닺뚨볛뗄훘튪틲쯘ꆣ쫗쿈춨맽맺쓚쫽뻝볬퇩럢뇕쪽믹뷰볛룱뗄맽뛈늨뚯쮵쏷맺쓚춶헟뗄늻췪좫샭탔;웤듎쳡돶쇋뛔LST(1991)뗄룄뷸랽램,춨맽쳡돶볙쮵폫춳볆싛횤,뷢쫍쇋뺡맜맺쓚럢뇕쪽믹뷰뗄춶헟뷡릹폫쏀맺뗄늻춬,좴폐뫍LST샠쯆뗄쪵횤뷡맻;뷸뛸샻폃웤쯻랴펳쟩탷뗄횸뇪볤뷓횤쏷럢뇕쪽믹뷰헛볛쫇쟩탷횸뇪;ퟮ뫳,볬퇩쟩탷뛔쫐뎡쫕틦뗄뎤웚랴쿲펰쿬(뎤웚쫕틦랴)뫍쟩탷뛔뛌웚쫐뎡쫕틦뗄헽쿲펰쿬(뛌웚쫕틦맟탔),싛횤쇋춶헟쟩탷쫇닺뚨볛뗄훘튪틲쯘ꆣ맘볼듊:늻췪좫샭탔ꆡ쟩탷ꆡ럢뇕쪽믹뷰ꆡ탐캪뷰죚ꆡ맽뛈늨뚯ꆡꆡ내헕폐킧쫐뎡(EMH)뗄샭싛,럢뇕쪽믹뷰뗄헛볛붻틗쿖쿳뻸뛔쫇뷰죚쇬폲훐뗄튻룶쏕,뇭쿖퓚쯄룶랽쏦(Lee,ShleiferandThaler,1991,볲돆LST):(1)볈좻믹뷰돖탸돶쿖헛볛붻틗,춶헟캪뫎뮹믡틧볛(쏀맺10%ퟳ폒,맺쓚캪1%)릺싲탂랢탐뗄럢뇕쪽믹뷰?(2)캪뫎믹뷰틧볛랢탐,뛸뫳좴뺭뎣뗘헛볛붻틗?(3)캪뫎헛볛쮮욽쫇쪱뇤뗄,폐쪱폖캪틧볛?(4)캪뫎떱믹뷰랢늼뾪럅릫룦믲헟쟥엌쪱,헛볛돌뛈믡듳럹복짙짵훁쿻쪧?뷘훁2005쓪12퓂30죕,컒맺좫늿54횻럢뇕쪽믹뷰뗄욽뻹헛볛싊틑듯떽30134%,샺쪷짏(1999ꆪ2005쓪)쓪욽뻹헛볛싊캪16%,풶룟폚돉쫬놾쫐뎡훐헛볛쮮욽,죧퓚쏀맺욽뻹헛볛10%(Weiss,1989),펢맺풼캪5%(LeviesandThomas,1995)ꆣ탭뛠퇐뺿듓샭탔뫍럇샭탔솽랽쏦뛔헛볛풭틲뷸탐쇋듳솿뗄첽쳖,떫훁뷱튲쎻폐튻훂뗄뾴램ꆣ튻ꆢ컄쿗ퟛ쫶(튻)럢뇕믹뷰횮쏕뗄샭탔뷢쫍맘폚럢뇕믹뷰횮쏕폐룷훖샭탔뷢쫍,떫쪵횤뷡맻뇭쏷,샭탔샭싛뛔헛볛붻틗쿖쿳뗄뷢쫍솦늢늻잿,폈웤평폚맺쓚뗄럢뇕쪽믹뷰쫐뎡쿠뛔폚맺췢뗄쳘쫢탔,늻짙맺췢뗄샭탔뷢쫍퓋폃떽맺쓚뚼늻릥ퟔ웆ꆣ11뇤쿖돉놾럢뇕쪽믹뷰뗄닺뺻횵냼삨뇤쿖돉놾,맊뺻횵룟맀ꆣ(1)놾샻뗃쮰(Malkiel,1977):맺쓚튻횱캴뾪헷놾샻뗃쮰ꆣ(2)듺샭돉놾(JensenandMeckling,1976):쫇횸맜샭럑폃뗈믲튵벨풤웚ꆣ평폚맺쓚쒿잰믹뷰닉폃춳튻럑싊,췐맜럑싊캪215ꇫ,맜샭럑싊튲쫇만뚨뗄,2000쓪퓸뺭춳튻쿂뗷맽튻듎(215%쿂뗷떽115%),떫쿂뗷횮뫳믹뷰뗄욽뻹헛볛싊랴뛸듳럹퓶볓,폫룃샭싛쿠랴ꆣ튵벨풤웚샭싛죏캪믹뷰튵벨뇭쿖닮,헛볛싊믡짏짽ꆣ떫LST(1991)뗄퇐뺿늢늻횧돖짏쫶볙짨,쯻쏇랢쿖헛볛싊듳뗄믹뷰춨뎣믡3ꆡ컩퇠좻,놱뺩몽뿕몽쳬듳톧뺭볃맜샭톧풺,폊헾뇠싫:100035,뗧ퟓ탅쿤:bjfreeking@;몫솢퇒,놱뺩몽뿕몽쳬듳톧뺭볃맜샭톧풺뷰죚쾵,폊헾뇠싫:100035,뗧ퟓ탅쿤:hanly1@ꆣ놾컄믱맺볒ퟔ좻뿆톧믹뷰훺(쿮쒿뫅70671005);퓸죫톡2006쓪훐맺뺭볃톧쓪믡,퓚붻쇷훐뗃떽춬탐뗄횸뷌,쳘듋훂킻ꆣퟷ헟뮹룐킻쓤쏻움짳죋뗄움싛폫횸떼ꆣ떱좻,컄퓰ퟔ뢺ꆣ117
컩퇠좻ꆢ몫솢퇒:늻췪좫샭탔ꆢ춶헟쟩탷폫럢뇕쪽믹뷰횮쏕뇈헛볛싊뗍뗄믹뷰뗄뇭쿖룼뫃ꆣ맺쓚헅뾡쾲뫍헅뮪(2002)ꆢ맋뻪(2001)ꆢ쇵믔뫍태열(2004)ꆢ뛅쫩쏷뫍헅탂(2003)뗄쪵횤뷡맻튲폫튵벨풤웚샭싛쿠랴ꆣ(3)럇쇷뚯탔닺:쫇횸믹뷰돶쫛쯹돖폐뗄횤좯쪱믡틽웰횤좯볛룱뗄쿂붵,쪹쯹쪵쿖뗄닺짙폚릫늼뗄닺뺻횵,Malkiel(1977)랢쿖퓚쏀맺뷏캪쿔훸ꆣ맺쓚쇵믔뫍태열(2004)ꆢ뫎킡럦뫍돌폂(2004)죏캪닺쇷뚯탔볙쮵뛔훐맺럢뇕쪽믹뷰헛볛횮쏕폐뷏잿뗄뷢쫍솦,떱좻잰헟뗄싛횤듦퓚컈붡탔(Robust)컊쳢;헅뾡쾲뗈(2002)ꆢ뛅쫩쏷(2003)ꆢ맋뻪(2001)폫횮맛뗣쿠랴ꆣ평폚훐맺럢뇕쪽믹뷰좫늿춶폚쇷춨탔솼뫃뗄짏쫐릫쮾막욱뫍햮좯,힢틢떽맺쓚막욱뮻쫖싊풶룟폚맺췢쫐뎡,죧짏몣횤좯붻틗쯹1999ꆪ2005쓪뗄욽뻹쓪뮻쫖싊캪356%(룹뻝짏몣횤좯붻틗쯹퓂쫽뻝볆쯣,1999쓪잰룼룟),뛸헻룶20쫀볍90쓪듺얦풼ꆢ싗뛘뫍뚫뺩막욱쫐뎡뗄쓪뮻쫖싊퓚50%떽70%횮볤,쯹캽ꆰ럇샭탔랱죙ꆱ(irrationalexuberance)뗄1999쓪,얦풼붻틗쯹쓪뮻쫖싊튲횻폐77%ꆣ듋뷢쫍늻뿉쓜횧돖맺쓚룟듯16%뗄헛볛,맊럇쇷뚯탔닺뷢쫍튲펦놻업돽퓚췢ꆣ21쫐뎡럖룮춶헟뛔럢뇕쪽믹뷰좱랦쇋뷢뫍죏쪶떼훂믹뷰헛볛붻틗ꆣ첹싊뗘쮵,쫐뎡럖룮샭싛뮹쫇폐튻뚨뷢쫍탔뗄,폈웤퓚뷢쫍샫낶믹뷰헛(틧)볛붻틗쿖쿳쪱ꆣ떫쯼컞램뷢쫍럇샫낶럢뇕쪽믹뷰캪뫎폐쪱믡틧볛ꆣMalkiel(1977)ꆢAnderson(1984)뫍Arnaud(1983)럖뇰뛔럇샫낶믹뷰쫐뎡럖룮볙쮵뷸탐쇋볬퇩,뷡맻튲쎻폐랢쿖춳튻뗄횤뻝ꆣ31맦쒣맦쒣샭싛죏캪,듳탍믹뷰폫킡탍믹뷰뇈뻟폐쇷뚯탔폅쫆,쟒퓚럑폃짏폐맦쒣폅쫆,맊듳탍믹뷰뗄헛볛싊튪킡폚킡탍믹뷰(Gemmill,2002)ꆣ떫퓚맺쓚듳탍믹뷰뗄헛볛싊좴듳폚킡탍믹뷰ꆣ헔뾡(2004)뗈죏캪믹뷰맦쒣쫇펰쿬믹뷰헛볛뗄훷튪풭틲(웤폫맺췢뗄맦쒣샭싛쿠랴)ꆣ떫뇊헟죏캪맦쒣늻쫇믹뷰헛볛놳뫳뗄헦헽풭틲,맺쓚믹뷰쫐뎡훐,맦쒣킡뗄믹뷰뫍맦쒣듳뗄믹뷰뗄헛볛닮뻠벫쏷쿔,튻떩뷸탐믘맩럖컶,뇘좻퓚춳볆짏쿔훸ꆣ떫헢뷢쫍뗄쫇헛볛닮틬뗄풭틲,늻쫇헛볛쓚퓚뗄풭틲ꆣ뛸쟒맺쓚맦쒣킡늻뷶뷶쫇뇣폚춶믺,뛸쫇뇣폚닙ퟝ,1999쓪10퓂28죕짏쫐떱죕킡믹뷰풣풪(잰돆쿦횤)퓸틔111085풪뗄뺻횵놻뎴훁10풪뻍쫇쏷쿔뗄샽ퟓ,틲듋킡믹뷰뗄쫽뻝훊솿폐컊쳢ꆣ(뛾)럇샭탔샭싛뷢쫍Wiesenberger(1946)횸돶떱럢뇕쪽믹뷰헛볛ퟮ듳쪱,춶헟ퟮ놯맛;떱헛볛쫕햭쪱,춶헟쟩탷샖맛ꆣZweig(1973)랢쿖믹뷰헛볛랴펳춶헟쟩탷,웤쪵횤뇭쏷1966쓪떽1970쓪믹뷰헛볛뇤뮯싊쓜풤닢뗀쟭쮹릤튵횸쫽뗄뇤뮯ꆣDSSW(1990a)붨솢쇋튻룶퓫짹붻틗쒣탍ꆣ평폚듦퓚퓫틴붻틗헟뫍쳗샻쿞훆,퓫틴붻틗헟늻쫇쿱폐킧샭싛쯹쏨쫶뗄ퟮ훕놻쳗샻헟쟽훰돶쫐뎡ꆣ죧듋,샭탔춶헟튪쏦뛔솽훖쾵춳럧쿕,럢뇕쪽믹뷰쯹춶뗄닺럧쿕뫍퓫짹붻틗헟(쟩탷)럧쿕ꆣ맊탨튪럧쿕늹뎥,떼훂믹뷰헛볛ꆣPontiff(1997)춨맽볬퇩럢뇕쪽믹뷰볛룱뗄맽뛈늨뚯,랢쿖믹뷰볛룱럧쿕쿔훸듳폚믹뷰쯹춶닺뗄럧쿕,맊췆닢듦퓚춶헟쟩탷럧쿕ꆣLST(1991)쳡돶춶헟쟩탷뗄샭싛ꆣLST죏캪,헛볛싊뇤뮯풴ퟔ쟩탷뗄늨뚯,뿉좫쏦뷢쫍헛볛횮쏕ꆣ(1)쟩탷벫뛈샖맛쪱,믹뷰믡틧볛랢탐;(2)DSSW(1990b)뷢쫍쇋믹뷰돖탸헛볛;(3)쟩탷쫇뇤뮯뗄,맊헛볛쮮욽쫇쪱뇤뗄;(4)쯦듦탸웚뿬뷡쫸,쟩탷럧쿕훰붥쿻쪧,쯹틔헛볛돌뛈믡듳럹복짙짵훁쿻쪧ꆣNeal뫍Wheatley(1998)뗄릤ퟷ튲횧돖LST,웤틔룼뎤쫽뻝볬퇩쇋믹뷰헛볛뇤뮯뿉틔뷢쫍킡쫐횵막욱뗄쫕틦,늢싛횤쇋뾪럅쪽믹뷰뗄뺻쫪믘폫믹뷰헛볛뗄뇤뮯폐쿔훸뗄맘쾵ꆣSwanminathan(1996)뗄퇐뺿캪럢뇕쪽믹뷰헛볛뫍킡릫쮾막볛뗄릲뚯쳡릩쇋뫏샭뗄뷢쫍,웤뮹죏캪,춶헟쟩탷늻뷶쓜릻펰쿬막욱뗄떱잰볛룱,뛸쟒쓜릻펰쿬막욱뗄캴살쫕틦ꆣ춬쪱,Swaminathan뗄쪵횤퇐뺿뷸튻늽뇭쏷,폃믹뷰뗄헛볛풤닢킡릫쮾막욱뗄쫕틦뇈풤닢듳릫쮾막욱뗄쫕틦튪ힼ좷ꆣBodurtha뗈(1995)퓚맺볊118
2007쓪뗚3웚횤좯쫐뎡짏,헒떽쇋횧돖춶헟쟩탷샭싛뗄횤뻝ꆣ맘폚럢뇕쪽믹뷰헛볛뇤뮯쫇럱듺뇭쟩탷튲쫇폐튻뚨헹틩뗄ꆣChen뗈(1993)뛔LST쳡돶쇋틬틩,죏캪웤뷡맻뿉쓜풴폚캱쿠맘믲릲춬틲쯘킧펦ꆣ떫Chopra뗈(1993)뛔듋뷸탐쇋랴늵ꆣAmmer(1990)뗄퇐뺿뇭쏷,뺡맜펢맺믹뷰헛볛쿖쿳폫쏀맺헛볛쿖쿳쿠쯆,떫펢맺믹뷰뗄럝뛮좴훷튪쫇평믺릹춶헟돖폐뗄,폫LST뷢쫍잰쳡폐쎬뛜ꆣꋙEltonetal.(1998)튲랴뛔LST뗄맛뗣,웤틔뷸죫믘맩랽돌뚨볛틲ퟓ캪볬퇩,뗃돶믹뷰헛볛퓚랽돌훐쿔훸뗄듎쫽뇈릤튵쫕죫쿔훸뗄듎쫽짙뗃뛠뗄뷡싛ꆣퟜ횮,돽쇋튵벨풤웚샭싛(쪵횤폖늻횧돖),웤쯻샭탔샭싛훁짙컞램뷢쫍믹뷰폐쪱틧볛ꆣퟷ캪탂탋쫐뎡뗄맺쓚횤좯쫐뎡돤돢ퟅ퓫틴붻틗헟(샮탄떤,2002),죧맻쮵럢뇕쪽믹뷰쫇퇐뺿헟톰헒퓫틴붻틗헟뗄쪵퇩쫒(Brown,1999),쓇쎴훐맺횤좯쫐뎡뻍쫇늻췪좫샭탔샭싛쪵횤뗄쳬좻쪵퇩믹뗘ꆣ틲듋컒쏇횧돖쟩탷뗄뷢쫍ꆣ(죽)놾컄뗄릱쿗ퟔLST폃쟩탷뷢쫍ꆰ럢뇕쪽믹뷰횮쏕ꆱ뫳,15쓪살쎻폐듳뗄뷸햹,횻폐튻킩뛔웤랽램뷸탐탞늹믲훊틉뗄컄헂,떫놾컄퓚웤믹뒡짏뷸쇋튻늽ꆣ맺쓚뛔믹뷰헛볛뗄퇐뺿늢늻짮죫,늿럖쫇폃샭탔뗄샭싛뷢쫍믲싛횤샭탔샭싛뷢쫍늻돉솢;폃쟩탷샭싛뷢쫍믹놾쳗폃LST뗄랽램뛔웤죽룶뇘튪쳵볾ퟷ훘뢴,폈웤짦벰쟩탷뗄퇐뺿튻냣뗣떽캪횹ꆣ놾컄뗄훷튪릱쿗쫇:(1)룄뷸쇋LST(1991)뗄랽램(뗚죽룶뇘튪쳵볾)퓚맺쓚퓋폃뗄뻖쿞탔,뛔폃룄뷸랽램뗃떽뗄뷡맻룸돶솽룶볙쮵,뷢쫍쇋맺쓚럢뇕쪽믹뷰뗄춶헟뷡릹폫쏀맺늻춬,떫좴폐폫LST쿠춬뗄쿖쿳,늢싛횤쇋솽룶볙쮵ꆣ(2)톡좡뻟폐뿉닙ퟷ탔뗄탂쟩탷횸뇪,폃살뾼달믹뷰헛볛쫇쟩탷횸뇪ꆣ(3)쳡돶뗚쯄룶뇘튪쳵볾(LST횻폐죽룶),벴볬퇩쟩탷뛔쫐뎡쫕틦뗄뎤웚랴쿲펰쿬뫍쟩탷뛔뛌웚쫐뎡쫕틦뗄헽쿲펰쿬,싛횤쇋춶헟쟩탷쫇닺뚨볛뗄훘튪틲쯘ꆣ놾컄틔쿂쓚죝뗄뷡릹낲업쫇:쫽뻝쮵쏷;맽뛈늨뚯뗄볬퇩,LST죽룶뇘튪쳵볾뗄볬퇩뫍뗚죽룶뇘튪쳵볾뗄탂뷢쫍;춨맽퇩횤폫웤쯻쟩탷횸뇪뗄맘쾵,뷸튻늽쮵쏷럢뇕쪽믹뷰헛볛쫇쟩탷횸뇪;볬퇩쟩탷뛔쫐뎡쫕틦뗄뎤웚랴쿲펰쿬뫍쟩탷뛔뛌웚쫕틦뗄헽쿲펰쿬;ퟜ뷡ꆣ뛾ꆢ쫽뻝쮵쏷뇭1쫽뻝쮵쏷쫽뻝쪱볤뛎뫍쮵쏷쫽뻝살풴럢뇕쪽믹뷰뺻횵ꆢ믹놾쟩뿶벰뛾벶쫐뎡붻틗쫽뻝랽쏦뗄쫽뻝쇏살ퟔwind뫍쳬쿠,퇹놾믹뷰캪wind뫍믹뷰쫽뻝1998쓪9퓂30죕ꆪ2005쓪12퓂30죕웚볤뗄24횻맦쒣퓚20틚(몬)틔짏뗄럢뇕쪽믹뷰ꆣ헢쫇틲캪킡엌믹뷰뗄뛾벶쫐뎡볛룱뺭뎣쫜떽닙ퟝꆣ쳬쿠뫪맛쫽뻝1998쓪9퓂ꆪ2005쓪12퓂wind1997쓪1퓂ꆪ2005쓪12퓂쯹폐짏쫐탂A막(815횻)쫗죕쫕틦싊,내퓂볆쯣욽뻹쫗죕쫕틦탂막쫽뻝싊쳞돽쇋믹폚샺쪷풭틲췆동벸쓪짏쫐뫍뚨쿲쒼벯뗄탂막(20횻),쯼쏇짏쫐떱죕벸뫵좫쳬쿠짏헇쇋10놶틔짏ꆣ퓂뛈탂뾪뮧쫽2003쓪1퓂ꆪ2005쓪12퓂횤좯붻틗쯹퓂탂뾪뮧쫽,냼삨A막뫍럢뇕쪽믹뷰뾪뮧쫽ꆣ훐퇫뗇볇뷡쯣릫쮾웤쯻쫽뻝wind뫍쳬쿠ꋙ놾컄뗄탂뷢쫍폫횮늻쎬뛜ꆣ119
컩퇠좻ꆢ몫솢퇒:늻췪좫샭탔ꆢ춶헟쟩탷폫럢뇕쪽믹뷰횮쏕ꆡꆡ럢뇕쪽믹뷰헛볛싊뗄볆쯣릫쪽캪:(쟸볤)헛Π틧볛싊(DISC)=(믹뷰볛룱-떥캻뺻횵)Π떥캻뺻횵웤훐,믹뷰볛룱캪쟸볤쒩붻틗죕뗄쫕엌볛,떥캻뺻횵캪쟸볤쒩붻틗죕뗄떥캻뺻횵ꆣ헛볛싊캪뢺,틧볛싊캪헽ꆣ럢뇕쪽믹뷰볛횵볓좨헛볛싊뗄볆쯣릫쪽죧쿂:ntVWDt=ꇆWiDISCiti=1nt웤훐,VWDt뇭쪾볛횵볓좨헛볛싊,Wi=NAVitꇆNAVit뇭쪾좨훘,NAVit캪믹뷰i퓚웚쒩t뗄닺i=1뺻횵,nt뇭쪾퓚웚쒩t닎폫볆쯣뗄믹뷰쫽솿,DISCit뇭쪾믹뷰i퓚웚쒩t뗄헛볛싊ꆣ럢뇕쪽믹뷰볛횵볓좨헛볛싊뇤뮯솿쫇:ꚤVWDt=VWDt-VWDt-1ꆡꆡ틔쿂붫럢뇕쪽믹뷰볛횵볓좨헛볛싊뇤뮯볲돆헛볛뇤뮯ꆣ힢틢헢샯캪쇋폫맺쓚뗄헛볛뚨틥쾰맟튻훂,헛Π틧볛싊뚨틥뫍LST뚨틥럻뫅쿠랴ꆣ죽ꆢLST뇘튪쳵볾뗄볬퇩뫍탂뷢쫍볬퇩LST뇘튪쳵볾잰,컒쏇뮹폃Pontiff(1997)뗄랽램ퟶ쇋럢뇕쪽믹뷰볛룱뗄맽뛈늨뚯뗄1훜ꆢ1퓂ꆢ2퓂ꆢ3퓂뗄랽닮뇈볬퇩,춳볆뷡맻쿔훸쮵쏷춶헟뗄럇샭탔ꆣ죧맺쓚럢뇕쪽믹뷰훜쫕틦뗄늨럹뇈쯼뺻횵훜쫕틦늨럹룟45%,퓂쫕틦뗄늨럹뇈쯼뺻횵퓂쫕틦늨럹룟87%ꆣ쮵쏷쳗샻헟뗄쾵춳럧쿕>믹놾쏦럧쿕,횤쪵쇋퓫틴럧쿕듦퓚ꆣ틲듋,폐뇘튪닉폃쟩탷샭싛살뷢쫍믹뷰헛볛뗄풭틲ꆣꋙ춶헟쟩탷뚨틥횸춶헟뗄춶믺쟣쿲(Baker뗈,2005)ꆣ(튻)LST뇘튪쳵볾뗄볬퇩놾뷚뇊헟뾼달LST맘폚쟩탷쫇쾵춳뗄ퟷ폃폚믹뷰뗄뇘튪쳵볾ꆣ힢틢LST쳡돶믹뷰헛볛랴펳쟩탷뗄볙쮵,평폚횱뷓횤쏷삧쓑,맊닉폃쇋볤뷓횤쏷,벴죽룶뇘튪쳵볾,뛸럇돤럖쳵볾ꆣ놾컄뗄횤쏷튲쫇죧듋ꆣ헢죽룶뇘튪쳵볾쫇:죧맻믹뷰헛볛랴펳쟩탷,쓇쎴(1)늻춬믹뷰뗄헛볛뇤뚯뻟폐춬늽탔ꆣ뇊헟쪵횤횧돖듋쳵볾,뛸쟒쿠맘돌뛈쏷쿔뎬맽쏀맺뗄쫽뻝ꆣ헢샯횻볲떥룸돶뷡싛,틲캪맺쓚췢뗄컄쿗뛔듋뗣컞틬틩ꆣ(2)탂믹뷰짏쫐뗄쪱볤톡퓱퓚헛볛쫕햭뗄쪱볤뛎ꆣ듋쳵볾뇊헟죏캪맺쓚쿖폐뗄쫽뻝퓝쪱컞램쮵쏷,틲캪맺쓚쫽뻝쎻폐튻룶췪헻뗄럢뇕믹뷰짏쫐훜웚ꆣ쇭췢맺쓚믹뷰짏쫐뗄쪱믺늻평믹뷰맜샭릫쮾뻶뚨,뛸쫇믹뷰맜샭릫쮾짪놨,평횤볠믡짳엺,짪놨뫍랢탐횮볤쪱볤뿧뛈뿉쓜폐벸룶퓂ꆣ맺쓚폐컄쿗폃뛌웚뗄쫽뻝볬퇩쇋듋뇘튪쳵볾(뫎킡럦뫍돌폂,2004;헅뾡쾲뫍헅뮪,2002),뿉닎뾼ꆣ(3)킡쫐횵릫쮾뗄쫕틦싊뇤뚯뫍믹뷰헛볛뇤뮯횮볤헽쿠맘ꆣLST뗄쮼슷쫇:죧맻믹뷰헛볛랴펳쟩탷,쟩탷뇤뮯쯹훆퓬뗄럧쿕쫇쾵춳뗄,쓇쎴쟩탷튲믡펰쿬웤쯻뫍럢뇕쪽믹뷰늻쿠룉뗄닺ꆣ죧맻믹뷰헛볛뗄뇤뚯쫇평룶죋춶헟뗄쟩탷쯹틽웰,뛸킡쫐횵막욱튲훷튪놻룶죋춶헟돖폐,쓇쎴믹뷰헛볛뫍킡쫐횵막욱뗄쫕틦싊횮볤펦룃듦퓚솪쾵ꆣLST뗄뛾풪믘맩쒣탍쫇:Rt=c+aꚤVWDt+bRmt+ꛅt웤훐ꚤVWDt쫇퓂볓좨헛볛싊뇤뮯솿;Rmt뇭쪾짏횤ퟛ뫏횸쫽퓂쫕틦싊ꆣꋙ욪럹쯹쿞,맽돌쪡싔ꆣ120
2007쓪뗚3웚Rt쫇튻룶내맦쒣(믲쫐뺻싊PB믲잰12룶퓂쫕틦싊뗄럧쿕ꆪꆪꆪ폃랽닮뇭쪾)뮮럖뗄춶ퟩ뫏뗄퓂쫕틦싊,웤뻟쳥뗄릹퓬랽쪽죧쿂:퓚1997쓪4퓂뗄ퟮ뫳튻룶붻틗죕(쓪놨뷡쫸죕),컒쏇룹뻝떱죕뮦짮솽쫐쯹폐짏쫐릫쮾뗄쇷춨쫐횵(믲PBꆢ랽닮)업탲,퓙붫쯹폐릫쮾내헕쮳탲욽뻹럖캪5룶ퟩ뇰;퓚1998쓪4퓂뗄ퟮ뫳튻룶붻틗죕잰튻붻틗죕,놣돖좥쓪뗄룷ퟩ춶ퟩ뫏늻뇤,ퟶ돉5룶횸쫽(내쇷춨쫐횵볓좨);떽1998쓪4퓂뗄ퟮ뫳튻룶붻틗죕,퓙죧짏쫶랽램뛔뮦짮솽쫐쯹폐막욱업탲,퓙ퟩ돉5룶횸쫽,랽램춬짏ꆣ튻횱볆쯣5룶횸쫽떽2005쓪12퓂ꆣ뫳볆쯣쎿룶횸쫽뗄퓂쫕틦싊ꆣ내틔짏죽훖럖샠릲릹퓬15룶횸쫽ꆣꆡꆡ놾컄틔쿂쯹폐뷸죫믘맩랽ꆡꆡ뇭2뛾풪믘맩뷡맻돌뗄뇤솿뗄쪱볤탲쇐좫늿뷸탐내쇷춨쫐횵뮮럖뗷헻뗄쇋떥캻룹볬퇩,볬퇩뷡맻믹놾뗄룷ퟩ퓂쫕틦싊뷘뻠짏횤ퟛ뫏횸쫽믹뷰퓂욽뻹퓂쫕틦싊헛볛뇤뮯R욽랽쫇퓚99%(룶뇰95%)뗄훃탅쟸볤뻜뻸떥캻룹,벴뷸죫믘맩킡쫐횵ퟩ013339937-0100041-01001070183652랽돌뗄뇤솿뗄쪱볤탲쇐싺ퟣ욽(20100)(-0147)컈탔ꆣ뛾풪믘맩쪵횤뷡맻볻뇭3뷏킡쫐횵ퟩ113330357-0100121-010030124019068772ꆣ(27193)(-1183)뇭2쿔쪾믹뷰헛볛뇤뮯폫33333듳엌막쫕틦헽쿠맘,뫍LST뗄훐쫐횵ퟩ11072763-010013-01004110191517(29141)(-2100)뷡맻쿠랴ꆣ헅뾡쾲뫍헅뮪33333(2002)폃2001쓪잰뗄쫽뻝튲뷏듳쫐횵ퟩ110728-010013-010041101915181뗃떽듋뷡싛(29141)(-2100),떫듋뷡싛뗄컈붡탔듦퓚컊쳢ꆣ뇊헟붫퇹놾듓훐33333듳쫐횵ퟩ111123660100138-01002201934609닰럖캪솽늿럖ퟶ춳볆(31187)(2122),볻뇭3ꆣꆡꆡ듓컈붡탔럖컶뿉틔뾴돶,ꆡꆡꆡꆡ힢333:쮫닠쿔훸뛈1%33,쮫닠쿔훸뛈5%3,쮫닠쿔훸뛈10%;삨뫅훐캪t볬퇩퓚솽뷗뛎훐,믹뷰퓂욽뻹헛볛횵ꆣ틔쿂룷뇭춬ꆣ뇤뮯뗄쾵쫽럻뫅쿠랴,쮵쏷폃맺쓚쫽뻝볲떥쳗폃LST뗄랽램뗃돶뗄뷡싛뗄컈붡탔듦퓚컊쳢ꆣ뷸튻늽랢쿖,뛾풪믘맩쒣탍뗄솽룶ퟔ뇤솿듦퓚릲쿟탔ꆣLST닉폃뛾풪믘맩쒣탍뗄돵훔쫇뾼달늻춬맦쒣뗄ퟩ뫏쫕틦싊뿘훆쇋횸쫽쫕틦싊뫳폫믹뷰헛볛뇤뮯뗄맘쾵ꆣ웤잰쳡쫇솽룶ퟔ뇤솿늻쿠맘,LST뗚쇹헂A훐뗄쿠맘탔럖컶뇭쏷,믹뷰퓂헛볛뇤뮯뫍얦풼막욱붻틗쯹쫐횵볓좨횸쫽퓂쫕틦싊쿠맘쾵쫽캪-010126(p횵=018446)ꆣ뛸맺쓚쫽뻝늻횧돖듋잰쳡ꆣ뇭3뛾풪믘맩뗄컈붡탔럖컶내쇷춨쫐횵1998쓪8퓂ꆪ2001쓪12퓂2002쓪1퓂ꆪ2005쓪12퓂뮮럖뗄룷ퟩ짏횤ퟛ뫏횸쫽럢뇕쪽믹뷰퓂뗷헻뗄R짏횤ퟛ뫏횸쫽럢뇕쪽믹뷰퓂뗷헻뗄퓂쫕틦싊퓂쫕틦싊욽뻹헛볛뇤뮯욽랽퓂쫕틦싊욽뻹헛볛뇤뮯R욽랽333333킡쫐횵ퟩ110558-0100110186801001370188493801775426(16135)(-1110)(12115)(0179)333333듳쫐횵ퟩ1133310750100211113-01001019334780194694(19186)(2139)(27162)(-1106)ꆡꆡ힢:헢샯싔좥뷘뻠쿮ꆣ뷏킡ꆢ훐뫍뷏듳쫐횵ퟩ뗄컈붡탔럖컶뷡맻폫듋뇭샠쯆,싔좥ꆣ121
컩퇠좻ꆢ몫솢퇒:늻췪좫샭탔ꆢ춶헟쟩탷폫럢뇕쪽믹뷰횮쏕뇭4짏횤ퟛ뫏횸쫽퓂쫕틦싊릲쿟탔볬퇩쪱볤뷘뻠럢뇕쪽믹뷰퓂욽뻹헛볛뇤뮯뗷헻뗄R욽랽1998쓪4퓂ꆪ2005쓪12퓂0100701233301006148(3141)011193551998쓪4퓂ꆪ2001쓪12퓂0101623133301006108(2166)011568972002쓪1퓂ꆪ2005쓪12퓂-0100064301006214(1182)01067143ꆡꆡ뇭4늻뷶쮵쏷릲쿟탔뗄듦퓚,뮹쮵쏷맺쓚헻쳥쫐뎡쫜쟩탷펰쿬ꆣ뫏샭뗄뷢쫍쫇쏀맺쫐뎡샭탔뗄믺릹춶풶뎬맽맺쓚(2004쓪쏀맺믹뷰닺햼GDP뗄뇈샽캪6811%,뛸춬웚맺쓚룃뇈샽캪118%),쯹틔헻쳥쫐뎡늻쫜쟩탷펰쿬,횻쫇믺릹닎폫뛈뗍뗄킡쫐횵막욱쫜펰쿬ꆣ(뛾)탂뷢쫍틲듋,놾컄닉폃튻풪믘맩쒣탍볬ꆡꆡ뇭5튻풪믘맩뷡맻뫍컈붡탔뷡맻퇩늻춬쫐횵릫쮾뗄쫕틦싊뇤뚯뫍믹뷰내쇷춨쫐횵럢뇕쪽믹뷰헛볛뇤뮯횮볤뗄맘쾵ꆣ튻풪믘맩쒣뮮럖뗄룷ퟩ쪱볤뷘뻠퓂욽뻹헛볛뗷헻뗄탍:R퓂쫕틦싊뇤뮯R욽랽t=c+aꚤVWDt+ꛅtꆣꆡꆡ맺쓚쫽뻝컈붡탔럖컶뷡맻횧돖1998쓪8퓂ꆪ33301005690122005쓪12퓂0100701078LST뗄뷡맻,횻폐킡쫐횵릫쮾뗄쫕틦(2189)싊뇤뚯뫍믹뷰헛볛뇤뮯횮볤튻횱듦퓚33쿔훸헽쿠맘ꆣ컒맺횤좯쫐뎡뫍쏀맺폐킡쫐횵ퟩ1998쓪8퓂ꆪ0100535162312001쓪12퓂01001078(뫜듳닮틬,쏀맺킡쫐횵막욱뫍럢뇕쪽2107)믹뷰훷튪놻룶죋춶헟돖폐,틲듋믹2002쓪1퓂ꆪ3301006761000640106뷰헛볛뫍킡쫐횵막욱뗄쫕틦싊횮볤듦2005쓪12퓂-0(1199)퓚솪쾵ꆣ뛸컒맺럢뇕쪽믹뷰훷튪놻놣1998쓪8퓂ꆪ33301005295쿕릫쮾캪훷뗄믺릹돖폐,헢뗣샠쯆펢00341601062005쓪12퓂01(2162)맺ꆣ떫쫇뷡싛좴뫍쏀맺뗄쪵횤샠쯆,풭틲뫎퓚?훐쫐횵ퟩ1998쓪8퓂ꆪ013300534010792001쓪12퓂01016451(2109)뇊헟죏캪킡쫐횵릫쮾뗄쫕틦싊뇤뚯뫍믹뷰헛볛뇤뮯횮볤듦퓚헽쿠맘2002쓪1퓂ꆪ01005028,0076301014992퓂-01늻쫇틲캪2005쓪1(1131)LST쯹쮵뗄럢뇕쪽믹뷰뗄춶헟뷡릹폫킡쫐횵막욱쿠춬ꆣꋙ틲듋1998쓪8퓂ꆪ33301008219뇊헟쳡돶솽룶볙쮵살뷢쫍8011431622005쓪12퓂0100559(3194):볙쮵1:럢뇕믹뷰춶헟헻쳥쫜듳쫐횵ퟩ1998쓪8퓂ꆪ33301008823쟩탷펰쿬ꆣ101358101202001쓪12퓂0(3132)볙쮵2:킡쫐횵릫쮾뗄막욱뇈듳쫐횵릫쮾막욱뗄볛룱룼죝틗쫜떽쫐뎡2002쓪1퓂ꆪ0100599300247010262퓂-01쟩탷뗄펰쿬ꆣ2005쓪1(1151)듓짏쫶솽뗣볙쮵돶랢ꆡꆡꆡ힢:헢샯싔좥뷏킡뫍뷏듳쫐횵ퟩ뗄컈붡탔럖컶,웤뷡맻폫훐쫐횵ퟩ샠쯆ꆣ,컒쏇뻍뿉틔뷢쫍쏀맺뫍훐맺럢뇕믹뷰뗄춶헟뷡릹늻춬,좴뚼폐샠쯆뗄쪵횤뷡맻ꆣ싟벭쫇:튻랽쏦,평폚럢ꋙChen뗈(1993)죏캪,LST죏캪뗄믹뷰헛볛폫킡릫쮾막욱쫕틦횮볤쿠맘탔뗄뷡싛폐틉컊,훷튪폫쯻쏇쯹볬퇩뗄쪱웚폐맘,뛸폫믹뷰뫍킡릫쮾막욱쫇럱뚼훷튪평룶죋춶헟돖폐헢튻쫂쪵쎻폐뛠짙맘쾵ꆣ뛸놾컄뗄뷢쫍늻짦벰듋틉컊ꆣ122
2007쓪뗚3웚뇕믹뷰춶헟헻쳥ꋙ쫜쟩탷펰쿬,쓇쎴벴쪹컒맺럢뇕쪽믹뷰훷튪놻놣쿕릫쮾캪훷뗄믺릹돖폐(뇏쟯쿣,2005),튲믡쫜쟩탷뗄펰쿬ꆣ쇭튻랽쏦,평폚킡쫐횵릫쮾뗄막욱훷튪평룶죋돖폐(뻝쓪ꆢ훐놨춳볆),룼틗쫜쟩탷펰쿬ꆣ뺡맜맺쓚쿠뛔뗄샭탔춶헟훰붥퓶볓(훷튪쫇릫쒼믹뷰,틲캪믹뷰ퟷ캪쫐뎡훘튪뗄닎폫헟쫜죽랽볠맜,퓚탅쾢엻슶ꆢ춶뻶닟뫍럧뿘뗈랽쏦쿠뛔폚웤쯻믺릹쫇ퟮ춸쏷뗄ꆣ볻뇭6),떫쯻쏇뗄샭탔탐캪ퟷ폃폚럇킡쫐횵릫쮾뗄막욱뷏뛠,쪹뗃2002ꆪ2005쓪럇킡쫐횵릫쮾뗄쫕틦폫쟩탷뗄맘쾵늻쿔훸,횻폐킡쫐횵릫쮾뗄쫕틦싊뇤뚯뫍믹뷰헛볛뇤뮯횮볤튻횱듦퓚쿔훸헽쿠맘(뇭5)ꆣ뇭6맺쓚릫쒼믹뷰맦쒣퓶뎤쪱볤19981999200020012002200320042005쇷춨쫐횵(틚풪)55407996157411328911719123061023910002믹뷰뺻횵(틚풪,늻몬믵뇒믹뷰)1045078468171113157326772464햼쫐횵뇈샽1187%6134%5137%6115%9150%12178%25194%24164%ꆡꆡ쇏살풴:쳬쿠쾵춳ꆣ(죽)솽볙쮵뗄싛횤볙쮵1:럢뇕믹뷰춶헟헻쳥쫜쟩탷펰쿬ꆣ쫗쿈,탐캪뷰죚톧죏캪,춶헟쫇늻췪좫샭탔뗄,쳗샻쫇폐쿞뗄ꆣKahneman폫Tversky(1979)죏캪,뻶닟샭싛돤웤솿튲횻쫇뷼쯆뫍늻췪좫뗄ꆣ퓚늻좷뚨탔뗄쳵볾쿂,죋뗄뻶닟쫇튻룶뷡릹뮯뫍솬탸뗄맽돌ꆣ쎿튻룶죋퓚쏦뛔뢴퓓뗄쟩뺰폫컊쳢쪱,뚼믡닉좡뷝뺶믲펦폃늿럖탅쾢뷸탐뒦샭,틲듋,죋뗄뻶닟돶쿖럇샭탔ꆢ욫뫃쓦뗈쟩뿶튲퓚쯹쓑쏢ꆣDSSW(1990a)죏캪횰튵춶헟횻쫇춶헟뗄듺샭죋,돽쇋룶죋뗄뻖쿞탔췢,듺샭죋뗄짭럝튲뿉쓜쪹횮욫샫샭탔탐캪,뇈죧놻듺샭죋뗄뛌쫓듸룸듺샭죋톹솦ꆣBleaney뫍Smith(2000)퇐뺿쇋펢맺럢뇕쪽믹뷰,랢쿖벴쪹퓚펢맺헢퇹믺릹춶헟닎폫돌뛈뷏룟뗄쫐뎡,럢뇕쪽믹뷰죔쫜떽춶헟쟩탷뗄훘튪펰쿬ꆣ틲듋맺쓚믺릹춶헟믲룶죋춶헟횰튵짏뗄닮뇰늢늻쓜쮵쏷솽헟퓚룶죋탄샭랽쏦튻뚨듦퓚뗄쿔훸닮틬ꆣ뷼쓪맺쓚좯짌뫍탅췐릫쮾떹뇕뗄뇈뷏뛠ꋚ,뻸듳늿럖쫇평폚캯췐샭닆뫍ퟔ펪뻞뛮뿷쯰퓬돉뗄ꆣ떱좻뇊헟늻럱죏ퟷ캪솽룶좺쳥,놣쿕릫쮾뗈믺릹춶헟뇈룶죋춶헟샭탔,떫퓚맺쓚뛾헟ퟷ캪헻쳥뮹쫇쫜쟩탷펰쿬ꆣ웤듎,놾뷚뾪쪼볬퇩럢뇕쪽믹뷰볛룱뗄맽뛈늨뚯쮵쏷럢뇕믹뷰쫐뎡춶헟뗄늻췪좫샭탔ꆣퟮ뫳,ퟷ캪탂탋쫐뎡뗄맺쓚횤좯쫐뎡뗄훆뛈늻릻췪짆(죧컞싴뿕믺훆떼훂컞램쳗샻ꆢ막좨럖훃뗈)ꆢ짏쫐릫쮾뗄훎샭뷡릹컊쳢퇏훘,쳘뇰쫇쫐뎡훐돤돢ퟅ퓫틴붻틗헟(샮탄떤,2002),틔벰잰컄쳡떽뗄룟뮻쫖싊ꆢ믹뷰(쿠뛔샭탔뗄믺릹)햼GDP뗄뇈샽뗈ꆣ뇭4튲쮵쏷쟩탷춬늽쿔훸뗘펰쿬횸쫽쫕틦,벴펰쿬헻쳥횤좯쫐뎡,럢뇕믹뷰쫐뎡ퟷ캪횤좯쫐뎡뗄튻늿럖튲믡쫜쟩탷펰쿬ꆣ쇭볻뫳컄뗚컥뷚뗄뷡맻ꆣ볙쮵2:킡쫐횵릫쮾뗄막욱뇈듳쫐횵릫쮾막욱뗄볛룱룼죝틗쫜떽쫐뎡쟩탷뗄펰쿬ꆣ쫗쿈,평폚믹놾탅쾢짙ꆢ맀횵삧쓑뫍쇷뚯탔뗄풭틲,샭탔뗄춶헟닎폫킡쫐횵릫쮾돌뛈뻍뗍,틲듋킡쫐횵릫쮾막욱룼죝틗쫜떽쫐뎡쟩탷ퟳ폒ꆣ킡쫐횵릫쮾쿠뛔폚듳쫐횵릫쮾쫜떽럖컶쪦맘힢뗄돌뛈뗍,믹놾쏦뗄탅쾢쇷뚯늻죧듳쫐횵릫쮾,쿠랴럇믹놾쏦뗄탅쾢죧쟩탷ꆢ킡뗀쿻쾢뻍죝틗펰쿬킡쫐횵릫쮾뗄볛룱ꆣ뛸쟒킡쫐횵릫쮾튻냣쫇돉뎤탍릫쮾,막볛폐쿫쿳뿕볤(폈웤퓚맺쓚욫뫃킡엌막뗄막ꋙ틔췹럢뇕믹뷰춶헟늻몬릫쒼믹뷰ꆣ2005쓪5퓂잰내맺쓚램맦맦뚨릫쒼믹뷰늻뗃춶믹뷰ꆣ2005쓪6퓂뫳횻퓊탭믹뷰맜샭릫쮾폐쳵볾뗘틔늻뗃뎬맽룃릫쮾뺻닺뗄60%뗄ퟔ폐뷰춶뾪럅쪽뫍럢뇕쪽믹뷰ꆣꋚ맺쓚틔잰업쏻잰벸캻뗄좯짌,죧쓏랽횤좯ꆢ뮪쿄횤좯,뮹폐뫅돆ꆰ붭쓏뗚튻쏍ꆱ뗄뷰탅탅췐럗럗웆닺믲훘ퟩꆣ123
컩퇠좻ꆢ몫솢퇒:늻췪좫샭탔ꆢ춶헟쟩탷폫럢뇕쪽믹뷰횮쏕놾삩헅쓜솦),뇈삶돯막맀횵뫍쳗ꆡꆡ뇭7튻풪믘맩뷡맻뫍컈붡탔뷡맻(내PB뮮럖)샻삧쓑,맀횵뗄쟸볤뇈뷏듳ꆣ내PB뮮럖뗄웤듎,Baker(2005)춨맽퇐뺿룷ퟩ퓂쫕틦싊쪱볤뷘뻠럢뇕쪽믹뷰퓂뗷헻뗄욽뻹헛볛뇤뮯R욽랽쏀맺쫐뎡뷘쏦막욱쫕틦,랢쿖쟩탷뛔늻틗맀횵뫍쳗샻뗄막욱펰쿬1998쓪8퓂ꆪ3330100732300569501113895듳2005쓪12퓂01(3149),죧킡쫐횵막욱ꆢ탂막ꆢ룟늨뚯막욱뫍컞샻죳뗄막욱ꆢ늻럖뫬뗄킡1998쓪8퓂ꆪ33301007061PBퟩ878401138333막욱ꆢ벫뛈돉뎤2001쓪12퓂0101(2169)(벴PBퟮ룟)뗄막욱뫍PB맽뗍뗄막욱ꆣ2002쓪1퓂ꆪ3301008154101062005쓪12퓂-010047134뇊헟뮹뛔맺쓚내PB듳킡럖(2102)1998쓪8퓂ꆪ333010082175ퟩ,룷ퟩ뷸탐쇋샠쯆킡쫐횵릫003685쮾쫕틦폫믹뷰헛볛뇤뮯뗄춳볆볬2005쓪12퓂0101143977(3195)듳1998쓪8퓂ꆪ333퇩ꆣ뷡싛뫍내쫐횵뮮럖뗄뷡싛믹01008852PBퟩ257놾튻훂1쓪12퓂0101301201008200(3129)(뇭7)ꆣ뇊헟듳떨풤볆:쪹폃쏀맺뗄2002쓪1퓂ꆪ1005865(1152)01027045쫽뻝,틔LST뗄랽램볬퇩룟늨뚯2005쓪12퓂-01005790막욱ꆢ벫뛈돉뎤뗄막욱뫍PB맽ꆡꆡꆡꆡ힢:헢샯싔좥뷏킡ꆢ훐뫍뷏듳PBퟩ,웤뷡맻뫍듳PBퟩ샠쯆ꆣ뗍뗄막욱뗈,튲믡뗃떽뫍믹뷰헛볛뇤뮯헽쿠맘뗄뷡싛ꆣ쯄ꆢ럢뇕쪽믹뷰헛볛쫇쟩탷횸뇪뗄뷸튻늽횤뻝LST돽쇋볬퇩짏쫶죽룶뇘튪쳵볾,뮹볬퇩쇋죴룉뫪맛뇤솿뫍믹뷰헛볛뗄컞맘탔,쮵쏷헛볛웤훐늻몬폐믹놾쏦뗄틲쯘ꆣ놾컄튲ퟶ쇋샠쯆볬퇩(볻뇭8)ꆣ뇭8뫪맛뇤솿뫍믹뷰헛볛뇤뮯뗄쿠맘탔볬퇩맺쓚짺닺릤튵퓶볓횵닺욷쿺쫛좫맺뻓쏱쿻좫맺뻓쏱쿻짺닺쇏쿁틥믵뇒맣틥믵뇒죕웚ퟜ횵폫짏쓪(쿖볛)폫쫕죫샛볆럑볛룱ퟜ횸럑볛룱ퟜ횸볛룱ퟜ횸폠뛮폫짏폠뛮폫짏춬뇈짏쓪춬뇈퓶뎤싊쫽ꆪ뮷뇈쫽ꆪ춬뇈쫽ꆪ춬뇈쓪춬뇈쓪춬뇈믹뷰헛볛뇤뮯01033-0104101065-011050105801048-01028-01013PVALUE0186401707015670133701588016590179401911퇹놾쫽3088878688878872ꆡꆡ힢:웤훐GDP쫇벾뛈쫽뻝,웤쯻쫇퓂뛈쫽뻝ꆣ듓뇭8뾴돶,쿠맘쾵쫽좫늻쿔훸,쮵쏷맺쓚믹뷰헛볛웤훐늻몬폐틔짏믹놾쏦틲쯘ꆣ캪쇋뷸튻늽싛횤헛볛랴펳쟩탷,컒쏇뾼달럢뇕쪽믹뷰헛볛뫍웤쯻랴펳쟩탷뗄횸뇪뗄헽쿲맘쾵ꆣ쫗쿈뎢쫔쇋솽룶횸뇪:쎿쓪IPO쫽솿뫍뾪럅쪽믹뷰퓂뛈뗄뺻짪릺(쫪믘ꆡꆡ뇭9ꆡꆡꆡ믹뷰헛볛뇤뮯폫탂막퓂뛈욽뻹쫗죕)ꆣ뷡맻랢쿖듋뛾횸뇪퓚맺쓚펦폃폐컊쳢,풭틲ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ쫕틦싊뗄믘맩뷡맻퓚폚,IPO쪱믺늻평쫐뎡뻶뚨,늢쟒뾪럅쪽믹뷰퓂뛈뗄뺻짪릺(쫪믘)샺쪷쫽뻝컞뷘뻠짏횤ퟛ뫏횸럢뇕쪽믹뷰T21뗷헻뗄쫽퓂쫕틦싊퓂욽뻹헛볛뇤뮯R욽랽램믱뗃ꆣ맊뇊헟톡좡솽룶탂횸뇪뷸탐볬IPO퓂뛈욽뻹33311310103퇩ꆣ쫗죕쫕틦싊111101051(1160)(2112)탂막짏쫐쫗죕뗄쫕틦싊랴펳쇋춶124
2007쓪뗚3웚헟쟩탷,벴탂막짏쫐쫗죕뗄놨돪룟,틢캶ퟅ춶헟쟩탷룟헇,랴횮틠좻ꆣ맺췢컄쿗튲횧돖(Stigler,1964;Ritter,1991;Derrien,2005;Baker뗈,2005)ꆣ퓂탂뾪뮧쫽ꋙ듺뇭뎡췢춶헟뛔횤좯뗄탨쟳,틲듋튲횱맛뗘랴펳쟩탷,떱쟩탷룟헇,춶헟뷸죫쫐뎡뗄죈쟩뻍룟,맊퓂탂뾪뮧쫽뻍룟;랴횮틠좻ꆣ듋횸뇪맺췢컄쿗캴볻ꆣꆡꆡ믹뷰헛볛뇤뮯폫탂막퓂뛈욽뻹쫗죕쫕틦싊돊쿖쿔훸뗄헽쿲맘쾵ꆣ평폚뫳헟랴펳쇋쟩탷,볤뷓횤쏷럢뇕쪽믹뷰헛볛튲랴펳쇋쟩탷ꆣ컥ꆢ쟩탷뛔뎤웚쫕틦뗄랴쿲펰쿬뫍뛔뛌웚쫕틦뗄헽쿲펰쿬뒫춳뷰죚톧훐샭탔죋뗄볙뚨틢캶ퟅ볛룱뇤뚯살풴폚믹놾쏦뗄뇤뚯,죧샻싊ꆢ뫬샻뗈,좴뫶쫓쇋쫐뎡닎폫헟뗄늻샭탔뛔볛룱뗄랴쿲펰쿬ꆣ탐캪뷰죚톧랢쿖ꆰ:늻췪좫샭탔뗄닎폫헟ꆱ뛔쫐뎡탅쾢듭컳뗄죏횪,붫춨맽웤탐캪뇭쿖돶살,랴삡폚쫐뎡닺짺뮥뚯뗄맘쾵ꆣ뛸폐쿞쳗샻(훐맺횤좯쫐뎡늻쫇폐쿞쳗샻,뛸쫇컞램쳗샻,죧훁뷱컞싴뿕믺훆)폖볓잿쇋짏쫶랴쿲펰쿬ꆣ뇊헟죏캪춶헟쟩탷늻뷶믡펰쿬떱잰뗄쫐뎡쫕틦싊,튲뿉틔풤닢뎤웚(믲뿧웚)뗄쫐뎡쫕틦싊ꆣ횱맛짏,떱춶헟쟩탷룟헇쪱,믡췆뚯막욱뗄볛룱돖탸ퟟ룟,떫뷼웚뗄볛룱룟맀붫떼훂뎤웚뗄볛룱믘맩,쪹뎤웚막욱쫕틦싊쿂붵ꆣ떱쟩탷뗍실쪱,뫍룟헇뗄쟩탎쿠랴ꆣ뛸떱쟩탷욽컈쪱,뿉틔뫶싔웤뛔쫐뎡쫕틦뗄펰쿬ꆣ놾뷚붫퇩횤뇊헟쳡돶뗄뗚쯄룶뇘튪쳵볾ꆪꆪꆪ죧맻럢뇕쪽믹뷰볛횵볓좨헛볛싊뇤뮯(ꚤVWD)듺뇭춶헟쟩탷뗄뇤뮯,쓇쎴쟩탷뛔뛌웚쫐뎡쫕틦싊폐헽쿲펰쿬,뛔뎤웚뗄쫐뎡쫕틦싊폐랴쿲펰쿬ꆣ쮵쏷쟩탷쫇닺뚨볛뗄훘튪틲쯘ꆣ(튻)쟩탷뛔뎤웚쫕틦뗄랴쿲펰쿬1.럇닎쫽춳볆컒쏇풤웚뗃떽죧쿂뷡맻:ꚤVWD듳,듺뇭쫐뎡쟩탷룟헇(내뇤뮯듓듳떽킡업쏻잰30%),횮뫳죴룉퓂횸쫽샛볆쫕틦싊뻍뗍;ꚤVWD킡,듺뇭쫐뎡쟩탷뗍쏔(내뇤뮯듓듳떽킡업쏻뫳30%),횮뫳죴룉퓂횸쫽샛볆쫕틦싊뻍룟ꆣꚤVWD뒦폚훐볤40%,틢캶쟩탷욽컈,횮뫳죴룉퓂횸쫽샛볆쫕틦싊늻쿔훸뗘쟸뇰폚0ꆣ뇭10쟩탷뛔뎤웚쫕틦랴쿲펰쿬뗄럇닎쫽볬퇩ꚤVWD폫짏횤ퟛ뫏횸쫽횮뫳5룶퓂쫕틦싊횮뫳6룶퓂쫕틦싊횮뫳9룶퓂쫕틦싊잰30%-2180%-3171%-3157%훐40%1193%(0173)1108%(0143)-1162%(-0164)뫳30%4147%7110%10187%뫳30%폫잰30%닮7128%3(1170)10182%33(2131)14144%333(2180)ꚤVWD폫킡쫐횵횸쫽횮뫳5룶퓂쫕틦싊횮뫳6룶퓂쫕틦싊횮뫳9룶퓂쫕틦싊잰30%-1169%-2137%-1160%훐40%-0188%-1149%-3187%뫳30%6192%9134%13139%뫳30%폫잰30%닮8161%3(1167)11171%33(2101)14199%33(1199)ꚤVWD폫듳쫐횵횸쫽횮뫳5룶퓂쫕틦싊횮뫳6룶퓂쫕틦싊횮뫳9룶퓂쫕틦싊잰30%-3195%-5106%-5148%훐40%0164%-0133%-2168%뫳30%4105%6123%6196%뫳30%폫잰30%닮8100%3(1170)11129%33(2115)12144%333(2138)ꆡꆡ힢:ꚤVWD폫웤쯻3룶쫐횵횸쫽ꆢ5룶내PB뮮럖ꆢ5룶내늨뚯뮮럖뗄횸쫽횮뷡맻폫뇭10샠쯆,캴쇐돶ꆣꋙ뇊헟ퟶ쇋듋횸뇪뗄볬퇩,뷡맻늻릻컈붡,뿉쓜평폚탂뾪뮧쫽뗄쫽뻝듓2003쓪닅릫늼,퇹놾뷏짙ꆣ125
컩퇠좻ꆢ몫솢퇒:늻췪좫샭탔ꆢ춶헟쟩탷폫럢뇕쪽믹뷰횮쏕ꆡꆡ뇊헟볆쯣쟩탷뗍쏔ꆡꆡ뇭11믹뷰헛볛뇤뮯뛔짏횤ퟛ뫏횸쫽T+5뫳죴룉퓂횸쫽샛볆쫕틦퓂샛볆쫕틦싊뗄믘맩뷡맻싊뫍쟩탷룟헇뫳죴룉퓂횸쫽샛볆쫕틦싊뗄닮뷘뻠럢뇕쪽믹뷰T퓂뗷헻뗄,욽뻹헛볛뇤뮯MA(5)AR(1)R욽랽늢ퟶ쿔훸탔볬퇩,볻뇭10ꆣ웤훐쟩탷룟헇뫍뗍짏횤ퟛ뫏횸쫽33333333-010024-01950185실쪱T+5퓂샛볆-010280185,횮뫳1ꆪ4룶퓂뗄쫕틦싊(-2123)(-5414)(21138)횸쫽샛볆쫕틦싊뗄닮뻠늻쿔훸,캴쇐돶ꆣꆡꆡ뇭12믹뷰헛볛뇤뮯뛔킡쫐횵횸쫽T+5퓂샛볆쫕틦싊뗄믘맩뷡맻2.춳볆믘맩캪뷸튻늽럖컶쟩탷럢뇕쪽믹뷰뗄펰쿬뷘뻠뗷헻뗄T퓂욽뻹AR(1)AR(2)MA(2)MA(5),컒쏇붨솢쇋짏횤ퟛ뫏횸쫽헛볛뇤뮯R욽랽T+5퓂샛볆쫕틦싊맘폚믹뷰헛볛킡쫐횵횸쫽333-0133300361112-01183330133315-0187뗄믘맩쒣탍ꆣ뷡맻볻뇭T+5퓂샛볆010680186쫕틦싊(-3138)(9139)(-1149)(6168)(-38126)11ꆪ뇭13ꆣꆡꆡ쇭췢,춨맽뛔닐닮ꆡꆡ뇭13믹뷰헛볛뇤뮯뛔듳쫐횵횸쫽T+5퓂뫍닐닮욽랽뗄Q볬퇩샛볆쫕틦싊뗄믘맩뷡맻,쮵쏷닐닮탲쇐쫇욽컈럢뇕쪽믹뷰뗄ꆣ뷘뻠T퓂욽뻹뗷헻뗄AR(1)AR(5)AR(7)MA(6)헛볛뇤뮯R욽랽웤쯻내맦쒣ꆢPBꆢ늨뚯뮮럖뗄횸쫽뗈뷡듳쫐횵횸쫽333333333-0100430133381-013801310133341맻ꆢT+5퓂샛볆-01010175T+4ꆢT+6뫍뇭쫕틦싊(-2149)(1218)(-715)(518)(314)11ꆪ뇭13뷼쯆,헯뛏볬퇩폫뇭11샠쯆,캴쇐돶ꆣ럇닎쫽볬퇩뫍믘맩뇭쏷쟩탷뛔뎤웚쫕틦듦퓚쿔훸랴쿲펰쿬ꆣ(뛾)쟩탷뛔뛌웚쫕틦뗄헽쿲펰쿬ꆣ뇭14쮵쏷쟩탷폫뛌웚쫕틦듦퓚Granger틲맻맘쾵,쳘뇰쫇쟩탷뛔뛌웚쫕틦ꆣ뇭4ꆢ뇭5쮵쏷쟩탷뛔뛌웚쫕틦폐쿔훸헽쿲펰쿬ꆣ뇭14쟩탷뫍뛌웚쫕틦Granger틲맻볬퇩Lags:1Lags:2Lags:3Lags:4CEFDVdoesnotGrange333333rCauseIR0-SH3133269216343721831562134816IR0-SHdoesnotGrangerCauseCEFDV2127877213297941132948017301Lags:1Lags:2Lags:3Lags:4CEFDVdoesnotGrangerCauseSSR033413298472166079213333787452175735SSR0doesnotGrangerCauseCEFDV333518102321339871175633115421ꆡꆡ힢:IR0-SH쫇짏횤횸쫽뗄퓂쫕틦,SSR0쫇킡쫐횵횸쫽뗄퓂쫕틦ꆣ(죽)뺭볃톧럖컶짏쫶싛횤쿔쪾쏷쿔듦퓚믹뷰헛볛싊뇤뮯뛔뎤웚쫕틦뗄랴쿲펰쿬뫍뛔뛌웚쫕틦뗄헽쿲펰쿬,벴맽뛈랴펦ꆪꆪꆪ뛌웚쫕틦맟탔ꆢ뎤웚쫕틦랴(DeBondt,1985),쮵쏷춶헟쟩탷쫇닺뚨볛뗄훘튪틲쯘ꆣ126
2007쓪뗚3웚평폚놾뷚쮳뇣뷢쫍쇋맽뛈랴펦뗄풭틲,틲듋튲펡횤쇋BSV(1998)ꆢDHS(1998)ꆢHS(1999)뫍BHS(2001)뗄뷡싛,횻쫇쯻쏇붫쟩탷틔늻춬뗄볙뚨뷸탐쇋뻟쳥뮯ꆣ헢샯튪잿뗷뗄쫇,싟벭짏튻떩뷢쫍쇋쫐뎡뛌웚쫕틦맟탔ꆢ뎤웚쫕틦랴뗄쿖쿳,뻍뿉틔뷢쫍ꆰ맽뛈늨뚯ꆱ횮쏕뫍ꆰ막좨틧볛ꆱ횮쏕ꆣ튲뻍쫇쮵,춶헟쟩탷룟헇(뇈죧춶헟평폚듺뇭탔횱뻵ꋙ,룹뻝뷼웚럧쿕닺펯샻믲뫬샻퓶볓뗄탅쾢,죏캪붫살펯샻믲뫬샻튲믡퓶볓,쪹쟩탷룟헇),폚쫇뛔럧쿕닺뗄탨쟳짏짽,췆뚯볛룱짏헇;볛룱짏헇폖쪹헽랴삡춶헟볓죫췆뚯럧쿕닺볛룱뗄탐쇐훐,볛룱볌탸짏퇯,풶샫믹놾볛횵;튻떩뫳탸펯샻믲뫬샻폫퓫틴춶헟뗄풤웚늻럻,쟩탷캪놯맛(튲쫇듺뇭탔횱뻵),붫틽랢웤싴돶,헽랴삡춶헟튲평폚볛룱쿂뗸뷸탐엗쫛ꆣ헻룶맽돌뻍탎돉맽뛈랴펦ꆣ짏쫶맽뛈랴펦뗄뷢쫍맽돌,튲뿉틔춬쪱뷢쫍막볛뗄늨뚯뷏뫬샻뗄늨뚯듳,헢뻍쫇맽뛈늨뚯횮쏕ꆣ뛸막좨틧볛횮쏕퓚폚:평폚춶헟늻뷶쏦쇙튻냣틢틥뗄쾵춳럧쿕,뮹튪쏦쇙쟩탷늨뚯뗄쾵춳럧쿕(맽뛈늨뚯럧쿕),럧쿕퓶볓믡쪹춶헟(튻냣죏캪춶헟쫇럧쿕퇡뛱뗄)뛔럧쿕닺튪쟳룼뛠뗄틧볛ꆣ뛔폚쟩탷뗄믘맩춳볆훐뗷헻뗄R욽랽폐쪱늻룟뗄풭틲,컒쏇뗄뷢쫍쫇:(1)춶헟쟩탷퓚뒫춳뗄닺뚨볛샭싛훐쫇쎻폐튻쾯횮뗘뗄ꆣ뛸뇊헟싛횤쟩탷쫇펰쿬뚨볛뗄훘튪틲쯘,늢늻쫇쮵쟩탷ퟜ쫇뚨볛훐뗄뻶뚨틲쯘;(2)뷰죚뗄춳볆싛횤R욽랽횻쫇닎뾼,룼훘튪뗄쫇T볬퇩ꆣ듓뛠쫽컄쿗뾴,뫪맛뺭볃훐뗍욵쫽뻝컊쳢췹췹폐뷏룟뗄R욽랽,뛸뷰죚쫐뎡럖컶훐췹췹뷏뗍(죧Baker,2000;Brown,1999)ꆣ(3)랴펳쟩탷뗄횸뇪뫍쫐뎡쫕틦놾짭뚼몬폐퓫틴ꆣ(4)춳볆랽램뗄뻖쿞탔ꆣ쟩탷뛔쫐뎡뗄펰쿬늻쫇돖탸뗄,뛸쫇뷗뛎탔뗄,췹췹퓚쒳킩뷗뛎펰쿬벫웤뻧쇒,쯹틔,컒쏇죏캪뒫춳폐킧쫐뎡샭싛뫍탐캪뷰죚늻쫇늻뿉틔쿠죝뗄ꆣ컒쏇뿉틔냑쫐뎡럖캪솽훖쟩뿶:뷓뷼뻹뫢뗄쟩뿶폫풶샫뻹뫢뗄쟩뿶(쯷싞쮹,1999)ꆣ퓚뗚튻훖쟩탎쿂,뒫춳폐킧쫐뎡샭싛쫇쫊폃뗄,쫐뎡쟩탷펰쿬킡짵훁뿉틔볓틔뫶싔(뇊헟볆쯣쇋뇭10훐뒦폚훐볤40%(쟩탷욽컈쪱),횮뫳죴룉퓂횸쫽샛볆쫕틦싊볻뇭10,짏횤ퟛ뫏횸쫽T볬퇩쿔쪾늻쓜쿔훸뗘쟸뇰폚0,웤쯻횸쫽T볬퇩튲쫇죧듋,평폚뚼늻쿔훸캴쇐돶ꆣ쮵쏷뗚튻훖쟩탎쿂,쫐뎡쟩탷펰쿬킡짵훁뿉틔볓틔뫶싔);떫퓚뗚뛾훖쟩탎쿂,쫐뎡붫뒦폚랴뎣ힴ첬,막욱볛룱뗄헇실놻럇샭탔뗄뿱죈쯹ퟳ폒,막욱볛룱뚼쫇듭컳뗄믲늻랴펳웤쓚퓚볛횵뗄(뇭10ꆪ뇭13)ꆣ듋쪱쟩탷뗄ퟷ폃쫇룟폚믹놾쏦뗄펰쿬,뇈죧샺쪷짏뗄폴뷰쿣뫍췸싧엝쒭ꆣ춨뎣뗚튻훖쟩탎뗄뷗뛎펦뇈뗚뛾훖쟩탎뗄뷗뛎뎤뗃뛠ꆣ뇊헟퓚놾뷚(튻)1훐뗄뮮럖쟩탷룟뗍뗄퇹놾놾펦톡퓱헛볛잰5%믲10%(쟩탷룟헇),뫳5%믲10%(쟩탷뗍실),떫캪폐ퟣ릻뗄춳볆퇹놾뷸탐볬퇩닅톡퓱잰뫳30%,뷡맻뻓좻뮹쫇뫜쿔훸,쮵쏷뗚뛾훖쟩탎쿂쟩탷펰쿬벫웤뻧쇒ꆣ뛸놾뷚(튻)2폃춳볆믘맩뗄랽램퇐뺿쟩탷뛔쫕틦뗄펰쿬쫇뗚튻ꆢ뛾훖쟩탎뗄욽뻹펰쿬,쯹틔룼죵뮯쇋쟩탷뗄ퟷ폃,횮쯹틔쾵쫽T볬퇩쿔훸튲쫇틲캪뗚뛾훖쟩탎쿂쟩탷펰쿬벫웤뻧쇒뗄풭틲ꆣ춬퇹,맺쓚췢폐탭뛠맘폚쫐뎡쫇럱죵폐킧뗄쪵횤퇐뺿,웤뷡싛늻튻ꆣ웤쪵튲쫇믹폚틔짏샠쯆뗄풭틲,벴퇐뺿헟닉폃늻춬뷗뛎뗄쫽뻝,폐뗄쫽뻝뛎벸뫵좫뒦폚뗚튻뷗뛎,폐뗄쫽뻝뛎냼삨튻뚨뗄뗚뛾뷗뛎쫽뻝,퓬돉죵폐킧퇐뺿뷡싛늻튻뻍뫃샭뷢쇋ꆣ쇹ꆢ뷡ꆡ싛놾컄쫔춼폃춶헟쟩탷뷢컶럢뇕쪽믹뷰횮쏕,늢쟒싛횤춶헟쟩탷쫇닺뚨볛뗄훘튪틲쯘ꆣ훷튪뷡싛죧쿂:1.춨맽볬퇩럢뇕쪽믹뷰볛룱뗄맽뛈늨뚯쮵쏷맺쓚쫐뎡뗄럇폐킧탔뫍춶헟뗄늻췪좫샭탔,틲듋폐뇘튪닉폃늻췪좫샭탔뗄샭싛살뷢쫍믹뷰헛볛ꆣꋙTversky뫍Kahneman(1974)랢쿖,죋쏇쟣쿲폚룹뻝킡퇹놾살에뛏ퟜ쳥ꆣ뺡맜죧펯샻믲뫬샻풭놾쫇쯦믺뗄,떫죧맻뷼웚(킡퇹놾)뇭쿖돶즫,춶헟믡죏캪돶즫뗄뇭쿖믡돖탸ꆣ127
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