뗚36뻭뗚9웚닆뺭퇐뺿Vol136No192010쓪9퓂JournalofFinanceandEconomicsSep12010ꆡ웳튵짺쏼훜웚샭싛폫짏쫐릫쮾쿖뷰막샻럖엤쪵횤퇐뺿쯎뢣쳺,솺탂펱(뮪뚫샭릤듳톧짌톧풺,짏몣200237)ꆡꆡ햪ꆡ튪:컄헂솢ퟣ웳튵짺쏼훜웚샭싛,쪵횤볬퇩쇋짏쫐릫쮾뗄쿖뷰막샻럖엤헾닟ꆣ폃쇴듦쫕틦막좨뇈RE/TEퟷ캪웳튵짺쏼훜웚뗄듺샭뇤솿,틔뮦쫐A막짏쫐릫쮾캪퇹놾,톡좡2000-2008쓪볤뗄쓪뛈쫽뻝,퓋폃Logit쒣탍뫍Tobit쒣탍럖뇰뾼달RE/TE뫍튻킩뿘훆뇤솿뛔짏쫐릫쮾쫇럱횧뢶쿖뷰막샻틔벰막샻랢럅싊뗄펰쿬ꆣ퇐뺿랢쿖,컒맺짏쫐릫쮾쫇럱횧뢶쿖뷰막샻돊쿖짺쏼훜웚쳘헷,뛸쿖뷰막샻랢럅싊퓲늻뻟폐짺쏼훜웚쳘헷;쫇럱랢럅쿖뷰막샻뻟폐뫜잿뗄솬맡탔,떫막샻랢럅싊뗄솬맡탔늻잿ꆣ붨틩횤볠믡튪쟳릫쮾뷡뫏쯹뒦탐튵뫍웳튵짺쏼훜웚훆뚩훐뎤웚뗄쿖뷰막샻럖엤헾닟,볓잿뛔춶헟뗄컈뚨럖뫬믘놨ꆣꆡꆡ맘볼듊:짺쏼훜웚;막샻헾닟;Logit쒣탍;Tobit쒣탍ꆡꆡ훐춼럖샠뫅:F275ꆡ컄쿗뇪쪶싫:A컄헂뇠뫅:100129952(2010)09-0123-11튻ꆢ틽ꆡ퇔ꆡꆡ짏쫐릫쮾쓜럱붡뾵랢햹늻뷶맘쾵떽춶헟뗄샻틦,뛸쟒뮹펰쿬ퟅ횤좯쫐뎡뗄붡뾵랢햹ꆣ떫쫇떽쒿잰캪횹,컒맺짏쫐릫쮾죔좻듦퓚뫜뛠늻맦랶뗄컊쳢,막샻럖엤헾닟뇣쫇웤훐횮튻ꆣ릫쮾뗄막샻헾닟믡뛔릫쮾볛횵벰웤쫐뎡탎쿳닺짺뻞듳뗄펰쿬,틲캪막샻헾닟뿉틔랴펳튻룶릫쮾뗄뺭펪믮뚯벰웤튵벨ꆣ틲듋,막샻헾닟틑뺭늻퓙쫇볲떥뗄샻죳럖엤컊쳢,뮹쫇튻룶퓙죚뗄컊쳢,쯼믡펰쿬릫쮾캴살뗄춶뻶닟,듓뛸펰쿬릫쮾볛횵ퟮ듳뮯뗄쒿뇪ꆣ뛔폚릫쮾맜샭헟살쮵,죧뫎훆뚩뫏샭뗄막샻헾닟,쪹릫쮾쮰뫳샻죳뿉틔퓚막뚫뫍쓚늿쇴듦횮볤뷸탐뫏샭럖엤,쫇튻룶뇈뷏삧쓑뛸폖럇뎣훘튪뗄컊쳢ꆣꆡꆡ쒿잰,컒맺짏쫐릫쮾훘죚ꆢ쟡믘놨쿖쿳퇏훘,막샻럖엤좱랦컈뚨탔뫍솬맡탔ꆣ쯤좻쫽뻝쿔쪾짏쫐릫쮾쿖뷰럖뫬틢쪶퓚늻뛏쳡룟,떫쫇펰쿬막샻럖엤뗄튻킩늻솼틲쯘죔캴뗃떽룹놾룄뇤,헢뛔쫷솢춶헟탅탄럇뎣늻샻ꆣꆡꆡ퓚펰쿬막샻럖엤뗄틲쯘랽쏦뢳폐뾪뒴탔쟒좫쏦뗄퇐뺿떱쫴Lintner쫕룥죕웚:2010-01-22믹뷰쿮쒿:뷌폽늿죋컄짧믡뿆톧뿎쳢(08JC790035)ퟷ헟볲뷩:쯎뢣쳺(1971-),쓐,뫓쓏만쪼죋,뮪뚫샭릤듳톧짌톧풺뢱뷌쫚;솻탂펱(1984-),얮,벪쇖벪쇖죋,뮪뚫샭릤듳톧짌톧풺쮶쪿짺ꆣꆤ123ꆤ
닆뺭퇐뺿2010쓪뗚9웚(1956)ꆣ횮뫳,톧헟폖듓늻춬뷇뛈뛔펰쿬막샻럖엤뗄틲쯘뷸탐쇋짮죫퇐뺿,듓웳튵짺쏼훜웚뷇뛈퇐뺿막샻럖엤뇣쫇웤훐횮튻ꆣ퓚쏀맺뗄막욱쫐뎡훐,듳솿뗄뺭퇩쫂쪵뇭쏷,뒦폚웳튵짺쏼훜웚돉쫬뷗뛎뗄릫쮾췹췹쟣쿲폚횧뢶쿖뷰막샻,뛸퓋펪쪱볤뷏뛌뗄릫쮾퓲틲쏦뛔듳솿뗄춶믺믡뛸뷏짙횧뢶쿖뷰막샻ꆣDhrymes뫍Kurz(1967)춨맽퇐뺿랢쿖,막샻헾닟믡쫜탐튵틲쯘뗄펰쿬,돉쫬닺튵뗄막샻랢럅싊룟폚탂탋닺튵,죧릫릲쫂튵릫쮾막샻랢럅싊룟폚웤쯻탐튵ꆣJensen(1976)뗄퇐뺿랢쿖,릫쮾뗄돉뎤믺믡폫쿖뷰막샻뗄횧뢶쮮욽돊쏷쿔뗄뢺쿠맘맘쾵,샠쯆뗄퇐뺿뮹폐Rozeff(1982)ꆢWeston뫍Copeland(1987)ꆢSmith뫍Watts(1992)틔벰Dempsey뫍Laber(1992)뗈ꆣDenis뫍Osobov(2008)쳡릩쇋쇴듦쫕틦ꆪ춶죫놾ퟩ뫏뛔막샻헾닟펰쿬뗄뿧맺퇐뺿ꆣ쯻쏇랢쿖,퓚쇹맺웳튵퇹놾훐,웤쇴듦쫕틦ꆪ춶죫놾ퟩ뫏폫막샻횧뢶쟣쿲듦퓚쿔훸뗄헽쿠맘맘쾵,막샻횧뢶훷튪벯훐퓚쇴듦쫕틦뷏뛠뗄릫쮾훐,헢튻뷡싛뫜뫃뗘횧돖쇋막샻헾닟뗄짺쏼훜웚샭싛ꆣꆡꆡ컒맺톧헟뛔막샻헾닟뗄퇐뺿쪼폚20쫀볍90쓪듺훐뫳웚,쟒듳뛠듓뷰릩쟳ꆢ뫪맛뺭볃ꆢ듺샭돉놾ꆢ릫쮾막좨뷡릹뫍닆컱ힴ뿶뗈랽쏦퇐뺿막샻럖엤,쿊볻듓웳튵짺쏼훜웚뗄쫓뷇퇐뺿막샻럖엤ꆣ샮뎣쟠ꆢ역럦(2009)쪹폃훷펪튵컱쫕죫퓶뎤싊ꆢ놾횧돶싊벰뺭펪믮뚯쿖뷰뺻쇷솿/ퟜ닺죽룶횸뇪살뮮럖웳튵쯹뒦뗄짺쏼훜웚뷗뛎,폃뛠풪믘맩ꆢ닎쫽볬퇩뫍럇닎쫽볬퇩뗈랽램퇐뺿럖뫬헾닟뫳랢쿖,컒맺짏쫐릫쮾뗄좷믡믹폚늻춬뗄짺쏼훜웚닉좡늻춬뗄막샻헾닟ꆣ랽샲(2009)퓲폃릫쮾돉솢쓪쫽ꆢ훷펪튵컱쫕죫뫍쓪쒩ퟜ닺죽룶횸뇪뮮럖웳튵짺쏼훜웚,퇐뺿1996-2005쓪볤튽튩샠짏쫐릫쮾퓚늻춬짺쏼훜웚뷗뛎뗄막샻헾닟ꆣ평폚웳튵짺쏼훜웚훷튪폫펯샻쓜솦ꆢ돉뎤탔뫍맦쒣뗈횸뇪폐맘,뛸폫릫쮾돉솢쓪쫽ꆢ훷펪튵컱쫕죫뗈횸뇪맘쾵늻듳,쿔좻헢훖뮮럖웳튵짺쏼훜웚뗄랽램늻뺡뫏샭,쟒폃폚뮮럖짺쏼훜웚뗄뇤솿첫뛠,쓑틔폐킧뮮럖짺쏼훜웚ꆣꆡꆡퟛ맛맺쓚췢뗄쿠맘퇐뺿쿖ힴ,맺췢톧헟뗄퇐뺿쯤좻뷏뛠,떫뛠벯훐폚폃Logit쒣탍뛔럖뫬틢풸뷸탐퇐뺿,뛔룟막샻랢럅싊뗄쟣쿲퓲퇐뺿뷏짙,뛸쪵훊짏럖뫬뇈샽뗄룟뗍뇈쫇럱럖뫬룼캪훘튪ꆣ맺쓚믹폚짺쏼훜웚샭싛뗄쿖뷰막샻헾닟뗄쪵횤퇐뺿뷏짙,뛔막샻랢럅싊뗄퇐뺿튲뛠닉폃뛠풪쿟탔믘맩랽램,쟒뚼쳞돽쇋늻랢럅막샻뗄퇹놾뛸늻릻좫쏦ꆣ뛔듋,컒쏇늻뷶퓋폃Logit쒣탍퇐뺿컒맺짏쫐릫쮾쫇럱풸틢럖뫬뗄컊쳢,뛸쟒뮹퓋폃Tobit쒣탍퇐뺿룟럖뫬뗄틢풸,듓쿖뷰막샻뗄횧뢶쟣쿲폫쿖뷰막샻뗄룟횧뢶싊솽랽쏦럖컶컒맺짏쫐릫쮾쿖뷰막샻럖엤뗄짺쏼훜웚쳘헷,틔듋뷸튻늽췘햹뫍럡뢻믹폚웳튵짺쏼훜웚샭싛뗄막샻헾닟퇐뺿ꆣ뛾ꆢ웳튵짺쏼훜웚샭싛폫퇐뺿볙짨ꆡꆡ틀헕탐튵짺쏼훜웚샭싛,죎뫎탐튵튻냣뚼뺭샺돵뒴ꆢ돉뎤ꆢ돉쫬뫍쮥췋쯄ꆤ124ꆤ
쯎뢣쳺ꆢ솺탂펱:웳튵짺쏼훜웚샭싛폫짏쫐릫쮾쿖뷰막샻럖엤쪵횤퇐뺿룶짺쏼훜웚ꆣ웳튵짺쏼훜웚폫탐튵짺쏼훜웚듳쳥튻훂,횻쫇쯦ퟅ웳튵돉솢쪱볤뗄늻춬뛸싔폐늻춬,웤폫짏쫐쪱볤컞맘,틲뛸늻쓜폃짏쫐쪱볤살뛈솿웳튵짺쏼훜웚ꆣFama뫍French(2001)ꆢGrullon뗈(2002)틔벰DeAngelo뗈(2006)쏷좷쳡돶쇋막샻헾닟뗄짺쏼훜웚뷢쫍ꆣ릫쮾뗄막샻헾닟톡퓱벴캪퓚놣쇴샻죳뗄돉놾폫쫕틦횮볤뷸탐좨뫢,쯦ퟅ웳튵샻죳뗄믽샛폫춶믺믡뗄복짙,웳튵뛔놣쇴샻죳폫럖엤샻죳뗄좨뫢믡쯦ퟅ쪱볤뇤뮯뛸쿠펦뇤뮯ꆣ퓚릫쮾돵뒴뷗뛎,릫쮾놣쇴샻죳늢캪캴살춶죫놾뛸뷸탐춶쯹듸살뗄쫕틦듳폚웤닺짺뗄돉놾,틲듋릫쮾쟣쿲폚놣쇴샻죳,RE/TE뗄횵쯦횮훰붥뇤듳;뛸떱릫쮾뷸죫돉쫬뷗뛎뫳,NPV캪헽뗄춶쿮쒿훰붥복짙뛸샻죳샛믽훰붥퓶볓,릫쮾틔막샻뗄탎쪽럖엤쪣폠뷰룼쓜쳡짽막뚫볛횵ꆣ뿉볻,쇴듦쫕틦막좨뇈RE/TE뿉폃ퟷ웳튵짺쏼훜웚뗄듺샭뇤솿,떱웳튵뒦폚돵뒴웚뫍돉뎤웚쪱,RE/TE뗄횵뷏킡늢늻뛏뇤듳;떱웳튵뒦폚짺쏼훜웚뗄돉쫬웚뫍쮥췋웚쪱,RE/TE뗄횵뷏듳ꆣꆡꆡ맺췢톧헟튲폐폃쇴듦쫕틦닺뇈RE/TAퟷ캪웳튵짺쏼훜웚뗄듺샭뇤솿ꆣ뛸컒쏇죏캪,RE/TA믡쫜웳튵놾뷡릹뗄펰쿬,뒦폚춬튻짺쏼훜웚뷗뛎뗄웳튵,닺뢺햮싊룟뗄웳튵뗄RE/TA횵믡뷏킡,헢튻뇤솿늻벰RE/TE뿉뾿ꆣ쇭췢,컒쏇퇐뺿막샻헾닟,훷튪솢ퟣ폚막뚫뗄뷇뛈,늻뇘뾼싇탂퓶죚랽쪽(컞싛쫇막좨죚뮹쫇햮컱죚)뗄펰쿬ꆣꆡꆡ샭싛짏쮵,RE/TE뿉ퟷ캪웳튵짺쏼훜웚뗄듺샭뇤솿,떫헢쫇럱뫏뫵컒맺놾쫐뎡뗄쪵볊쓘?뷓쿂살,컒쏇틀헕횤볠믡맘폚짏쫐릫쮾뗄탐튵럖샠,톡좡2008쓪뗄뮦쫐짏쫐릫쮾,럖탐튵볆쯣헢킩짏쫐릫쮾뗄RE/TE욽뻹횵,쯹뗃뷡맻죧춼1쯹쪾ꆣ춼1ꆡ2008쓪럖탐튵뗄쇴듦쫕틦막좨뇈ꆡꆡ컒쏇톡좡솽룶짺쏼훜웚쳘헷쿊쏷뗄탐튵뷸탐뇈뷏ꆣ쮮뗧쎺뗄짺닺뫍릩펦튵펦뒦폚웳튵짺쏼훜웚뗄돉쫬뷗뛎,웤RE/TE횵캪011762;뛸탅쾢벼쫵튵펦뒦폚웳튵짺쏼훜웚뗄돉뎤뷗뛎,웤RE/TE횵캪-013740,헢퓚튻뚨돌뛈짏뺭퇩횤쏷쇋RE/TE뿉ퟷ캪웳튵짺쏼훜웚뗄듺샭뇤솿ꆣ평듋틔뇤솿쇴듦쫕틦/ퟜ막좨(RE/TE)뗄쫽횵살뮮럖쯹폐퇹놾릫쮾뗄짺쏼훜웚뷗뛎ꆣꆤ125ꆤ
닆뺭퇐뺿2010쓪뗚9웚ꆡꆡ평폚릫쮾막샻헾닟폫짺쏼훜웚쿠맘,틲듋컒쏇쳡돶틔쿂믹놾퇐뺿볙짨:ꆡꆡ볙짨1:뇤솿RE/TE뗄횵풽듳,벴릫쮾뒦폚웤짺쏼훜웚뗄뷏돉쫬뷗뛎,릫쮾럖엤쿖뷰막샻뗄뿉쓜탔풽듳;뛔폚럖엤쿖뷰막샻뗄릫쮾뛸퇔,RE/TE뗄횵풽듳,퓲쪵쪩룟막샻랢럅싊뗄뿉쓜탔풽듳ꆣꆡꆡ막샻랢럅쟩뿶돽쇋폫짺쏼훜웚폐맘췢,뮹폫웳튵ퟔ짭뗄닆컱ힴ뿶폐맘,맺췢톧헟뗄퇐뺿튲웕뇩죏캪,릫쮾막샻헾닟뻟폐솬탸탔뫍컈뚨탔뗄쳘헷,릫쮾튻냣늻믡쟡틗룄뇤웤막샻헾닟ꆣ컒쏇튲쿫춨맽짨훃짏1쓪막샻랢럅쟩뿶헢튻뇤솿,뷨듋뾼달컒맺막샻럖엤쫇럱뻟폐솬맡탔뫍컈뚨탔ꆣ캪듋,컒쏇뮹틽죫틔쿂뇤솿ퟷ캪뿘훆뇤솿,늢쳡돶쿠펦뗄퇐뺿볙짨:ꆡꆡ볙짨2:ퟜ닺뺻샻죳싊ROA풽듳,벴릫쮾펯샻탔풽잿,릫쮾럖엤쿖뷰막샻뗄뿉쓜탔뻍풽듳ꆣꆡꆡ볙짨3:ROA(-1)횵풽듳,벴릫쮾잰1쓪뛈펯샻탔풽잿,릫쮾놾쓪뛈럖엤쿖뷰막샻뗄뿉쓜탔뻍풽듳;뛔폚럖엤쿖뷰막샻뗄릫쮾뛸퇔,쿖뷰막샻횧뢶쮮욽튲붫믡풽룟ꆣꆡꆡ볙짨4:릫쮾잰1쓪뛈죴럖엤쿖뷰막샻,퓲릫쮾놾쓪뛈럖엤쿖뷰막샻뗄뿉쓜탔풽듳;뛔폚럖엤쿖뷰막샻뗄릫쮾뛸퇔,릫쮾잰1쓪뛈쿖뷰막샻횧뢶쮮욽풽룟,퓲릫쮾놾쓪뛈쿖뷰막샻횧뢶쮮욽튲붫믡풽룟ꆣꆡꆡ볙짨5:펪튵쫕죫퓶뎤싊IGR뗄횵풽킡,벴릫쮾돉뎤탔풽뗍,릫쮾럖엤쿖뷰막샻뗄뿉쓜탔뻍풽듳;뛔폚럖엤쿖뷰막샻뗄릫쮾뛸퇔,IGR횵풽킡,뻍풽뿉쓜횧뢶뷏룟뗄막샻ꆣꆡꆡ볙짨6:쿖뷰폫ퟜ닺횮뇈CASH/TA뗄횵풽듳,벴릫쮾ퟔ평쿖뷰쇷풽뛠,릫쮾럖엤쿖뷰막샻뗄뿉쓜탔뻍풽듳;뛔폚럖엤쿖뷰막샻뗄릫쮾뛸퇔,CASH/TA뗄횵풽듳,뻍풽폐뿉쓜쪵쪩룟막샻랢럅싊ꆣꆡꆡ볙짨7:닺뢺햮싊TL/TA뗄횵풽듳,릫쮾뗄뢺햮풽룟,캪놣쇴뷸튻늽뗄뷨뿮쓜솦,릫쮾럖엤쿖뷰막샻뗄틢풸뻍풽뗍,룟럖엤뗄틢풸튲뻍풽뗍ꆣꆡꆡ볙짨8:ퟜ닺뗄ퟔ좻뛔쫽SIZE뗄횵풽듳,벴릫쮾맦쒣풽듳,릫쮾럖엤쿖뷰막샻뗄뿉쓜탔뻍풽듳;뛔폚럖엤쿖뷰막샻뗄릫쮾뛸퇔,SIZE뗄횵풽듳,뻍풽폐뿉쓜쪵쪩룟막샻랢럅싊ꆣ죽ꆢ퇹놾ꆢ뇤솿벰쏨쫶탔춳볆ꆡꆡ쯤좻컒맺짏쫐릫쮾막샻럖엤탎쪽뇈뷏뛠퇹뮯,폐쿖뷰막샻ꆢ막욱막샻벰릫믽뷰퓶막놾,떫쿖뷰막샻럖엤룼폐쪵훊틢틥,맊컒쏇횻퇐뺿쿖뷰막샻럖엤ꆣꆡꆡ1.퇹놾톡퓱ꆣ놾컄뗄퇐뺿쫽뻝훷튪살풴폚맺첩낲뗄CSMAR쫽뻝뿢,쫽뻝웚쿞캪2000-2008쓪,톡좡짏몣횤좯붻틗쯹A막쫐뎡2000쓪틔잰(냼삨2000쓪)짏쫐뗄릫쮾캪퇐뺿뛔쿳,퓚쳞돽쇋튻킩쫽뻝좱쪧뫳,릲쫕벯쇋럻뫏튪쟳뗄퇹놾릫쮾528볒ꆣꆤ126ꆤ
쯎뢣쳺ꆢ솺탂펱:웳튵짺쏼훜웚샭싛폫짏쫐릫쮾쿖뷰막샻럖엤쪵횤퇐뺿ꆡꆡ2.뇤솿ꆣ(1)놻뷢쫍뇤솿ꆣ놾컄훷튪퇐뺿릫쮾쫇럱횧뢶쿖뷰막샻뫍쿖뷰막샻랢럅싊뗄쟩뿶,쯹틔놾컄뗄틲뇤솿폐솽룶:웤튻,릫쮾쫇럱횧뢶쿖뷰막샻Yꆣ룃뇤솿캪탩쓢뇤솿,횧뢶쿖뷰막샻퓲Y=1,럱퓲Y=0ꆣ웤뛾,쿖뷰막샻랢럅싊DRꆣ룃횸뇪쫇릫쮾떱쓪랢럅쿖뷰막샻폫떱쓪샻죳횮뇈,믲쎿막쿖뷰막샻돽틔쎿막쫕틦ꆣ(2)뷢쫍뇤솿ꆣ뷢쫍뇤솿캪쇴듦쫕틦막좨뇈RE/TEꆣ(3)뿘훆뇤솿ꆣ뿘훆뇤솿폐ퟜ닺뺻샻죳싊ROAꆢ잰1쓪ퟜ닺뺻샻죳싊ROA(-1)ꆢ펪튵쫕죫퓶뎤싊IGRꆢ쿖뷰/ퟜ닺CASH/TAꆢퟜ닺뗄ퟔ좻뛔쫽SIZEꆢ닺뢺햮싊TL/TAꆢ탩쓢뇤솿릫쮾잰1쓪쫇럱횧뢶쿖뷰막샻Y(-1)ꆢ릫쮾잰1쓪뗄쿖뷰막샻랢럅싊DR(-1)ꆣ웤훐,뇤솿Y(-1)퓚퇐뺿릫쮾랢럅막샻뿉쓜탔뗄Logit믘맩훐퓋폃;뇤솿DR(-1)퓚퇐뺿쿖뷰막샻랢럅싊뗄Tobit믘맩훐폃틔쳦뮻뇤솿Y(-1),뾼달릫쮾잰1쓪쿖뷰막샻랢럅싊뛔릫쮾떱쓪쿖뷰막샻랢럅싊뗄펰쿬ꆣꆡꆡ3.쏨쫶탔춳볆ꆡꆡ(1)횧뢶폫늻횧뢶쿖뷰막샻뗄릫쮾룷ퟔ뇤솿쫽횵뗄뛔뇈ꆣ뇭1쫇룹뻝짏몣횤좯붻틗쯹A막짏쫐릫쮾쫽뻝,붫쯹폐퇹놾럖캪횧뢶쿖뷰막샻뫍늻횧뢶쿖뷰막샻솽샠,뛔뇈솽샠릫쮾쏨쫶탔춳볆솿뗄횵ꆣ평뇭1뿉횪:쫗쿈,컞싛쫇욽뻹횵뮹쫇훐캻쫽,횧뢶쿖뷰막샻릫쮾뗄뇤솿RE/TE뗄쫽횵쏷쿔듳폚늻횧뢶쿖뷰막샻뗄릫쮾ꆣ듓욽뻹횵살뾴,퓚횧뢶쿖뷰막샻뗄릫쮾훐,쇴듦쫕틦햼막뚫좨틦뗄뇈싊욽뻹풼캪25153%;뛸퓚늻횧뢶쿖뷰막샻뗄릫쮾훐,헢튻쫽횵캪뢺ꆣ웤듎,뛔폚뇤솿ROA,횧뢶쿖뷰막샻릫쮾뗄쫽횵죔튪듳폚늻횧뢶쿖뷰막샻뗄릫쮾,틲듋컒쏇췆닢릫쮾쫇럱횧뢶쿖뷰막샻폫릫쮾놾짭뗄펯샻탔듦퓚튻뚨뗄헽쿲맘쾵;뛔폚뇤솿IGR,횧뢶쿖뷰막샻릫쮾뗄IGR뻹킡폚늻횧뢶쿖뷰막샻뗄릫쮾,헢폫횮잰톧헟뗃돶뗄ꆰ릫쮾뗄돉뎤탔풽룟횧뢶쿖뷰막샻뗄룅싊풽킡ꆱ뗄뷡싛튻훂;뛔폚뇤솿CASH/TA,솽샠릫쮾뗄쫽뻝닮틬늻듳,뇭쏷릫쮾쿖뷰폠뛮뗄듳킡뿉쓜뛔릫쮾쫇럱뷸탐쿖뷰막샻럖엤뗄펰쿬늻듳,떫쫇룹뻝DeAngelo(2006)뗈죋뛔쏀맺짏쫐릫쮾뗄퇐뺿뷡싛ꆪꆪꆪ헢튻뇤솿펦폫릫쮾횧뢶쿖뷰막샻뗄룅싊돉헽뇈,틲듋놾컄죔뾼싇헢튻뇤솿;뛔폚릫쮾맦쒣뇤솿SIZE,컞싛쫇욽뻹쫽뮹쫇훐캻쫽,횧뢶쿖뷰막샻뗄릫쮾맦쒣튪듳폚늻횧뢶쿖뷰막샻릫쮾뗄맦쒣;뛔폚닺뢺햮싊뇤솿TL/TA,횧뢶쿖뷰막샻뗄릫쮾헢튻쫽횵튪킡폚늻횧뢶쿖뷰막샻뗄릫쮾,뇭쏷튻볒릫쮾닺뢺햮싊풽룟,웤횧뢶쿖뷰막샻뗄룅싊뻍풽킡ꆣퟮ뫳,듓뇭1훐뗄뇪ힼ닮살뾴,늻횧뢶쿖뷰막샻뗄릫쮾뗄쯹폐뇤솿뗄뇪ힼ닮뚼쏷쿔룟폚횧뢶쿖뷰막샻뗄릫쮾뗄뇪ힼ닮ꆣ헢뇭쏷늻횧뢶쿖뷰막샻뗄릫쮾뺭펪룼늻컈뚨,럧쿕튲뷏듳ꆣꆡꆡ(2)뇤솿RE/TE뗄럖ퟩ춳볆뷡맻ꆣ캪뾼달막샻랢럅폫RE/TE뗄맘쾵,뇭2쫗쿈틀뇤솿RE/TE뗄쫽횵듳킡뮮럖캪컥ퟩ,좻뫳럖뇰볆쯣쎿룶ퟩ뇰훐횧뢶쿖뷰막샻뗄릫쮾쫽솿햼놾ퟩ쯹폐릫쮾쫽솿뗄뇈훘틔벰횧뢶쿖뷰막샻릫쮾ꆤ127ꆤ
닆뺭퇐뺿2010쓪뗚9웚뇭1ꆡퟔ뇤솿쫽횵럖샠뛔뇈욽뻹횵훐캻쫽뇪ힼ닮횧뢶막샻늻횧뢶막샻횧뢶막샻늻횧뢶막샻횧뢶막샻늻횧뢶막샻RE/TE012553-1131600124030111480113152213427ROA010550-010108010460010108010373011561IGR0145461133090117900107818140963919939CASH/TA011640011211011369010961011114011299SIZE2115897201959321147952019343019915110206TL/TA014467016692014467015608011667019713퇹놾쫽솿236023902360239023602390훐욽뻹막샻랢럅싊뗄듳킡,럖ퟩ춳볆쟩뿶죧뇭2쯹쪾ꆣ뇭2쿔쪾:쫗쿈,퓚쯹톡퇹놾훐럖뫬릫쮾뷏짙,웤뇈샽뮹늻떽퇹놾뗄튻냫,뷶캪49165%;횧뢶쿖뷰막샻릫쮾쯹햼뇈샽폫RE/TE횮볤폐헽쿲맘쾵ꆣ떱뇤솿RE/TEꇜ0쪱,뷶폐풼0108%뗄릫쮾횧뢶쿖뷰막샻;뛸떱뇤솿RE/TE랶캧퓚011-012횮볤쪱,횧뢶쿖뷰막샻뗄릫쮾뇈훘짏짽훁13132%;듋뫳뇤솿RE/TE뗄랶캧쎿퓶볓011,횧뢶쿖뷰막샻릫쮾쯹햼뇈훘뻹컈뚨짏짽ꆣ헢쮵쏷돉쫬뗄짏쫐릫쮾룼풸틢랢럅쿖뷰막샻ꆣ웤듎,뇭2훐뗚뛾탐쫽뻝캪RE/TE퓚쳘뚨랶캧쓚횧뢶쿖뷰막샻릫쮾뗄욽뻹막샻랢럅싊,막샻랢럅싊쯦RE/TE뗄퓶듳뛸쿈짽뫳붵,컞램뾴돶막샻랢럅싊폫RE/TE횮볤듦퓚쏷좷뗄쿠맘맘쾵ꆣ뇭2ꆡRE/TE럖ퟩ춳볆뷡맻RE/TE좡횵쟸볤ꇜ01000100-01100110-01200120-0130ꇝ0130횧뢶볒쫽햼뇈(%)01085113131321417916133횧뢶막샻릫쮾뗄욽뻹막샻랢럅싊(%2413673129741305319650107)욽뻹릫쮾쫽솿(볒)027707886ꆡꆡ힢:룷쫽뻝캪쓪욽뻹횵,욽뻹릫쮾쫽솿평쯄짡컥죫좡헻뗃떽ꆣꆡꆡퟜ횮,횧뢶쿖뷰막샻뗄릫쮾뇈샽뫍RE/TE헽쿲쿠맘,떫퓚욽뻹막샻랢럅싊랽쏦,늢쎻폐돊쿖샠쯆뗄맦싉ꆣꆡꆡ룹뻝틔짏돵늽뗄쫽뻝럖컶,뷓쿂살뛔쫇럱횧뢶쿖뷰막샻벰쿖뷰막샻랢럅싊폫웳튵짺쏼훜웚뗄맘쾵ퟶ뷸튻늽뗄쪵횤럖컶ꆣ쯄ꆢ웳튵짺쏼훜웚폫뫬샻랢럅쟣쿲:Logit믘맩ꆡꆡ컒쏇퓋폃FamaꆢMacBeth(1973)틔벰FamaꆢFrench(2001)뗄춳볆랽램살볬퇩룷뇤솿뛔릫쮾횧뢶쿖뷰막샻룅싊뗄펰쿬(릫쮾쫇럱횧뢶쿖뷰막샻Y캪틲뇤솿)ꆣꆡꆡ룹뻝Fama뫍MacBeth뗄랽램,뛔2000-2008쓪짏몣A막528볒짏쫐릫쮾쎿쓪뗄쫽뻝떥뛀ퟶLogit믘맩,퓙붫룷뇤솿쎿쓪믘맩쯹뗃쾵쫽좡욽뻹횵,ꆤ128ꆤ
쯎뢣쳺ꆢ솺탂펱:웳튵짺쏼훜웚샭싛폫짏쫐릫쮾쿖뷰막샻럖엤쪵횤퇐뺿듓뛸뗃떽뇭3훐룷뇤솿뗄쾵쫽ꆣ춬쪱,춨맽t춳볆솿살에뛏ퟔ뇤솿뗄쿔훸탔,뇭3쯹쇐돶뗄t춳볆솿캪룹뻝룃랽램볆쯣돶뗄욽뻹쾵쫽뗄t춳볆솿ꆣ뇭3ꆡLogit믘맩뷡맻(Fama뫍MacBeth랽램)2000-2008쓪욽뻹쾵쫽(t춳볆솿)(1)(2)(3)(4)(5)(6)(7)뷘뻠C-019148333-019241333-0128593-017241333-116233333-117857333333-1415999(-710512)(-613397)(-119848)(-513908)(-917729)(-1012759)(-1019359)Rꆡ330133325ꆡ014673ꆡ014782ꆡ013436ꆡ3013841ꆡ3013789E/TEꆡ(211243)ꆡ(119910)ꆡ(213017)ꆡ(118351)ꆡ(210730)ꆡ(212918)333ROA3013333333333333926130133101029123992019545231571321135537221338631ꆡ(416240)ꆡ(415524)ꆡ(514403)ꆡ(412232)ꆡ(416867)ꆡ(412706)ꆡ(414232)ROA1713841333ꆡ7168363ꆡ7106313(-1)ꆡ(317734)ꆡ(212335)ꆡ(212314)33333333-011376-011151-010840-010IGR-0131720634-010721-010989(-319960)(-410255)(-215015)(-110265)(-018591)(-017756)(-018317)CASH/TAꆡ014406ꆡ012037ꆡ013655ꆡ012315ꆡ015494ꆡ(019999)ꆡ(013930)ꆡ(016786)ꆡ(014238)ꆡ(110639)Yꆡ214181333ꆡ212517333ꆡ210221333(-1)ꆡ(618437)ꆡ(617147)ꆡ(610487)3333336-0133339474-01339606-013337405-113376TL/TA-11368(-716085)(-514997)(-512183)(-411280)(-419796)ꆡ013336149SIZE1012921R2ꆡ013681ꆡ014356ꆡ014384ꆡ014591ꆡ015186ꆡ015281ꆡ015488퇹놾쫽솿528ꆡꆡ힢:삨뫅쓚쫽횵캪믘맩쾵쫽뗄t볬퇩횵333;ꆢ33ꆢ3럖뇰뇭쪾퓚1%ꆢ5%뫍10%뗄쿔훸탔쮮욽쿂쿔훸;쿂춬ꆣꆡꆡ듓뇭3훐뿉틔뾴돶:뗚튻,벸뫵쯹폐(쇐(5)돽췢)냼몬뇤솿RE/TE뗄믘맩훐,RE/TE쪼훕펵폐헽뗄럻뫅,쟒퓚춳볆짏쿔훸ꆣ듓쇐(1)뫍쇐(2)뗄뛔뇈훐뿉틔뾴돶,떱랽돌훐볓죫뇤솿RE/TE뫳,뇤솿ROA뗄쾵쫽쏷쿔뇤킡,헢뇭쏷릫쮾뗄쇴듦쫕틦폫릫쮾뗄펯샻쮮욽폐튻뚨뗄맘쾵ꆣ뗚뛾,뇤솿IGR뗄럻뫅쪼훕캪뢺,쟒퓚잰쯄룶쒣탍훐뚼쿔훸,횻쫇퓚볓죫뇤솿Y(-1)뫳닅늻쿔훸,폫놾컄횮잰뗄볙짨믹놾쿠럻,폫Jensen(1976)뗄뷡싛믹놾튻훂ꆣ뇤솿CASH/TA뗄럻뫅쪼훕캪헽,떫뚼늻쿔훸,폫놾컄쏨쫶탔춳볆훐뗃떽뗄뷡맻쿠럻,벴쿖뷰돤엦돌뛈뛔릫쮾쫇럱횧뢶쿖뷰막샻펰쿬늻듳,헢폫DeAngelo(2006)퇐뺿쏀맺쫐뎡뗃떽뗄뷡싛늻튻훂ꆣ뗚죽,쇐(5)ꆢ쇐(6)뫍쇐(7)쿔쪾,릫쮾잰1쓪쫇럱횧뢶쿖뷰막샻뗄뇤솿Y(-1)럻뫅캪헽,쟒럇뎣쿔훸,뇭쏷릫쮾틔잰뗄막샻헾닟뛔릫쮾놾쓪뛈뗄막샻헾닟폐헽쏦뗄펰쿬킧맻,헢폫Lintner(1956)뗄뷡싛쿠컇뫏,벴맜샭헟튻떩뻶뚨뾪쪼랢럅막샻,뫜짙쟡틗좡쿻,쮵쏷막샻랢럅뻟폐튻뚨뗄솬맡탔ꆣ컒쏇뮹힢틢떽,떱랽돌훐볓죫Y(-1)헢튻뇤솿쪱,뇤솿RE/TE뫍IGR뇤뗃늻쿔훸,뇭쏷웳튵잰1쓪쫇럱럖뫬틑뺭럻뫏짺쏼훜웚;뇤솿TL/TA뗄럻뫅쪼훕캪뢺쟒럇뎣쿔훸(1%뗄쿔훸탔쮮욽),쮵쏷닺뢺햮싊풽룟뗄릫쮾,웤랢럅막샻뗄뿉쓜탔풽킡,폫컒쏇뗄볙짨쿠튻훂ꆣ뗚쯄,Benartzi뗈(1997)퓸쳡돶막샻헾닟뗄룄뇤뷒쪾쇋릫쮾잰1쓪펯샻쮮욽뗄뇤뮯,틲듋,컒쏇ꆤ129ꆤ
닆뺭퇐뺿2010쓪뗚9웚퓚믘맩(4)ꆢ믘맩(6)뫍믘맩(7)훐볓죫쇋뇤솿ROA(-1)ꆣ믘맩(4)쫇퓚믘맩(3)뗄믹뒡짏쳭볓듋뇤솿,뛸믘맩(6)퓲쫇퓚믘맩(5)뗄믹뒡짏쳭볓듋뇤솿ꆣ뛔뇈뇭3훐뗄쇐(3)뫍쇐(4)뿉틔랢쿖,볓죫뇤솿ROA(-1)쪹뇤솿IGR뗄쿔훸탔붵뗍,쮵쏷릫쮾잰1쓪뗄펯샻쮮욽뛔릫쮾떱쓪쿖뷰막샻럖엤헾닟뗄펰쿬뇈릫쮾돉뎤탔횸뇪뗄펰쿬듳ꆣ뗚컥,뇭3훐쇐(7)쫇퓚믘맩(6)뗄믹뒡짏퓶볓쇋듺뇭릫쮾맦쒣뗄뇤솿SIZEꆣ듓뇭3훐뿉틔뾴돶,뇤솿SIZE뗄럻뫅폫컒쏇횮잰뗄볙짨쿠튻훂,쟒럇뎣쿔훸,쮵쏷맦쒣뷏듳뗄릫쮾횧뢶쿖뷰막샻뗄룅싊튲뷏듳ꆣꆡꆡퟜ횮,퓚횮잰뗄샭싛볙짨훐맘폚횧뢶쿖뷰막샻룅싊뗄늿럖,컒쏇뷓쫜볙짨1ꆢ볙짨2ꆢ볙짨3ꆢ볙짨4ꆢ볙짨5ꆢ볙짨7뫍볙짨8,벴컒맺짏쫐릫쮾쫇럱럖엤쿖뷰막샻폫릫쮾떱쓪뗄쇴듦쫕틦막좨뇈ꆢ떱쓪벰짏1쓪뗄ퟜ닺뺻샻죳싊ꆢ릫쮾ퟜ닺뗄ퟔ좻뛔쫽벰짏1쓪쫇럱랢럅막샻돊쿔훸헽쿲맘쾵,폫닺뢺햮싊돊쿔훸뢺쿲맘쾵,폫릫쮾돉뎤탔돊쿖돶튻뚨돌뛈짏뗄뢺쿠맘;뻜뻸볙짨6,벴릫쮾횧뢶쿖뷰막샻룅싊폫릫쮾뗄쿖뷰돤풣뛈컞맘ꆣ컥ꆢ웳튵짺쏼훜웚폫막샻랢럅싊:Tobit믘맩ꆡꆡ헢샯볬퇩쿖뷰막샻랢럅싊쫇럱럻뫏짺쏼훜웚샭싛ꆣ컒쏇붫릫쮾뗄쿖뷰막샻랢럅싊DRퟷ캪틲뇤솿,믘맩뷡맻볻뇭4훐쇐(1)ꆰퟜ쳥ꆱ(뇭4훐룷뇤솿쾵쫽벰쿠펦뗄t춳볆횵볆쯣랽램폫뇭3쿠춬)ꆣ뇭4ꆡTobit믘맩(Fama뫍MacBeth랽램)ퟜ쳥럖ꆡퟩ(1)뗚뛾ퟩ(2)뗚죽ퟩ(3)뗚쯄ퟩ(4)뷘뻠C-313865333-6177363-418071333-11866533(-418566)(-211084)(-311169)(-511993)Rꆡ0110443ꆡ1215210-615859-013813E/TEꆡ(211989)ꆡ(115946)(-114366)(-018542)ROAꆡ21229233ꆡ101481533ꆡ2193633-313641ꆡ(213985)ꆡ(312126)ꆡ(212042)(-111714)ROAꆡ31460933ꆡ121582833ꆡ111074833ꆡ71477633(-1)ꆡ(219967)ꆡ(213952)ꆡ(218478)ꆡ(214312)DRꆡ01311133ꆡ01766833ꆡ016613ꆡ01274333(-1)ꆡ(314549)ꆡ(215340)ꆡ(116760)ꆡ(214659)IGR-01080333ꆡ010155-0118483-010184(-218383)ꆡ(010402)(-212095)(-012624)CASH/TAꆡ012885ꆡ316408-014821ꆡ011633ꆡ(112410)ꆡ(113720)(-017085)ꆡ(015943)ꆡ115666-01TL/TA-013848330995ꆡ012207(-311390)ꆡ(111167)(-017616)ꆡ(015423)ꆡ011512333ꆡ010993ꆡ01262233ꆡ010785333SIZEꆡ(513917)ꆡ(019208)ꆡ(311163)ꆡ(818201)R2ꆡ010684ꆡ010711ꆡ011381ꆡ011192퇹놾쫽솿528105105105ꆤ130ꆤ
쯎뢣쳺ꆢ솺탂펱:웳튵짺쏼훜웚샭싛폫짏쫐릫쮾쿖뷰막샻럖엤쪵횤퇐뺿ꆡꆡ평뇭4쇐(1)뷡맻뿉틔뾴돶,뷢쫍뇤솿폫뿘훆뇤솿믹놾폫뇭3뗄Logit믘맩뷡맻쿠럻ꆣ죴짏1쓪뗄닺쫕틦싊풽룟ꆢ막샻랢럅싊풽룟ꆢ닺맦쒣풽듳,쟒릫쮾떱쓪뗄닺뢺햮싊뫍돉뎤탔풽뗍,퓲릫쮾룟막샻랢럅싊뗄뿉쓜탔뻍풽듳;뇤솿CASH/TA폫막샻랢럅싊컞맘,떫RE/TA뫍ROA뗄쿔훸탔좴폐쯹쿂붵(뷶퓚10%뗄쿔훸탔쮮욽쿂쿔훸)ꆣꆡꆡ캪뷸튻늽뫋쪵막샻랢럅싊뗄펰쿬틲쯘,컒쏇붫쎿1쓪뗄쫽뻝내헕뇤솿RE/TE뗄횵뷸탐업탲,붫짏쫐릫쮾쫽솿뗈럖캪컥ퟩ,뛔쎿ퟩ퇹놾럖뇰뷸탐믘맩,듓뛸맛달늻춬ퟩ뇰룷뇤솿(쳘뇰쫇RE/TE)쾵쫽벰웤쿔훸탔뇤뮯ꆣ캪럀횹쫜벫뛋횵뗄펰쿬,뇭4쇐돶쇋훐볤뗄뗚뛾ퟩꆢ뗚죽ퟩ뫍뗚쯄ퟩ뗄믘맩뷡맻ꆣ붫뇭4훐쇐(2)ꆢ쇐(3)뫍쇐(4)뗄뷡맻폫쇐(1)뗄뷡맻뷸탐뛔뇈뫳랢쿖,뷶폐뇤솿CASH/TA폫뇭3뗄뷡싛췪좫튻훂,쟒뻹늻쿔훸;뇤솿SIZE뫍DR(-1)뗄쾵쫽퓚럖ퟩ뫍ퟜ쳥훐믹놾튻훂;뇤솿RE/TE퓚럖ퟩ믘맩훐쾵쫽뗄럻뫅폐헽폐뢺,뻹늻쿔훸,폫ퟜ쳥늻튻훂;뇤솿ROA퓚뗚뛾ퟩꆢ뗚죽ퟩ훐캪헽쟒럖뇰퓚5%뫍10%뗄쿔훸탔쮮욽쿂쿔훸,떫퓚뗚쯄ퟩ훐럻뫅캪뢺쟒늻쿔훸,쮵쏷캻폚웳튵짺쏼훜웚쒩뛋뗄릫쮾뿉쓜폐뎬쓜솦엉쿖뗄쟩뿶돶쿖ꆣꆡꆡ평듋뿉볻,릫쮾뗄막샻랢럅싊믹놾늻뻟폐웳튵짺쏼훜웚쳘헷ꆣ릫쮾맦쒣풽듳ꆢ펯샻쓜솦풽잿,쳘뇰쫇짏1쓪뗄펯샻풽듳쟒쪵쪩룟럖뫬뗄릫쮾떱쓪죔뷏폐뿉쓜쪵쪩룟럖뫬,막샻랢럅싊쏣잿뻟폐튻훂탔,헢풶늻벰쫇럱럖뫬뗄솬맡탔쏷쿔;폫럖뫬틢풸쿠춬,룟럖뫬틢풸튻뚨돌뛈짏폫퓶뎤싊뢺쿠맘;럖뫬룟뗍폫닺뢺햮싊뫍쿖뷰돖폐쮮욽컞맘ꆣ쇹ꆢ뷡싛폫붨틩ꆡꆡ컒쏇틔쇴듦쫕틦막좨뇈RE/TE캪뷢쫍뇤솿,럖뇰퓋폃Logit뫍Tobit믘맩쒣탍볬퇩쇋웳튵짺쏼훜웚샭싛뛔컒맺짏쫐릫쮾뗄쿖뷰막샻럖엤탐캪뗄뷢쫍솦ꆣ퇐뺿랢쿖,컒맺짏쫐릫쮾퓚쫇럱럖엤쿖뷰막샻짏뻟폐웳튵짺쏼훜웚쳘헷,뛸퓚막샻랢럅싊랽쏦퓲믹놾짏늻뻟폐헢튻쳘헷ꆣ평듋뿉볻,컒맺짏쫐릫쮾뗄훷뚯럖뫬틢풸늻잿,늻훘쫓뛔춶헟뗄믘놨;평폚막샻랢럅싊늻뻟폐웳튵짺쏼훜웚쳘헷,떼훂막샻헾닟좱랦솬맡탔ꆣꆡꆡ뫏샭뗄뫬샻럖엉헾닟펦룃럻뫏웳튵뗄짺쏼훜웚쳘헷,횻폐헢퇹,닅쓜쪵쿖릫쮾볛횵뗄ퟮ듳뮯ꆣ캪쇋볓잿뛔짏쫐릫쮾막샻헾닟뗄맜샭,컒쏇붨틩:(1)횤볠믡펦럖탐튵뷸튻늽췪짆막샻럖엤헾닟,좡쿻폫퓙죚맒릳뗄럖뫬헾닟,듺횮틔폫웳튵짺쏼훜웚맒릳뗄럖뫬헾닟ꆣ2008쓪10퓂9죕,훐맺횤볠믡랢늼쇋ꆶ맘폚탞룄짏쫐릫쮾쿖뷰럖뫬죴룉맦뚨뗄뻶뚨ꆷ,쳡룟쇋짏쫐릫쮾짪쟫퓙죚쪱뗄쿖뷰럖뫬뇪ힼ,뷸튻늽춻돶쿖뷰막샻뗄훘튪탔,맦랶쇋컒맺짏쫐릫쮾뗄막샻헾닟ꆣ떫헢훖폫죚맒릳뗄럖뫬헾닟죔폐뫜듳뗄좱쿝,컞램럀횹룶뇰릫쮾캪쇋퓙죚뛸춻믷뎬쓜솦럖뫬뗄랢짺ꆣ붨틩좡쿻헢훖폫죚맒릳뗄럖뫬헾ꆤ131ꆤ
닆뺭퇐뺿2010쓪뗚9웚닟,듺횮틔폫웳튵짺쏼훜웚쿠맒릳뗄럖뫬헾닟ꆣ뛔폚쓇킩뒦폚짺쏼훜웚돉쫬웚뗄탐튵,죧릫릲쫂튵ꆢ붻춨퓋쫤샠탐튵,펦튪쟳뷏룟뗄쿖뷰막샻랢럅싊;뛔폚쓇킩뒦폚짺쏼훜웚돉뎤웚뗄탂탋탐튵,죧탂쓜풴ꆢ룟탂뿆벼탐튵,펦쪵쪩뗍럖뫬짵훁늻럖뫬뗄막샻헾닟,틔럶돖헢킩탐튵뗄랢햹ꆣ(2)틽떼짏쫐릫쮾훆뚩훐뎤웚뗄막샻헾닟맦뮮,맦랶짏쫐릫쮾쿖뷰막샻럖엤뗄탅쾢엻슶ꆣ컒맺짏쫐릫쮾뗄쿖뷰막샻헾닟튻횱좱짙폐킧뗄볠뚽뫍풼쫸믺훆,듓뛸퓬돉튻킩짏쫐릫쮾쿖뷰막샻럖엤헾닟늻컈뚨뫍좱랦솬탸탔,퓚탅쾢엻슶랽쏦좱랦쪹폃볛횵ꆣ틲듋,쿠맘늿쏅펦튪쟳짏쫐릫쮾뷡뫏웳튵짺쏼훜웚샭싛늢룹뻝ퟔ짭쟩뿶,훆뚩뻟쳥뗄훐뎤웚막샻럖엤랽낸,늢펦퓚웤헐막쮵쏷쫩믲쓪놨훐폨틔엻슶ꆣ(3)믽벫췆뚯웳튵볦늢훘ퟩ,ퟶ듳ퟶ잿짏쫐릫쮾,쳡룟짏쫐릫쮾뗄훊솿ꆣ놾컄뗄쪵횤퇐뺿뇭쏷,펯샻쓜솦풽잿ꆢ맦쒣풽듳뗄릫쮾,웤럖뫬뗄뿉쓜탔풽듳ꆣ컒맺짏쫐릫쮾솼?늻웫,컞펯샻ꆢ컞퓶뎤ꆢ컞맦쒣뗄짏쫐릫쮾듳솿듦퓚,헢킩ꆰ죽컞ꆱ릫쮾뫁컞뺺헹솦,붨틩붫웤믲볦늢믲훘ퟩ믲췋쫐ꆣ퓚듲퓬튻듳엺폐뺺헹쪵솦뗄맦쒣웳튵ꆢ캪막뚫뒴퓬룼듳닆뢻뗄춬쪱,죃헢킩릫쮾믽벫닎폫맺볊뺺헹,룼뫃뗘캪맺쏱뺭볃럾컱ꆣ닎뾼컄쿗:[1]샮뎣쟠,역럦1쿖뷰막샻퇐뺿뗄탂쫓뷇:믹폚웳튵짺쏼훜웚샭싛[J]1닆뺭샭싛폫쪵볹,2009,(5):67-731[2]랽샲1컒맺튽튩샠짏쫐릫쮾짺쏼훜웚폫막샻횧뢶싊뗄쪵횤퇐뺿[J]1컷쓏쏱ퟥ듳톧톧놨(ퟔ좻뿆톧냦),2009,(5):1000-10051[3]BenartziS,MichaelyR,ThalerR1Dochangesindividendssignalthefutureorthepast[J].JournalofFinance,1997,52:1007-10341[4]DeAngeloH,DeAngeloL1Dividendpolicyandtheearned/contributedcapitalmix:Atestofthelife-cycletheory[J]1JournalofFinancialEconomics,2006,(81):227-2541[5]DempseySJ,GLaber1Effectsofagencyandtransactioncostsondividendpayoutrati2os:Furtherevidenceoftheagency-transactionhypothesis[J]1JournalofFinancialRe2search,1992,15:317-3211[6]DenisDJ,OsobovI1Whydofirmspaydividends?Internationalevidenceonthedetermi2nantsofdividendpolicy[J]1JournalofFinancialEconomics,2008,89:62-821[7]DhrymesP,KurzM1Investment,dividendsandexternalfinancebehavioroffirms,inde2terminatesofinvestmentbehavior[M]1NewYork:NationBureauofEconomicRe2search,19671[8]FamaE,FrenchK1Disappearingdividends:Changingfirmcharacteristicsorlowerpro2pensitytopay[J].JournalofFinancialEconomics,2001,60:3-431[9]FamaE,MacBethJ1Risk,return,andequilibrium:Empiricaltests[J]1JournalofPoliti2calEconomy,1973,81:607-6361[10]GrullonEMichaely,RSwaminathanB1Aredividendchangesasignoffirmmaturityꆤ132ꆤ
쯎뢣쳺ꆢ솺탂펱:웳튵짺쏼훜웚샭싛폫짏쫐릫쮾쿖뷰막샻럖엤쪵횤퇐뺿[J].JournalofBusiness,2002,75:387-4241[11]JFredWeston,ThomasECopeland1Modernfinanceandindustrialeconomics[M].Ox2ford,UK:BBlackwell,19871[12]JensenMeckling1Theoryofthefirm:Managerialbehavior,agencycostsandownershipstructure[J]1JournalofFinancialEconomics,1976,3:305-3601[13]LintnerJ1Distributionofincomesofcorporationsamongdividends,retainedearning,andtaxes[J]1AmericanEconomicReview,1956,46:97-1131[14]RozeffM1Growth,betaandcostsasdeterminantsofdividendpayoutratio[J]1JournalofFinancialResearch,1982,3:249-2591[15]SmithC,LWatts1Theinvestmentopportunityset,andcorporatefinancing,dividend,andcompensationpolicies[J]1JournalofFinancialEconomics,1992,32:263-2921AnEmpiricalAnalysisofLife-cycleTheoryandCashDividendPolicyofListedCompaniesSONGFu-tie,LIANGXin-ying(SchoolofBusiness,EastChinaUniversityofScienceandTechnology,Shanghai200237,China)ꆡꆡAbstract:Basedonfirmlifecycletheory,thepaperanalyzesempiricallycashdividendpolicyoflistedcompanies1ByusingthesampleofA-sharecompanieslistedinSSEfrom2000to2008andtakingRE/TEastheproxyvariableoffirmlifecycle,itexplorestheeffectsofRE/TEandsomecontrolvariablesontheprobabilityofpayingcashdividendinlistedcompaniesandthedividendpayoutratio1Itconcludesthat,inChina,theprobabilityofpay2ingcashdividendinlistedcompaniesisfeaturedbylifecycle,whilethecashdividendpayoutratioisnot1Theprobabilityofpayingcashdividendisfea2turedbyastrongcontinuity,andthedividendpayoutratioisnotalwayscon2sistent1Italsoadvisesthatlistedcompaniesshouldberequiredtomakemid2dle-termorlong-termcashdividendpolicywiththeconsiderationoflifecycleandpaymoreattentiontothestabledividendreturnstoinvestorsbythesecuritiesandfuturescommission1ꆡꆡKeywords:lifecycle;dividendpolicy;Logitmodel;Tobitmodel(퓰죎뇠벭ꆡ쾲ꆡ)ꆤ133ꆤ
