뗚36뻭뗚8웚닆뺭퇐뺿Vol136No182010쓪8퓂JournalofFinanceandEconomicsAug12010ꆡ탐튵쳘헷폫쿖뷰막샻헾닟3ꆪꆪꆪ믹폚2004-2008쓪훐맺짏쫐릫쮾뗄쪵횤퇐뺿좨킡럦,쏷믛,컢쫀얩(쿃쏅듳톧맜샭톧풺,뢣붨쿃쏅361005)ꆡꆡ햪ꆡ튪:컄헂틔2004-2008쓪뮦짮A막짏쫐릫쮾캪퇐뺿퇹놾,쾵춳탔뗘볬퇩쇋탐튵틲쯘뛔짏쫐릫쮾쿖뷰막샻헾닟뗄펰쿬ꆣ퇐뺿랢쿖:탐튵잰웚쿖뷰막샻횧뢶뛔놾웚웳튵쿖뷰막샻뗄횧뢶틢풸뫍횧뢶쮮욽닺짺쿔훸뗄헽쿲펰쿬;탐튵뺺헹돌뛈ꆢ탐튵ퟔ탅쮮욽뛔웳튵뗄막샻횧뢶틢풸뫍횧뢶쮮욽닺짺뢺쿲펰쿬;탐튵막샻탨쟳욫뫃ꆢ탐튵쯹뒦뗄짺쏼훜웚늢늻펰쿬웳튵떱웚뗄쿖뷰막샻헾닟ꆣ맺볒럖뫬헾닟킧펦뗄잿뮯믡쪹웳튵쿖뷰막샻뻶닟룼볓틀삵탐튵틲쯘ꆣꆡꆡ맘볼듊:탐튵쳘헷;쿖뷰막샻헾닟;막샻횧뢶틢풸;막샻횧뢶쮮욽ꆡꆡ훐춼럖샠뫅:F40617ꆡ컄쿗뇪쪶싫:A컄헂뇠뫅:100129952(2010)0820122211튻ꆢ틽ꆡ퇔ꆡꆡ맺쓚췢뛔폚짏쫐릫쮾쿖뷰막샻횧뢶뗄퇐뺿,튻냣쫇듓캢맛뫍뫪맛닣쏦죫쫖럖컶ꆣ캢맛닣쏦퇐뺿짦벰릫쮾쳘탔틲쯘뫍릫쮾훎샭틲쯘ꆣLaPorta뗈(2000)믹폚ꆰ램폫뷰죚ꆱ뗄퇐뺿쫓뷇뾼달쇋춶헟램싉놣뮤뛔막샻헾닟뗄펰쿬,뾪웴쇋듓뫪맛닣쏦퇐뺿짏쫐릫쮾막샻헾닟뗄쿈뫓ꆣ떫쫇,듓훐맛닣쏦(탐튵틲쯘)뾼달짏쫐웳튵막샻헾닟뗄컄쿗좴뫜짙ꆣ탐튵틲쯘뛔짏쫐릫쮾뛸퇔룼쫇튻훖훘튪뗄췢늿훎샭믺훆(Grullon뫍Michaely,2008)ꆣ춬탐튵뗄짏쫐릫쮾평폚뻟폐쿠춬뗄뺺헹뮷뺳뫍닺욷짺쏼훜웚,웳튵횮볤막샻헾닟췹췹쟷춬믲헟ꆰ좺뻛ꆱ(믆뻪뻪,2009)ꆣ뛸늻춬탐튵뗄짏쫐릫쮾평폚웤닆컱쳘뗣닮뇰뷏듳,웤막샻헾닟뗄펰쿬틲쯘뫍쫊폃헾닟췹췹듦퓚뫜듳닮뻠ꆣ틲듋,듓탐튵쳘헷뷇뛈첽쳖짏쫐릫쮾뗄쿖뷰막샻헾닟컞틉룼쓜뷒쪾짏쫐릫쮾막샻헾닟뗄놾훊ꆣꆡꆡퟔLintner(1956)뛔막샻탐캪뗄뾪뒴탔퇐뺿틔살,룷훖막샻샭싛닣돶늻쫕룥죕웚:2010203212믹뷰쿮쒿:맺볒ퟔ좻뿆톧믹뷰훘뗣쿮쒿(70632001)ퟷ헟볲뷩:좨킡럦(1981-),쓐,짂컷듳샳죋,쿃쏅듳톧맜샭톧풺늩쪿퇐뺿짺;쏷믛(1979-),얮,퓆쓏뺰뫩죋,쿃쏅듳톧맜샭톧풺늩쪿퇐뺿짺;컢쫀얩(1956-),쓐,뢣붨좪훝죋,쿃쏅듳톧맜샭톧풺뷌쫚,늩쪿짺떼쪦ꆣꆤ122ꆤ' 1994-2011 China Academic Journal Electronic Publishing House. All rights reserved.
좨킡럦ꆢ쏷믛ꆢ컢쫀얩:탐튵쳘헷폫쿖뷰막샻헾닟쟮ꆣퟛ뫏살뾴,믹놾냼삨뒫춳뗄ꆰ뺭볃틲쯘맛ꆱ(Miller뫍Modigliani,1961;miller뫍Rock,1985;Allen뗈,2000)뫍ꆰ탐캪틲쯘맛ꆱ(Baker뫍Wurgler,2004;Wei뫍Lie,2006)솽훖샭싛ꆣꆰ뺭볃틲쯘맛ꆱ쫇퓚볙짨맜샭헟뫍춶헟췪좫샭탔뗄믹뒡짏퇐뺿막샻뗄횧뢶탐캪;뛸ꆰ탐캪틲쯘맛ꆱ쫇듓맜샭헟뫍춶헟뗄탄샭돶랢,뾼싇쇋탄샭욫닮뛔막샻횧뢶뻶닟뗄펰쿬,럅웺쇋맜샭헟뫍춶헟췪좫샭탔뗄볙짨ꆣ잰헟믹폚쮰쫕ꆢ듺샭뫍탅뫅뗈뒫춳샭싛럖컶쇋짏쫐릫쮾쿖뷰막샻랢럅뗄뚯틲뫍펰쿬틲쯘,떫뛔짏쫐릫쮾쿖뷰막샻뗄탐튵ꆰ좺뻛ꆱ쿖쿳캴룸돶뫏샭뗄뷢쫍ꆣ뛸뫳헟붫춶헟뫍맜샭닣뗄탐캪쓉죫막샻헾닟뗄펰쿬틲쯘,쯤좻퓶볓쇋막샻헾닟샭싛뗄뷢쫍솦,떫틅몶뗄쫇헢킩샭싛럖컶좱랦춳튻뗄뿲볜,쟒퇐뺿뷡싛퓚쪵횤볬퇩훐튲늻컈뚨ꆣ틲듋뿆톧뗄랽램펦쫇붫ꆰ뺭볃틲쯘ꆱ뫍ꆰ탐캪틲쯘ꆱ뷡뫏웰살,틔탎돉뛔쿖뷰막샻헾닟뗄좫쏦죏쪶ꆣ믹폚듋,놾컄뷡뫏쇋ꆰ뺭볃틲쯘ꆱ뫍ꆰ탐캪틲쯘ꆱ,럖뇰듓탐튵잰웚뗄막샻횧뢶ꆢ탐튵뗄뺺헹돌뛈ꆢ탐튵뗄짺쏼훜웚ꆢ탐튵뗄막샻욫뫃ꆢ탐튵뗄ퟔ탅쮮욽컥룶캬뛈,쾵춳볬퇩쇋헢킩틲쯘뛔짏쫐릫쮾쿖뷰막샻헾닟뗄펰쿬ꆣ뛾ꆢ퇐뺿볙짨ꆡꆡ(튻)탐튵잰웚막샻횧뢶볙짨ꆡꆡ춬튻닺튵쓚뗄웳튵,평폚뻟폐쿠춬뗄뺺헹뮷뺳뫍닺욷짺쏼훜웚,췹췹닉좡쟷춬뗄닆컱헾닟ꆣ쳘뇰쫇웳튵뗄쿖뷰막샻헾닟,ퟷ캪웳튵튻쿮훘튪뗄닆컱뻶닟,뿉쓜믡쫜떽닺튵쓚웤쯻뺺헹헟막샻랢럅뗄펰쿬ꆣLintner(1956)죏캪닺튵샠뇰틲쯘뿉쓜믡펰쿬춬탐튵쓚웳튵뗄막샻헾닟ꆣBaker뫍Powell(2000)춨맽뛔얦붻쯹짏쫐릫쮾뗄뗷닩,랢쿖짏쫐릫쮾뻟폐잿쇒뗄탐튵막샻쟷춬뚯믺ꆣBrav뗈(2005)춨맽뛔308룶닆컱ퟜ볠뗄럃첸,랢쿖1/3뗄닆컱ퟜ볠뚼죏캪탐튵쓚웤쯻뺺헹헟뗄막샻헾닟쫇쯻쏇랢럅막샻뗄훘튪닎뾼틲쯘ꆣ퓚컒맺,짏쫐릫쮾쏦쇙ퟅ맬뗄훆뛈뮷뺳,닆컱뻶닟럧쿕뷏듳,맜샭닣퓚랢럅쿖뷰막샻쪱믡룼볓뷷짷ꆣ믆뻪뻪(2009)뛔컒맺1995-2006쓪짏쫐릫쮾막샻랢럅헾닟뷸탐퇐뺿,랢쿖컒맺짏쫐릫쮾뗄막샻랢럅듦퓚ꆰ좺뻛ꆱ쿖쿳ꆣ뿉볻,춬탐튵쓚웳튵퓚랢럅막샻쪱,췹췹믡닎뾼춬탐튵릫쮾뗄막샻헾닟ꆣꆡꆡ볙짨1:짏쫐릫쮾쯹뒦탐튵잰웚쿖뷰막샻횧뢶뛔웳튵놾웚쿖뷰막샻횧뢶닺짺쿔훸뗄헽쿲펰쿬ꆣꆡꆡ(뛾)탐튵뗄뺺헹돌뛈볙짨ꆡꆡ닺욷쫐뎡뺺헹ퟷ캪튻훖췢늿훎샭믺훆,뛔맜샭닣벤샸ꆢ퇐랢뒴탂틔벰놾뷡릹뗈릫쮾훎샭뻶닟뚼닺짺쇋훘튪펰쿬ꆣGrullon뫍Michaely(2008)죏캪,뒦폚닺욷쫐뎡뺺헹잿뛈뷏뗍믲벯훐뛈뷏룟탐튵뗄릫쮾,웤ퟔ평쿖뷰쇷솿룼룟,룼죝틗맽뛈춶,틲캪맑춷믲헟슢뛏탐튵쫜떽뗄췢늿풼쫸뷏죵ꆣ떫쫇,맜샭닣캪쇋붨솢럾컱폚췢늿춶헟뗄짹폾,듓뛸폐샻폚릫쮾퓙죚믲ퟮ듳뮯ퟔ벺쯹ꆤ123ꆤ' 1994-2011 China Academic Journal Electronic Publishing House. All rights reserved.
닆뺭퇐뺿2010쓪뗚8웚돖폐뗄릫쮾막욱볛횵,튲믡쳡룟횧뢶막샻뗄쮮욽ꆣ틲듋,탐튵뺺헹돌뛈풤웚뛔폚웳튵막샻헾닟뻟폐쳦듺ퟷ폃ꆣꆡꆡ볙짨2:탐튵뺺헹돌뛈믡뛔웳튵쿖뷰막샻횧뢶닺짺쿔훸뗄뢺쿲펰쿬ꆣꆡꆡ(죽)탐튵뗄짺쏼훜웚볙짨ꆡꆡGrullon뗈(2002)죏캪,냩쯦ퟅ웳튵훰늽ퟟ쿲돉쫬,춶믺믡붫훰붥캮쯵,웳튵붫믡횧뢶뛠폠뗄쿖뷰룸춶헟,웳튵쿖뷰막샻뗄횧뢶뫍탐튵뗄돉뎤탔횮볤듦퓚ퟅ뢺쿠맘맘쾵ꆣDeAngelo뗈(2004)퇐뺿랢쿖,닺튵샠뇰틲쯘쓜릻뷢쫍캪쪲쎴뒦폚룟돉뎤탐튵늢쟒뻟폐컈뚨펯폠뗄웳튵늻횧뢶막샻ꆣ샨쏷풨ꆢ쇖폡춢(2004)퇐뺿랢쿖,돉뎤탔뷏룟뗄룟뿆벼닺튵쟣쿲랢럅막욱막샻,뛸돉쫬뗄뒫춳닺튵쟣쿲랢럅룼뛠뗄쿖뷰막샻ꆣ탐튵랢햹튻냣뺭샺틽죫웚ꆢ돉뎤웚ꆢ돉쫬웚ꆢ쮥췋웚쯄룶뷗뛎ꆣ떱웳튵쯹퓚탐튵뒦폚틽죫웚뫍돉뎤웚쪱,닺튵뗄쫙쏼뇈뷏쓪쟡,돉뎤탔뫃,웳튵춶믺믡뷏듳,뷰탨쟳솿듳쟒살풴뷴헅,듋쪱웳튵맜샭닣캪쇋놣돖닆컱떯탔췹췹닉폃뗍쿖뷰막샻ꆢ룟쇴듦펯폠뗄막샻헾닟ꆣ뒦폚돉쫬웚믲쮥췋웚닺튵뗄웳튵,돉뎤탔뾪쪼붵뗍,춶믺믡뷏짙,늢쟒뺭펪쫕틦튲뇈뷏컈뚨,틲듋맜샭닣쟣쿲뛠랢막샻틔럖엤웳튵뛠폠쿖뷰ꆣꆡꆡ볙짨3:탐튵짺쏼훜웚쿔훸펰쿬웳튵뗄쿖뷰막샻헾닟,뒦폚돉뎤웚탐튵뗄웳튵쿖뷰막샻횧뢶쿔훸뗘뗍폚돉쫬웚뫍쮥췋웚탐튵뗄웳튵ꆣꆡꆡ(쯄)탐튵막샻뗄탨쟳욫뫃볙짨ꆡꆡBaker뫍Wurgler(2004)쳡돶쇋막샻펭뫏샭싛,쯻쏇랢쿖퓚튻뚨쳵볾쿂,웳튵맜샭닣ퟷ캪막샻횧뢶뗄릩룸랽,믡훷뚯펭뫏쫐뎡훐춶헟뛔쿖뷰막샻뗄탨쟳욫뫃ꆣWei뫍Lie(2006)춨맽뛔쏀맺짏쫐릫쮾룼뎤쪱볤막샻랢럅탐캪뗄퇐뺿,삩햹쇋막샻펭뫏샭싛,랢쿖짏쫐릫쮾뗄막샻횧뢶쟣쿲뫍막샻럖엤솦뛈뚼믡쫜떽막샻탨쟳잿뛈뗄헽쿲펰쿬ꆣퟜ쳥뛸퇔,막샻펭뫏샭싛럅뿭쇋ꆰMMꆱ막샻샭싛훐ꆰ쫐뎡폐킧탔ꆱ뗄볙짨,죏캪죧맻쫐뎡쫇폐킧뗄,쿖뷰막샻헾닟뻍펦평웳튵쳘헷뻶뚨;죧맻쫐뎡늻쫇췪좫폐킧뗄,릫쮾훆뚨쿖뷰막샻헾닟쪱,뻍믡펭뫏춶헟뗄욫뫃ꆣ컒맺횤좯쫐뎡춶믺탔웸럕얨뫱,쫐뎡폐킧탔뷏닮(컢쫀얩,1996)ꆣ틲듋,쫐뎡뗄늻췪좫폐킧탔뻶뚨쇋짏쫐릫쮾듦퓚펭뫏춶헟뗄막샻탨쟳욫뫃ꆣ평폚늻춬탐튵뺺헹뮷뺳뫍뷡릹닮틬뷏듳,헢훖펭뫏킧펦뿉쓜퓚탐튵닣쏦뇭쿖뗃룼캪쏷쿔ꆣꆡꆡ볙짨4:짏쫐릫쮾쯹뒦탐튵뗄막샻탨쟳욫뫃믡뛔웳튵쿖뷰막샻횧뢶닺짺쿔훸뗄헽쿲펰쿬ꆣꆡꆡ(컥)탐튵뗄ퟔ탅쮮욽볙짨ꆡꆡDeshmukh뗈(2009)죏캪춶얤쟺믡횱뷓떼훂릫쮾막샻헾닟얤쟺ꆣ쿠뇈샭탔뗄맜샭닣,맽뛈ퟔ탅뗄맜샭닣믡맽럖쿠탅ퟔ짭뗄쓜솦뫍쮽폐뻶닟탅쾢,듓뛸뷸탐맽뛈춶,럖엤룼뗍막샻ꆣ틲듋,퓚춶쪱쯻쏇튻냣믡룟맀춶쫕틦ꆢ뗍맀춶럧쿕,뛸쟒쯦ퟅ튻듎춶믲늢릺뗄췪돉,쯻쏇뗄헢훖탄샭욫닮믡뗃떽ꆤ124ꆤ' 1994-2011 China Academic Journal Electronic Publishing House. All rights reserved.
좨킡럦ꆢ쏷믛ꆢ컢쫀얩:탐튵쳘헷폫쿖뷰막샻헾닟잿뮯(컢뎬열뗈,2006)ꆣ맽뛈ퟔ탅쫇맜샭닣뗄튻훖ꆰ룟폚욽뻹ꆱ뗄만폐탄샭욫닮,늢쟒맜샭닣맽뛈ퟔ탅뗄쮮욽늻쫇뺲첬뗄,뛸쫇믡쯦ퟅ췢퓚뮷뺳뛸랢짺뇤뮯ꆣ쳘뇰쫇퓚닺튵닣쏦,떱웳튵쯹뒦뗄탐튵헻쳥뇭쿖뇈뷏ퟔ탅쪱,풭살맽뛈ퟔ탅뗄맜샭닣믡룼볓ퟔ탅,뛸풭살늻ퟔ탅뗄맜샭닣튲믡뇭쿖돶튻뚨뗄ퟔ탅,뷸뛸탐튵뗄헻쳥ퟔ탅쮮욽믡쿔훸펰쿬웳튵뗄닆컱뻶닟ꆣꆡꆡ볙짨5:짏쫐릫쮾쯹뒦탐튵뗄ퟔ탅쮮욽믡뛔웳튵쿖뷰막샻횧뢶닺짺쿔훸뗄뢺쿲펰쿬ꆣ죽ꆢ쪵횤짨볆ꆡꆡ(튻)퇹놾뫍쫽뻝살풴ꆡꆡ놾컄퇹놾좡ퟔ2004-2008쓪뮦짮솽쫐A막쫐뎡뗄짏쫐릫쮾,늢뺭맽틔쿂즸톡돌탲:(1)즾돽ST뫍PT웳튵;(2)즾돽뷰죚샠탐튵웳튵(횤볠믡탐튵듺싫I,쿂춬)ꆢ탐튵쓚웳튵쫽쒿뷏짙뗄C2탐튵웳튵ꆢ탐튵쫴탔뇈뷏쒣뫽뗄탐튵C9(웤쯻훆퓬튵)뫍M(ퟛ뫏)웳튵퇹놾;(3)즾돽닆컱쫽뻝폐좱쪧뗄웳튵ꆣퟮ훕뗃떽막샻횧뢶틢풸뗄5261룶맛닢횵,쿖뷰막샻횧뢶쮮욽뗄2836룶맛닢횵,릲18룶탐튵뗄쫽뻝ꆣ놾컄뗄릫쮾훎샭횸뇪쫽뻝살풴폚CSMAR쫽뻝뿢,닆컱횸뇪쫽뻝살풴폚WIND쫽뻝뿢ꆣ탐튵횸뇪쫽뻝살풴폚맺볒춳볆뻖췸햾(ht2tp:// 1994-2011 China Academic Journal Electronic Publishing House. All rights reserved.
닆뺭퇐뺿2010쓪뗚8웚뷏룟쟒쓚몭폖폐쯹닮틬뗄틔쿂3룶횸뇪:뫕럒틲뗂횸쫽ꆢ탐튵욽뻹ퟢ뷰뫍탐튵욽뻹뗄훷펪튵컱샻죳싊,춨맽튻뚨랽램뫏돉캪탐튵뺺헹돌뛈뗄ퟛ뫏횸뇪ퟷ캪쫐뎡뺺헹돌뛈뗄쳦듺횸뇪ꆣ헢3룶횸뇪듓늻춬닠쏦랴펳쇋탐튵뺺헹돌뛈,떫뚼폐튻뚨뗄뻖쿞탔ꆣ틲듋,놾컄짨볆쇋튻룶ퟛ뫏횸뇪indMCꆣ웤릹붨랽램쫇:붫틔짏3룶횸뇪럖뇰럖쓪평킡떽듳업탲,볆쯣쎿룶탐튵퓚룷쓪퇹놾훐뗄냙럖캻뗈벶럖쫽,헢퇹쎿룶횸뇪뻹뮻돉[0,1]뗄튻룶쫽횵,좻뫳,붫헢킩뮻뫳뗄횸뇪쫽횵볓ퟜ,벴뗃탐튵뺺헹돌뛈뗄ퟛ뫏횸쫽indMCꆣ룃횸뇪횵퓚[0,3]횮볤,쫇탐튵뺺헹돌뛈뗄랴횸뇪ꆣꆡꆡ(3)탐튵뗄짺쏼훜웚(indGI)ꆣ탐튵짺쏼훜웚뗄뛈솿뷨본쇋닺튵ퟩ횯샭싛,샻폃퓶뎤싊닺튵럖샠램뛔웳튵쯹뒦탐튵뗄짺쏼훜웚뷗뛎뷸탐에뇰(랶듓살ꆢ풬뺲,2002)ꆣ퓶뎤싊닺튵럖샠램쫇춨맽뇈뷏닺튵퓚솽룶쿠쇚쪱웚쎿룶쪱웚뗄퓶뎤싊폫쿠펦쪱웚쯹폐닺튵늿쏅뗄퓶뎤싊살에뇰닺튵뗄짺쏼훜웚ꆣ죧맻룃닺튵늿쏅뗄퓶뎤싊퓚솽룶쪱웚뚼룟폚욽뻹퓶뎤싊,믲쫇잰튻쪱웚듳쳥뷓뷼폚욽뻹퓶뎤싊뛸뫳튻쪱웚듳듳룟폚욽뻹퓶뎤싊,퓲캪돉뎤닺튵;죧맻퓚잰튻쪱웚룟폚욽뻹퓶뎤싊뛸퓚뫳튻쪱웚퓶뎤싊훰붥뗍폚욽뻹퓶뎤싊,퓲캪돉쫬닺튵;죧맻솽룶쿠쇚쪱웚뗄퓶뎤싊뚼뗍폚욽뻹퓶뎤싊뗄뮰,퓲캪쮥췋닺튵ꆣ놾컄틔1987-1994쓪뫍1995-2002쓪헢잰뫳솽룶8쓪뗄쫽뻝ퟷ캪솽룶쿠쇚뗄훜웚살맛달;룷쪱웚쯹폐닺튵늿쏅뗄욽뻹퓶뎤싊평GDP퓶뎤싊살듺쳦ꆣ뛔폚돉뎤탔탐튵,뢳횵캪1,뛔폚돉쫬탔탐튵뫍쮥췋탔탐튵,뢳횵캪0,듓뛸탎돉쇋탐튵짺쏼훜웚횸뇪indGIꆣꆡꆡ(4)탐튵뗄막샻탨쟳욫뫃(indDP)ꆣ룹뻝Baker뫍Wurgler(2004)ꆢWei뫍Lie(2006)뗄랽램,놾컄폃쫐뎡훐탐튵막샻틧볛살뇭쪾탐튵뗄막샻탨쟳욫뫃indDPꆣ볆쯣릫쪽죧쿂:N1N2ln(M/BD)jln(M/BND)jꆡꆡꇆꇆ=j=1j=1indDPN1-N2(1)ꆡꆡ릫쪽(1)폒뇟뗚튻쿮뇭쪾탐튵쓚횧뢶쿖뷰막샻릫쮾뗄욽뻹쫐횵헋쏦뇈,웤훐:M뇭쪾쎿막쫐볛,B뇭쪾쎿막뺻닺,N1뇭쪾탐튵횧뢶쿖뷰막샻뗄릫쮾쫽쒿;뗚뛾쿮뇭쪾탐튵쓚늻횧뢶쿖뷰막샻릫쮾뗄욽뻹쫐횵헋쏦뇈,웤훐:욽뻹쫽룹뻝릫쮾쫐횵뷸탐뗈좨욽뻹(EW)뗄랽램볆쯣,N2뇭쪾탐튵쓚늻횧뢶쿖뷰막샻뗄웳튵쫽쒿ꆣꆡꆡ(5)탐튵뗄ퟔ탅쮮욽(indCI)ꆣ놾컄틔맺볒춳볆뻖췸햾릫늼뗄웳튵볒탅탄횸쫽듺뇭탐튵ퟔ탅쮮욽indCIꆣ뻟쳥쫇틔쎿쓪4룶벾뛈뗄웳튵볒탅탄횸쫽뗄욽뻹횵살뇭쪾쎿쓪뛈탐튵뗄ퟔ탅쮮욽ꆣ웳튵볒탅탄횸쫽,쎿벾뛈엻슶튻듎,틔100ퟷ캪탅탄횸쫽뗄쇙뷧횵,웤쫽횵랶캧퓚0-200횮볤ꆣ탅탄횸쫽듳폚100뗣쪱,뇭쏷탐튵쓚웳튵볒헻쳥샖맛,탅탄횸쫽킡폚100뗣쪱뇭쏷탐튵쓚웳튵볒헻쳥놯맛ꆣꆤ126ꆤ' 1994-2011 China Academic Journal Electronic Publishing House. All rights reserved.
좨킡럦ꆢ쏷믛ꆢ컢쫀얩:탐튵쳘헷폫쿖뷰막샻헾닟ꆡꆡ31뿘훆뇤솿ꆡꆡ뛔폚릫쮾쿖뷰막샻뗄펰쿬,쒿잰뗄컄쿗훷튪뾼달쇋캢맛틲쯘뫍뫪맛틲쯘뗄펰쿬,웤훐캢맛틲쯘냼삨릫쮾쳘탔틲쯘뫍릫쮾훎샭틲쯘,뛸뫪맛틲쯘훷튪쫇듓램싉붨짨뫍쪵쪩뗄뷇뛈뾼달춶헟놣뮤뛔막샻랢럅뗄펰쿬ꆣ평폚튻맺뗄램싉뛔놾맺쯹폐짏쫐릫쮾뚼믡닺짺춬뗈뗄펰쿬,틲듋놾컄뗄뿘훆뇤솿훷튪뾼싇쇋캢맛닣쏦뗄틲쯘ꆣ뻟쳥뗄횸뇪뷢쫍볻뇭1ꆣ뇭1ꆡ뿘훆뇤솿쇐뇭뇤솿벰웤럻뫅몬ꆡ틥뛈ꆡ솿풤웚럻뫅FCF쎿막ퟔ평쿖뷰쇷솿ퟔ평쿖뷰쇷솿/웚쒩ퟜ막놾-릫쮾쳘탔ROA펯샻쓜솦뺻샻죳/욽뻹ퟜ닺+틲쯘DS/S퓶뎤탔쿺쫛쫕죫퓶뎤싊?LnSIZE릫쮾맦쒣ퟜ닺좡뛔쫽+GQJZ막좨벯훐뛈훕벫뿘훆죋뿘훆좨뇈샽+릫쮾훎샭GQZH막좨훆뫢뛈(잰컥듳막뚫돖막뇈샽횮뫍-GQJZ)/GQJZ-틲쯘DUACEO뫍뚭쫂뎤L솽횰볦죎퇆뇤솿,볦죎=1;늻볦죎=0-쓪뛈뿘훆뇤솿Yeardum쓪럝틲쯘4룶쓪럝퇆뇤솿?탐튵뿘훆뇤솿Inddum탐튵틲쯘17룶탐튵퇆뇤솿?ꆡꆡ(죽)쒣탍짨뚨ꆡꆡ뛔폚막샻횧뢶틢풸,평폚웤캪0믲1뇤솿,놾컄펦폃쏦냥쫽뻝Logistic쒣탍ꆣ뛔폚막샻횧뢶쮮욽,평폚웤횵뷩폚0뫍1횮볤,놾컄펦폃쏦냥쫽뻝뗄To2bit쒣탍ꆣ믹놾뗄볆솿쒣탍짨뚨죧쿂:nnttꆡꆡPr(CASHPAYit=1)=logisticꛁ0t+ꇆꛂitXit+ꇆꛋitCVit+ꛅit(2)i=1i=1nnttꆡꆡDSit=Tobitꛁ0t+ꇆꛂitXit+ꇆꛋitCVit+ꛅit(3)i=1i=1ꆡꆡ웤훐:ꛁ0t캪뷘뻠쿮,ꛂit뫍ꛋit뇭쪾듽맀닎쫽,Xit쫇뷢쫍뇤솿,냼삨ind2CASHꆢindDSꆢindMCꆢindGIꆢindDPꆢindCI뗈탐튵틲쯘뇤솿,CVit쫇뿘훆뇤솿,냼삨릫쮾쳘헷틲쯘ꆢ릫쮾훎샭틲쯘틔벰탐튵뫍쓪럝틲쯘ꛅ,it캪쯦믺컳닮쿮ꆣ쯄ꆢ쪵횤뷡맻폫럖컶ꆡꆡ(튻)쏨쫶탔춳볆ꆡꆡ탐튵틲쯘쏨쫶탔춳볆뇭쏷(쿞폚욪럹,뇭싔),닉뻲튵ꆢ뗧솦쎺웸벰쮮짺닺뫍릩펦튵ꆢ붻춨퓋쫤닖뒢뫍폊헾튵뗄막샻횧뢶뇈샽뷏룟,뛸퓬횽펡쮢ꆢ탅쾢벼쫵튵막샻횧뢶뇈샽뷏뗍ꆣ탐튵뗄막샻횧뢶뇈샽벯훐퓚(014,018)횮볤,웤훐훆퓬튵(C탐튵)룷ퟓ탐튵평폚웤탐튵탔훊뇈뷏쿠쯆,횧뢶뇈샽룼캪벯훐(퓚015ퟳ폒);붻춨퓋쫤닖뒢폊헾튵뫍짧믡럾컱튵뗄횧뢶쮮욽뷏룟,뎬맽10%,붨훾튵뫍엺랢쇣쫛튵뗄횧뢶쮮욽뷏뗍,뷶캪2%ퟳ폒,웤훐훆퓬튵뗄막샻횧뢶쮮욽뫍횧뢶뇈샽뇤뮯쿠뛔뷏킡,막샻뗄횧뢶쮮욽룼캪벯훐,퓚(3%,4%)뗄킡랶캧횮쓚;닉뻲튵뫍쪯ꆤ127ꆤ' 1994-2011 China Academic Journal Electronic Publishing House. All rights reserved.
닆뺭퇐뺿2010쓪뗚8웚폍ꆢ뮯톧ꆢ쯜붺ꆢ쯜쇏뗄뺺헹돌뛈뇈뷏뗍,뛸얩쇖쓁폦뫍럄횯럾ힰ욤쎫탐튵뗄뺺헹돌뛈뇈뷏룟;퓬횽펡쮢ꆢ뗧ퟓ틔벰튽튩짺컯훆퓬뗈닺튵뗄돉뎤탔뷏뫃,뛸얩쇖쓁폦ꆢ닉뻲튵뗈닺튵뗄돉뎤탔뷏뗍;탅쾢벼쫵튵ꆢ랿뗘닺튵ꆢ짧믡럾컱튵뫍뒫능폫컄뮯닺튵막욱듦퓚ꆰ막샻틧볛ꆱ,웤폠닺튵막욱웕뇩듦퓚ꆰ막샻헛볛ꆱ쿖쿳;룷탐튵웳튵볒ퟔ탅횸쫽웕뇩뇈뷏룟,욽뻹횵듳풼퓚135ퟳ폒,풶풶룟폚쇙뷧횵100ꆣꆡꆡ(뛾)뛠뇤솿믘맩럖컶ꆡꆡ퓚뇭2훐,PanelA쫇쿖뷰막샻횧뢶틢풸뗄Logistic쒣탍믘맩뷡맻,뛸PanelB쫇쿖뷰막샻횧뢶쮮욽뗄Tobit쒣탍믘맩뷡맻ꆣ뇭2ꆡ웳튵쿖뷰막샻횧뢶뗄뛠풪믘맩뷡맻뇭뇤솿뇤솿풤웚PanelA:쿖뷰막샻뗄횧뢶틢풸PanelB:쿖뷰막샻뗄횧뢶쮮욽샠탍럻뫅럻뫅(CASHPAY)(DS)쒣탍1쒣탍2쒣탍3쒣탍1쒣탍2쒣탍3indCASH/뷢indD+S쫍indMC33333?뇤솿indGIꆪ+ꆪ릫쮾FCFꆪ쳘헷ROA+뿘훆뇤솿DS/S?+릫쮾훎GQ333JZ+샭뿘훆GQZHꆪ뇤솿DUAlꆪ쓪럝/Yeardum/탐튵Inddum?YesYesYesYesYesYes뎣쫽쿮>ꆡꆡ힢333:ꆢ33뫍3럖뇰뇭쪾ꆢ뫍뗄쿔훸탔쮮욽(쿂뇭춬)ꆣꆡꆡ(1)indCASH뫍indDS뗄믘맩쾵쫽뇭쏷탐튵잰웚막샻횧뢶뇈샽뫍탐튵잰웚막샻횧뢶쮮욽헽쿲쿔훸뗘펰쿬쇋놾웚짏쫐릫쮾쿖뷰막샻뗄횧뢶틢풸뫍쮮욽,헢퇩횤쇋볙짨1ꆣ컒쏇죏캪,닺짺헢훖쿖쿳뗄풭틲퓚폚훆뛈뫍웳튵솽룶랽쏦ꆣ2000쓪틔뫳횤볠믡뾪쪼냤늼냫잿훆탔뗄럖뫬헾닟,붫짏쫐릫쮾럖뫬폫퓙죚솪쾵퓚튻웰,잿훆탔튪쟳웳튵럖뫬틔놣헏훐킡춶헟샻틦ꆣ퓚헢훖헾닟펰쿬쿂,웳튵퓚횧뢶쿖뷰막샻쪱볈튪뾼싇웳튵놾짭뗄랢햹,뮹튪뾼싇럻뫏헾닟뗄튪쟳ꆣ웳튵쿖뷰막샻뻶닟쓑뛈볓듳,탐튵쓚탎돉쒣럂럕캧,틔맦뇜뻶닟럧쿕ꆣꆡꆡ(2)indMC뗄쾵쫽퓚PanelA뗄쒣탍2뫍쒣탍3훐쿔훸캪헽,뛸퓚PanelB뗄쒣탍1뫍쒣탍3훐쿔훸캪헽,뇭쏷탐튵뗄뺺헹돌뛈풽뗍,웳튵뗄막샻횧뢶틢ꆤ128ꆤ' 1994-2011 China Academic Journal Electronic Publishing House. All rights reserved.
좨킡럦ꆢ쏷믛ꆢ컢쫀얩:탐튵쳘헷폫쿖뷰막샻헾닟풸뫍횧뢶쮮욽풽룟,볙짨2뗃떽퇩횤ꆣꆡꆡ(3)indGI뗄쾵쫽퓚PanelA늻쿔훸,떫퓚PanelB쿔훸캪헽,뇭쏷퓚컒맺,뒦폚돉뎤탔탐튵뗄웳튵뗄막샻횧뢶쮮욽튪룟폚뒦폚돉쫬탔뫍쮥췋탔탐튵웳튵뗄막샻횧뢶쮮욽ꆣ헢폫컒쏇쳡돶뗄탐튵짺쏼훜웚볙짨3늻럻ꆣ헢훖쿖쿳뿉쓜폫돉뎤탔탐튵웳튵잿쇒뗄ꆰ퓙죚ꆱ뚯믺뫍냫잿훆럖뫬헾닟폐맘ꆣꆡꆡ(4)indDP뗄쾵쫽퓚PanelA뫍PanelB뚼늻쿔훸,뇭쏷듓탐튵닣쏦살뾴,컒맺짏쫐릫쮾맜샭닣늢늻믡펭뫏짧믡릫훚춶헟뗄막샻탨쟳욫뫃,틲듋쪵횤뷡맻쎻폐횧돖볙짨4ꆣ헢춬죄폽샙뗈(2008)뗄퇐뺿뷡싛늿럖늻럻ꆣퟷ헟췆닢,듓탐튵닣쏦살뾴,막샻펭뫏샭싛퓚컒맺쓑틔돉솢뗄훷튪룹풴퓚폚춶헟풤웚ꆣ컒맺막욱쫐뎡폐킧탔뷏닮,램훆뮷뺳폐듽룄짆,춶헟듦퓚뷏퇏훘뗄춶믺탄샭,춶헟욫뫃놾샻뗃,뛸뛔막샻럖뫬쎻폐뇭쿖돶뷏잿뗄욫뫃ꆣꆡꆡ(5)indCI뗄쾵쫽퓚PanelA뫍PanelB뚼쿔훸캪뢺,뇭쏷탐튵뗄ퟔ탅쮮욽좷쪵믡뛔짏쫐릫쮾막샻횧뢶닺짺뢺쿲펰쿬ꆣ탐튵뗄ퟔ탅쮮욽풽룟,퓲웳튵뗄막샻횧뢶틢풸뫍횧뢶쮮욽풽뗍,퇩횤쇋볙짨5ꆣꆡꆡ(죽)컈붡탔닢쫔ꆡꆡ놾컄샻폃막샻횧뢶싊DEퟷ캪막샻횧뢶쮮욽뗄닢뛈횸뇪뛔퇐뺿뷡맻뷸탐컈붡탔닢쫔,막샻뗄횧뢶싊캪쎿막쿖뷰막샻폫쎿막쫕틦뗄뇈횵ꆣ믘맩뷡맻뇭쏷,퇐뺿뷡싛믹놾늻뇤ꆣ뛔폚탐튵틲쯘뛸퇔,탐튵뗄막샻횧뢶ꆢ탐튵뗄뺺헹돌뛈틔벰탐튵뗄ퟔ탅쮮욽뛔웳튵쿖뷰막샻헾닟닺짺쿔훸펰쿬,뛸탐튵뗄짺쏼훜웚틔벰탐튵뗄막샻탨쟳욫뫃늢쎻폐펰쿬웳튵쿖뷰막샻헾닟ꆣ평폚놾컄퇐뺿뗄쫇탐튵틲쯘뛔웳튵쿖뷰막샻헾닟뗄펰쿬,탐튵뷡릹닮틬뷏킡뗄웳튵뷸죫퇐뺿퇹놾뿉쓜믡죅싒퇐뺿뷡싛뗄뿉뾿탔ꆣ놾컄즾돽탐튵뷡릹뇈뷏쿠쯆뗄훆퓬튵(탐튵듺싫C)퇹놾뷸탐훘탂닢쫔ꋙ,믘맩뷡맻믹놾놣돖늻뇤ꆣꋚ컥ꆢ췘햹퇐뺿:늻춬헾닟킧펦쿂탐튵틲쯘뗄펰쿬잿뛈럖컶ꆡꆡ2000쓪틔살,횤볠믡돶첨쇋튻쾵쇐맦랶웳튵쿖뷰럖뫬헾닟뗄횸떼컄볾,헢킩컄볾뛔웳튵뗄쿖뷰럖뫬탎돉헾닟풼쫸,떫횻쫇튻킩맦랶탔뗄횸떼틢볻ꆣ뛸2006쓪틔살,횤볠믡뾪쪼뛔웳튵쿖뷰럖뫬뗄뻟쳥뇈샽뷸탐맦뚨ꋛ,헢뇪횾ퟅ냫잿훆탔럖뫬헾닟뗄헽쪽탎돉,쓇쎴헢훖잿뮯뗄헾닟킧펦쫇럱믡쪹웳튵쿖뷰막샻뻶닟룼볓틀삵탐튵틲쯘쓘?놾컄틔2006쓪캪퇹놾뗄쇙뷧뗣,럖캪2006쓪틔잰퇹놾뫍틔뫳퇹놾,늢뛔퇹놾뷸탐럖ퟩ믘맩볬퇩ꆣ뛔폚2006쓪뫳폫2006쓪잰뗄ퟩ볤닮틬,놾컄닉폃ꆰퟔ쳥돩퇹램ꆱ(bootstrap)뷸탐볬퇩ꆣ뇭3뷡맻뇭쏷,2006쓪잰뫳탐튵틲쯘펰쿬쿖뷰막샻헾닟뗄닮틬쏷쿔ꆣ헢쮵쏷쯦ퟅ맺볒럖뫬헾닟킧펦뗄퓶잿,웳튵퓚쿖뷰막샻뻶닟쪱,볈탨튪뾼싇ퟔ짭뗄랢햹ힴ뿶,뮹튪쫜떽맺볒럖뫬맜훆뗄풼쫸,틲듋쏦쇙웳튵랢햹뫍맺볒럖뫬볠맜뗄쮫훘풼쫸,컒맺짏쫐릫쮾뗄쿖뷰막샻뻶닟룼뻟폐탐튵틀삵탔ꆣꆤ129ꆤ' 1994-2011 China Academic Journal Electronic Publishing House. All rights reserved.
닆뺭퇐뺿2010쓪뗚8웚뇭3ꆡ늻춬헾닟킧펦쿂탐튵틲쯘뗄펰쿬잿뛈럖컶뇭PanelA:쿖뷰막샻뗄PanelB:쿖뷰막샻뗄뇤ꆡ솿횧뢶틢풸(CASHPAY)횧뢶쮮욽(DS)2006쓪잰2006쓪뫳쾵쫽닮틬P횵2006쓪잰2006쓪뫳쾵쫽닮틬P횵indCASH/ 1994-2011 China Academic Journal Electronic Publishing House. All rights reserved.
좨킡럦ꆢ쏷믛ꆢ컢쫀얩:탐튵쳘헷폫쿖뷰막샻헾닟닟,뿉쓜믡룼뫃뗘캬뮤춶헟샻틦ꆣ듋췢,놾컄뗄퇐뺿뷡싛뛔횤좯쫐뎡춶헟믹폚탐튵틲쯘뗷헻춶ퟩ뫏,튲뻟폐튻뚨뗄횸떼틢틥ꆣꆡꆡ3놾컄뮹뗃떽뷌폽늿ꆰ탂쫀볍폅탣죋닅볆뮮ꆱ쿮쒿(NCET20620565)훺,ퟷ헟룐킻쓤쏻짳룥죋뗄붨짨탔탞룄붨틩,떫컄퓰ퟔ뢺ꆣ힢쫍:ꋙ룹뻝탐튵틲쯘뗄쏨쫶탔춳볆,훆퓬튵웳튵뗄쿖뷰막샻횧뢶틢풸뫍횧뢶쮮욽뚼뇈뷏벯훐,닮틬탔뇈뷏킡ꆣꋚ캪쇋뷚쪡싛컄욪럹,컈붡탔닢쫔뗄뷡맻캴쇐쪾,폐탋좤뗄퇐뺿뇭뿉쿲ퟷ헟쯷좡ꆣꋛ2006쓪5퓂6죕횤볠믡랢늼ꆶ짏쫐릫쮾횤좯랢탐맜샭냬램ꆷ,맦뚨ꆰ:짏쫐릫쮾릫뾪랢탐횤좯펦럻뫏ퟮ뷼죽쓪틔쿖뷰믲막욱랽쪽샛볆럖엤뗄샻죳늻짙폚ퟮ뷼죽쓪쪵쿖뗄쓪뻹뿉럖엤샻죳뗄냙럖횮뛾쪮ꆱ;2008쓪10퓂9죕랢늼ꆶ맘폚탞룄짏쫐릫쮾쿖뷰럖뫬죴룉맦뚨뗄뻶뚨ꆷ,맦뚨ꆰ:짏쫐릫쮾릫뾪랢탐횤좯펦럻뫏ퟮ뷼죽쓪틔쿖뷰랽쪽샛볆럖엤뗄샻죳늻짙폚ퟮ뷼죽쓪쪵쿖뗄쓪뻹뿉럖엤샻죳뗄냙럖횮죽쪮ꆱꆣ닎뾼컄쿗:[1]믆뻪뻪.탐캪막샻헾닟ꆪꆪꆪ믹폚컒맺짏쫐릫쮾막샻ꆰ좺뻛ꆱ쿖쿳뗄퇐뺿[D].쿃쏅듳톧늩쪿싛컄,2009.[2]샨쏷풨,쇖폡춢.막샻헾닟뻶뚨틲쯘뗄퓙첽쳖[R].첨췥:맺솢쓏맺볊듳톧,2004.[3]컢쫀얩.컒맺횤좯쫐뎡킧싊뗄럖컶[J].뺭볃퇐뺿,1996,(4):13-19.[4]랶듓살,풬뺲.돉뎤탔ꆢ돉쫬탔뫍쮥췋탔닺튵짏쫐릫쮾늢릺벨킧뗄쪵횤럖컶[J].훐맺릤튵뺭볃,2002,(8):74-85.[5]LaPortaR,Lopez2de2SilanesF,ShleiferA,[J].JournalofFinance,2000,(1):1-34.[6]GrullonG,[R].WorkingPaper,RiceUniversityandCornellUniversityandIDC,2008.[7],retainedearningsandtaxes[J].AmericanEconomicReview,1956,(2):97-113.[8]MillerM,,growthandthevaluationofshares[J].Jour2nalofBusiness,1961,34:411-433.[9]MillerM,[J].JournalofFi2nance,1985,40:1031-1051.[10]AllenF,BernardoAE,[J].JournalofFinance,2000,55:2499-2536.[11]BakerM,[J].JournalofFinance,2004,(3):17-36.[12]WeiLi,[J].JournalofFinancialEconomics,2006,80:293-308.[13]Baker,HK,:AsurveyofNYSEfirms[J].FinancialPracticeandEducation,2000,(10):29-40.ꆤ131ꆤ' 1994-2011 China Academic Journal Electronic Publishing House. All rights reserved.
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