튻훖늻췪좫탅쾢쿂뗄닺뚨볛쒣탍 쳆캰쏴∗ ퟞ뫣뢦 햪 튪 놾컄퇐뺿쇋튻훖늻췪좫탅쾢쿂뗄막욱뚨볛쒣탍ꆣ뛔탅쾢늻뛔돆뷸탐쇋탂뗄럖뮮ꆣ쳡돶쇋튻룶탂뗄룅쓮ꎺ훷맛탅쾢뫍뿍맛탅쾢ꆣ늢폃듋뷢쫍쇋훸쏻뗄ꆰ컞붻틗샭싛ꆱ,틽죫쇋뛔훷맛탅쾢뷸탐뛈솿뗄쫽톧뇤솿ꎺ죏춬틲ퟓ, 늢샻폃헢킩룅쓮붨솢쇋튻훖뚯첬뗄닺뚨볛쒣탍ꆣ 맘볼듊 훷맛탅쾢, 뿍맛탅쾢, 죏춬틲ퟓ 뒫춳뗄놾닺뚨볛쒣탍죧CAPM(Sharpe, 1964ꎻLintner, 1965ꎻMossin, 1966), ATP(Ross, 1976)훁짙폐벸룶좱쿝ꎺ뗚튻, 좱랦뛔놾닺볛룱탎돉믺훆뗄첽쳖ꎻ뗚뛾, 좱랦뛔뷰죚쫐뎡캢맛뷡릹훮튪쯘뗄첽쳖ꎻ뗚죽ꆢ뚼쫇뺲첬뗄, 컞램쳥쿖뷰죚닺쫐뎡훐춶헟횮볤뗄뚯첬늩�ꆣ틲뛸, 폫웤돆횮캪놾닺뚨볛쒣탍, 늻죧돆횮캪놾닺뗄럧쿕뫍쫕틦뗄맘솪럖컶쒣탍ꆣ듓헢킩뷇뛈살붲, 쯼뛔놾쫐뎡뗄뷢쫍쓜솦틔벰뛔춶헟뗄횸떼ퟷ폃뗄뻖쿞탔쫇뿉틔풤웚뗄ꆣ 캪쇋쏖늹뒫춳쒣탍뗄늻ퟣ, 횮뫳뗄뺭볃톧볒붨솢쇋탭뛠쒣탍ꆣDemsetz (1968)뗚튻듎쳡돶쇋튻룶싲싴볛닮뗄쒣탍ꆣGarman (1976), Stoll (1978), O’Hara뫍Oldfied (1986)뗈쿠볌쳡돶뫍랢햹쇋듦믵쒣탍ꆣ듦믵쒣탍쳖싛쇋쫐뎡볛룱탐캪뫍볛닮뗄쳘헷ꆣ쯻쏇뗄릲춬뷡싛쫇ꎺ붻틗돉놾(냼삨룷훖듦믵돉놾)붫뻶뚨싲싴놨볛볛닮ꆣ떫늻탒뗄쫇ꎺ쪵횤볬퇩뷡맻뇭쏷, 듦믵쒣탍뛔쫐뎡볛룱탐캪뗄뷢쫍춬퇹쫇폐쿞뗄ꆣ Bagehot (1971)랢뇭쇋맘폚탅쾢쒣탍뗄뗚튻욪컄헂ꆣ룃컄훐쯻쫗듎뎢쫔폃탅쾢돉놾뛸늻쫇듦믵돉놾살뷢쫍볛닮ꆣ쯻쳡돶쇋솽룶훘튪룅쓮ꎺ횪쟩붻틗헟(informed trader)뫍캴횪쟩붻틗헟(uninformed trader)ꆣCopeland뫍Galai (1983)헽쪽틽죫탅쾢돉놾룅쓮ꆣGrossman뫍Stiglitz (1980)붨솢쇋튻훖폃폚럖컶펵폐늻춬탅쾢뗄붻틗헟뗄붻틗닟싔뗄샭탔풤웚(REE)럖컶뿲볜, 죏캪쫐뎡돶쟥쪱볛룱믡뒫뗝탅뫅ꆣKyle (1985)뾼달쇋횪쟩붻틗헟뗄붻틗닟싔, 쳡돶쇋퓫짹붻틗헟(noise trader)뗄룅쓮ꆣGloste뫍Milgrom(1985)춨맽탲맡붻틗쒣탍(Sequential Trade Model)쫗듎붫뚯첬틲쯘틽죫쇋탅쾢쒣탍, 쳡돶쇋붫붻틗뾴ퟷ쫇뒫뗝탅쾢뗄탅뫅헢훖맛뗣, 돉캪탅쾢쒣탍훐뗄샯돌놮, 뇪횾ퟅ탅쾢쒣탍쪱듺뗄살쇙ꆣ탅쾢쒣탍뗄믹놾쳘헷쫇폃탅쾢늻뛔돆쯹닺짺뗄탅쾢돉놾뛸럇붻틗돉놾살뷢쫍볛닮뗈쫐뎡튪쯘ꆣ평폚탅쾢쒣탍뿉틔뾼달쫐뎡뚯첬컊쳢, 벴뾼달쫐뎡볛룱뗄뗷헻맽돌늢뛔횪쟩붻틗헟뫍럇횪쟩붻틗헟뗄붻틗닟싔ퟶ돶뷢쫍ꆣ쯹틔쪱훁뷱죕, 탅쾢뫍탅뫅쒣탍죔쫇퇐뺿놾(뷰죚)쫐뎡뗄훷쇷쒣탍, 돉캪릫쮾뷰죚뗄탂랶쪽, 늻뛏뗘쿲ퟝ짮랢햹(Mankiw , 1986ꎻLucas, 1991ꎻCampbell and Kyle, 1993ꎻWang, 1993,1994ꎻFama, 1998ꎻHarrison and Jeremy, 1999)ꆣ쯻쏇퓋폃탅쾢늻뛔돆ꆢ늻췪좫놾쫐뎡틔벰춶헟룶쳥닮틬살첽쳖훮죧볛닮ꆢ뻹뫢볛룱ꆢ붻틗솿ꆢ볛룱뗄룟맀뫍뗍맀ꆢ볛룱뗄뚯쓜뫍랴뗈훮뛠싛쳢, 뗃떽쇋맣랺뗄죏춬ꆣ 퓋폃탅쾢늻뛔돆쒣탍뷸탐뚯첬닺뚨볛폐솽룶훷튪헏낭ꎺ뗚튻쫇ꆰ컞붻틗샭싛ꆱ(폖돆췪좫뷒쪾샭싛), 쫇평Grossman (1981) 틔벰Milgrom뫍Stokey (1985) 쳡돶뗄ꆣ컞붻틗샭싛죏캪, 볈좻탅쾢늻뛔돆쫇붻틗뗄캨튻뚯믺, 쓇쎴평폚춶헟뗄붻틗틢풸쿲쫐뎡뷒쪾쇋탅쾢, ∗쳆캰쏴, 커몺듳톧룟벶퇐뺿훐탄뫍커몺샭릤듳톧샭톧풺춳볆쾵ꎻퟞ뫣뢦, 놱뺩듳톧맢뮪맜샭톧풺뫍커몺듳톧룟벶훐탄ꆣ춨톶ퟷ헟벰뗘횷ꎺ쳆캰쏴, 커몺듳톧룟벶훐탄, 430072ꎻ뗧뮰ꎺ(027)8654 9240ꎻEmailꎺtwmdr@ꆣퟷ헟룐킻쓤쏻짳룥죋뗄폐틦움싛ꆢ튦퇳훷뇠뗄폐틦횸떼뫍커몺듳톧룟벶훐탄믆통쳚샏쪦ꆢ돂샻욽늩쪿ꆢ돂횾뾡늩쪿ꆢ탬쮮낲늩쪿ꆢ헅뿋훐늩쪿틔벰커몺듳톧탅쾢맜샭톧풺즳폂훒늩쪿뗄냯훺ꆣ 1
쯹틔탅쾢뗄늻뛔돆ퟮ훕믡쿻쪧퓚뻹뫢훐ꆣ틲듋, 떱쫐뎡훐탂뗄탅쾢ퟮ훕놻좷죏쪱, 뻍쎻폐붻틗듦퓚ꆣ룃샭싛틀삵폚쫐뎡뗄뺭볃뷡릹ꆣ튻킩톧헟뛔듋뷢쫍뗀ꎺ떱쫐뎡늻췪좫쪱, 춶헟돽쇋탅쾢횮췢뮹폐웤쯻뗄붻틗뚯믺ꆣ떫듋뷢쫍쿔좻쫇닔냗뗄ꎺ웤쯻뗄붻틗뚯믺쫇쪲쎴ꎿ헢킩뚯믺쫴폚탅쾢랶돫싰ꎿ놾컄붫뛔듋붻틗샭싛뷸탐뷢쫍ꆣ뗚뛾룶헏낭뻍쫇쏦쇙늻췪좫쫐뎡쪱, 췆떼룷훖뻹뫢뗄쫽톧쓑뛈, 룃쓑뛈떽쒿잰캪횹쫇쪵훊탔뗄ꆣ 췵붭(Wang, 1993,1994)쿠볌퓚The Review of Economic Studies뫍The Journal of political economy짏랢뇭쇋ꆶ럇뛔돆탅쾢쿂뗄튻훖쪱첬뚨볛쒣탍ꆷ틔벰ꆶ맘폚뺺헹쫐뎡쿂막욱돉붻솿뗄쒣탍ꆷꆣ쒣탍쫇볙짨퓚늻췪좫쫐뎡쿂, 평폚쫐뎡뗄늻췪좫뷡릹, 탅뫅늻쓜췪좫뷒쪾뺭볃훐쯹폐ힴ첬뇤솿뗄헦쪵횵ꆣ춶헟쫇듦퓚룶쳥닮틬뗄, 쯻쏇뛔늻춬뗄탅쾢랴펦닺짺닮틬, 짵훁쯻쏇뛔쿠춬뗄탅쾢뗄랴삡튲닺짺닮틬, 헢킩닮틬릹돉쇋늻춬뗄붻틗뚯믺, 늢틽훂늻춬뗄붻틗탐캪ꆣ쯻죏캪, 춶헟뗄탅쾢늻뛔돆믡볓듳볛룱뗄늨뚯틔벰쫕틦뗄뢺ퟔ쿠맘, 퓚탅쾢늻뛔돆훐뒦폚쇓쫆뗄춶헟폐뿉쓜믡쫇룺럧ퟥ(price-chaser)ꆣ쯻볬퇩쇋붻틗헟뗄탐캪뫍볛룱늨뚯횮볤뗄뚯첬맘쾵, 늢죏캪돉붻솿뫍볛룱뗄뻸뛔늨뚯폫뫬샻뗄뻸뛔뇤뮯쫇헽쿠맘뗄ꆣ 헢솽욪컄헂뗄릲춬뗣뚼쫇듓춶헟ퟮ듳뮯웤짺쏼킧폃돶랢살뷒쪾횪쟩붻틗헟뫍캴횪쟩붻틗헟뗄붻틗탐캪뫍붻틗닟싔, 늢평듋췆떼쒳쪱웚닺(막욱)뗄뻹뫢볛룱ꆣ떱좻, 쯻캴쓜쟳돶쒣탍뗄럖컶뷢, 뛸횻쫇폃쫽ퟖ볆쯣뗄랽램살쮵쏷쫽톧뷢뗄듦퓚, 헢좴돤럖펡횤쇋캪쪲쎴쫽톧랽램쫇늻췪좫쫐뎡쿂놾닺뚯첬뚨볛뗄헏낭횮튻ꆣ췵붭(Wang, 1994)퓚쒣탍훐뾼싇떽춶헟붻틗탐캪뗄뚯첬맘쾵, 늢달뻵떽틑폐뗄춶헟뗄탅쾢닮틬늻쓜췪좫뷢쫍쫐뎡뗄붻틗탐캪, 폚쫇쯻틽뷸쇋횪쟩붻틗헟뗄ꆰ쮽죋춶믺믡ꆱ헢룶룅쓮ꆣ떫(1)뛔ꆰ쮽죋춶믺믡ꆱ, 쯻뷢쫍캪횪쟩붻틗헟뗄춶퓚쓍폃욷ꆢ죋솦놾뫍웤쯻럇붻틗닺뗄쫕틦싊뗄듳킡ꆣ튲뻍쫇쮵ꆰ쮽죋춶믺믡ꆱ쫇뛀솢폚ꆢ췢짺폚횤좯쫐뎡뗄ꆣ헽죧컄훐쳡떽뗄, 헢룶룅쓮뛔뷢쫍쫐뎡훐듦퓚믺릹춶헟쪱뗄붻틗탐캪쫇늻ퟣ뗄ꆣ(2)췵붭컄훐뗄탅쾢띁뢳짨뚨캪캴횪쟩붻틗헟뗄탅쾢벯쫇횪쟩붻틗헟탅쾢벯뗄ퟓ벯ꆣ헢뻍쿷죵쇋컄훐캴횪쟩붻틗헟뗄ꆰ볛룱룺럧ꆱ쫇뫏샭듦퓚뗄뷡싛뗄틢틥ꆣ틲캪볈좻캴횪쟩붻틗헟뗄탅쾢벯쫇횪쟩붻틗헟탅쾢벯뗄ퟓ벯, 내헕붻틗탐캪뒫뗝탅뫅뗄샭싛, 캴횪쟩붻틗헟쯹늶ힽ떽뗄탅뫅뚼쫇횪쟩붻틗헟뗄붻틗탐캪뗄랴펳, 뛸캴횪쟩붻틗헟뗄붻틗탐캪폖쫇붨솢퓚쯻쯹늶ힽ떽뗄탅뫅뗄믹뒡횮짏뗄, 쯹틔캴횪쟩붻틗헟뗄ꆰ볛룱룺럧ꆱ튲뻍돉캪쯻쏇뗄캨튻톡퓱쇋ꆣ 튻ꆢ쏨 쫶 떽쒿잰캪횹, 퓚쯹폐탅쾢쒣탍훐, 춶헟럖캪솽샠ꎺ횪쟩붻틗헟뫍캴횪쟩붻틗헟ꆣ횪쟩붻틗헟횪뗀(믲뷏뫃뗘횪뗀)훮죧막욱뫬샻믲폐맘릫쮾닺훘ퟩ뗈쿻쾢, 횪뗀막욱뗄헦쪵볛횵ꎻ캴횪쟩붻틗헟췪좫늻횪뗀(믲횪뗀탩볙)뗄탅쾢, 퓚놾쫐뎡훐쯼쏇횻쓜듓볛룱뇤뮯뗈쫐뎡탅뫅훐살쳡좡돶훮죧뫬샻뗈탅뫅뗄탅쾢ꆣ뗈떽탅쾢(뫅)붥붥쫍럅, 탅쾢늻뛔돆훰붥복죵쪱, 쫐뎡훰붥듯떽뻹뫢ꆣ볈좻탅쾢쒣탍죏캪탅쾢늻뛔돆쫇쫐뎡놾쫐뎡붻틗뗄캨튻뚯믺, 헢뇣닺짺쇋ꆰ컞붻틗샭싛ꆱ뗄쓑쳢ꆣ 쪵볊짏, 뻍컒쏇뾴살, 짏쏦쯹첸뗄탅쾢뷶뷶뻖쿞퓚쫐뎡뗄뿍맛탅쾢ꆣ쯹캽뿍맛탅쾢뻍쫇횸훮죧뫪맛뺭볃탎쫆ꆢ닺튵탎쫆ꆢ릫쮾뺭펪ힴ첬ꆢ펯샻쓜솦ꆢ막놾삩헅쓜솦(릫믽뷰)뗈ퟮ훕돉캪좷뚨튪쯘뗄막욱뗄믹놾쏦ꆣ쯹틔, 쯻쏇죏캪틔룃막욱뗄훊뗘(뛔막욱뗄훊뗘뗄움볛ꆢ횪쟩붻틗헟쫇룹뻝막욱뗄믹놾쏦뷡뫏ퟔ벺뗄풤웚쫕틦뫍쫐뎡탅뫅뷸탐움볛, 캴횪쟩붻틗헟쳡좡쫐뎡탅뫅뷸탐움에)뻶뚨퓚쒳튻볛캻싲죫믲돖폐룃막욱뗄믱샻쓜솦, 듓뛸탎돉뛔룃막욱뗄에뛏, 틔믱뗃믹놾쫕틦ꆣ쯹캽믹놾쫕틦횸뗄쫇떱잰막욱뗄볛캻폫믹폚막욱믹놾쏦, 벴뿍맛탅쾢풤웚짏뗄뛔펦볛룱뗄닮럹ꆣ막쫐훐틔믱뗃믹놾쫕틦캪쒿뗄뗄붻틗탐캪쫴폚춶탐캪ꆣ룃에뛏튻떩탎돉, 쯼뻍늻뿉뇜쏢뗘ퟷ폃폚막욱횮짏, 뛔막욱뗄릩쟳맘쾵닺짺돥믷듓뛸뛔막욱뗄 2
볛룱닺짺췆늨훺삽믲�톹뗄ퟷ폃, 막욱볛룱뗄뇤뮯폖랴맽살뛔춶헟뗄에뛏닺짺펰쿬ꆣ헢훖뛔뿍맛탅쾢뗄탅뫅뗄쳡좡틔벰뛔뿍맛탅쾢뗄풤웚뻶뚨쇋튻뚨돌뛈짏뗄춶헟춶틢풸뗄잿죵ꆣ뿍맛탅쾢뻶뚨쇋막욱볛룱뗄뎤웚뻹뫢뗣ꆣ 춨뎣살붲, 쯹캽훷맛탅쾢횸뗄쫇춶헟뛔릲횪뗄뿍맛탅쾢뗄훷맛풤웚ꆣ헢훖풤웚뗄닮틬믡닺짺붻틗ꆣ쿖듺뷰죚샭싛퓚뷢쫍돉붻솿쪱훷튪쫇믹폚듋믲평럧쿕뛔돥쯹틽훂뗄춶ퟩ뫏뗄뇤룼ꆣ떫헢쫇럱몭룇튻쟐붻틗탐캪쓘ꎿ쯦ퟅ뿆벼뗄뷸늽, 뷰죚쫐뎡탅쾢엻슶뗄늻뛏맦랶, 뿍맛탅쾢죕쟷뛔돆, 틲듋뛔뿍맛탅쾢뗄풤웚튲죕쟷뛔돆, 헢쫇럱틢캶ퟅ돉붻솿뗄죕틦캮쯵ꎿ 펦룃뾴떽막욱뇏뺹늻춬폚쾢욱, 춶헟춶뗄훷튪쒿뗄늢럇뷶뷶캪쇋좡뫬샻, 뮹폐튻훖탄첬쫇캪쇋듓막욱뗄볛룱늨뚯훐좡볛닮(헢훖볛닮떱좻냼삨뛔뿍맛탅쾢뗄풤웚뗄닮틬)ꆣ막욱쫐뎡뗄붻틗믮뚯맩룹뷡뗗쫇춶헟횮볤뗄늩�, 짧믡탄샭톧횪쪶뫍듳솿뗄쪵횤뚼싛횤쇋막욱쫐뎡ꆰ룺럧킧펦ꆱ뗄뫏샭듦퓚ꆣ뺭볃믮뚯훐뺭볃룶쳥뗄ퟔ랢늩�뻍듓캴춣쾢ꆣ막쫐훐튻늿럖뷰탛뫱뗄춶헟퓚뷸탐춶뻶닟뗄쪱뫲, 틔막욱뗄뿍맛탅쾢캪믹뒡, 뷡뫏샺쪷뗄뫍떱쪱뗄쫐뎡뮷뺳, 춨맽싲싴펰쿬릩쟳맘쾵, 뷸뛸펰쿬볛룱ퟟ쫆, 늢웚췻헢훖볛룱ퟟ쫆쓜뗃떽쫐뎡뗄죏춬뫍ힷ엵, 틔뇣듓볛룱늨뚯훐믱뗃뛮췢쫕틦ꆣ쯹캽뛮췢쫕틦횸뗄쫇뎬돶믹놾쫕틦뗄쓇늿럖쫕틦ꆣ헢훖볛룱ퟟ쫆쯹쓜뗃떽쫐뎡뗄죏춬뫍ힷ엵뗄돌뛈뻶뚨쇋헢늿럖춶헟믱뗃뛮췢쫕틦쓜솦뗄듳킡, 튲쫇춶뻶닟돉릦폫럱뗄맘볼틲쯘횮튻ꆣ떱헢훖붻틗탐캪퇝뮯캪쫐뎡탅뫅, 웤쯻뗄춶헟훰붥늶ힽ떽헢킩탅뫅쪱, ꆰ룺럧킧펦ꆱ뻍닺짺쇋ꆣ쯻쏇룹뻝룷ퟔ뗄럧쿕욫뫃틔벰뛔쫐뎡뗄움에뻶뚨ퟔ벺뗄붻틗틢풸뫍붻틗닟싔, 쒿뗄춬퇹쫇캪쇋믱뗃뛮췢쫕틦ꆣ쯹틔, 막쫐뗄춶믺탐캪뿉틔샭뷢캪춶헟룹뻝볛닮늨뚯뷸탐싲싴뛸웚췻믱뗃뛮췢쫕틦뗄붻틗탐캪ꆣ헢훖춶믺탐캪볈뿉믱뗃뎬뛮쫕틦, 좴튲돐떣ퟅ뛮췢뗄럧쿕ꆣ 틲듋, 짏쫶붻틗틢풸튲쫇쫐뎡탅쾢(뫅)뗄튻늿럖ꆣ헢훖믹폚늩�횮짏춨맽싲싴펰쿬릩쟳맘쾵뷸뛸펰쿬볛룱ퟟ쫆틔뇣듓볛룱늨뚯훐믱뗃뎬뛮쫕틦뫍춨맽쒳훖돌뛈뗄ꆰ룺럧ꆱ뫍웤쯻늩�탐캪뛸웚췻믱뗃뎬뛮쫕틦뗄붻틗틢풸뗄쫐뎡탅쾢뇣돆캪훷맛탅쾢ꆣ놾컄훐뛔훷맛탅쾢뗄뚨틥뫍춨뎣틢틥쿂뗄뚨틥폐쯹늻춬, 쫇믹폚춶헟뗄뚯믺뛸퇔뗄, 룼뛠뗄쫇뛔춶헟탄첬뗄튻훖쏨쫶ꆣ떱춶헟쫇믹폚늩�탄샭뛸쟡쫓막욱뗄믹놾쏦(샽죧쏀맺70쓪듺뛱뎴사미막, 90쓪듺ힷ엵췸싧막뛸쪹막볛떽듯럇샭탔뗄볛캻)뛸붻틗쪱, 헢훖탄샭튪쯘뇣릹돉훷맛탅쾢ꆣ 쿖퓚컒쏇살쫔춼뷢쫍컞붻틗샭싛ꎺ탅쾢늻뛔돆죔좻쫇붻틗뗄캨튻뚯믺ꆣ떱탂뗄쿻쾢놻ퟮ훕좷죏쪱, 듋쪱뿍맛탅쾢쫇뛔돆뗄ꆣ떫평폚춶헟뗄룶쳥닮틬, 믹폚늩�횮짏뗄붻틗틢풸듦퓚닮틬, 쯹틔듋쪱훷맛탅쾢늻뛔돆ꆣ쯹캽훷맛탅쾢늻뛔돆뻍쫇횸훷맛탅쾢뗄닮틬돌뛈ꆣ볈좻듋쪱닮틬죔좻듦퓚, 벴죔듦퓚훷맛탅쾢늻뛔돆쯹틔죔폐붻틗듦퓚ꆣ짵훁폚떱탂뗄탅쾢살쇙쪱, 춶헟뗄훷맛탅쾢닮틬(늻뛔돆)볓듳, 듋쪱뇣듦퓚쯹캽뗄탅쾢릫늼죕뗄랴뎣붻틗솿ꆣ 랴맽살뾴, 퓚듋탅쾢뷡릹쿂컞붻틗샭싛쫇헽좷뗄ꆣ틲캪죴탅쾢췪좫뛔돆, 듋쪱쯹폐춶헟뗄뿍맛탅쾢뫍훷맛탅쾢뚼쫇뛔돆뗄, 벴춶헟뗄훷맛탅쾢뚼쫇쿠춬뗄, 쯹틔듋쪱쯻쏇뛔쒳튻막욱뗄붻틗틢풸쿠춬, 틲뛸붫믡닉좡쿠춬뗄붻틗닟싔ꆣ듋쪱막욱뗄붻룮뇣돉캪쎬뛜, 죴싲ꆢ퓲컞싴랽ꎻ죴싴ꆢ퓲컞싲랽, 붻틗솿떱좻캪0ꆣ 틽죫훷맛탅쾢뫳, 쫐뎡볛룱뗄늨뚯, 돉붻솿뗄럅듳믲캮쯵늻뷶뷶놻뿍맛탅쾢뗄늻뛔돆돌뛈쯹뻶뚨, 튲놻훷맛탅쾢뗄닮틬쯹뻶뚨, 쯹틔, 퓚쫐뎡훰붥맦랶, 뿍맛탅쾢엻슶릫뾪ꆢ릫헽뫳, 훷맛탅쾢뗄닮틬쓜릻퓚쒳훖돌뛈짏벤믮붻틗ꆣ 놾컄폠쿂늿럖낲업죧쿂ꎺ뗚뛾늿럖룸돶쒣탍, 쳡돶뛔훷맛탅쾢뗄뛈솿랽램, 늢쳡돶탅쾢뫶싔볙짨ꎻ뗚죽늿럖쟳돶쒣탍뗄뻹뫢뷢, 쳖싛쇋쿠맘뗄돉붻솿, 늢퓚놾컄뗄뿲볜쿂룸돶쇋컞붻틗샭싛뗄튻훖탂뗄뇭쫶ꎻ컄훐폐맘뚨샭ꆢ탔훊뗄횤쏷퓚뢽슼훐룸돶ꆣ 뛾ꆢ쒣 탍 3
뾼달튻볲떥뺭볃, 놾닺쫐뎡뗄�뢳캪튻뚨쫽솿횮막욱(럧쿕닺)뫍컞럧쿕닺, 컞럧쿕닺샻싊캪rꆣ쫐뎡훐폐솽샠춶헟ꎺ펵폐뿍맛탅쾢뗄춶헟, 볇캪Iꎭ춶헟ꎻ늻펵폐뿍맛탅쾢뗄춶헟(볇캪Uꆪ춶헟)ꆣ쇮Iꎭ춶헟뫍Uꎭ춶헟뗄뇈샽럖뇰캪w, 1-w(0ꇜwꇜ1)ꆣ뺭볃뚨틥죧쿂ꎺ 1. 욫뫃 볙짨쯹폐춶헟뚼뻟폐늻뇤뻸뛔럧쿕맦뇜쾵쫽1(CARA), 퓚듋욫뫃쿂, 춶헟뗄닺탨쟳뫍웤닆뢻컞맘, 헢뇭쏷뻹뫢막욱볛룱폫춶헟뗄닆뢻럖늼컞맘, 튲뫍쯻뗄ퟜ닆뢻쮮욽컞맘ꆣ쯻쏇뗄쿻럑뫍춶닟싔쫇ퟮ듳뮯웤짺쏼킧폃ꎺ ∞E−∑bse−g ct+s, ts=0웤훐, Et쫇쳵볾웚췻쯣ퟓ, Ct+s쫇뗚t+s웚뗄쿻럑, 볙뚨쯹폐뗄춶헟뚼듦퓚춬퇹뗄쪱볤헛뻉틲ퟓb뫍럧쿕퇡뛱닎쫽gꆣ 2. 훷맛탅쾢뫍뿍맛탅쾢 뿍맛탅쾢ꎺ뛔뿍맛탅쾢뗄뛈솿, 컒쏇죔좻닉폃Wang뗄랽램ꎺ막욱뗚t웚뗄뫬샻ꆣ쎿럝막욱퓚쪱뿌t횧뢶뫬샻Dt, 뫬샻싺ퟣ틔쿂맽돌ꎺ D=F+eD,tt, t (1) 웤훐Ft싺ퟣAR(1)맽돌 F=ae 01 (2) tFFt−1+F ≤a≤, tF헢샯F쫇뫬샻뗄훷쳥etD, e쫇뛀솢춬럖늼(i, i, d), 쫇뛔D뫍F뗄룷ퟔ돥믷ꆣ , tF, ttt훷맛탅쾢ꎺ퓵퇹뛈솿훷맛탅쾢쓘ꎿ컒쏇쳡돶죏춬틲ퟓ뗄룅쓮ꆣ쯹캽죏춬틲ퟓ쫇횸춶헟퓚믹폚뛮췢쫕틦에뛏횮짏뗄퓚쒳튻볛캻짏뛔쒳막욱뗄돖폐(싲죫)믲싴돶뗄틢풸돌뛈, 쫇튻쯦믺뇤솿ꆣ볇캪G쪱뇭쏷춶헟퓚쿖볛캻짏볡돖돖폐(싲t (-1ꇜG t ꇜ1), 떱G캪+1t죫)룃막욱, G캪-1쪱뇭쏷춶헟퓚쿖볛캻짏볡돖싴돶룃막욱, 헽쫽뇭쏷춶헟폻돖폐(싲t죫)룃막욱, 뢺쫽퓲쿠랴ꆣ0퓲뇭쪾춶헟뒦폚튻훖췪좫맛췻ힴ첬ꆣG풽듳, 춶헟싲죫돖폐t룃막욱뗄틢풸풽잿쇒ꆣ 훷맛탅쾢럖캪솽샠ꆣ튻샠쫇횪쟩붻틗헟뗄, 볇캪Siꎻ튻샠쫇캴횪쟩붻틗헟뗄, 볇캪SuꆣttSi럾듓쿂쇐맽돌ꎺ tSi=Gi+ie, (3) ttst 웤훐i, G싺ퟣAR(1)맽돌 t Gi=ai) 1+e 0≤≤1 (4tGGait−Gi Gittt춬퇹u, S럾듓맽돌 t Su=Gu+u e, (5) ttst웤훐 Gu=auGu−1+eGu 0≤aGu≤1 (6) tGt ttt헢샯Gii, Gu쫇SiSu, 뗄훷쳥, e , euttttG , e, esti stGu쫇룷ퟔ뗄룶쳥뗄돥믷ꆣ쫇뛀솢춬럖 tt늼ꆣ 4
3. 탅쾢뷡릹 쯹폐춶헟듓틑쪵쿖뫬샻뫍막욱볛룱뇤뮯훐믱좡탅쾢i, 쿖퓚쫐뎡뗄탅쾢냼삨F, G, ttGuꆣIꆪ춶헟펵폐FꆢGi, Uꆪ춶헟쫕떽듸퓫틴뗄탅뫅ꎻ춬퇹Uꆪ춶헟펵폐Gu, Iꆪtttt춶헟퓲횻쓜쫕떽헢샠탅쾢듸퓫틴뗄탅뫅ꆣ 뛔탅쾢춶헟뛸퇔, 쯻쯹맘힢뗄탅뫅캪Guꆣ뫳쏦붫튪횤쏷퓚놾컄뗄볙짨쿂, 탅쾢춶t헟쓜릻헽좷뗘쳡좡탅뫅Guꆣ뛔럇탅쾢춶헟뛸퇔, 쯻쯹맘힢뗄탅뫅캪FꆢGiꆣ뫳쏦붫튪ttt횤쏷퓚놾컄뗄볙짨쿂, 헢솽헟횮볤듦퓚튻훖쳦듺맘쾵, 틲뛸탅뫅뇣췋뮯캪튻룶ꆣ K=F+e, (7) ttK,t볇JiJu, 럖뇰쫇Iꆪ춶헟, Uꆪ춶헟퓚쪱뿌t쯹펵폐뗄탅쾢벯, 퓲 ttJi={D,P,F,Gi,Gu|S≤t} (8) tsssss Ju={D−1,P−1,F1,Gu,K|S≤t}. (9) tsss−ss 헢샯볙짨뺭볃뗄돵쪼뗣캪−∞, 쯹폐춶헟뗄쿈퇩럖늼뚼쫇헽첬럖늼ꆣ릫릲탅뫅뗄ힼ좷돌뛈뻶뚨ퟅIꆪ춶헟뫍Uꆪ춶헟뗄탅쾢늻뛔돆뗄돌뛈ꆣ헢샯컒쏇폃뛔펦뗄킭랽닮헳살뛈솿탅뫅(쾢)뗄늻뛔돆돌뛈ꆣ 힢틢떽(8), (9)쪽춬췵붭(Wang, 1994)컄훐뗄솽샠붻틗헟뗄탅쾢벯쿠뇈, ퟮ훷튪뗄룄뇤뻍퓚폚놾컄훐캴횪쟩붻틗헟뗄탅쾢벯늻퓙쫇횪쟩붻틗헟탅쾢벯뗄ퟓ벯ꆣ평폚솽샠붻틗헟펵폐룷ퟔ뗄훷맛탅쾢, 놾컄훐솽샠붻틗헟뗄탅쾢벯뻍뇤돉튻훖붻닦맘쾵ꆣ 4. 럖늼볙짨 볙짨쯹폐뗄돥믷iu, eD, ee, tF, e ,e, G , e, e, 쟒캪솪, tststi Gu Kt럾듓뛀솢춬럖늼tt뫏헽첬럖늼(룃볙짨쫇캪쇋쫽톧짏뗄볲틗) 뚨틥ꎺ돥믷Tiue =(ee, e ,e, e etD, , tF, tstG ,sti Gu, e) Kttte~N(0,∑) 헢샯∑쫇돥믷뗄킭랽닮헳 t5. 뺭볃뗄뷡릹쫇릫릲횪쪶ꆣ 6. 쫐뎡붻틗돉놾캪0, 막욱쫇붻틗쫐뎡짏캨튻횤좯ꆣ 7. 탐캪볙짨ꎺ탅쾢뫶싔볙쮵 평폚솽샠춶헟퓚쫐뎡훐뗄늻뛔뗈뗄뗘캻, 럇탅쾢춶헟캪쇋맦뇜늻뇘튪뗄럧쿕, 퓚쳡좡쫐뎡탅뫅쪱ퟜ쫇폐틢믲컞틢뗘뫶싔ퟔ벺뗄틢풸, 벴퓚뛔쫐뎡캢맛튪쯘뷸탐풤웚쪱폐틢믲컞틢뗘뫶싔ퟔ벺뗄훷맛탅쾢ꆣ떫퓚붻틗쪱쯻믡뷡뫏풤웚뫍룶죋뗄훷맛탅쾢뷸탐ퟮ듳뮯닟싔ꆣ퓚럇뛔뗈늩�훐, 헢쫇튻룶웕춨뗄ꆢ듳훚뮯뗄탐캪ꆣ샽죧ꎺ쒳튻늩쪿뇏튵짺퓚죋솦쫐뎡짏쟳횰, 퓚믘듰폃죋떥캻뗄킽뷰튪쟳쪱, 헢쪵볊짏쫇튻룶뛔뛔랽킽뷰횧뢶틢풸뗄풤웚ꆣ튲탭룃늩쪿뇏튵짺뗄룶죋웚췻쓪킽캪15췲, 떫떱쯻횪뗀죋솦쫐뎡짏늩쪿뇏튵짺뗄욽뻹쓪킽캪12췲풪쪱, 쯻캪쇋믘뇜쪧좥헢럝릤ퟷ뗄럧쿕, 쯻뗄믘듰췹췹쫇12췲풪, 벴뛔뛔랽횧뢶틢풸뷸탐풤웚쪱뫶싔쇋룶죋뗄훷맛풸췻ꆣ떫퓚쪵볊릤ퟷ훐, 죧맻쯻뛔킽뷰싺틢쯻뻍믡헽뎣릤ퟷ, 럱퓲쯻뻍믡쿻벫떡릤믲톡퓱쳸닛ꆣ폖죧퓚벯좨짧믡샯, 쿂벶폫짏벶뗄뗘캻늻뛔뗈, 룶죋뛔ퟔ벺뗄릤ퟷힴ뿶움볛췹췹틔짏벶뛔ퟔ벺뗄움볛캪ힼꆣ퓚쪵볊릤ퟷ훐, 쯻믡룹뻝룶죋뗄ힼ퓲톡퓱쯦늨훰쇷믲놣돖ퟔ벺뗄닙쫘ꆣ뾭뛷쮹뗄톡쏀늩�훐뺡맜룶죋뚼폐웤룷ퟔ뗄짳쏀뇪ힼ, 떫쯻뾼싇뗄좴쫇 1 룃볙짨쫇캪쇋쪹뗃쒣탍뷢듦퓚ꆣ 5
웤쯻죋뗄움에뇪ힼꆣ뮻퇔횮, 쯻퓚뛔뷡맻풤웚쪱뫶싔쇋룶죋뗄훷맛탅쾢ꆣ 룃볙짨뗄쳡돶쫇놾컄뿲볜뗄믹뒡횮튻ꆣ쯼볈쫇캪쇋볲뮯놾컄쒣탍뗄췆떼, 튲쫇캪쇋쏨쫶뷰죚쫐뎡훐캴횪쟩붻틗헟뗄탄샭탐캪ꆣ쯼쯹뇭듯뗄쫇캴횪쟩붻틗헟뗄풤웚룺럧, 뛸럇탐캪룺럧ꆣ캴횪쟩붻틗헟퓚뷸탐붻틗뻶닟쪱룹뻝뛔뿍맛탅쾢뗄풤웚뫍ퟔ벺뗄훷맛탅쾢뷸탐뻶닟ꆣ 죽ꆢ뻹 뫢 쿖퓚컒쏇뾼싇뚨틥짏튻뷚뗄뺭볃쒣탍횮뻹뫢ꆣ 퓚듋쒣탍훐, 쎿튻캻춶헟뚼뻟폐탅쾢�뢳, Iꆪ춶헟쯹펵폐뗄쫇뫬샻(뿍맛탅쾢)뫍쯻쏇뗄훷맛탅쾢, Uꆪ춶헟뗄펵폐뗄퓲쫇ퟔ벺뗄훷맛탅쾢, 쯻쏇뇋듋뚼솦춼듓틑쪵쿖뫬샻볛룱뇤뮯훐쳡좡뛔랽뗄탅쾢ꆣ쯻쏇뛔쫐뎡뗄펰쿬쫇늻춬뗄ꆣ ퟮ볲떥뗄쟩탎쫇쒳훖뛔돆뗄쟩탎ꆣ떱막욱뗄캴살뫬샻쇷늻듦퓚죎뫎늻좷뚨탔쟒늻듦퓚훷맛탅쾢쪱(믲죏춬틲ퟓ캪0), 막욱췪좫뗈춬폚쾢욱, 볛룱ퟔ뚯뗷헻떽췪좫랴펦막욱뫬샻뗄쮮욽ꆣ볛룱뻍쫇캴살뫬샻퓚컞럧쿕샻싊r헛뻉쿂뗄쿖횵 ∞∑+−1(1r)F+=aFꎬ (10) tttt=1 웤훐a=aF/(R−aF)ꆣ 쿂쏦뾼달쫐뎡듦퓚탅쾢늻뛔돆쪱뗄쟩탎ꎺ (튻)춶헟뗄탅쾢풤웚 떱쫐뎡듦퓚늻뛔돆뗄쪱뫲, 평쒣탍볙짨뫍뺭볃뗄믹놾ힴ첬뇤솿캪Fi, GGu, ꆣF뻶뚨tttt뫬샻쫕틦쇷, GiꆢGu뻶뚨춶헟뗄붻틗틢풸, 헢킩뇤솿뚼펰쿬헻룶쫐뎡볛룱ퟟ쿲ꆣ평폚퓚tt늻췪좫쫐뎡쿂탅뫅늢늻쓜랴펦탅쾢뗄헦쪵ힴ첬, 쯹틔탅쾢뗄헦쪵ힴ첬늢늻캪쫐뎡뗄쎿튻캻춶헟쯹횪쿾, 쎿튻샠춶헟뚼횻쓜듓쫐뎡뗄탅뫅훐살쳡좡(풤웚)뛔랽뗄탅쾢�뢳ꆣ틲뛸, Fi, GGu, 늢늻쓜췪좫룅삨뺭볃뗄ힴ뿶, 뺭볃(쫐뎡)뗄ힴ뿶뮹틀삵폚튻랽뛔쇭튻랽뗄탅쾢ttt풤웚ꆣ닺쫐뎡뗄뻹뫢볛룱튲쫇죧듋ꆣ 룸뚨 Ji={D,P,F,GiGu,|S≤t} tsssss Ju={D−1,P−1,F1,Gu,K|S≤t} tsss−ss uj={D−1,P−1,F1,K|S≤t}. tsss−s평탐캪볙짨뿉횪ꎺ탅쾢춶헟룹뻝탅쾢벯Ji뷸탐풤웚, 럇탅쾢춶헟룹뻝uj뛸럇Ju뷸ttt탐풤웚ꆣ힢틢떽폐uij⊂Jꆣ tt볇∧F=Eut[Fu]Gˆi=EuGiuuiui|j, [|j]Gˆ ,=E[G|J]., ttttttttttt 뚨샭1 뚨틥퓚뗚쯄뷚뗄뺭볃폐튻컈첬샭탔풤웚뻹뫢볛룱ꆣ뻹뫢볛룱캪ꎺ ∧∧P=−P+(a−p)Fˆ0+pF+cGi+dGi+eGu+u. (11) tFfGtFttttt웤훐, P0ꆢPFꆢcꆢdꆢeꆢf캪쒳튻뎣쫽, 뻹듳폚쇣ꆣ 6
뚨샭2 뚨샭1훐뗄뻹뫢볛룱뿉볲뮯캪ꎺ P=−P+a−p)Fˆ0(+pF+cGi+dGu. (12) tFtFttt횤쏷ꎺ볻뢽슼 평뚨샭1폫뚨샭2뗄뗈볛탔쮵쏷ꎺ뺡맜뷰죚쫐뎡훐듦퓚훷맛탅쾢ꆢ뿍맛탅쾢벰춶헟뛔웤뗄룷ퟔ풤웚, 떫헢킩뇤솿늢럇뛀솢뗄ꆣ볛룱뻹뫢쯹뒫뗝뗄탅뫅뷒쪾쇋헢킩뇤솿뗄쿠뮥맘쾵ꆣ 횵뗃힢틢뗄쫇, 퓚횤쏷맽돌훐폃떽쇋탐캪볙짨ꆣ퓚듋볙짨쿂, 놾컄쒣탍쫇럱믡췋뮯캪 Wang(1994)컄뗄쒣탍쓘ꎿ튲뻍쫇쮵, 떱놾컄훐뗄럇탅쾢붻틗헟퓚뷸탐풤웚쪱뫶싔룶죋뗄훷맛탅쾢쪱, 놾컄뗄럇탅쾢붻틗헟쫇럱샠춬췋뮯캪Wang컄훐뗄럇탅쾢붻틗헟쓘ꎿ헢솽훖쟩탎쫇늻춬뗄ꆣ놾컄훐뗄럇탅쾢붻틗헟횻쫇퓚풤웚쪱뫶싔룶죋뗄훷맛탅쾢, 떫웤훷맛탅쾢늢캴쿻쪧, 죔좻쫇뛀솢폚웤쯻뇤솿뛸듦퓚뗄ꆣ뛸쟒, 럇탅쾢붻틗헟뗄훷맛탅쾢뛔뻹뫢볛룱닺짺펰쿬ꆣ쪽(12)쮵쏷, 뻹뫢볛룱쫇폫붻틗틢풸쿠맘뗄, 럇탅쾢붻틗헟뗄붻틗틢풸풽룟, 뻹뫢볛룱튲풽룟ꆣ 퓚뻹뫢볛룱훐, −P0쫇쏖늹컞럧쿕샻싊r뗄쫕틦, 평폚컞럧쿕샻싊캪r, 쯹틔춶헟쾣췻춨맽붵뗍막욱볛룱살쏖늹컞럧쿕샻싊뗄쯰쪧ꆣFꆢFˆ캪막욱뗄믹놾쏦벰뛔웤뗄풤웚, GiꆢtttGu쫇막욱뗄벼쫵쏦, 펰쿬춶헟횮닙ퟷꆣ평폚틽뷸쇋훷맛탅쾢, 컒쏇뫜죝틗뷢쫍막욱뗄볛t룱캪쪲쎴믡뺭뎣욫샫웤믹놾볛횵(뫬샻)뛸탎돉뗍맀뫍룟맀, 헢쫇평솽랽쏦틽웰뗄ꎺ(1)뛔F뗄t풤웚ꆣ떱뛔F뗄풤웚듳폚믲킡폚F뗄쪵볊쟩탎쪱, 쯼믡틽훂튻뚨돌뛈뗄막욱볛룱뗄룟맀믲tt뗍맀, 떫헢늢늻쫇룟맀믲뗍맀뗄좫늿ꎻ(2)떱웚죏춬틲ퟓ뗄럻뫅ꆣ떱죏춬틲ퟓ뚼듳폚쇣쪱, 막욱볛룱튻슷짏짽, 죧맻막욱볛룱떽듯웤믹놾볛횵(뫬샻)쪱, 죏춬틲ퟓ죔좻뚼듳폚쇣, 퓲탎돉룟맀ꆣ랴횮, 퓲믡탎돉뗍맀ꆣ뫬샻뫍죏춬틲ퟓ뗄릲춬ퟷ폃릹돉쇋룟맀뫍뗍맀뗄훖훖탎첬ꆣ헢뻍쫇캪쪲쎴춬퇹뗄막욱, 춬퇹뗄튵벨퓚늻춬뗄쪱볤좴폐늻춬뗄볛룱, 짵훁믡쫇룟맀믲뗍맀ꆣ 뿉틔뾴떽뻹뫢볛룱쫇훷맛탅쾢뫍뿍맛탅쾢뗄쿟탔탎쪽, 탅쾢춶헟뫍럇탅쾢춶헟뛔탅쾢뗄풤웚뚼뷸죫쇋볛룱몯쫽, 쯹틔쫐뎡돶쟥볛룱늢쎻폐췪좫뷒쪾쫐뎡뗄좫늿탅쾢(뫅)ꆣ틲뛸, 탅쾢늻뛔돆죔듦쇴폚뻹뫢훐ꆣ (뛾)럇탅쾢춶헟뗄탅쾢풤웚 평짏쏦뗄횤쏷뿉횪, 탅쾢춶헟쓜릻헽좷뗘쳡좡탅뫅뛸탎돉뛔럇탅쾢춶헟뗄훷맛탅쾢뗄풤웚ꆣ쯹틔, 쫐뎡훐훷튪쫇럇탅쾢춶헟믹폚뫬샻ꆢ틑쪵쿖뫬샻ꆢ볛룱ꆢ쫐뎡탅뫅뗈튪쯘뷸탐쳵볾웚췻ꆣ쳘뇰뗘, 듓떱웚볛룱훐, 럇탅쾢춶헟뿉틔췆뛏쿂쪽ꎺ p+iFFcG≡Φ. ttt헢쫇평폚∧P=−Pu0+(a−pF)Ft+Φ+dG, 쟒F,ˆGu럖뇰쫇쯻쏇ퟔ벺뗄웚췻뫍죏춬틲tttttퟓꆣ쯹틔, Φ듺뇭떱웚뗄뻹뫢볛룱탅쾢쓚죝ꆣ t컒쏇틑뺭볙뚨F,G뻹럾듓룟쮹맽돌ꆣ뛸쟒뫬샻ꆢ릫릲탅뫅ꆢ뻹뫢볛룱뚼쫇헽첬럖늼퓫tt틴쿂뗄F,Gi뗄쿟탔탅뫅ꆣ tt탔훊튻 룸뚨 Ji={DPFGiGu,,,,|S≤t} tsssss 7
u J={DPFGuKSt} ts−1,s−1,s−1,,|≤ ss uj={D1,P1,F1,KS≤t} ts−s−s−|s 볇∧F=Eut[Fu|j], Gˆi=Eu[Giu|j] , ttttttt퓲∧∧Ft, Gi, 쫇평쿂쏦뗄Kalman싋늨컊쳢쯹뻶뚨ꎺ t ˆK−Eu−[K]1tFEutt[F]tt−1t=+MD−EuDˆ (13) GiEu[Gˆ1[],i]tt−ttt−1tEuΦ−1[Φ]tt−t웤훐M쫇튻2ꇁ3뻘헳ꆣ 쯹캽싋늨컊쳢쫇횸춨맽틑횪뗄ힴ첬뇤솿(탅뫅)샺쪷살췆떼돶탅뫅뗄쳵볾럖늼ꆣ퓚쒿잰볙짨쿂뗄싋늨컊쳢뻍쫇Kalman싋늨컊쳢ꆣ 횤쏷ꎺ볻Wang(1994ꎺ- 160, Appendix A., Theorem 1)ꆣ 틾님퓚룃싋늨랽돌뫳뗄횱뻵쫇볲떥뗄ꆣ폒뇟뗄뗚튻쿮룸돶쇋쯹폐춶헟믹폚잰웚탅쾢쿂뗄웚췻ꎻ폒뇟뗚뛾쿮룸돶쇋춶헟믹폚탂탅쾢쿂뗄뗷헻, 헢훖뗷헻쫇믹폚탂뻉탅쾢뗄닮틬돌뛈뗄ꆣ튲뻍쫇쮵, 춶헟솦쟳뛔탅쾢풤웚뗄욽뮬ꆢ샭탔뮯ꆣ뇈죧쒳튻릫쮾잰웚튵벨짐병, 뿉놾웚튵벨쿂뮬, 퓲럇탅쾢춶헟뛔룃막욱튵벨뗄풤웚늢늻믡솢벴쟷폚놯맛, 뛸쫇퓚잰웚탅쾢뗄믹뒡짏춨맽튵벨쿂붵뗄럹뛈살뗷헻쯻뗄풤웚ꆣ 볇Θ≡Fˆ−F,퓲Θ뇭쪾럇탅쾢춶헟뛔뫬F뗄맀볆컳닮ꆣ퓲뿉틔횤쏷Θ럾듓튻룶튻뷗ttttttퟔ믘맩맽돌ꎺ Θ=ae, (14) tΘΘt−1+Θ,t웤훐eΘ쫇믹놾돥믷e뗄쿟탔ퟩ뫏, 쟒0ꇜ a,ttΘ< 1(볻Wang, 1994ꎺ pp. 158- 160, Appendix A, Theorem 1)ꆣ (죽)뎬뛮쫕틦싊 룸뚨짏쏦뻹뫢볛룱뫍춶헟뗄쳵볾웚췻, 컒쏇뿉틔췆떼돶춶헟뛔막욱뗄캴살쫕틦뗄풤웚ꆣ막욱뎬뛮쫕틦싊캪ꎺ Q+1=P+1−RP+Dttt+1 (15) t∧P=−P+a−pF+pF+cGi+dGut0(F)tF. (16) ttt 듺죫헻샭뿉뗃ꎺ Qi+1=e0+e1G+ue2G−eΘΘ+kttttqeQ, (17) ,t+1웤훐e0=rPo, e1=c(aG−R), e=i2d(aGu−R), eΘ=(R−aΘ)(a−pF), eQ,t+1쫇ttet+1뗄쿟탔ퟩ뫏ꆣ 8
뛔(13)쪽쟳쳵볾웚췻뗃ꎺ ∧ Eu[Quiu +1|j]=e0+e1G+e2G (18) ttttEi[Q+1|Ji]=e+eGi+eGˆu012−eΘΘ . (19) ttttt짏쪽뗄뷡싛뫜횵뗃믘캶, 뛔폚럇탅쾢춶헟뛸퇔, 쯻쯹믱뗃뗄뎬뛮쫕틦폫뫬샻늢컞횱뷓뗄솪쾵, 뛸쫇폫탅쾢춶헟뗄붻틗틢풸뫍ퟔ벺뗄닙ퟷ쫖램(붻틗틢풸)쿠맘ꆣ뫬샻뗄ퟷ폃횻쓜쫇볤뷓뗘퓚튻뚨돌뛈펰쿬춶헟뗄붻틗틢풸ꆣ헢퓚쒳훖돌뛈짏횧돖쇋쫐뎡벼쫵럖컶퇐뺿뗄쮼슷ꆣ쫐뎡벼쫵럖컶엉죋쪿죏캪ꎺ뛔막욱뗄냑컕, 훷튪쫇풤닢웤볛룱ퟟ쫆, 룃막욱쿖퓚뗄볛캻(쓚몬뫬샻)퓲뒦폚듎튪뗄뗘캻ꆣ (죽)ퟮ폅돖폐ퟩ뫏 룸뚨짏쫶뻹뫢볛룱뫍뎬뛮쫕틦싊, 컒쏇뿉틔쟳돶춶헟뗄ퟮ폅돖폐ퟩ뫏ꆣ 뚨샭3 볇Wu캪럇탅쾢춶헟퓚t웚뗄닆뢻Cu, 쫇쯻(쏇)퓚t웚뗄쿻럑u, X쫇쯻(쏇)ttt퓚t웚뗄막욱돖폐솿ꎺuI쫇웤횵몯쫽, 쯻(쏇)뗄ퟮ폅뮯컊쳢쫇 ∞umaxse−rC=[−b+uIE∑ts|j] (20) ts=0쪹뗃 Wu1(WuCu)RXu+=−+Q+1. (21) ttttt 쯼폐쿂쇐뷢ꎺ utuui I(⋅)=−bexp{−aW−V[G,Gu]} ttt11uCu∂I=−ln(−) tgg∂W (22) Xu11 =ΓuEQuu[+1|j]−h( ⋅, ⋅,). tattax웤훐a=rVu( ⋅,⋅쫇뛾듎탍몯쫽u, Γ쫇헽gR, )뚨뎣쫽헳, hux( ⋅, ⋅,)쫇쿟탔몯쫽ꆣ2 뚨샭4 볇Wi캪탅쾢춶헟퓚t웚뗄닆뢻, Ci쫇쯻(쏇)퓚t웚뗄쿻럑ꆣXi쫇쯻(쏇)ttt퓚t웚뗄막욱돖폐솿ꎺiI쫇웤횵몯쫽, 쯻(쏇)뗄ퟮ폅뮯컊쳢쫇 ∞=max[bse−rCiiIE−∑t+s|J] (23) ts=0쪹뗃 Wi+1=(Wi−CiRXi)+Q. (24) ttttt+1 쯼폐쿂쇐뷢ꎺ ∧itiii I(⋅)=−bexp{−aW−VFu[t,F,G,G] tttt11∂iCIi=−ln(−W), (25) tgg∂ 2 캪쇋믱뗃ퟮ폅뷢, 튻룶Merton샠탍뗄뫡뷘쳵볾쫇뇘탫뗄ꆣ벴Lim→∞E[I(W+;Ψ+;t+s)]=0ꆣ sttsts 9
쟒 11Xi=ΓiEQJi[1|]−hi+(⋅, ⋅, ⋅, ⋅,). tattax웤훐a=r, Vi(⋅, ⋅, ⋅, ⋅)쫇뛾듎탍몯쫽i, Γ쫇헽뚨뎣쫽헳, higRx(⋅, ⋅, ⋅, ⋅)쫇쿟탔몯쫽ꆣ3 횤쏷ꎺ볻뢽슼ꆣ (쯄)돉붻솿 룸뚨춶헟뗄붻틗닟싔, 컒쏇뫜죝틗쯣돶뻹뫢붻틗솿ꆣ헢샯, 컒쏇냑쯹폐랢탐뗄막욱ퟜ뛮뇪ힼ뮯캪1ꆣ쯹틔, 헢샯뗄돉붻솿쪵볊짏횸뗄쫇붻틗럝뛮햼쯹폐랢탐뗄막욱ퟜ뛮뗄뇈싊ꆣ 퓚떱잰뗄쒣탍쿂, 횻폐솽샠춶헟, 쯹폐뗄붻틗랢짺퓚쯻쏇횮볤ꆣ평폚쫐뎡돶쟥, 붻틗솿뿉틔춨맽죎튻샠춶헟뗄돖폐뗄막욱뗄럝뛮뗄뇤룼살볆쯣ꆣ캪쇋볲떥웰볻, 헢샯닉폃럇탅쾢춶헟뗄붻틗솿ꆣ V=uu(1−w)X−Xttt−1= −wuiuuu(1)f1(Gˆi−Gˆ−1)+f2(G−G)tttt−1. (26) 럇춶헟뗄붻탅쾢틗뚯믺살ퟔ솽랽쏦ꎺ튻쫇쯻쏇뛔탅쾢춶헟뗄돖폐틢풸뗄풤웚뗄뇤룼ꆣ떱럇탅쾢춶헟쳡좡쫐뎡탅뫅뛸탎돉뛔탅쾢춶헟뗄돖폐틢풸뗄풤웚뗄뇤룼쪱(춬짏튻웚쿠뇈뗄룟뗍뇤뮯), 쯻쏇뻍믡룹뻝듋뇤뮯뷸탐막욱돖폐춷듧뗄뇤뮯ꆣ뛾쫇쯻쏇ퟔ벺놾짭뗄돖폐틢풸뗄뇤뮯ꆣ헢춬퇹믡틽웰막욱돖폐춷듧뗄뇤뮯ꆣ 짏쪽뗄뷢컶탎쪽폫Wang 컄샠쯆, 떫쯻쏇뗄뺭볃몬틥퓲폐쯹늻춬ꆣWang컄훐뗄돉붻솿살ퟔ럧쿕뛔돥쯹틽훂뗄춶ퟩ뫏뗄뇤룼뫍럇탅쾢춶헟뛔탅쾢춶헟춶믺믡뗄풤웚뗄닮틬ꆣ헢훖뚯믺살ퟔ쫐뎡췢늿튪쯘뗄돥믷ꆣ놾컄훐뗄탅쾢튪쯘쓚짺폚쫐뎡, 돉붻솿늻뷶살ퟔ뛔뛔랽붻틗틢풸뗄풤웚뗄뇤뮯, 튲뫍ퟔ벺뗄붻틗틢풸뗄뇤뮯쿠맘ꆣ 횵뗃힢틢뗄쫇ꎺ떱(Gu−Gu)tt−1폫Gi−Gi(ˆˆ−)췪좫헽쿠맘쪱tt1, 룃쟩탎뇣췋뮯돉Wang컄훐뗄쟩탎(볻Wang, 1994ꎺ, formula (23))ꆣ듋쪱, 럇탅쾢붻틗헟뗄붻틗틢풸뗄뇤룼췪좫평뛔탅쾢붻틗헟뗄붻틗틢풸뗄풤웚뇤룼쯹뻶뚨, 벴럇탅쾢붻틗헟쫇췪좫룺럧뗄ꆣ평듋뿉볻, Wang컄훐뗄쟩탎쫇튻훖췪좫룺럧뗄쟩탎, 쫇놾컄뗄튻룶쳘샽ꆣ컒쏇뿉틔붫Wang컄훐뗄쟩탎샭뷢캪탅쾢붻틗헟뗄훷맛탅쾢쫇폫춶믺믡돉췪좫헽쿠맘뗄뇤솿, 뛸럇탅쾢붻틗헟쫇췪좫룺럧뗄쪱뗄쟩탎ꆣ떱럇탅쾢춶헟늢럇췪좫룺럧쪱, 뇣릹돉쇋룼캪뢴퓓뗄쫐뎡탐캪ꆣ (컥)컞붻틗샭싛 컞붻틗샭싛ꎺ떱쫐뎡훐뗄춶헟뗄훷맛탅쾢뫍뿍맛탅쾢췪좫뛔돆쪱, 쫐뎡뗄횤좯붻틗솿캪쇣ꆣ 횤쏷ꎺ볻뢽슼ꆣ 컞붻틗샭싛뗄잰쳡쫇춶헟쫇샭탔뗄ꆣ춶헟붻틗뗄뚯믺살풴폚탅쾢뗄늻뛔돆뫍쯻쏇뛔탅쾢뗄랴펦ꆣ떱탅쾢쫇췪좫뛸쟒뛔돆쪱, 샭탔풤웚쿂뗄뷰죚샭싛죏캪뷰죚쫐뎡횻쫇뇭쿖캪볛룱뗄늨뚯뛸늻냩쯦ퟅ돉붻솿뗄랢짺ꆣ떫탭뛠쪵횤퇐뺿뇭쏷ꎺ춶헟맽뛈뗄붻틗믽벫탔틑뺭뛔 10
뒫춳쿂뗄뷰죚샭싛쳡돶쇋쳴햽ꆣ쿖듺탐캪뷰죚톧믹폚춶헟뗄룷훖탄샭ꎺ춶헟뗄맽뛈ퟔ탅ꆢ춶믺탄샭ꆢ뛔붻틗쯰쪧뗄뫳믚ꆢ짵훁컄뮯뗈튪쯘살퇐뺿쯻쏇뛔탅쾢뗄랴펦ꆣ쿖듺탐캪뷰죚톧뗄믹놾볙짨쫇춶헟쫇폐쿞샭탔뗄ꆣ 놾컄뛔컞붻틗샭싛뗄횤쏷쫇믹폚놾컄뗄볙짨횮짏뗄ꆣ놾컄쫔춼붫춶헟뗄튻킩늻췪좫샭탔뗄탄샭탅쾢룅삨캪훷맛탅쾢ꆣ놾컄횤쏷쇋뿍맛탅쾢뗄늻뛔돆틔벰춶헟뛔뿍맛탅쾢뗄풤웚뗄닮틬늢늻쫇붻틗뚯믺뗄좫늿ꆣ뿍맛탅쾢뗄뛔돆뇘좻떼훂뛔웤풤웚뗄뛔돆, 뛸떱듺뷰죚쫐뎡뗄랢햹틔벰맦퓲뗄췪짆틢캶ퟅ뿍맛탅쾢뗄죕쟷뛔돆, 헢쫇럱풤쪾ퟅ막쫐돉붻솿뗄뇘좻캮쯵쓘ꎿퟷ헟늢늻죏춬듋뷡맻뗄뇘좻탔ꆣ틲듋, ퟷ헟쫔춼틽죫훷맛탅쾢살룄뇤뒫춳뗄탅쾢뷡릹, 틔웚룼웕뇩뗘뷢쫍돉붻솿ꆣ퓚놾컄뗄탅쾢뷡릹쿂, 떱쫐뎡훐뷶뷶횻폐뿍맛탅쾢뛔돆쪱, 쫐뎡뗄돉붻솿늢늻튻뚨캪쇣ꆣ 뢽슼(튻)ꎺ뚨샭2폫뚨샭1뗄뗈볛탔뗄횤쏷 퓚뚨샭1뗄뻹뫢볛룱훐ꎺ뛔폚탅쾢춶헟, 뻹뫢볛룱뷒쪾쇋 ∧∧Π=(a−p)F+dGi+eGu, (A1) tFttt 틲캪퓚뻹뫢볛룱훐, PꆢPFꆢGiꆢGˆu쫇탅쾢춶헟틑뺭횪뗀뗄뇤솿ꆣ쯹틔폐ꎺ t0ꆢttt Π=E[Π|Ji]. tttt벴ꎺ ∧∧Π=(a−piuF)Ft+dG+eG= ttt (a−p)E[FˆJiF]+dE[Gˆu||Ji]+eE[Gu|Ji]. (A2) ttttttttt 힢틢떽럇탅쾢춶헟뗄탅쾢풤웚벯쫇탅쾢춶헟뗄탅쾢풤웚벯뗄ퟓ벯, 맊ꎺ ∧∧∧∧∧iuiu(a−pF)Ft+dG+eG=(a−pttF)Ft+dG+eG. tt쯹틔 ∧ Gu=Gu. (A3) tt 헢룶뷡맻뫜훘튪ꆣ튲뻍쫇쮵탅쾢춶헟춨맽뻹뫢볛룱뿉틔풤웚떽럇탅쾢춶헟뗄훷맛탅쾢뗄ힼ좷탅뫅ꆣ헢쫇솽샠춶헟뗄늻뛔돆뗘캻캪쪲쎴뗃틔늻뛏뚯첬퇓짬뗄풭틲ꆣ헢룶뷡맻놣횤쇋쿂튻웚훐솽샠춶헟뗄탅쾢벯뷡릹폫짏튻웚췪좫샠쯆, 튲뻍놣횤쇋탐캪볙짨뗄뚯첬튻훂탔ꆣ 춬샭, 뛔폚럇탅쾢춶헟, 뻹뫢볛룱뷒쪾쇋 ∧ pFGiu Ω=F+c+fG. (A4) tttt쯹틔, ∧ Ω=pFF+cGi+ufG=aFˆ+cGˆi+[ˆuufEG|j]. (A5) ttttttttt벴 11
aF+cGi=aFˆ+cGˆi tttt믲 aFˆ−F)=−c(Gˆi−Gi(). (A6) tttt붫( A3)쪽뫍(A6 )쪽듺죫(11)쪽벴뿉ꆣ 캪쇋랽뇣웰볻, 컒쏇붫뻹뫢볛룱탎쪽킴캪 ∧P=−Piu 0+(a−pF)Ft+pF++. tFcGdGttt(#) 뢽슼(뛾)ꎺ뚨샭죽뗄횤쏷 횤쏷ꎺ ∧Eu[Quiu+1|j]=e0+e1G+e2G tttt∧쇮yu=GiGu(1,,)캪럇탅쾢춶헟뗄ힴ뿶뇤솿ꆣ퓲쿲솿yu럾듓쿂쇐AR(1)맽돌 ttttyu=auuuyy−1+bye. (A7) ttt웤훐, aubuy,y뿉평볲떥뗄볆쯣쟳돶, e쫇뛔펦뗄돥믷ꆣ t볇uV+1=Q+1캪럇탅쾢춶헟뗄쫕틦쿲솿, 퓲 ttuuuV+1=eVy+bttVe. t+1 (A8) eV, bV뿉평뎬뛮쫕틦쪽(22)쟳돶ꆣ 쪹폃헢킩볇뫅, 럇탅쾢춶헟ퟮ폅컊쳢뿉틔폃쿂쏦Bellman랽돌살뇭듯ꆣ 0=max{−bte−gct+E[uI(W+1;y+1)|J]−I(W;y;t)} (A9) tttttX,c쪹뗃 W+1=(W−c)R+XuV. ttttt+1 뾼싇쿂쏦횵몯쫽뗄쫔퇩뷢ꎺ ΠWTy=−bte−aW−1/2yvy(ttt;;t) (A10) tt 웤훐v쫇튻3×3뎣쫽뛔돆헳ꆣ뚨틥 =Taayyb=TTvavavbbyvbyvab=ayvbyΩ=(∑−1−1,,,+vbb), −1Γ=(bVΩbTV)g=eVΩvTabd=Ω−1∑−1/2,,'||.웤훐짏뇪T뇭쪾훃ꆣ 횱뷓뗄볆쯣뿉횤쏷ꎺ E[ΠJu]=−dbt+1+1|exp[−aR(W−c−aΨT)gTXtttttt +a2 1/2XTΓ−1X−1/2ΨT(v−vΩvT aaabab)Ψ]ttttퟮ폅춶쿻럑닟싔몯쫽뗄튻뷗쳵볾캪ꎺ 1X=KVyK=ΓT,(ebvtatVV−VΩab) (A11) aRc=c+W1+ΨTmΨ,m=v−vΩvT+gTg, RtaaababΓtttg+a2(g+aR) 12
쟒1g c=ln. g+aRabRd붫ퟮ폅쿻럑ꆪ춶닟싔듺믘Bellman랽돌, 컒쏇뗃떽ꎺ arg1=,c=−ln(rbd),R gR 1exp−1/2ΨTmr−v+gc+lni11Ψ=1. tRRt헢샯(3,3), i11쫇튻룶3×3횸쫽뻘헳ꆣ헢퇹뻍뗃떽쿂쇐맘폚v뗄랽돌ꆣ 1mr−v+gc+lni11=0. 1+r1+r힢ꎺ튻룶횸뇪뻘헳(m,n)i쫇튻룶m×n뻘헳, 웤풪쯘{i,j}쫇1뛸웤쯼풪쯘캪0ꆣ ij샽죧ꎺ 1 0(2,2)i11=. 0 0헢킩랽돌벯뗄뷢뻶뚨쇋v, 튲뻍췪좫뻶뚨쇋횵몯쫽뫍ퟮ폅춶ꆪ쿻럑닟싔몯쫽, 평랽돌(34)컒쏇뿉틔붫럇탅쾢춶헟뗄ퟮ폅ퟩ뫏훘킴캪ꎺ 11X=ΓE[V+1|V]−hy,h=ΓbΩvT . tattatVab (A12) 뚨샭4뗄횤쏷뫍뚨샭3췪좫쿠쯆ꆣ 뢽슼(죽)ꎺ뚨샭2뗄횤쏷ꎺ 평뚨샭3뫍뚨샭4, 컒쏇붫춶헟뗄막욱ퟮ폅돖폐솿뇭듯캪 Xi=iiiiuif0+f1G+f2G+f (A13) ttt3Θ tXu=u+uiuuf[f]′Gˆ[f]′01+2G . (A14) ttt붫(16)쪽듺죫(37)쪽뗃ꎺ Xu=uuf0+f1Gi+uuuf2G+fA15) ttt3Θ. (t 웤훐쯹폐뎣쾵쫽iiiiuuuuf0,f1,f2,f3,f0,f1,f2,f3,뻹캪e(i=0,1,2,Θ)뗄쿟탔ퟩ뫏ꆣ i캪쇋췆떼뻹뫢쪱뗄볛룱몯쫽, 막욱쫐뎡뇘탫돶쟥ꆣ평(A13)뫍(A15)뗃ꎺ 1=wXi+(1−w)Xu=w(i0+ii1+iuiffGf2G+f3Θ)+ttttt −wuuiuuu (1) ( f0+f1G+fG+fΘ).t2t3t 헢뻍뗃떽쇋 wif0+(1−wu)0=1, wi1+(1−wuff)f1=0 (A16) wi2+(1−wu)2=0,wi3+(1−wufff)f2=0. 붫iiiiuuuuf0,f1,f2,f3,, f0,f1,f2,f3,뚼뇤뮻돉e뗄뇭듯쪽, 뇣뗃떽쇋튻ퟩ맘폚e뗄랽돌iiퟩꆣ힢틢떽랽돌ퟩ뗄룶쫽뫍캴횪솿뗄룶쫽쫇쿠뗈뗄, 쯹틔컒쏇죏캪룃랽돌ퟩ폐캨튻뷢ꆣ 평폚e뫍PꆢPꆢdꆢ뗄i0Fꆢcꆢd쿠닮튻룶싺훈뇤뮻헳, 쯹틔헢뇣뗃떽P0ꆢPFꆢc튻ퟩ캨튻뷢(평폚컒쏇쎻폐쟳돶랽돌뗄럖컶뷢, 뛸쫇폃쫽ퟖ볆쯣뗄랽램쟳돶Xi, Xu뗄뇭듯tt 13
쪽, 쯹틔컒쏇컞램뛔듺쫽랽돌(39)뗄쾵쫽헳뷸탐뺫좷뗄쳖싛, 횻쓜돩쿳뗘죏캪랽돌ퟩ뗄룶쫽뫍캴횪솿뗄룶쫽쿠뗈뇣듦퓚뷢, 헢쪱퓚늻췪좫탅쾢쿂닺뚨볛쒣탍쯹쏦쇙뗄쫽톧삧쓑횮튻)ꆣ 뢽슼(쯄)ꎺ컞붻틗샭싛뗄횤쏷 떱쫐뎡뷡릹췪좫뛔돆쪱ꎺs2=0 s 뛔폚솽샠춶헟뛸퇔, 컒쏇폐ꎺFˆ=F tt평(16)쪽뗃ꎺ Gˆi=GiGˆu=Gu, . tttt 평뎬뛮쫕틦쪽(22), (23)뗃솽샠춶헟뗄뎬뛮쫕틦췪좫쿠뗈ꆣ 폖평뚨샭3ꆢ뚨샭4훐뗄(26)(29)뿉뗃ꎺ춶헟뗄막욱ퟮ폅돖폐솿뇭듯캪 Xi=iiiiuf0+f1G+f2G tttXu=uuiuuf0+f1G+f (A17) t2G. tt웤훐, iuif0≠iuf0, f1=f1, =uf2f2. 평쫐뎡돶쟥뿉횪ꎺ 1=wXi+(1−wXu). tt벴ꎺ wiiiiuuuiuu(f0+f1G+f2G)+(1−w)(ftt0+f1G+f2G)=1. (A18) tt맊 wiuf0+(1−w)f0=1, wif3+(1−wu)f3=0, wi4+(1−wuf)f4=0. (A19) 뷢횮뗃ꎺ iif3=uf3=0, f4=uf4=0. 듺죫(40)쪽, 컒쏇폐ꎺ V=0. 횤뇏ꆣ t 닎뾼컄쿗 Bagehot, W., “The Only Game in Town.” Financial Analysts Journal, 1971, 27,12-14,22. Campbell, . and A. S. Kyle, “Smart Money, Noisy Trading and Stock Price Behavior.” Review of Economic Studies, 1993,60,1-34. Copeland, . and D. Galai, “Information Effects and the Bid-Ask Spread.” Journal of Finance, 1983,38,1457-1469. 듷맺잿ꆢ컢쿩쇖,ꆶ뷰죚쫐뎡캢맛뷡릹샭싛ꆷ, 짏몣ꎺ짏몣닆뺭듳톧돶냦짧, 1999쓪ꆣ Demsetz, H., “The Cost of Transacting.” Quarterly Journal of Economics, 1968, 82, 33-53. Fama, E. F., “Market Efficiency, Long-term Returns, and Behavioral Finance.” Journal of Financial Economics, 1998,49,283-306. Garman, M., “Market Microstructure.” Journal of Financial Economics, 1976, 3,257-275. Glosten, L. and P. Milgrom, “Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders.” Journal of Financial Economics, 1985,13,71-100. Grossman, S. J., and J. E. Stiglitz, “On the Impossibility of Informationally Efficient Markets.” 14
American Economic Review, 1980,70,393-408. Harrison, H. and J. C. Stein, “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets.” Journal of Finance, 1999,6, 2143-2185. Lintner, J., “The Valuation of Risk Rssets and The Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics, 1965,47,13-37. Lucas, D. J., Asset Pricing with Undiversifiable Income Risk and Short Sales Constraints: Deepening the Equity Premium Puzzle.” Manuscript, Evanston: Northwestern University, 1991. Mankiw, N. G., “The Equity Premium and the Concentration of Aggregate Shocks.” Journal of Financial Economics, 1986,17,211-219. Mossin, J., “Equilibrium in a Capital Asset Markets.” Econometrica, 1966, 35, 768-783. O’Hara, M. and G. Oldfield, “The Microeconomics Theory.” Basil Black-well Publisher, Review of Economic Studies, 1986, 60, 1-34. Ross, S., “Arbitrage Theory of Capital Asset Pricing.” Journal of Economic Theory, 1976, 13, 341-360. 잮쏴욽ꆢ릨맢슳, ꆶ펦폃쯦벴맽돌ꆷ, 놱뺩ꎺ놱뺩듳톧돶냦짧, 1998쓪ꆣ Sharpe, W., “Capital Asset: A Theory of Capital Market Equilibrium Under Conditions of Risk.” Journal of Finance, 1964,19,425-442. Stoll, H., “The Supply of Dealer Services in Securities Markets.” Journal of Finance, 1978, 33, 1133-1151. Wang, J., “A Model of Intertemporal Asset Prices Under Asymmetric Information.” Review of Economic Studies, 1993, 60, 249-282. Wang, J., “A Model of Competitive Stock Trading Volume.” The Journal of Political Economy, 1994,102,127-168. A Model of Asset Pricing under Incomplete Information WEIMIN TANG (Wuhan University) HENGFU ZOU (Wuhan University and Peking University) Abstract This paper develops an asset-pricing model with incomplete market and asymmetric information. We introduce the distinction between subjective and objective information. A new information partition for investors has been developed based on this distinction. The two concepts are linked by the acceptance factor that measures the degree of overlapping between them. We extend Wang (1994)’s results within this new framework. In addition, the no-trading theorem is proved to be still correct under the paper’s market structureꆣ JEL Classification C60, D80, G12, 15
