뗚37뻭뗚4웚ꆡ헣붭듳톧톧놨(죋컄짧믡뿆톧냦),쓪7퓂JournalofZhejiangUniversity(HumanitiesandSocialSciences)July2007컒맺막욱쫐뎡뗄쇷뚯탔럧쿕틧볛퇐뺿믆ꆡ럥1,ퟞ킡왍2(1.짏몣붻춨듳톧뷰죚쾵,짏몣200030;2.헣붭듳톧뷰죚톧쾵,헣붭몼훝310027)[햪ꆡ튪]컒맺막욱풤웚믘놨싊훐냼몬쿔훸뗄럇쇷뚯탔늹뎥뫍쇷뚯탔럧쿕틧볛,뛸쟒럇쇷뚯탔늹뎥뫍쇷뚯탔럧쿕틧볛룼캪쿔훸뗘돶쿖퓚쇷뚯탔뷏닮믲헟쮵볛룱돥믷떯탔뷏룟뗄막욱짏ꆣ평폚쇷뚯탔쮮욽뫍쇷뚯탔럧쿕퓚막욱뫡뷘쏦짏듦퓚잿쿠맘탔,쪹뗃듺샭쇷뚯탔쮮욽뗄럇쇷뚯탔횸뇪쓜릻힡쇷뚯탔럧쿕뗄틧볛킧펦ꆣ뺭뗤놾닺뚨볛쒣탍뗄볛룱럧쿕쏴룐뛈뛔막욱믘놨싊좱랦뷢쫍솦,틢캶ퟅ막욱뗄럧쿕틧볛룼뛠뗘살ퟔ뛔쇷뚯탔럧쿕뗄늹뎥,뛸럇살ퟔ뛔떥뒿뗄볛룱럧쿕뗄늹뎥ꆣ[맘볼듊]쇷뚯탔럧쿕;막욱뚨볛;럇쇷뚯탔횸뇪[훐춼럖샠뫅]ꆡꆡꆡ[컄쿗뇪횾싫]Aꆡꆡꆡ[컄헂뇠뫅]1008-942X(2007)04-0191-10AStudyofLiquidityRiskPremiuminChineseStockMarketsHUANGFeng1,ZOUXiao2peng2(,ShanghaiJiaotongUniversity,Shanghai200030,China;,ZhejiangUniversity,Hangzhou310027,China)Abstract:Basedonasimpleliquidityrisk2adjustedassetpricingmodel,,thelowerliquidityorthehigherpriceimpactelasticitythestockmaybe,,themarketꛂ,,(2002).For,inordertodenotethepriceimpactbytradingordersweuseintra2dailypricerangeinsteadofAmihudꆯ[쫕룥죕웚]20061127[놾뾯췸횷ꆤ퓚쿟퓓횾]
192헣붭듳톧톧놨(죋컄짧믡뿆톧냦)뗚37뻭ꆯ,inourassetpricingmodelwedecomposemarketliquidityriskintotheexogenousandendogenousliquidityriskintheinvestorsꆯ,(forexampleWuWenfengetal,2003),,likeforeignstockmarketssuchasNYSE,instatisticdatatherealsoexistꇥflighttoliquidityꇥandotherliquidityphenomena:thepositivecommonfactorinthestockꆯsilliquidity;thenegativecovariancebetweenthestockꆯsreturnandtheaggregateilliquidity,ꆯspricealwaysbeenturndown;thenegativecovariancebetweenthestockꆯsilliquidityandmarketreturn,ꆯsliquidityalwaysbecomeworse;themoreilliquidityinlevelthestockis,themoresensitiveitsliquidityistoaggregateliquidity,:liquidityrisk;stockpricing;illiquidityproxy튻ꆢ틽ꆡ퇔쇷뚯탔쫇닺퓚뛌웚쓚틔뫏샭볛룱췪돉쫐뎡붻틗뗄쓜솦ꆣ닺뗄쇷뚯탔뫃,퓲싲싴죝틗,볛룱컈뚨,춶헟뗄붻틗돉놾뗍ꆣ틲듋,쇷뚯탔믡펰쿬춶헟뛔닺뗄뚨볛ꆣ캧죆쇷뚯탔폫닺뚨볛횮볤뗄맘쾵,쿖폐컄쿗훷튪듓솽랽쏦햹뾪:튻쫇쇷뚯탔쮮욽폫닺뚨볛뗄맘쾵[1-6];뛾쫇쇷뚯탔럧쿕폫닺뚨볛뗄맘쾵[7-10]ꆣ쇷뚯탔럧쿕쫇횸쇷뚯탔쯦쪱볤믡랢짺늻뿉풤닢뗄뇤뮯,듓뛸쪹쇷뚯탔돉캪닺춶뗄럧쿕살풴횮튻ꆣퟷ캪튻룶퇐뺿죈뗣,뷼벸쓪,맺췢톧헟틑쿠볌랢쿖막욱믘놨싊훐듦퓚쿔훸뗄쇷뚯탔럧쿕틧볛,쯼쫇럱퓚컒맺막쫐춬퇹듦퓚쫇놾컄뗄퇐뺿쒿뇪ꆣ놾컄틀뻝쯹릹붨뗄튻룶볲떥뗄쇷뚯탔럧쿕뗷헻뗄닺뚨볛쒣탍,쪵횤볬퇩쇷뚯탔럧쿕뛔컒맺막쫐뫡뷘쏦짏뗄룶막뚨볛닮틬쫇럱뻟폐뷢쫍솦ꆣ볬퇩랢쿖,퓚늻볓죫쇷뚯탔쮮욽틲쯘(캪쇋복짙릲쿟탔컊쳢)뗄믘맩훐,뺭뗤놾닺뚨볛쒣탍(CAPM)뗄볛룱럧쿕쏴룐뛈(벴쫐뎡ꛂ)뗄틧볛맀볆늻쿔훸,뛸쇷뚯탔럧쿕퓲폐쿔훸뗄틧볛맀볆,헢쮵쏷쇷뚯탔쫇막욱쫕틦뗄쾵춳럧쿕살풴횮튻ꆣ뛔쇷뚯탔럧쿕폫닺뚨볛횮볤뗄맘쾵,톧헟쏇ퟮ퓧닺짺얨뫱탋좤뗄쫇튻킩벫뛋뗄쇷뚯탔쫂볾뛔닺볛룱뗄펰쿬ꆣ샽죧,Amihud뗈랢쿖,1987쓪10퓂막퓖훐듦퓚ꆰ량쿲쇷뚯탔ꆱ(flighttoliquidity)쿖쿳:쫐뎡ퟜ쳥쇷뚯탔뇤닮뗄쪱뫲,춶헟믡냑춶듓쇷뚯탔닮뗄막욱쳦뮻떽쇷뚯탔뫃뗄막욱훐좥,듓뛸뮺뷢막퓖뛔룟쇷뚯탔막욱볛룱뗄돥믷,늢볓훘뛔뗍쇷뚯탔막욱볛룱뗄듲톹,헢쮵쏷뗍쇷뚯탔막욱뗄쫕틦싊뫍ퟜ쳥쇷뚯탔횮볤뗄릲뇤탔뇈룟쇷뚯탔막욱룼듳[11]ꆣ
뗚4웚믆럥,ퟞ킡왍:컒맺막욱쫐뎡뗄쇷뚯탔럧쿕틧볛퇐뺿193쯦ퟅ톧헟쏇뷼웚쪵횤퇐뺿랢쿖막욱쇷뚯탔훐듦퓚ퟅ쫐뎡릲탔(벴쾵춳탔[12]),톧쫵뷧뾪쪼틢쪶떽,벴쪹늻랢짺벫뛋뗄쇷뚯탔쫂볾,퓚뺭볃뎣첬쳵볾쿂쇷뚯탔튲쫇쪱뇤뗄,쟒튻횱듦퓚ퟅ늻쓜럖즢뗄쾵춳럧쿕,뛸샭탔춶헟믡튪쟳쿠펦뗄럧쿕늹뎥ꆣ헢캪쇷뚯탔럧쿕폫닺뚨볛퇐뺿쳡릩쇋튻룶탂쮼슷,벴냑쇷뚯탔횱뷓ퟷ캪럧쿕틲ퟓ뛸늻뷶뷶쫇닺쳘헷,볬퇩쯼쫇럱뛔닺볛룱폐쿔훸탔펰쿬ꆣ톧헟쏇퇘ퟅ헢튻쮼슷뛔쏀맺횤좯쫐뎡뷸탐막욱뫡뷘쏦쪵횤퇐뺿,뚼랢쿖쇋쿔훸뗄쇷뚯탔럧쿕틧볛[7-10]ꆣ놾컄뗄퇐뺿튲헽쫇뛔헢튻쮼슷뗄ힷ쯦ꆣ놾컄뗄뒴탂횮뒦퓚폚:햾퓚춶붻틗헟뷇뛈,퓚쫐뎡쇷뚯탔럧쿕뗄붨쒣훐냼몬폫붻틗춷듧듳킡쿠맘뗄쓚짺쇷뚯탔럧쿕ꋙ,늢쪵횤럖컶뛔펦뗄쿔훸뗄틧볛킧펦ꆣ뛸쟒,캪뇈뷏ힼ좷뗘듺샭쇷뚯탔붻틗돉놾,컒쏇릹붨쇋탂뗄럇쇷뚯탔횸뇪,쯼뫍Amihud뗄럇쇷뚯탔횸뇪ꋚ뫜쿠쯆,횻쫇붫럖ퟓꆰ죕쫕틦싊ꆱ쳦뮻돉쇋볛룱헱럹ꆰ(떱죕ퟮ룟볛-떱죕ퟮ뗍볛)/떱죕뾪엌볛ꆱꆣ쒿잰뷏췪헻뷢쫍쇷뚯탔럧쿕틧볛뗄샭싛쒣탍쫇Acharya뫍Pedersen뗄쇷뚯탔뗷헻뗄CAPM[10]378-385,떫쯻쏇쎻폐뾼싇쓚짺쇷뚯탔럧쿕ꆣ쯻쏇볙짨막욱뗄떥캻붻틗돉놾폫붻틗춷듧듳킡컞맘,헢폫쪵볊늻럻ꆣ붻틗헟튪싴돶뗄춷듧풽듳,뻍풽늻죝틗돶쫖,욽뻹떽쎿떥캻막욱뗄붻틗돉놾튲풽룟ꆣ샭탔춶헟퓚뻶뚨릺싲막욱횮잰,뇘좻튪냑릺싲쫽솿뛔붫살뇤쿖뗄펰쿬쫂쿈뾼싇뷸춶뻶닟뫍뛔막욱뗄뚨볛훐ꆣ틲듋,폐뇘튪틽죫쓚짺쇷뚯탔럧쿕,벴떥캻붻틗돉놾늻떥쫇쪱뇤뗄,뛸쟒폫붻틗솿헽쿠맘ꆣ컒쏇붫퓚쪵횤훐뾴떽,평폚듦퓚쓚짺쇷뚯탔럧쿕,쪹뗃쇷뚯탔벰웤럧쿕늹뎥룼쿔훸뗘뇭쿖퓚쇷뚯탔뷏닮뗄막욱짏ꆣ놾컄릹붨뗄럇쇷뚯탔횸뇪뇈Amihud뗄럇쇷뚯탔횸뇪룼쓜뇭헷횸쇮쇷뛔볛룱뗄돥믷,랴펳쇷뚯탔쮮욽ꆣAmihud쫔춼폃죕쫕틦싊뇭쪾붻틗틽웰뗄볛룱뇤뮯[13]34-37,떫쫇,죕쫕틦싊쯹볆쯣뗄볛룱뇤뮯훐뮹냼몬폫붻틗틲쯘컞맘뗄ꆢ평쫕엌횮뫳뫍뾪엌횮잰럇붻틗쪱볤쓚릫늼뗄탂탅쾢횱뷓뷒쪾돶뗄릫쮾믹놾볛횵뇤뮯,헢랴펳퓚뾪엌볛뗄쳸뿕룟뾪믲뗍뾪샯쏦,릹돉쇋뾪엌볛쳸뿕좱뿚뗄튻늿럖ꆣ틲듋,죕쫕틦싊늻쓜ힼ좷랴펳붻틗틽웰뗄볛룱뇤뮯ꆣ뛸죕쓚볛룱헱럹퓲늻춬,쯼췪좫쫇뾪엌뫳뗄횸쇮쇷쯹췆뚯뗄붻틗뷡맻,업돽쇋럇붻틗틲쯘틽웰볛룱뇤뮯뗄쟩뿶ꆣ쯹틔캪뺡솿복짙뛈솿컳닮,컒쏇폃죕쓚볛룱헱럹릹퓬럇쇷뚯탔횸뇪ꆣ퓚쪵횤훐,컒쏇뗄횸뇪뗃떽쿔훸캪헽뗄럇쇷뚯탔늹뎥,헢뫍웤쯻탭뛠맺쓚톧헟(죧컢컄럦뗈[5])뗄뷡맻쿠튻훂,퓚튻뚨돌뛈짏퇩횤쇋컒쏇뗄횸뇪톡퓱뫏샭ꆣ뛾ꆢ쒣ꆡ탍볙짨샫즢쪱볤t=ꆭ-1,0,1ꆭ쎿웚횻폐튻훖쿻럑욷;ퟷ캪볛룱쳥쾵뗄뫢솿믹ힼ떥캻,쿻럑욷볛룱뇪ힼ뮯캪1;쫐뎡샯릲폐J훖횤좯,냼삨튻훖컞럧쿕횤좯ꆣ웤훐,횤좯j뗄릩룸솿쫇jS,쎿튻쪱웚뗄떥캻횤좯뫬샻Djt럾듓십뛻뿉럲맽돌,쫐뎡볛룱뇭쪾캪Pjt;쫐뎡붻틗캪횸쇮쟽뚯붻틗믺훆ꆣ퓚볲떥뗄솽웚뗼듺뺭볃쒣탍훐,듺뇭탔춶헟뗚t웚폐튻룶돵쪼?뢳,캪쪵쿖솽웚뗄웚췻킧폃ퟮ듳뮯,쯻쏇뷸죫횤좯쫐뎡릺싲춶ퟩ뫏,좻뫳퓚뗚t웚뇤쿖샫뎡,횤좯싴룸탂돶짺뗄춶헟ꆣ횤좯뗄쇷뚯탔쮮욽랴펳퓚붻틗돉놾짏,횤좯쇷뚯탔뫃(닮)퓲붻틗돉놾킡(듳),쯹틔컒쏇돆횮캪ꋙ헢룶룅쓮풴폚Bangia,쯹캽쓚짺쇷뚯탔럧쿕쫇횸춶헟캴살붻틗쪱뗄돉놾뫍붻틗춷듧뗄듳킡쿠맘,틲캪붻틗춷듧풽듳췹췹뿉쓜풽쓑붻틗,닎볻Bangia,D.,Diebold,.,Schuermann,T.,,withImplicationforTraditionalMarketRiskMeasurementandManagement,쿪볻
194헣붭듳톧톧놨(죋컄짧믡뿆톧냦)뗚37뻭쇷뚯탔붻틗돉놾ꆣힼ좷붲,쪵볊짺믮훐뗄횤좯붻틗돉놾펦냼삨만뚨럑폃ꆢ볛룱돥믷돉놾ꆢ쯹뫄럑뗄쪱볤돉놾뗈,뛸퓚듋컒쏇폃돉붻볛짏뗄돥믷돉놾쯰쪧jqtퟷ캪튻룶ퟜ듺샭,벴폃럾듓십뛻뿉럲맽돌뗄볛룱돥믷jqt뇭쪾쎿떥캻횤좯붻틗돉놾ꆣ싲싴붻틗뛔쫐뎡돉붻볛뗄돥믷믡쯦ퟅ캯췐솿뗄퓶볓뛸퓶볓,틲듋,볙짨jqt쫇붻틗솿뗄뛾듎뿉욫떼뗝퓶몯쫽ꆣ헢퇹,쎿튻붻틗솿쿂뗄떥캻붻틗돉놾뚼쫇쯦믺뇤솿,뇭듯쇋컒쏇뗄췢짺쇷뚯탔럧쿕룅쓮;쪱뇤뗄떥캻붻틗돉놾폖쫇붻틗솿뗄퓶몯쫽,퓲떼훂춶헟쏦뛔ퟅ쓚짺쇷뚯탔럧쿕ꆣ붻틗솿뛔붻틗돉놾뗄펰쿬뿉폃볛룱돥믷떯탔살뇭듯jj:쇮ꛁj=(5jqt+1/qt+1)/(5jxt/xt),웤훐j,xt듺뇭붻틗솿듳킡,쿔좻떯탔ꛁj>0ꆣ캪쿔탔뮯볛룱돥믷떯탔뫍쓚짺쇷뚯탔럧쿕뛔닺뚨볛뗄펰쿬,컒쏇볙짨볛룱돥믷떯탔ꛁj쫇늻쯦쪱볤뇤뮯뛸횻폫붻틗춷듧폐맘뗄뇤솿,헢튲쫇캪쇋랽뇣쫽톧뒦샭ꆣ헢퇹,틲캪붻틗솿믡뛔볛룱닺짺볛룱돥믷떯탔,쯹틔붫Acharya뫍Pedersen뗄쇷뚯탔럧쿕뗷헻뗄뚨볛쒣탍[10]385뇤캪:Ejt(rt+1)=fr+(1+ꛁj)Ejtct+1+ꛋꛂ1jtt+ꛋt(1+ꛁj)ꛂ2jt-ꛋꛂ3jtt-ꛋt(1+ꛁj)ꛂ4jt(1)웤훐f:r캪컞럧쿕횤좯뗄믘놨싊j;rt+1뇭쪾횤좯j붻틗잰뗄(쎫)믘놨싊j;ct+1=jqt+1/Pjt쫇횤좯j뗄쿠뛔쇷뚯탔붻틗돉놾,듺뇭쯼뗄쇷뚯탔쮮욽;ꛂ1jt뻍쫇뺭뗤놾닺뚨볛쒣탍훐뗄볛룱럧쿕쏴룐뛈,ꛂ2jt=covjMMjMMMMt(ct+1,ct+1)/vart(rt+1),ꛂ3jt=covt(rt+1,ct+1)/vart(rt+1),ꛂ4jt=covjt(ct+1,rt+1)/vart(rt+1);뛸Mrt+1캪쫐뎡ퟩ뫏뗄(쎫)믘놨싊M;ct+1쫇쫐뎡ퟩ뫏훐룶막볓좨욽뻹뗄쿠뛔쇷뚯탔붻틗돉놾;ꛋt쫇럧쿕뗄틧볛쾵쫽ꆣꛂ2jtꆢꛂ3jt뫍ꛂ4jt놻돆캪죽룶쇷뚯탔ꛂ,쯼쏇뇭쪾횤좯쇷뚯탔럧쿕뗄듳킡,랴펳춶쫕틦훐뛔쇷뚯탔럧쿕뗄늹뎥ꆣ횵뗃힢틢뗄쫇,뛠돶뗄쾵쫽(1+ꛁj)쫇평볙짨붻틗돉놾뫍붻틗춷듧듳킡쿠맘듓뛸듦퓚쓚짺쇷뚯탔럧쿕쯹틽훂뗄ꆣ횤좯뗄볛룱돥믷떯탔늻춬,풤웚믘놨싊뻍믡늻춬ꆣ죽ꆢ쪵횤럖컶컒쏇붫쪵횤럖컶컒맺막쫐뗄솽룶듽볬퇩뗄쏼쳢:(1)막욱뗄쇷뚯탔쮮욽풽뗍,퓲풤웚믘놨싊풽룟,벴쿔훸뗄럇쇷뚯탔늹뎥;막욱뗄죽룶쇷뚯탔ꛂ샯ꛂ2jt풽듳ꆢꛂ3jt뫍ꛂ4jt풽킡,퓲풤웚믘놨싊풽룟,벴쿔훸뗄쇷뚯탔럧쿕틧볛;(2)막욱뗄볛룱돥믷떯탔풽룟,퓲풤웚믘놨싊훐뛔쇷뚯탔쮮욽뗄늹뎥틔벰뛔ꛂ2jt뫍(-ꛂ4jt)뗄럧쿕늹뎥풽룟ꆣ퓚쪵볊맀볆훐,쯄룶ꛂ(ꛂ1jtꆢꛂ2jtꆢꛂ3jt뫍ꛂ4jt)횮볤틔벰뫍쇷뚯탔쮮욽(폃럇쇷뚯탔횸뇪듺샭)횮볤뗄릲쿟탔컊쳢펰쿬쇋쾵쫽뗄맀볆뷡맻뫍뛔쏼쳢(1)뗄퇩횤ꆣ틲듋,컒쏇뷨본Acharya뫍Pedersen뗄ퟶ램[10]392,냑죽룶쇷뚯탔럧쿕쳘탔뷸탐뫏늢:ꛂ234,jt=ꛂ2jjt-ꛂ3t-ꛂ4jt,맛달룃뫏늢쿮뗄럧쿕틧볛킧펦ꆣ죧맻볬퇩랢쿖룃뫏늢쿮풽룟,막욱뗄풤웚믘놨싊뻍풽룟,퓲춬퇹쫇뛔쏼쳢(1)뗄튻룶퇩횤ꆣ(튻)퇹놾톡퓱놾컄톡좡1995쓪1퓂3죕떽2005쓪12퓂30죕컒맺뮦짮막쫐뗄죕붻틗쫽뻝뫍닆컱쫽뻝뷸탐쪵횤럖컶,쫽뻝살ퟔꆰWind톶ꆱꋙꆣ뾼싇떽컒맺막쫐퓸뎤웚듦퓚닙ퟝꆢ맘솪붻틗뫍볒뛔쟃뗈캥맦붻틗탐캪,쪹뗃놻닙ퟝ믲ퟸ뗄막욱붻틗쫽뻝랴펳늻돶헦쪵뗄쇷뚯탔쮮욽ꆣ쯹틔,놾컄뛔퇐뺿웚볤쓚뗄막욱쳞돽쇋ST막ꆢPT막뫍뎤웚춣없막욱,늢쟒냑놻쎽쳥웘맢틔벰퓸랢짺솬탸죽룶틔짏뗸춣냥,떫떱쪱릫쮾뺭펪ힴ뿶쎻폐쏷쿔뇤뮯,뛸쟒폫헻룶듳쫐ퟟ쫆늻쿠럻뗄막욱틔막ꋚ뛔듽뛸쳞돽ꆣ퇐뺿웚볤쓚릲폐136ꆪ912횧막욱듯떽틔짏쳵볾ꆣ헢킩퇹놾막욱듺뇭쇋퇐뺿웚볤쓚룷쪱웚뗄ꋙ쿪볻,2006-05-06ꆣꋚ샽죧쿦믰뻦ꆢ듳솬맺볊ꆢ맾튩벯췅뗈막욱ꆣ
뗚4웚믆럥,ퟞ킡왍:컒맺막욱쫐뎡뗄쇷뚯탔럧쿕틧볛퇐뺿195헻룶쫐뎡ퟩ뫏ꆣ캪쪹볬퇩뷡맻폐룼뫃뗄뿉뾿탔,탨튪놣횤폃폚뫡뷘쏦럖컶뗄막욱폐뷏뎤뗄짏쫐쪱볤,틲듋,뇊헟퓚쫐뎡ퟩ뫏훐톡좡1996쓪틔잰짏쫐뗄136횧막욱,폃헢킩막욱뗄퓂쫕틦싊뛔퓂쇷뚯탔쮮욽벰웤럧쿕뗈뇤솿횸뇪뷸탐볆솿럖컶,퇩횤놾컄뗄쏼쳢ꆣ(뛾)럇쇷뚯탔횸뇪뫍웤쯻뇤솿뗄쯣램Djt룶막럇쇷뚯탔뗄퓂뛈횸뇪평볛룱헱럹뫍붻틗뷰뛮뗄뇈싊릹퓬j:illiqt=1/Djtꇆ(SWjtd/Vjtd)ꆣd=1웤훐,SWjjtd/Vjtd=illiqtd쫇막욱뗚t퓂뗄뗚d죕뗄죕럇쇷뚯탔횸뇪,Vjtd뫍SWjtd럖뇰쫇막욱j퓚뗚t퓂뗄뗚d붻틗죕뗄죕돉붻뷰뛮(틔냙췲풪볆)뫍볛룱헱럹,Djt쫇막욱j퓚뗚t퓂뗄폐킧붻틗쳬쫽ꆣ볆쯣훐,듓뾪엌떽쫕엌튻횱럢퓚헇뗸춣냥뗄붻틗죕늻쯣퓚폐킧붻틗쳬쫽쓚ꆣ쫐뎡ퟩ뫏뗄죕럇쇷뚯탔횸뇪쫇퇹놾막횸뇪뗄뗈좨훘욽뻹(헢킩퇹놾막쫇럻뫏짏컄퇹놾톡퓱쳵볾뗄막욱,듓136떽912횧듳킡늻뗈)ꆣjilliqt랴펳쇋횸쇮쇷뛔볛룱뗄돥믷돌뛈,놾컄폃jilliqtퟷ캪쇷뚯탔쮮욽뗄듺샭횸뇪ꆣ놾컄쎻폐킧럂Acharya뫍Pedersen[10]폃Amihud횸뇪뗄ퟶ램,헽죧놾컄틽퇔쯹붲,쫇캪쇋뗃떽뒿듢평횸쇮쇷췆뚯뗄볛룱돥믷뫍ힼ좷랴펳쇷뚯탔쮮욽ꆣ막욱뗄퓂(죕)쫕틦싊퓲춨맽뢴좨뫳쫕엌볛뗄잰뫳뇤뮯돽틔잰튻퓂(죕)뗄쫕엌볛뗃떽ꆣ쫐뎡ퟩ뫏뗄퓂(죕)쫕틦싊폃럻뫏퇹놾톡퓱쳵볾뗄막욱틔쇷춨쫐횵볓좨램뛔룶막쫕틦싊뷸탐욽뻹뫳믱뗃ꆣ컞럧쿕샻싊닉폃컒맺짌튵틸탐샺쓪믮웚듦뿮샻싊ꆣ뛔막욱뗄쯄룶ꛂ뗄맀볆랽램쫇,쿈룹뻝잰12룶퓂뗄죕쫽뻝,쯣돶136횧퇹놾막쫕틦싊뫍럇쇷뚯탔폫쫐뎡ퟩ뫏쫕틦싊뫍럇쇷뚯탔횮볤뗄킭랽닮,틔벰쫐뎡ퟩ뫏쫕틦싊뗄랽닮,좻뫳내헕뚨틥쯣뗃헢136횧막욱뗄쯄룶ꛂ횵ꆣ컒쏇튪쟳잰12룶퓂쓚뗄폐킧붻틗쳬쫽훁짙150쳬,럱퓲럅웺듋쪱뛎뗄룃막욱ꆣ캪놣횤볬퇩쪵횤뷡맻뗄컈붡탔,컒쏇톡퓱뎣폃뗄솽룶뿘훆뇤솿:맦쒣(SIZE)뫍쫐횵/헋쏦뇈(M/B),쯼쏇쓜릻힡막쫐뗄맦쒣킧펦뫍볛횵킧펦ꆣ뗚t퓂뗄맦쒣뫍쫐횵/헋쏦뇈럖뇰폃막욱떱퓂ퟮ뫳쫕엌쪱뗄쇷춨쫐횵뫍쫐볛뛔헋쏦볛횵뗄뇈싊뇭쪾ꆣ(죽)볬퇩랽램캪볬퇩뗚튻룶쏼쳢,룹뻝(1)쪽붨솢틔쿂볆솿쒣탍뷸탐믘맩럖컶:jfjrt+1-r=at+1+b0tilliqt+b1ꛂ1jtt+b2ꛂ2jtt+j24,jb3ꛂ3tt+b4ꛂ4jtt+b5ꛂ13,jtt+b6ꛂtt+4,jb7ꛂ23tt+b8ꛂ)net,jtt+b9tSIZEjt+b10tM/Bjt+ꛅ(2jt+1웤훐,at+1쫇뎣쫽쿮,t=0,1ꆭ107,ꛂ13,jt=ꛂ1jt-ꛂ3jt,ꛂ24,jt=ꛂ2jt-ꛂ4jt,ꛂnet,jt=ꛂ13,jt+ꛂ24,jtꆣ볬퇩풭샭쫇솽뷗뛎뫡뷘쏦믘맩랽램,쫗쿈퓚쎿웚뛔136횧막욱뷸탐ퟮ킡뛾돋램믘맩,뗃떽쾵쫽맀볆횵b^kt(k=0,1ꆭ10)뗄쪱볤탲쇐,좻뫳볆쯣b^kt뗄욽뻹횵bk뫍t춳볆솿ꆣ죧맻맀볆횵b0뫍b2뚼쿔훸캪헽ꆢb3뫍b4쿔훸캪뢺,믲b0뫍b7쿔훸캪헽,퓲횤쏷쏼쳢(1)돉솢,벴컒맺막쫐듦퓚쇷뚯탔쮮욽뗄틧볛뫍쇷뚯탔럧쿕뗄틧볛ꆣ퓚뻟쳥맀볆뇤솿쾵쫽b^kt쪱,컒쏇닉폃쯆뫵늻쿠맘믘맩램(쪱웚SUR맀볆램)ꆣ퓋폃쯆뫵늻쿠맘랽램쪱뷃헽쇋죅뚯쿮뗄쪱웚틬랽닮뫍ퟔ쿠맘탔,헢훖뒦샭뗄믘맩쓢뫏뛈튪폅폚뷶뾼싇룶막틬랽닮탔뗄뷡맻(SUR맀볆램뗄쓢뫏뛈뚼퓚틔짏,뛸횻뷃헽틬랽닮뗄믘맩쓢뫏뛈퓚ퟳ폒)ꆣ컒쏇캴퓋폃뷃헽죅뚯쿮춬웚쿠맘뗄뫡뷘쏦SUR맀볆램,쫇틲캪헢훖랽램퓚맀볆죅뚯쿮킭랽닮뻘헳쪱탨튪뫡뷘쏦맛닢뗣쏷쿔짙폚쪱웚뎤뛈닅탐,뛸죴릹퓬춶ퟩ뫏틔듯떽튪쟳,쫆뇘퓬돉맀볆쪱뇤쾵쫽뗄뫡뷘쏦맛닢뗣첫짙,맀볆횵늻뿉뾿,뇏뺹,뫡뷘쏦짏뗄횤뻝쫇볬퇩뚨볛쒣탍뗄맘볼ꆣ캪볬퇩뗚뛾룶쏼쳢,탨튪뛔136횧막욱내헕쯼쏇뗄볛룱돥믷떯탔듳킡뗄쮳탲듓킡떽듳럖돉L
196헣붭듳톧톧놨(죋컄짧믡뿆톧냦)뗚37뻭ퟩ,뗚1ퟩ뗄떯탔ퟮ킡,뗚Lퟩ뗄떯탔ퟮ듳ꆣ춬쪱붨솢L룶탩쓢뇤솿Dl,t(l=1ꆭL),탩쓢뇤솿Dl,t뛔뗚lퟩ샯뗄쯹폐막욱좡횵캪1,뛔웤쯻ퟩ뗄막욱좡횵뚼캪쇣ꆣ룹뻝(1)쪽뿉횪,볛룱돥믷떯탔쫇풤웚럇쇷뚯탔쮮욽ꆢꛂ2jt뫍ꛂ4jt뗄쾵쫽j,쯹틔,럖뇰릹퓬럇쇷뚯탔쮮욽뫍ꛂ뗄맘솪뇤솿:Dl,tꇁilliqt뫍Dl,tꇁ(ꛂ2jt-ꛂ4jt),폃쯼쏇쳦뮻믘맩랽돌(2)샯뛔펦뗄뇤솿,뷸탐럖뛎쿟탔믘맩맀볆,뛸뛔펦뗄쾵쫽맀볆횵럖뇰캪b^0,1,t뫍b^24,1,tꆣ퓋폃SUR맀볆램뗃떽쾵쫽맀볆횵b^0,1,t뫍b^24,1,t,죧맻웤욽뻹횵b0,1뫍b24,1쯦l횵풽살풽쿔훸,뛸쟒b0,1<b0,2<ꆭ<b0,L틔벰b24,1<b24,2<ꆭ<b24,L,퓲쮵쏷볛룱돥믷떯탔풽듳뗄막욱뛔럇쇷뚯탔쮮욽벰웤럧쿕뗄떥캻틧볛늹뎥풽룟,듓뛸퇩횤쇋뗚뛾룶쏼쳢ꆣ막욱뗄볛룱돥믷떯탔늻죝틗볆쯣,틲캪뫜쓑믱좡11쓪뗄죕쓚룟욵붻틗쫽뻝,뛸폃죕붻틗쫽뻝횻믡뗃떽튻룶뇈뷏듖닚뗄듺샭횸뇪,튲늻뫏쫊ꆣ탒뫃,볛룱돥믷떯탔듳퓲쮵쏷룃막욱뗄쇷뚯탔닮,뛸쇷뚯탔닮퓲볛룱돥믷떯탔뻍믡듳ꆣ틲듋,놾컄횱뷓폃럇쇷뚯탔횸뇪듺샭볛룱돥믷떯탔,뷸탐뛔136횧막욱뗄업탲럖ퟩ릤ퟷꆣ(쯄)쪵횤뷡맻1.쏨쫶탔춳볆뷡맻ꆣ뛔퇹놾막쎿룶믘맩뇤솿맛닢횵뗄쪱볤탲쇐퓂쫽뻝(1997쓪1퓂훁2005쓪12퓂)쟳욽뻹횵,좻뫳내럇쇷뚯탔욽뻹횵뗄듳킡뛔136횧막욱업탲,듓훐뿉믱뗃튻킩웴랢ꆣ평폚욪럹쯹쿞,헢샯뷶냑136횧막욱업탲뫳탲뫅캪7뗄놶쫽뗄릲19횧막욱뗄쳘헷쫽뻝쇐캪뇭1:뇭1ꆡ19횧퇹놾막뗄믘맩뇤솿맛닢횵뗄쪱볤탲쇐퓂쫽뻝(1997쓪1퓂훁2005쓪12퓂)뗄욽뻹횵듺싫럇쇷뚯탔ꛂ1ꛂ2ꛂ3ꛂ4ꛂ13ꛂ24ꛂ234ꛂnet맦쒣(109)
뗚4웚믆럥,ퟞ킡왍:컒맺막욱쫐뎡뗄쇷뚯탔럧쿕틧볛퇐뺿197뇭1쿔쪾,쯹폐퇹놾막뗄ꛂ2뚼캪헽,쮵쏷컒맺막욱뗄쇷뚯탔뫍맺췢막쫐튻퇹,뚼듦퓚쾵춳릲탔[12];쯹폐뗄ꛂ3뚼캪뢺,쮵쏷룶막뗄믘놨싊폫쫐뎡ퟩ뫏뗄럇쇷뚯탔뚼쫇뢺쿠맘,벴ퟜ쳥쇷뚯탔풽닮뗄쪱뫲,룶막뗄믘놨싊튲풽닮,폫Amihud뛔쏀맺NYSE뗄쪵횤뷡맻쫇튻퇹뗄[13];쯹폐뗄ꛂ4뚼캪뢺,쮵쏷룶막뗄럇쇷뚯탔뫍쫐뎡ퟩ뫏뗄믘놨싊뚼캪뢺쿠맘,벴헻룶쫐뎡볛룱쿂뗸뗄쪱뫲,룶막뗄쇷뚯탔튲풽닮[10]390-392ꆣ뇭2쇐돶쇋믘맩뇤솿맛닢횵뗄욽뻹횵퓚막욱뫡뷘쏦짏뗄Pearson쿠맘쾵쫽ꆣ럇쇷뚯탔횸뇪폫뺭뗤CAPM뗄럧쿕쏴룐뛈ꛂ1횮볤쿠맘탔늻쿔훸,떫폫웤쯻ꛂ횵틔벰막욱맦쒣뚼쫇쿔훸뗘쿟탔쿠맘,폐뗄짵훁뎬맽ꆣ틲듋,쇷뚯탔풽닮뗄막욱,쯼뗄볛룱럧쿕쏴룐뛈[covjM(r,r)]늻튻뚨룟,떫쯼뗄쇷뚯탔폫쫐뎡ퟩ뫏뗄쇷뚯탔횮볤뗄릲탔jM[cov(c,c)]믡풽룟,쯼뗄쇷뚯탔뫍쫐뎡ퟩ뫏뗄믘놨싊횮볤뗄릲뇤탔M[covj(c,r)]튲풽룟ꆣ뛸쟒,쇷뚯탔풽닮뗄막욱,쯼뗄믘놨싊폫쫐뎡ퟩ뫏뗄쇷뚯탔횮볤뗄릲뇤탔튲믡풽룟[covjM(r,c)],뿉볻컒맺막쫐춬퇹듦퓚맺췢막쫐뗄ꆰ량쿲쇷뚯탔ꆱ쿖쿳[11]ꆣ늻맽,헢킩뇤솿볤뗄릲쿟탔뛔컒쏇헽좷맀볆쾵쫽횵좴웰ퟅ럁낭ퟷ폃ꆣ뇭2ꆡ믘맩뇤솿횮볤뗄Pearson쿠맘쾵쫽럇쇷뚯탔ꛂ1ꛂ2ꛂ3ꛂ4ꛂ13ꛂ24ꛂ234ꛂnet맦쒣럇쇷뚯탔1ꛂꛂꛂꛂꛂꛂꛂꛂ맦쒣ꆡ힢33:뇭쪾쿠맘쾵쫽퓚5%쮮욽짏쿔훸(쮫뇟)3,뇭쪾쿠맘쾵쫽퓚10%쮮욽짏쿔훸(쮫뇟)ꆣ2.쏼쳢(1)뗄볬퇩뷡맻ꆣ뇭3룸돶쇋닉폃SUR맀볆랽램뛔쏼쳢(1)뷸탐볬퇩뗄맀볆뷡맻ꆣ뇭3뗄뗚1탐벴쒣탍1쫇믹놾쒣탍뗄맀볆뷡맻,막욱믘놨싊뗄럇쇷뚯탔늹뎥쿔훸캪헽,떫평폚럇쇷뚯탔뇤솿뫍3룶쇷뚯탔ꛂ횮볤듦퓚뇤솿릲쿟탔컊쳢,3룶쇷뚯탔ꛂ뗄쾵쫽맀볆욽뻹횵뚼늻쿔훸,쾵쫽맀볆뗄럻뫅틠폐컊쳢ꆣ쒣탍6훁14쫇늻뾼싇럇쇷뚯탔뇤솿뗄뛠훖맀볆뷡맻:쒣탍6쫇뺭뗤CAPM뗄맀볆뷡맻,뺭뗤뗄쫐뎡ꛂ(벴ꛂ1jt)늢늻쿔훸,헢뫍쿖폐컄쿗쪵횤뷡맻쫇튻훂뗄[5];쒣탍11뫍12쿔쪾,늻맜폐컞맦쒣뫍쫐횵/헋쏦뇈뿘훆뇤솿,ꛂ234,jt쾵쫽맀볆욽뻹횵뚼쿔훸캪헽,쮵쏷쇷뚯탔듦퓚쿔훸뗄럧쿕틧볛;쒣탍7뫍8쿔쪾,뺡맜폐뇤솿릲쿟탔컊쳢,ꛂ2jt뫍ꛂ4jt뗄쾵쫽맀볆욽뻹횵뚼쿔훸캪헽,쮵쏷춶헟뛔막욱쇷뚯탔뗄릲탔럇뎣훘쫓;쒣탍9뫍10훐뗄ꛂ24,jt춨맽쇋SUR랽램뗄쿔훸탔볬퇩,뛸ꛂ13,jt퓲캴춨맽,웤훐뗄튻룶풭틲뿉쓜쫇죧샭싛쒣탍(1)쪽쯹낵몬뗄ꛂ24,jt뗄떥캻틧볛룼룟,쯹틔룼죝틗맀볆;뛔뇈쒣탍6뗄뺭뗤CAPM뗄ꛂ1jt쾵쫽뗄럻뫅맀볆,쒣탍13훐ꛂnet,jt뗄쾵쫽맀볆퓚SUR랽램쿂쿔훸캪헽,럻뫏럧쿕늹뎥캪헽뗄샭싛튪쟳,헢쫇냑쇷뚯탔럧쿕늹뎥뾼싇뷸좥뗄룄뷸킧맻ꆣ
198헣붭듳톧톧놨(죋컄짧믡뿆톧냦)뗚37뻭뇭3ꆡ볬퇩쏼쳢(1)뗄뇤솿쿟탔믘맩쾵쫽맀볆횵뗄욽뻹횵쒣탍뎣쫽쿮럇쇷뚯탔ꛂ1jtꛂ2jtꛂ3jtꛂ4jtꛂ13,jtꛂ24,jtꛂ234,jtꛂnet,jt맦쒣쫐횵/헋쏦뇈()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()ꆡ힢:삨뫅쓚캪33t춳볆솿횵,뫍3럖뇰뇭쪾t춳볆솿퓚5%뫍10%쮮욽짏쿔훸(쮫뇟)ꆣ붫쒣탍1훁4뫍쒣탍7훁14쿠뇈뷏,뿉틔랢쿖믘맩훐볓늻볓죫럇쇷뚯탔뇤솿뛔쇷뚯탔럧쿕틧볛뗄쾵쫽맀볆펰쿬뫜듳ꆣ믘맩훐캴볓죫럇쇷뚯탔뇤솿쪱,ꛂ234,jt뫍ꛂ2jt춨맽쇋솽룶맀볆랽램쿂뗄쿔훸탔볬퇩,ꛂ4jtꆢꛂ24,jt뫍ꛂnet,jt춨맽쇋SUR랽램쿂뗄쿔훸탔볬퇩;떫볓짏럇쇷뚯탔뇤솿뫳,헢킩뇤솿뗄쾵쫽맀볆욽뻹횵뚼늻쿔훸쇋,뛸횻폐럇쇷뚯탔뇤솿뗄쾵쫽맀볆욽뻹횵쿔훸캪헽ꆣ헢쫇평럇쇷뚯탔뇤솿뫍헢킩뇤솿횮볤뗄릲쿟탔컊쳢쯹떼훂뗄ꆣ헢춬쪱튲쮵쏷,퓚컒맺막쫐훐,뫢솿쇷뚯탔쮮욽뗄럇쇷뚯탔뇤솿뇭쿖돶룼잿뗄늹뎥튪쟳,뛸쟒힡쇋쇷뚯탔럧쿕뗄틧볛킧펦ꆣ뇭3뮹쿔쪾,맦쒣뫍쫐횵/헋쏦뇈뿘훆뇤솿늢늻펰쿬럇쇷뚯탔늹뎥뫍쇷뚯탔럧쿕틧볛뗄쿔훸탔볬퇩ꆣ룅삨틔짏뷡맻,쏼쳢(1)돉솢,벴막욱풤웚믘놨싊냼몬럇쇷뚯탔늹뎥뫍쇷뚯탔럧쿕틧볛ꆣ3.쏼쳢(2)뗄볬퇩뷡맻ꆣ쏼쳢(2)뗄볬퇩뷡맻(볻뇭4)쫇냑136횧막욱내헕쯼쏇뗄럇쇷뚯탔듳킡뗄쮳탲,듓킡떽듳럖돉6ퟩ뗄럖뛎쿟탔믘맩볬퇩뷡맻ꋙꆣ뇭4뗄쒣탍1뫍쒣탍2쿔쪾,럇쇷뚯탔맘솪뇤솿1훁5뗄쾵쫽맀볆욽뻹횵싺ퟣb0,1<b0,2<b0,3<b0,4<b0,5,횻쫇떽b0,6쪱쫽횵뇤킡쇋,늻맽듓b0,1떽b0,6뗄t춳볆솿횵틀듎풽살풽듳,쿔훸탔튲쫇풽살풽잿ꆣ쯹틔,볬퇩뷡맻믹놾횧돖쏼쳢(2)뗄맛뗣:막욱뗄쇷뚯탔풽닮믲헟쮵볛룱돥믷떯탔쾵쫽풽룟,뛔쇷뚯탔쮮욽뗄늹뎥풽룟ꆣꋙ뇊헟뮹붫136횧막욱틔쿠춬랽램럖돉2ퟩ뷸탐쇋럖뛎쿟탔믘맩,뗃떽뗄뷡싛쫇튻퇹뗄ꆣ
뗚4웚믆럥,ퟞ킡왍:컒맺막욱쫐뎡뗄쇷뚯탔럧쿕틧볛퇐뺿199뇭4ꆡ볬퇩쏼쳢(2)뗄맘솪뇤솿럖뛎쿟탔믘맩쾵쫽맀볆횵뗄욽뻹횵쒣탍1쒣탍2쒣탍3뎣쫽쿮()()()럇쇷뚯탔맘솪뇤솿()()럇쇷뚯탔맘솪뇤솿()()럇쇷뚯탔맘솪뇤솿()()럇쇷뚯탔맘솪뇤솿()()럇쇷뚯탔맘솪뇤솿()()럇쇷뚯탔맘솪뇤솿()()ꛂ24,jt맘솪뇤솿()()()ꛂ24,jt맘솪뇤솿()()()ꛂ24,jt맘솪뇤솿()()()ꛂ24,jt맘솪뇤솿()()()ꛂ24,jt맘솪뇤솿()()()ꛂ24,jt맘솪뇤솿()()()ꛂ13,()()()맦쒣()()쫐횵/헋쏦뇈()()ꆡ힢:삨뫅쓚캪t춳볆솿횵33,뇭쪾t춳볆솿퓚5%쮮욽짏쿔훸(쮫뇟)ꆣ뇭4뗄쒣탍1훁3캪쏼쳢(2)쳡릩쇋맘폚쇷뚯탔럧쿕틧볛퓚늻춬막욱횮볤듦퓚닮뻠뗄횤뻝:ꛂ24,jt맘솪뇤솿1훁6뗄쾵쫽맀볆욽뻹횵뺡맜쎻폐풤웚뗄쓇퇹쮳듎뇤듳,늻맽,퓚쎻폐럇쇷뚯탔맘솪뇤솿뗄쒣탍3믘맩훐,쇷뚯탔ퟮ뫃뗄뗚1ퟩ막욱뗄b24,1쫇뢺쫽,뛸쇷뚯탔ퟮ닮뗄뗚6ퟩ막욱뗄b24,6퓲쫇쿔훸캪헽,쇷뚯탔럧쿕늹뎥죔쫇쿔훸뗘돶쿖퓚쇷뚯탔ퟮ닮뗄막욱짏ꆣ죧맻늻볆b24,1뗄횵뛸횻내b24,6볆쯣럧쿕틧볛뗄뮰,쇷뚯탔럧쿕늹뎥쪹뗃쇷뚯탔ퟮ닮뗄막욱풤웚믘놨싊뇈쇷뚯탔ퟮ뫃뗄막욱풤웚믘놨싊듳풼룟%(내쓪쯣)ꆣ틲듋,쏼쳢(2)훐ꆰ막욱뗄볛룱돥믷떯탔쾵쫽풽룟,퓲풤웚믘놨싊훐뛔쇷뚯탔쮮욽뗄늹뎥풽룟ꆱ뗄맛뗣믹놾춨맽볬퇩,뛸ꆰ막욱뗄볛룱돥믷떯탔쾵쫽풽룟,퓲뛔ꛂ2jt뫍(-ꛂ4jt)뗄럧쿕늹뎥풽룟ꆱ뗄맛뗣뮹쎻폐돤럖뗄횤뻝,떫뿉틔좷뚨뗄쫇,쇷뚯탔럧쿕늹뎥룼쿔훸뗘돶쿖퓚쇷뚯탔뷏닮뗄막욱믲헟쮵볛룱돥믷떯탔뷏룟뗄막욱짏ꆣ쯄ꆢ뷡ꆡ싛놾컄틀뻝튻룶볲떥뗄쇷뚯탔럧쿕뗷헻뗄닺뚨볛쒣탍,럖컶쇋럇쇷뚯탔늹뎥ꆢ쇷뚯탔럧쿕틧볛킧펦뫍퓚컒맺막쫐뗄뺭퇩횤뻝ꆣ샭싛짏,쇷뚯탔럧쿕펰쿬풤웚믘놨싊뗄죽룶탎쪽쫇:룶막럇쇷뚯탔뗄릲탔풽듳ꆢ룶막쫕틦싊뫍쫐뎡ퟩ뫏럇쇷뚯탔횮볤뗄릲뇤탔풽킡틔벰룶막럇쇷뚯탔뫍쫐뎡ퟩ뫏쫕틦싊횮볤뗄릲뇤탔풽킡,퓲막욱뗄풤웚믘놨싊뻍풽룟ꆣ늢쟒,평폚막욱뗄쇷뚯탔붻틗돉놾뫍뇤쿖솿쿠맘,춶헟믡뛔쇷뚯탔닮믲볛룱돥믷떯탔룟뗄막욱,튪쟳뛮췢룟뗄쇷뚯탔럧쿕틧볛뫍럇쇷뚯탔늹뎥ꆣ춬쪱,뇊헟폃볛룱헱럹뫍붻틗뷰뛮뗄뇈싊릹퓬쇋튻룶탂뗄럇쇷뚯탔횸뇪ꆣ죕쓚볛룱헱럹췪좫
200헣붭듳톧톧놨(죋컄짧믡뿆톧냦)뗚37뻭쫇뾪엌뫳붻틗솿쯹췆뚯뗄뷡맻,업돽쇋럇붻틗틲쯘틽웰볛룱뇤뮯뗄쟩뿶,폃룃횸뇪뛔컒맺막쫐샺쪷쫽뻝뗄볬퇩뷡맻믹놾횧돖놾컄뗄샭싛맛뗣ꆣ쇭췢,평폚쇷뚯탔쮮욽뫍쇷뚯탔럧쿕퓚막욱뫡뷘쏦짏듦퓚잿쿠맘탔,벴쇷뚯탔닮뗄막욱쇷뚯탔럧쿕틠룟,떼훂듺샭쇷뚯탔쮮욽뗄럇쇷뚯탔횸뇪쓜힡컒맺막욱뗄쇷뚯탔럧쿕틧볛킧펦ꆣ퓚볬퇩맽돌훐,뺭뗤CAPM뗄쫐뎡ꛂ뛔막욱믘놨싊믹놾쎻폐뷢쫍솦ꆣ훚쯹훜횪,컒맺막쫐뎣놻맚틔ꆰ뷰쫐ꆱꆰꆢ헾닟쫐ꆱ뗄돆뫴,뛸뷰듳솿늻컈뚨뗘쇷뷸쇷돶뫍늻컈뚨뗄헾닟듫쪩룸막쫐듸살뗄쇷뚯탔늨뚯럇뎣듳,뛸쟒막욱릩쟳쎬뛜퓚컒맺막쫐튲튻횱쫇튻룶뇈뷏춻돶뗄컊쳢ꆣ틲듋,컒맺춶헟늻뗃늻훘쫓쇷뚯탔럧쿕ꆣ쇷뚯탔럧쿕쿠뇈떥뒿뗄볛룱럧쿕뛸퇔,뛔막욱믘놨싊룼폐뷢쫍솦쫇뿉틔샭뷢뗄ꆣ틲듋,퓚움맀컒맺막욱뗄럧쿕뫍럧쿕틧볛쪱,늻쓜뷶뷶뾼싇볛룱럧쿕,폐뇘튪냑쇷뚯탔럧쿕뾼싇뷸좥ꆣ[닎ꆡ뾼ꆡ컄ꆡ쿗][1]Amihud,Y.,Mendelson,[J].JournalofFinancialEconomics,1986,17(2):223-249.[2]Brennan,.,Subrahmanyam,:OntheCompensationforIlliquidityinStockReturns[J].JournalofFinancialEconomics,1996,41(3):441-464.[3]Brennan,.,Chordia,T.,Subrahmanyam,,SecurityCharacteristics,andtheCross2sectionofExpectedReturns[J].JournalofFinancialEconomics,1998,49(3):345-373.[4]Datar,.,Naik,.,Radcliffe,:AnAlternativeTest[J].JournalofFinancialMarkets,1998,1(2):203-219.[5]컢컄럦,?쏈,돂릤쏏.훐맺막욱쫕틦뗄럇쇷뚯탔늹뎥[J].쫀뷧뺭볃,2003,26(7):54-60.[WuWenfeng,RuiMeng,ꆯsStockMarkets[J].WorldEconomy,2003,26(7):54-60.][6]쯕뚬캵,싳풪톫.쇷뚯탔폫닺뚨볛:믹폚컒맺막쫐닺뮻쫖싊폫풤웚쫕틦뗄쪵횤퇐뺿[J].뺭볃퇐뺿,2004,39(2):95-105.[SuDongwei,:AnEmpiricalStudyofTurnoverRateandExpectedReturnsonChineseStockMarkets[J].EconomicResearchJournal,2004,39(2):95-105.][7]Pastor,L.,Stambaugh,[J].JournalofPoliticalEconomy,2003,111(3):642-685.[8]Wang,,LiquidityRiskandAssetPricing[EB/OL].
