2007쓪뗚6웚믹뷰튵벨폫춶헟뗄톡퓱3ꆪꆪꆪ훐맺뾪럅쪽믹뷰쫪믘틬뎣쿖쿳뗄퇐뺿슽ꆡ죘ꆡ돂냙훺ꆡ탬쇺뇾ꆡ킻탂뫱ꆡꆡ쓚죝쳡튪:놾컄퇐뺿랢쿖,훐맺뾪럅쪽믹뷰뗄튵벨벰뷰쇷뚯뗄맘쾵폫돉쫬쫐뎡늻춬,돊쿖뢺쿠맘쟒캪낼탎ꆣ헢쮵쏷춶헟뗄톡퓱캴쓜랢믓ꆰ폅쪤쇓청ꆱ믺훆ꆣ쏦쇙쫪믘톹솦뷏듳뗄쫇튵벨솼뫃뗄믹뷰뛸늻쫇튵벨뷏닮뗄믹뷰ꆣ춨맽뛔훐맺14횻욫막탍뾪럅쪽믹뷰뗄쏦냥쫽뻝럖컶,랢쿖펰쿬춶헟쫪믘뗄틲쯘뮹냼삨쫕틦뗄컈뚨탔ꆢ럖뫬ꆢ믹뷰맦쒣뗈틲쯘ꆣ룹뻝퇐뺿뷡맻뛔믹뷰맜샭헟죧뫎복짙춶헟뗄ꆰ랴쿲톡퓱ꆱꆢ캬뮤믹뷰뎤웚돖폐죋샻틦뗈쳡돶쇋붨틩ꆣ맘볼듊:뾪럅쪽믹뷰ꆡ튵벨ꆡ뷰쇷뚯ꆡ쫪믘틬쿳튻ꆢ틽ꆡ퇔뾪럅쪽믹뷰뻟폐럝뛮뗄뾪럅믺훆,춶헟뿉틔룹뻝믹뷰튵벨뗄뇭쿖쯦쪱뻶뚨퓶볓믲복짙뛔믹뷰뗄춶ꆣ헢훖믺훆쪵볊짏쫇믹뷰춶헟뛔믹뷰맜샭헟뗄튻훖틾탔벤샸ꆣ믹뷰튵벨쳡룟,쫜떽춶헟죏뿉,춶헟뻍믡퓶볓뛔웤뗄짪릺,믹뷰맦쒣삩듳,믹뷰맜샭헟뗄맜샭럑쫕죫뻍룟;떱믹뷰뗄펯샻ힴ뿶늻병쪱,춶헟춨맽쫪믘믹뷰뗄랽쪽뎷돶뷰,믹뷰맦쒣붫늻뛏캮쯵,헢쿠떱폚뛔믹뷰맜샭헟뗄뢺벤샸ꆣ뿉볻,뾪럅쪽믹뷰뗄붡뾵퓋ퟷ탨튪춨맽튵벨폫뷰쇷죫뗄헽쿠맘맘쾵살랢믓ꆰ폅쪤쇓청ꆱ믺훆ꆣ폫랢듯맺볒뾪럅쪽믹뷰뗄뇭쿖늻춬,컒맺뾪럅쪽믹뷰춶헟뗄톡퓱캴쓜랢믓ꆰ폅쪤쇓청ꆱퟷ폃ꆣ믹뷰튵벨쳡룟늢쎻폐듸살뷰뗄뺻쇷죫,랴뛸퓬돉쇋뷰뗄뺻쇷돶ꆣ춼1쿔쪾쇋뾪럅쪽믹뷰ꋙ뺻쫪믘싊폫쫕틦싊뗄맘쾵ꆣ듓춼1뿉틔뾴돶뺻쫪믘싊폫쫕틦싊폐뷏쏷쿔뗄춬쿲뇤뚯쟷쫆ꆣ쏦쇙쫪믘톹솦뷏듳뗄쫇튵벨솼뫃뗄믹뷰뛸늻쫇튵벨뷏닮뗄믹뷰ꆣ컒쏇냑헢튻ꆰ쫪믘틬쿳ꆱ쿖쿳돆캪춶헟뗄ꆰ랴쿲톡퓱ꆱꆣ믹뷰춶헟뗄헢훖ꆰ랴쿲톡퓱ꆱ탐캪룸믹뷰맜샭헟듸살뫜듳뗄삧죅ꆣ평폚ꆰ랴쿲톡퓱ꆱ뗄듦퓚,믹뷰맜샭헟늻펦붫ꆰ믹뷰쫕틦ퟮ듳뮯ꆱퟷ캪ퟮ폅톡퓱,뛸펦룃훘쫓춶헟랴쿲톡퓱뗄펰쿬ꆣ쏦뛔춶헟뗄틬뎣쫪믘,믹뷰맜샭헟붫룄뇤풭폐뗄컈뚨ꆢ뿉풤웚뗄춶닟싔,놻웈뇤쿖뻟폐펯샻잰뺰뗄닺ퟩ뫏,틔펦뛔쇷뚯탔탨쟳ꆣ믹뷰쯹닺짺뗄헢훖쇷뚯탔쫇릹돉샭탔풤웚샭싛쒣탍훐췢짺릩룸탔퓫틴(ExogenousSupply2noise)뗄튻룶훘튪살풴ꆣ평폚퓫틴붻틗헟뗄풤웚쫕틦캪뢺,믹뷰뗄헢훖쇷뚯탔3ꆡ슽죘ꆢ탬쇺뇾ꆢ킻탂뫱,짏몣닆뺭듳톧뷰죚톧풺,폊헾뇠싫:200433,뗧ퟓ탅쿤:lr@;돂냙훺,쏀맺쓏볓훝듳톧십킪뛻짌톧풺뷰죚뫍짌튵뺭볃쾵ꆣ놾컄뗃떽맺볒ퟔ좻뿆톧믹뷰쿮쒿(70673056)뫍짏몣닆뺭듳톧211뿆퇐쿮쒿훺ꆣ쳘뇰룐킻쓤쏻움짳볒쳡돶뗄놦맳틢볻,컄퓰ퟔ뢺ꆣꋙꆡ훐맺믹뷰쫐뎡욫막탍믹뷰쪼훕햼뻝뻸뛔폅쫆,뾼싇떽퇐뺿뛔쿳뗄뿉뇈탔(막욱탍믹뷰ꆢ햮좯탍믹뷰뗄쳘뗣늻춬,늻쓜럅퓚튻웰뷸탐퇐뺿)뫍듺뇭탔,놾컄뗄퇐뺿뛔쿳캪욫막탍믹뷰ꆣ욫막탍믹뷰냼삨막욱탍믹뷰벰믬뫏탍믹뷰,떫늻냼삨횸쫽탍믹뷰ꆣ39
슽ꆡ죘뗈:믹뷰튵벨폫춶헟뗄톡퓱춼1ꆡ뾪럅쪽믹뷰뺻쫪믘싊폫쫕틦싊뗄맘쾵춼힢:막욱탍믹뷰뫍햮좯탍믹뷰폐뫜듳닮뇰,펦룃럖뇰뷸탐럖컶,떫2003쓪잰랢탐뗄햮좯탍믹뷰쫽솿뫜짙,컞램뷸탐뚨솿럖컶ꆣ뷘횹2006쓪9퓂30죕릲랢탐160횻욫막탍(훷튪춶폚막욱)뾪럅쪽믹뷰,웤훐폐16횻캪횸쫽탍ꆣ횸쫽탍믹뷰쫇놻뚯탍믹뷰,웤튵벨뫢솿뇪ힼ폫웤쯻믹뷰늻춬,쯹틔놾컄횻럖컶쳞돽횸쫽탍믹뷰뫳뗄욫막탍믹뷰ꆣ쯹톡퇹놾캪2003쓪1퓂1죕잰랢탐뗄14횻욫막탍뾪럅쪽믹뷰쫽뻝ꆣ뺻쫪믘싊폫쫕틦싊뗄볆쯣랽램춬쿂컄ꆣꆡ맜샭튲믡뛔튵벨닺짺뢺펰쿬ꆣꋙ쫪믘톹솦볓뻧믹뷰뗄늨뛎닙ퟷ탐캪,뛸믹뷰뛔폚쫐뎡뗄뻞듳펰쿬솦폖붫쪹헢훖늨뚯뒫떼떽헻룶쫐뎡,떼훂쫐뎡뗄늨뚯탔퓶볓ꆣ뛔믹뷰춶헟뛸퇔ꆰ,랴쿲톡퓱ꆱ룸캴쪵쪩쫪믘뗄믹뷰돖폐죋퓬돉쇋쾡쫍킧펦(폐맘쾡쫍킧펦뿉닎볻Greene뫍Hodges,2002;샮뫍폚뷸뷜,2004ꋚ)ꆣꆰ랴쿲톡퓱ꆱ펰쿬쇋믹뷰뗄춶닟싔,믹뷰놻웈쳡잰쳗쿖퓬돉쇋캴살쫕틦뗍폚풤웚쫕틦,뛸퓶볓뗄붻틗돉놾좴평뮹돖폐믹뷰뗄돖폐죋돐떣,컞쫪믘뗄돖폐죋놻웈돐떣쇋헢킩쯰쪧ꆣ믹뷰튵벨폫춶헟톡퓱(횸짪릺믲쫪믘뗄톡퓱)뗄맘쾵쫴폚튵벨-뷰쇷뚯맘쾵(Performance2FlowRelationship,볲돆PFR)퇐뺿,맺췢탭뛠톧헟(죧Gruber,1996;Berk뫍Green,2004뗈)뛔헢튻맘쾵뷸탐쇋퇐뺿,쯹뗃뷡싛캪PFR돊쿖튵벨-뷰뺻쇷죫뗄헽쿠맘탔,벴믹뷰튵벨풽뫃,춶헟뗄짪릺풽뛠ꆢ쫪믘풽짙ꆣ쮵쏷춶헟뛔폚믹뷰튵벨뗄돖탸탔폐탅탄ꆣ훐맺믹뷰춶헟뗄ꆰ랴쿲톡퓱ꆱ틢캶ퟅ훐맺PFR뗄뇭쿖뿉쓜폫맺췢늻춬ꆣ놾컄춨맽훐맺뾪럅쪽믹뷰뗄쏦냥쫽뻝퇐뺿훐맺PFR뗄쳘탔,첽톰훐맺믹뷰튵벨폫춶헟톡퓱뗄맘쾵,쮵쏷튵벨늢늻쫇펰쿬훐맺믹뷰춶헟톡퓱뗄캨튻틲쯘;컒쏇볬퇩쇋뿉쓜펰쿬춶헟톡퓱뗄웤쯻틲쯘,룹뻝쪵횤럖컶뗄뷡맻놾컄쳡돶쇋복짙춶헟ꆰ랴쿲톡퓱ꆱꆢ붵뗍쫐뎡늨뚯ꆢ캬뮤믹뷰뎤웚돖폐죋샻틦뗄쿠펦붨틩ꆣ뛾ꆢ컄쿗믘맋(튻)맺췢쿠맘퇐뺿맺췢뗄퇐뺿뷒쪾쇋탭뛠틲쯘뿉쓜펰쿬춶헟뗄톡퓱ꆣ죧뎤웚샻싊뗄훍뫳쿮ꆢ막욱쫐뎡쫕틦뫍룶죋뿉횧엤쫕죫(Santini뫍Aber,1998)ꆢ쫪믘럑폃벰쫕럑랽쪽(Greeneetal,2001;Nandaetal,2000)ꆢ믣싊(Bennett뫍Young,2000)ꆢ쮰쫕(Bergstresser뫍Poterba,2000)ꆢ욷없(Chakarabarti뫍ꋙGrossmanandStiglitz(1980),Hellwig(1980),Verrecchia(1982)쪹폃샭싛쒣탍뛈솿쇋헢훖펰쿬ꆣꋚ샮뫍폚뷸뷜(2004)돆헢훖쿖쿳캪ꆰ췢늿킧펦ꆱꆣ40
2007쓪뗚6웚Rungta,2000)뗈틲쯘뻹믡펰쿬춶헟뗄톡퓱ꆣ춶헟톡퓱믹뷰폫톡퓱짌욷뗄맽돌샠쯆ꆣ춶헟릺싲짌욷늢늻췪좫샭탔,틲캪샭탔뗘톡퓱짌욷탨튪뮨럑돉놾(CostlySearch)ꆣ춶헟쎻폐뺫솦믲쓜솦좥뺫좷뗘볆쯣짌욷뗄볛횵,뛸뿉쓜룼뛠뗘틀뻝튻킩볲떥쟒틗폚뇈뷏뗄틲쯘,죧욷없ꆣ춬퇹,퓚훚뛠펰쿬춶헟톡퓱뗄틲쯘훐,춶헟톡퓱믹뷰쪱ퟮ죝틗틀뻝뗄뻍쫇웤샺쪷튵벨(Gruber,1996)ꆣ틲듋튵벨-뷰쇷뚯맘쾵(PFR)뗄퇐뺿쫇ퟮ럡뢻뗄ꆣ11믹뷰튵벨폫뷰쇷죫맘쾵뗄퇐뺿PFR뗄퇐뺿뾪쪼벯훐폚믹뷰샺쪷튵벨(돽쳘뇰쮵쏷,틔쿂볲돆튵벨)폫뷰쇷죫뗄맘쾵(Performance2InflowRelationship),벴퇐뺿믹뷰튵벨폫춶헟짪릺뗄맘쾵ꆣ튻훂뗄뷡싛쫇믹뷰맽좥튵벨폫웤캴살뷰쇷죫쿔훸헽쿠맘,벴PFR쫇헽쿠맘뗄맘쾵ꆣSpitz(1970)ퟮ퓧뾪쪼퇐뺿PFRꆣSpitz퇐뺿쇋1960ꆪ1967쓪쏀맺20횻릲춬믹뷰뗄튵벨(Performance)뫍뷰뺻쇷죫(NetCashInflows)뗄맘쾵,퓚볓죫뿉횧엤쫕죫뇤솿뫳,랢쿖튵벨폫뷰뺻쇷죫돊쿖돶헽쿠맘맘쾵ꆣSmith튲쫇퓧웚퇐뺿PFR뗄톧헟횮튻,Smith(1978)쪹폃믹뷰튵벨업쏻ퟷ캪뫢솿튵벨뗄뇤솿,뛔쫕틦뷸탐럧쿕뗷헻뫳랢쿖퓚8쓪뗄퇐뺿퇹놾훐폐3쓪돊쿖쇋PFR뗄헽쿠맘맘쾵ꆣIppolito(1992)뛔1965ꆪ1984쓪143횻쏀맺릲춬믹뷰뗄튵벨폫뷰쇷뚯뷸탐쇋퇐뺿,내헕럧쿕뗷헻뫳뗄쫕틦폫쫐뎡횸쫽횮닮쫇럱듳폚쇣붫믹뷰럖캪펮볒믹뷰뫍쫤볒믹뷰ꆣ뷡맻랢쿖믹뷰쫕틦닐닮돊쿖ퟔ쿠맘탔,춶헟쓜릻샭탔뗘뛔믹뷰뗄튵벨닺짺랴펦,짪릺펮볒믹뷰쫪믘쫤볒믹뷰ꆣ21믹뷰튵벨폫뷰쇷돶맘쾵뗄퇐뺿뫳살뗄튻킩퇐뺿랢쿖PFR뗄맘쾵늢늻쫇뛔돆뗄ꆣ쯤좻ퟜ쳥짏돊쿖튵벨-뷰쇷죫뗄헽쿠맘맘쾵,떫튵벨뫃-뷰쇷죫뗄뇈샽듳폚튵벨닮-뷰쇷돶뗄뇈샽,벴춶헟풸틢붫뷰춶죫튵벨뫃뗄믹뷰,떫좴늻풸틢붫뷰듓튵벨닮뗄믹뷰훐뎷돶ꆣ튵벨-뷰쇷돶뗄맘쾵뇈튵벨-뷰쇷죫뗄맘쾵뢴퓓ꆣIppolito(1992)랢쿖쇷죫펮볒믹뷰뗄뷰솿쿔훸뿬폚쇷돶쫤볒믹뷰뗄뷰솿,쮵쏷PFR맘쾵늻뛔돆ꆣ평폚붻틗돉놾뫍움맀돉놾뗄듦퓚,춶헟늻뿉쓜욵랱뗘붫뷰듓튵벨닮뗄믹뷰훐쫪믘뛸춶죫떽튵벨뫃뗄믹뷰훐좥,뿉쓜뗄ퟶ램쫇퓶볓뛔틑돖폐뗄튵벨뫃뗄믹뷰ힷ볓춶ꆣ탂뷸죫뗄춶헟뿉쓜믡톡퓱튵벨ퟮ뫃뗄믹뷰ꆣ죴쫪믘뗄돉놾룟폚짪릺뗄돉놾,춶헟늻풸틢쫪믘믹뷰,헢뚼믡떼훂짪릺룟폚쫪믘ꆣSirri뫍Tufano(1998)튲횤쪵PFR훐튵벨폫뷰쇷죫뗄헽쿠맘맘쾵,뛸쟒튲랢쿖쇋PFR뗄맘쾵늢늻쫇뛔돆뗄ꆣ쫕틦업쏻ퟮ룟뗄믹뷰쿂튻웚믱뗃춶헟춶죫뗄뷰ퟮ뛠,뛸업쏻퓚뫳뗄믹뷰퓢폶뗄뷰쇷돶좴늻쏷쿔ꆣGoetzmann뫍Peles(1997)죏캪헢튻쿖쿳뿉폃춶헟뗄ꆰ죏횪쪧뗷ꆱ(CognitiveDissonance)살뷢쫍ꆣꆰ죏횪쪧뗷ꆱ쫇Festinger(1957)쳡돶뗄튻룶탄샭톧쿖쿳ꆣ죋쏇믡틲캪퓢폶죏횪늻킭뗷뗄틲쯘뛸룐떽뻚즥ꆣ뇈죧맽좥뗄톡퓱폫뫳살뗄쟩뿶늻럻뻍믡퓬돉ꆰ죏횪쪧뗷ꆱꆣ춶헟풸틢싲뷸튵벨솼뫃뗄믹뷰,떫쫇좴늻풸틢싴돶튵벨늻뫃뗄믹뷰ꆣ싴돶튵벨늻뫃뗄믹뷰,뻍틢캶ퟅ돐죏ퟔ벺춶듭컳,헢믡죃춶헟룐뻵ꆰ죏횪쪧뗷ꆱꆣBrown,Harlow뫍Starks(BHS,1996)죏캪튵벨뫃뗄믹뷰뿉틔믱뗃춶헟뗄뷰쇷죫뛸튵벨닮뗄믹뷰좴쎻폐쫜떽뷰쇷돶뗄돍랣,헢훖믺훆폫뾴헇웚좨럇뎣쿠쯆ꆣ틲듋BHS죏캪PFR쫇튻룶춹(Convex)몯쫽ꆣChevalier뫍Ellison(1997)폃1982ꆪ1992쓪3036횻믹뷰뗄쫽뻝뷸탐쇋PFR뗄퇐뺿,랢쿖PFR늢늻쫇쿟탔뗄맘쾵,튵벨뛔뷰쇷뚯뗄쏴룐탔벰럇쿟탔뗄탎ힴ좡뻶폚믹뷰뗄돖탸쪱볤ꆣ41
슽ꆡ죘뗈:믹뷰튵벨폫춶헟뗄톡퓱Hu,Kale뫍Subramanian(2002)틔쏀맺1962ꆪ1996쓪뗄믹뷰캪퇹놾,랢쿖벴쪹퓚뿘훆믹뷰뗄틑짏쫐쪱볤뇤솿뫳,짏쫶럇쿟탔맘쾵죔좻듦퓚,뛸쟒짏쫐쪱볤뛌뗄믹뷰듦퓚룼쏷쿔뗄럇뛔돆탔뫍춹탔뗄쳘뗣ꆣKempf뫍Ruenzi(2004)퇩횤쇋퓚믹뷰맜샭릫쮾쓚늿쫇럱춬퇹듦퓚폫헻룶쫐뎡쿠춬뗄PFRꆣ쯻쏇폃1993ꆪ2001쓪쏀맺릲춬믹뷰뗄퇹놾뷒쪾쇋퓚믹뷰맜샭릫쮾쓚늿,쏷탇믹뷰튲붫믱뗃뇈웤쯻믹뷰룼뛠뗄뷰쇷죫ꆣ쮵쏷퓚믹뷰맜샭릫쮾쓚늿PFR쟺쿟튲쫇춹뗄ꆣퟜ뗄살쮵,맺췢뗄퇐뺿뷒쪾쇋믹뷰튵벨폫뷰쇷죫뻟폐헽쿠맘맘쾵,쟒튵벨뛔뷰쇷죫뫍쇷돶뗄펰쿬늻뛔돆,틲듋PFR돊쿖헽쿲춹쟺쿟뗄탎ힴꆣ(뛾)맺쓚쿠맘퇐뺿11믹뷰튵벨폫춶헟쫪믘맘쾵뗄퇐뺿쇵횾풶뫍튦틃(2004)랢쿖컒맺뾪럅쪽믹뷰듦퓚쫪믘삧믳,벴쯦ퟅ믹뷰튵벨퓶뎤,쫪믘싊늻붵랴짽,뛸쟒믹뷰뗄뺻짪릺늢늻쫇돶쿖퓚믹뷰튵벨퓶뎤ퟮ룟쪱,뛸잡잡쫇튵벨퓶뎤ퟮ뗍쪱,쇭췢벴뇣튵벨퓶뎤듯떽ퟮ룟쪱,쫪믘싊횻쫇쟷뷼폚0,죔좻캴쓜돶쿖뺻짪릺ꆣ샮(2003)뛔2003쓪짏냫쓪컒맺17횻뾪럅쪽믹뷰뗄뺻쫪믘뇈싊뫍뺻횵퓶뎤싊뷸탐쇋믘맩럖컶,랢쿖믹뷰뺻횵퓶뎤싊짏짽,쫪믘싊튲짏짽ꆣ21펰쿬뾪럅쪽믹뷰쫪믘뗄웤쯻틲쯘럖컶헔탱뫍컢돥럦(2003)뷨본Nanda,Narayanan뫍Warther(2000)뗄쒣탍뛔컒맺돉솢폚2003쓪횮잰뗄벸횻뾪럅쪽믹뷰뷸탐럖컶,쳡돶믹뷰뗄튵벨ꆢ럖뫬뷰뛮ꆢ쫪믘럑싊ꆢ춶헟뗄욫뫃ꆢ뷡릹틔벰퇲좺탐캪펰쿬ퟅ뾪럅쪽믹뷰춶헟뗄쫪믘탐캪ꆣ쇵횾풶뫍튦틃(2004)랢쿖믹뷰튵벨퓶뎤ꆢ럖뫬뷰뛮ꆢ럖뫬듎쫽ꆢ믹뷰맜샭릫쮾맦쒣ꆢ믹뷰벯훐뛈쫇펰쿬믹뷰쫪믘뗄훘튪틲쯘,늢쟒떱믹뷰뺻횵뗸웆1풪쪱,풭폐쟷쫆믡랢짺춻뇤ꆣ샮뻼ꆢ슦뺲뫍췵퇇쓏(2005)퇐뺿랢쿖,욫막탍믹뷰쫪믘탐캪뗄ퟮ병뻶뚨틲ퟓ쫇:t-1웚럖뫬,t-1웚뺻횵퓶뎤싊,t-1웚뺻쫪믘뇈샽;욫햮탍믹뷰쫪믘탐캪뗄ퟮ병뻶뚨틲ퟓ쫇:t웚뺻횵퓶뎤싊,욽뻹맦쒣뫍t웚럖뫬ꆣ31뛔뾪럅쪽믹뷰듳솿쫪믘뗄뷢쫍샮뫍폚뷸뷜(2004)퓋폃뺭볃톧훐뗄췢늿킧펦샭싛뛔컒맺뾪럅쪽믹뷰뗄듳쏦믽쫪믘쿖쿳ퟷ돶쇋뷢쫍ꆣ쯻쏇죏캪:춶헟뗄쫪믘탐캪붫뛔캴튪쟳쫪믘뗄믹뷰돖폐죋탎돉췢늿킧펦ꆣ평폚뾪럅쪽믹뷰럝뛮뗄볛횵좡뻶폚닺뺻횵퓚ퟜ럝뛮짏뗄럖첯볛횵,죴닺뺻횵쿂붵,쎿튻룶돖폐죋퓲내뇈샽럖첯쯰쪧ꆣ틲듋튻떩폐늿럖춶헟쳡돶쫪믘쟫쟳,쓇쎴쯻쏇뗄쫪믘탐캪뛔웤쯻캴튪쟳쫪믘뗄춶헟뛸퇔뻍닺짺쇋췢늿킧펦ꆣ쫸뺰뫧(2005)죏캪퓬돉믹뷰쫪믘뗄훷튪풭틲쫇믹뷰좱랦컈뚨뗄뷰살풴,춶헟좱랦뛔럧쿕뗄헽좷죏쪶튲쫇퓬돉믹뷰돖막룟뛈벯훐ꆢ럇쾵춳럧쿕맽듳뗄훘튪풭틲ꆣ샮뇳(2005)ꆢ싞붣(2005)폃탐캪뷰죚샭싛뛔뾪럅쪽믹뷰춶헟쫪믘뷸탐쇋뷢쫍ꆣ돂쏺탂뫍헅쫀펢(2003)펦폃춣횹샭싛(StoppingTheory)뗄룅쓮뫍랽램쒣쓢쇋뾪럅쪽믹뷰춶헟뗄쫪믘탐캪,룸돶쇋춶헟췪좫쯦믺탍쫪믘탐캪뗄룅싊럖늼뫍쫕틦쿖횵뗄웚췻횵ꆣ맺쓚퇐뺿랢쿖쇋훐맺믹뷰튵벨쳡룟좴떼훂쇋춶헟뗄듳쏦믽쫪믘,헢쳡쪾훐맺뗄PFR맘쾵뿉쓜폫맺췢뗄뇭쿖늻춬ꆣ떫컒쏇랢쿖맺쓚뛔듋컊쳢뗄퇐뺿뚼쫇틔믹뷰럝뛮볆쯣쫪믘싊,죧쇵횾풶뫍튦틃(2004),샮뻼ꆢ슦뺲뫍췵퇇쓏(2005)뗈;뛸맺췢퇐뺿뚼쫇틔뺻쿖뷰쇷솿살볆쯣쫪믘싊,죧Sirri뫍Tufano(1998),Nanda,Wang뫍Zheng(2004),Zheng(1999)ꆣ컒쏇죏캪틔믹뷰럝뛮살볆쯣쫪믘싊듦퓚좱쿝ꆣ뻟쳥럖컶볻쿂컄뛔놻뷢쫍뇤솿뗄쮵쏷ꆣ컒쏇붫쪹폃뺻쿖뷰쇷솿살볆쯣쫪믘싊,헒돶훐맺믹뷰튵벨폫춶헟톡퓱뗄맘쾵,늢폫맺췢뗄쿠맘뷡맻뷸탐뇈뷏ꆣ42
2007쓪뗚6웚죽ꆢ믹뷰튵벨폫뷰쇷뚯뗄맘쾵컒쏇쫗쿈뛔훐맺믹뷰튵벨폫뷰쇷죫뗄맘쾵(PFR)뷸탐볬퇩,틔뷒쪾믹뷰튵벨뛔춶헟톡퓱퓬돉뗄펰쿬ꆣ(튻)퇹놾폫뇤솿11퇹놾쮵쏷평폚훐맺뾪럅쪽믹뷰랢햹뇈뷏췭,떽쒿잰캪횹,쪱볤탲쇐쫽뻝벫캪폐쿞,캪쇋뾼달뺡뿉쓜뎤뗄퇹놾쪱볤,놾컄톡퓱2003쓪1퓂1죕잰랢탐뗄14횻욫막탍뾪럅쪽믹뷰듓2003쓪4퓂1죕훁2006쓪9퓂30죕릲14룶벾뛈쫽뻝ퟷ캪퇹놾ꆣ쫽뻝뻹좡ퟔWind쫽뻝뿢ꆣ캪쇋쳞돽엵뎡뷰ꋙ퓚뾪럅돵웚뗄듳솿쫪믘뛔쫽뻝뗄펰쿬,붫2003쓪1벾뛈뗄쫪믘쫽뻝업돽퓚퇹놾췢ꆣ쯹폐쫽뻝볆쯣폃Matlab죭볾췪돉,ퟮ훕쫽뻝럖컶폃SAS죭볾췪돉ꆣ21놻뷢쫍뇤솿ꆪꆪꆪ뺻짪릺싊(뺻짪릺횸짪릺폫쫪믘횮닮,튲벴뢺뗄뺻쫪믘)죧잰쯹쫶맺쓚뛔헢샠컊쳢뗄퇐뺿틔믹뷰럝뛮볆쯣짪릺믲쫪믘싊,컒쏇죏캪펦틔뺻쿖뷰쇷살볆쯣,럖컶죧쿂:믹뷰떥캻뺻횵믡쯦ퟅ럖뫬뛸붵뗍,짨Qt,Qt-1럖뇰뇭쪾t웚쒩뫍t-1웚쒩뗄럝뛮,Pt,Pt-1럖뇰뇭쪾t웚쒩뫍t-1웚쒩뗄떥캻뺻횵,볙짨믹뷰떥캻럖뫬캪dividendt,쟒럖뫬좫늿퓙춶ꆣ퓲뷰뺻쇷죫Ft뿉뇭쪾캪:Ft=NAVt-NAV(t-1(1+R)t1)웤훐,NAVt=PtꇁQ(t2)Pt+dividendt-Pt-1R(t=3)Pt-1ꆡꆡ평(1)ꆢ(2)ꆢ(3)뿉뗃:Pt+dividendt-Pt-1Ft=PtQt-Pt-1Qt-11+Pt-1=P(tQt-Qt-1)-dividendtQt-1(4)ꆡꆡ듓(4)쪽뿉틔뾴돶,죧맻믹뷰퓚볆쯣웚쓚쎻폐럖뫬,퓲틔럝뛮볆쯣뫍틔쿖뷰쇷볆쯣웤쪵쫇뗈볛뗄,횻쫇쿠닮Pt놶ꆣ뛸떱믹뷰퓚볆쯣웚쓚럖뫬,솽헟뻍늻퓙쫇뗈볛뗄ꆣ뇈죧:웚돵믹뷰떥캻뺻횵Pt-1캪2풪,럝뛮Qt-1캪10000럝,믹뷰퓚볆쯣웚쓚뺻횵쎻폐퓶볓,튲쎻폐짪릺뫍쫪믘(벴뺻쫪믘펦캪0),웚쒩믹뷰쎿떥캻럖뫬dividendt캪1풪,럖뫬좫늿퓙춶,퓲웚쒩믹뷰떥캻뺻횵Pt붵캪1풪,럝뛮Qt뇤캪20000럝ꆣ틔믹뷰럝뛮살볆쯣,볆쯣웚쓚럝뛮퓶볓쇋10000럝,쿔쪾캪믹뷰뺻짪릺;뛸틔뺻쿖뷰쇷살볆쯣,뷰뺻쇷죫캪0,뇭쪾춶헟쎻폐짪릺튲쎻폐쫪믘,폫쿖쪵쟩뿶쿠럻ꆣ틲듋놾컄톡퓱틔뷰뺻쇷죫뛸늻쪹폃믹뷰럝뛮살뇭쪾믹뷰뗄뺻짪릺ꋚ(믲뢺뗄뺻쫪믘)ꆣ뚨틥믹뷰뺻짪릺싊flowit:NAV)it-NAVi,t-1(1+Ritflow(it=N5)AVi,t-1웤훐,NAVit=PitQit,Pit캪t웚쒩뗚i횻믹뷰떥캻뺻횵,Qit캪t웚쒩뗚i횻믹뷰럝뛮,Rit뇭쪾t웚쓚뗚ꋙ횸퓚뾪럅쪽믹뷰쒼벯웚볤평폚펪쿺맘쾵뛸죏릺뗄뾪럅쪽믹뷰럝뛮ꆣ헢늿럖뷰듳뛠믡퓚믹뷰뾪럅뫳뎷돶믹뷰ꆣꋚ캪폫맺췢뗄PFR뷸탐뇈뷏,놾컄쪹폃뺻짪릺싊뛸늻쪹폃뺻쫪믘싊ꆣ43
슽ꆡ죘뗈:믹뷰튵벨폫춶헟뗄톡퓱i횻믹뷰뗄쫕틦싊ꆣ31뷢쫍뇤솿ꆪꆪꆪ믹뷰쫕틦싊Rit믹뷰뺻횵폐떥캻뺻횵뫍샛볆떥캻뺻횵횮럖ꆣ떥캻뺻횵쫇믹뷰뗄뺻닺횵폫믹뷰맦쒣(럝뛮)뗄뇈횵ꆣ믹뷰쎿듎럖뫬뫳떥캻뺻횵믡붵뗍,떫샛볆떥캻뺻횵늻뇤ꆣ평폚쫕틦쫇뫢솿믹뷰퓚웚쒩뇈웚돵뗄볛횵퓶횵쟩뿶,뛸잰웚럖뫬틑뺭쇷돶믹뷰,늻쫴폚믹뷰뺭펪닺,쯹틔놾컄폃떥캻뺻횵폫떱웚럖뫬횮뫍살뫢솿튵벨,믹뷰쫕틦싊Rit퓲뇭쪾캪:Pit+dividendit-Pi,t-1R(it=6)Pi,t-1웤훐,dividendit뇭쪾뗚i횻믹뷰t웚쓚뗄럖뫬ꆣ(뛾)믹뷰튵벨폫뷰뺻쇷죫맘쾵뗄볬퇩캪쇋뾼달훐맺뗄PFR,컒쏇뛔믹뷰뗄믹뷰쫕틦Rit폫뷰뺻쇷죫flowit뷸탐쿠맘탔볬퇩ꆣ뾼싇떽폐뛠훖틲쯘믡펰쿬춶헟뗄톡퓱(볻쿂컄럖컶),놾컄닉폃Pearson욫쿠맘뷸탐닢뛈ꆣ퓚뿘훆쇋잰웚쫕틦싊ꆢ놾웚뫍잰웚늨뚯싊ꆢ잰웚샻싊ꆢ놾웚뫍잰웚럖뫬ꆢ놾웚뫍잰웚횸쫽쫕틦싊ꆢ잰웚믹뷰맦쒣ꆢ놾웚쫐뎡뺻짪릺싊뫍뷘쏦탩쓢뇤솿뫳,믹뷰튵벨폫뷰뺻쇷죫뗄Pearson욫쿠맘쾵쫽캪-0137210(P<010001)ꆣ훐맺PFR돊쿖뢺쿠맘맘쾵,쮵쏷믹뷰튵벨쳡짽,떼훂쇋뷰뗄뺻쇷돶ꆣ믹뷰튵벨좷쪵펰쿬쇋춶헟뗄톡퓱,떫헢훖톡퓱좴쫇랴쿲뗄,춶헟쫪믘쪱톡퓱뗄쫇튵벨솼뫃뗄믹뷰ꆣ컒쏇내쫕틦싊업쏻붫퇹놾뮮럖솽늿럖:쫕틦싊업쏻잰50%뗄믹뷰ퟩ1(up)뫍쫕틦싊업쏻뫳50%뗄믹뷰ퟩ2(down)ꆣ뿘훆웤쯻뇤솿뗄펰쿬,뛔뺻짪릺싊폫쫕틦싊뷸탐쏦냥쫽뻝(PanelDataꋙ)믘맩ꆣ뷡맻쿔쪾ퟩ1뗄쾵쫽(-113)쿔훸킡폚ퟩ2뗄쾵쫽(-016ꋚ),뿉틔뇭쪾캪:5(flowup)5(flowdown)<(7)5Rup5Rdown틲듋,훐맺PFR쟺쿟뿉쓜뻟폐죧춼2뗄탎ힴ:쿠뛔폚맺췢PFR돊쿖헽쿲ꆢ춹쟺쿟맘쾵,맺쓚PFR퓲돊쿖뢺쿲ꆢ낼쟺쿟맘쾵ꆣ쯄ꆢ펰쿬춶헟톡퓱뗄틲쯘럖컶PFR쟺쿟탎ힴ쿔쪾쇋맺쓚믹뷰튵벨-뷰쇷뚯뗄맘쾵폫맺췢늻춬ꆣ훐맺믹뷰뗄튵벨풽뫃,춶헟뛔웤뗄쫪믘튲풽뛠ꆣꆰ랴쿲톡퓱ꆱ쳡쪾믹뷰뗄튵벨뿉쓜늢늻쫇펰쿬춶헟톡퓱뗄캨튻틲쯘ꆣ춼2ꆡ튵벨2뷰쇷죫맘쾵(PFR)ꆡ(튻)펰쿬춶헟톡퓱뗄틲쯘룹뻝틑폐퇐뺿늢뷡뫏떱잰믹뷰죈훔폚럖뫬ꆢ삩듳맦쒣뗈ퟶ램,컒쏇뾼달틔쿂틲쯘뛔춶헟톡퓱뗄펰쿬:11믹뷰쫕틦늨뚯sigmait샭탔뗄믹뷰춶헟쫇럧쿕퇡뛱뗄춶헟,퓚믱좡쫕틦뗄춬쪱쾣췻뇜쏢럧쿕ꆣ튻냣폃닺쫕틦싊뗄뇪ힼ닮살뫢솿럧쿕ꆣsigmaꛒit=itn(8)ꋙ평폚룷훖틲쯘퓚퇹놾웚쓚쫇쪱볤탲쇐,뛸퓚쎿룶쪱볤뷘쏦짏폖듦퓚뛠횻믹뷰,폃튻냣뗄믘맩럖컶늻쓜랴펳헢훖뛾캬탲쇐뗄쳘헷,틲듋쟸뇰폚웤쯻퇐뺿,놾컄톡퓱폃쏦냥쫽뻝쒣탍뷸탐럖컶,폐맘쏦냥쫽뻝쒣탍뗄뻟쳥펦폃뿉닎볻Wooldbridge(2002)ꆣꋚ쿞폚욪럹,쪡좥뻟쳥놨룦ꆣ44
2007쓪뗚6웚웤훐,ꛒit캪놾믹뷰놾벾뛈쓚죕쫕틦싊뇪ힼ닮,n캪놾벾뛈쓚쪵볊붻틗쳬쫽ꆣ21춶돉놾죴풤웚쫕죫늻뇤,돉놾퓶볓붫믡복짙춶뗄믽벫탔ꆣ퓚믹뷰풤웚쫕틦늻뇤뗄쟩뿶쿂,죴춶돉놾퓶볓(샻싊짏짽),퓲뛔믹뷰뗄춶붫복짙ꆣSantini뫍Aber(1998)뗄퇐뺿뇭쏷,믹뷰쿖뷰쇷솿폫뎤웚샻싊뗄훍뫳쿮뢺쿠맘ꆣ놾컄폃90쳬춬튵닰뷨샻싊ꋙ뇭쪾춶돉놾ꆣ31믹뷰뗄럖뫬dividendit룹뻝탐캪뷰죚톧샭싛,죋쏇쾰맟폚싴돶펯샻뗄닺뛸돖폐뿷쯰닺,쯹틔떱믹뷰뺻횵뷏룟쪱,춶죋쟣쿲폚쫪믘,뗈뺻횵쿂붵쪱퓙짪릺ꆣ럖뫬폐훺폚춶헟벰쪱쪵쿖샻죳,뛸럖뫬뫳뺻횵믡쿂붵,쯹틔럖뫬뿉쓜폐샻폚붵뗍믹뷰뗄뺻쫪믘싊ꆣdividendit=Dit-Di,t-1(9)웤훐,Dit캪뗚i횻믹뷰t웚쒩샛볆떥캻럖뫬ꆣ41쫐뎡횸쫽쫕틦싊shrt욫막탍믹뷰뗄춶쫜막욱쫐뎡뗄펰쿬럇뎣듳ꆣ떱막욱쫐뎡뒦폚얣쫐쪱,믹뷰뺻횵믡쯦막욱횸쫽짏헇뛸짏헇,춶헟듋쪱릺싲믹뷰쓜럖쿭떽쫐뎡퓶뎤뗄샻틦ꆣ쯹틔샭탔뗄춶헟믡퓚얣쫐쪱짪릺믹뷰뛸퓚태쫐쪱쫪믘믹뷰ꆣSantini뫍Aber(1998)뗄퇐뺿뇭쏷,믹뷰쿖뷰쇷솿폫막욱쫐뎡쫕틦헽쿠맘ꆣshrt=(sht-sht-1)Πsht-1(10)웤훐,sht캪t웚쒩짏횤ퟛ뫏횸쫽ꆣ51믹뷰맦쒣logvalueit돶폚믹뷰맜샭헟ퟔ짭뗄샻틦,믹뷰폐맦쒣퓶듳뗄쟷쫆,떫춶헟쫇럱죏춬맦쒣듳뗄믹뷰?Nanda,Wang뫍Zheng(2004)퇐뺿랢쿖,믹뷰뗄탂쿖뷰쇷폫놾믹뷰잰웚맦쒣뢺쿠맘ꆣ쫕틦싊뇤솿뇭쪾믹뷰틑쪵쿖쫕틦,뛸맦쒣펰쿬뗄쫇캴살쫕틦,쯹틔웤ퟷ폃늻쓜놻샺쪷쫕틦쯹랴펦ꆣlogvalueit=log(NAV)(it11)ꆡꆡ61욫막탍믹뷰쫐뎡뺻짪릺싊Mflowt떱헻룶믹뷰쫐뎡뗄뷰뺻쇷죫퓶볓쪱,떥횻믹뷰뗄쿖뷰쇷죫튲쟣쿲폚퓶볓ꆣSirri뫍Tufano(1998)퇐뺿뇭쏷,믹뷰쇷솿폫놾샠믹뷰ퟜ쇷솿헽쿠맘ꆣNNꇆNAVit-ꇆNAVi,t-1(1+R)itMi=1i=1flowt=n(12)ꇆNAVi,t-1i=1웤훐,N뇭쪾쫐뎡짏욫막탍뾪럅쪽믹뷰(쳞돽횸쫽탍믹뷰)뗄ퟜ횻쫽ꆣ(뛾)펰쿬춶헟톡퓱뗄틲쯘볬퇩캪볬퇩틔짏틲쯘뛔춶헟톡퓱뗄펰쿬,놾컄붨솢틔쿂쏦냥쫽뻝(PanelData)쒣탍:flowit=ꛂ1Rit+ꛂ2Ri,t-1+ꛂ3sigmait+ꛂ4sigmai,t-1+ꛂ5interestt-1+ꛂ6dividendit+ꛂ7dividendi,t-1+ꛂ8shrt+ꛂ9shrt-1+ꛂ10logvalue(i,t-1+ꛂ11mflowt+uit13)ꆡꆡ쒣탍(13)틾몬볙짨캪춶헟믡룹뻝잰웚쫽뻝뫍놾웚쫽뻝뷸탐짪릺쫪믘뻶닟,헢뾼싇쇋춶헟뗄풤웚ꆣ평폚튻냣뷨듻샻싊뚼쫇퓚웚돵뻶뚨,쯹틔쒣탍횻틽죫쇋짏웚쒩샻싊,뛸캴볓죫놾웚샻싊ꋙ뾼싇90쳬춬튵닰뷨샻싊뗄쪱볤뎤뛈폫벾뛈뗄짪릺ꆢ쫪믘쫽뻝쿠욥엤ꆣ45
슽ꆡ죘뗈:믹뷰튵벨폫춶헟뗄톡퓱(펰쿬쿂웚뷰돉놾)ꆣ평폚잰웚헻룶믹뷰쫐뎡뗄뷰뺻쇷죫뛔놾웚떥횻믹뷰뗄뷰뺻쇷죫쎻폐펰쿬,쯹틔횻폃떱웚횸뇪ꆣ쇭췢,믹뷰맦쒣쫇쪱뗣횸뇪,횻폐퓚웚쒩닅쓜맛달떽놾웚쫽뻝,뛸퓚놾웚쓚횻쓜맛달떽짏웚쫽뻝,쯹틔캴볓죫놾웚쫽뻝ꆣ쿈뛔쯹폐뷢쫍뇤솿뫍놻뷢쫍뇤솿ퟶ떥캻룹볬퇩,퓚5%쿔훸탔쮮욽쿂뻹캪욽컈탲쇐ꆣ뛔쫽뻝뷸탐Hausman쯦믺킧펦볬퇩,ꛖ2m=17149(P=010006),쮵쏷풭볙짨H0(닐닮쿮폫뷢쫍뇤솿늻쿠맘)늻돉솢,늻쫊뫏폃쯦믺킧펦쒣탍ꆣ쯹틔놾컄폃만뚨킧펦쒣탍:flowit=ꛂ1Rit+ꛂ2Ri,t-1+ꛂ3sigmait+ꛂ4sigmai,t-1+ꛂ5interestt-1+ꛂ6dividendit+ꛂ7dividendi,t-1+ꛂ8shrt+ꛂ9shrt-1+ꛂ10logvaluei,t-1+ꛂ11mflowt+ci+ꛅ(it14)ꆡꆡ붫쪽(13)폫쪽(14)뇈뷏뿉틔랢쿖,uit=ci+ꛅit,웤훐ci랴펦뗄쫇늻쯦쪱볤뇤뮯뗄뷘쏦닮틬,죧믹뷰맜샭릫쮾뗄닮틬ꆢ짪릺쫪믘럑싊뗄닮틬뗈ꆣ평F볬퇩횪만뚨킧펦쿔훸,틲듋ci늻뿉뫶싔,떫뷘쏦킧펦럇놾컄뾼달뗄훘뗣,헢샯쪡싔쇋만뚨킧펦ci뗄맀볆횵,쫽뻝뒦샭뷡맻볻뇭1ꆣ평뇭1뿉틔뾴돶,퓚5%쿔훸탔쮮욽쿂,횻폐잰웚쫕틦싊뗄쾵쫽(P횵캪011805)뫍놾웚쫕틦싊뇪ힼ닮뗄쾵쫽(P횵캪011616)늻쿔훸,웤쯻쾵쫽뻹쿔훸,쓢뫏쾵쫽R2캪015611,쮵쏷쒣탍뛔쫽뻝뗄쓢뫏뷏뫃ꆣ춨맽쏦냥쫽뻝볬퇩,ꆡ뇭1쏦냥쫽뻝만뚨킧펦쒣탍맀볆뷡맻컒쏇뗃떽:맀볆랽램Fixone뷘쏦쫽솿14쪱탲뎤뛈14믹뷰뺻짪릺싊(뢺뗄뺻쫪믘싊)폫떱웚믹뷰쫕틦싊ꆢ쫕틦싊뗄쓢뫏춳볆솿뇪ힼ닮ꆢ놾웚럖뫬ꆢ잰웚막욱횸쫽SSE212017DFE171쫕틦싊ꆢ믹뷰맦쒣뢺쿠맘;폫잰웚MSE010129RootMSE011135믹뷰쫕틦싊ꆢ쫐뎡샻싊ꆢ잰웚럖R2Square015611뫬ꆢ놾웚막욱횸쫽쫕틦싊ꆢ춬웚헻볙짨쎻폐만뚨킧펦뗄F볬퇩룶믹뷰쫐뎡뗄뷰뺻쇷죫헽쿠NumDFDenDFFValuePr>F맘ꆣ131713135010001(죽)뷡맻럖컶춨맽쪵횤럖컶,컒쏇랢쿖틔닎쫽맀볆쿂틲쯘펰쿬춶헟뛔믹뷰뗄톡뇤솿쾵쫽맀볆횵뇪ힼ닮t횵P횵퓱Rꛂit1-1128338012448-5124<010001:11춶헟쟣쿲폚쫪믘튵벨Ri,t-1ꛂ2013282030124411134011805뫃뗄믹뷰ꆣsigmaꛂit3-017673015458-1141011616ꛂ2캪헽,짏웚믹뷰튵벨풽sigmai,t-1ꛂ4-1176041016175-2185010049뫃,믹뷰뗄뺻쫪믘뻍풽짙(믲뺻짪interestt-1ꛂ5010688340102093129010012릺풽뛠)ꆣ쮵쏷춶헟욫뫃잰웚dividendꛂ튵벨뫃뗄믹뷰,헢쫇튻훖샭탔뗄it6-0175535013327-2127010244풤웚dividendi,t-1ꛂ7018484350135862137010191,떫헢튻킧펦늻쿔훸ꆣꛂ1캪뢺,쮵쏷믹뷰놾웚튵벨풽뫃shrꛂt8017624960120433173010003,웤뺻쫪믘싊풽룟ꆣ헢럻뫏탐캪뷰죚샭shrt-1ꛂ9-0155372012008-2176010065싛훐뗄ꆰ뒦훃킧펦ꆱlogvaluei,t-1ꛂ10-0113991010325-4130<010001,벴죋쏇쾲뮶뒦훃펯샻닺틔쪹헋쏦샻죳뇤돉mflowꛂt11012229040103735197<010001쿖쪵샻죳ꆣꛂ1ꆢꛂ2폐헽폐뢺,쮵46
2007쓪뗚6웚쏷춶헟볈돶쿖쇋샭탔톡퓱(톡퓱튵벨뫃뗄믹뷰)튲랢짺쇋뒦훃킧펦(싴돶떱웚펯샻뗄믹뷰)ꆣ좻뛸뇭쿖캪샭탔톡퓱뗄헽쾵쫽늻쿔훸,횻폐뇭쿖캪뒦훃킧펦뗄뢺쾵쫽쿔훸,쮵쏷춶헟뗄뒦훃킧펦풶풶듳폚샭탔풤웚ퟷ폃,믹뷰춶헟쫪믘쪱톡퓱쇋튵벨뫃뗄믹뷰,벴랢짺쇋ꆰ랴쿲톡퓱ꆱꆣ21룟럧쿕쫇춶헟톡퓱쫪믘뗄튻룶훘튪풭틲ꆣ듓쫕틦늨뚯싊쾵쫽뗄뷡맻뾴,ꛂ3ꆢꛂ4뻹캪뢺,벴믹뷰튵벨풽늻컈뚨,믹뷰뗄뺻쫪믘싊풽룟ꆣ헢뷒쪾쇋ꆰ랴쿲톡퓱ꆱ뗄튻룶풭틲ꆪꆪꆪ럧쿕ꆣ춶헟퓚믹뷰튵벨쳡룟쪱톡퓱쫪믘뛸럇짪릺쫇틲캪떣탄헢훖쫕틦뗄퓶뎤쫇늻컈뚨뗄ꆣ죧맻믹뷰솼뫃뗄튵벨쫇믹뷰뺭샭맊틢톡퓱럧쿕룟뗄춶ퟩ뫏쯹틽웰,뛸춶헟늢늻죏뿉믹뷰뺭샭뗄헢훖쎰쿕탐캪;믲춶헟죏캪믹뷰솼뫃뗄튵벨뷶쫇믹뷰뺭샭뗄퓋웸쯹훂,뚼믡떼훂춶헟톡퓱쫪믘룟럧쿕뗄믹뷰ꆣ31뷰돉놾뛔춶헟톡퓱쎻폐펰쿬ꆣ샻싊쾵쫽ꛂ5캪헽,쮵쏷샻싊풽룟뺻짪릺싊풽룟,폫샭싛쿠쎬뛜ꆣ헢훖뷡맻쮵쏷춶헟퓚짪릺믲쫪믘뻶닟쪱늢쎻폐뾼싇돉놾틲쯘ꆣ튲폐뿉쓜쫇틲캪훐맺놾쫐뎡폫믵뇒쫐뎡쫇럖룮뗄,믵뇒쫐뎡뗄샻싊늢늻쓜랴펦놾쫐뎡뷰뗄헦헽믺믡돉놾ꆣ41럖뫬폐훺폚퓶볓춶헟짪릺ꆣ잰웚럖뫬뗄쾵쫽ꛂ7캪헽,놾웚럖뫬뗄쾵쫽ꛂ6캪뢺ꆣ쮵쏷잰웚럖뫬풽뛠,믹뷰뺻짪릺싊풽룟ꆣ잰웚폐럖뫬쮵쏷믹뷰튵벨뷏뫃,뛸쟒럖뫬뫳믹뷰뗄뺻횵뇈뷏뗍,솽헟뚼폐샻폚퓶볓놾웚짪릺ꆣ놾웚뫍짏웚럖뫬뗄쾵쫽럻뫅늻춬,쮵쏷폃럖뫬펰쿬춶헟뗄톡퓱폐쪱훍ꆣ51막욱쫐뎡탐쟩펰쿬춶헟뗄톡퓱ꆣ막욱쫐뎡탐쟩뛔춶헟쫪믘뗄펰쿬뇭쿖퓚솽룶랽쏦:튻랽쏦막욱쫐뎡탐쟩짏헇붫닺짺실듼캪낲뗄ꆰ뒦훃킧펦ꆱ,퓬돉쫪믘뗄퓶볓;쇭튻랽쏦,막욱쫐뎡탐쟩뗄짏헇믡퓬돉탐쟩뷸튻늽짏헇뗄풤웚,쯹틔춶헟믡룼쟣쿲폚믹뷰뗄짪릺ꆣ볬퇩뷡맻쿔쪾횸쫽쫕틦싊쾵쫽ꛂ9ꆢꛂ8럖뇰캪뢺뫍헽ꆣ쮵쏷짏웚막욱쫐뎡탐쟩풽뫃,놾웚쫪믘싊믡풽룟,뒦훃킧펦햼폅;뛸놾웚막욱쫐뎡탐쟩풽뫃,쫪믘싊믡풽뗍,풤웚킧펦햼폅ꆣ6.듳맦쒣뗄믹뷰믡뛔춶헟뗄톡퓱퓬돉늻솼뗄펰쿬ꆣ믹뷰맦쒣쾵쫽ꛂ10캪뢺,쮵쏷믹뷰맦쒣풽듳,웤뺻짪릺싊믡풽뗍ꆣ헢쫇틲캪믹뷰맦쒣풽듳,웤맜샭쓑뛈튲풽듳,듓뛸붵뗍춶헟뗄탅탄ꆣ71춶헟뗄톡퓱뻟폐쟷춬탔ꆣ믹뷰쫐뎡뺻짪릺싊쾵쫽ꛂ11캪헽,벴헻룶믹뷰쫐뎡뷰뺻쇷죫쪱떥횻믹뷰튲뇭쿖캪뷰뺻쇷죫ꆣ쫐뎡뷰춬뷸춬돶,춶헟뗄톡퓱뻟폐쟷춬탔ꆣ헢뿉쓜듸살쾵춳탔럧쿕ꆣ컥ꆢ컈붡탔볬퇩캪쇋볬퇩헢킩펰쿬춶헟톡퓱뗄틲쯘쫇럱컈붡뿉뾿,컒쏇폃샠쯆뇤솿듺쳦풭쒣탍훐뗄뇤솿,뷸탐쇋컈붡탔볬퇩ꆣ11폃솬탸쫕틦싊듺쳦볲떥쫕틦싊,뺻짪릺싊볆쯣튲쿠펦룄뇤ꆣPit+dividenditR(it=ln15)Pi,t-1폫횮쿠뛔펦,뺻짪릺싊뗄릫쪽펦쿠펦룄캪:flowit=[NAVit-NAVi,t-13exp(R)it]ΠNAVi,t-1(16)캪쇋춳튻,쫐뎡횸쫽쫕틦싊튲폃솬탸탎쪽ꆣ붫탂쫽뻝듺죫쒣탍뗃:믹뷰뺻짪릺싊폫튵벨뗄Pearson욫쿠맘쾵쫽캪2-013589(P<010001);쫕틦싊뗄쾵쫽ꛂ1=-1140123(P<010001),R캪01553,쟒웤47
슽ꆡ죘뗈:믹뷰튵벨폫춶헟뗄톡퓱쯻쯹폐뷢쫍뇤솿뗄쾵쫽럻뫅뻹캴랢짺룄뇤ꆣ헢쮵쏷폃솬탸쫕틦싊뗄뷡싛폫폃볲떥쫕틦싊뗄뷡싛췪좫튻퇹ꆣ21쫕틦싊폃샛볆뺻횵볆쯣뗄솬탸쫕틦싊,뺻짪릺싊룹뻝쫕틦싊뗷헻ꆣ컒쏇폃샛볆뺻횵살볆쯣쫕틦싊,뺻짪릺싊룹뻝쫕틦싊뗷헻ꆣ뗃떽:믹뷰뺻짪릺싊폫튵벨뗄Pearson욫쿠맘쾵쫽캪-013393(P<010001);쫕틦싊뗄쾵쫽ꛂ1=-114624(P<010001),R2캪015496,쟒웤쯻쯹폐뷢쫍뇤솿뗄쾵쫽럻뫅뻹캴랢짺룄뇤ꆣ헢쮵쏷폃샛볆뺻횵볆쯣쫕틦싊늢늻믡펰쿬뷡싛ꆣ31폃쿄웕뇈싊듺쳦쫕틦싊,춬쪱좥뗴쫕틦싊랽닮ꆣ쿄웕뇈싊Rit-rftSit=뫢솿쇋럧쿕뗷헻뫳뗄쫕틦(웤훐rft캪컞럧쿕샻싊,놾컄톡퓱3룶퓂훊톺sigmait쪽믘릺샻싊)ꆣ폃듋뇤솿듺쳦쫕틦싊,틲캪룃뇤솿틑냼몬늨뚯싊틲쯘,맊좥뗴쫕틦싊랽닮뇤솿ꆣ뗃떽:믹뷰뺻짪릺싊폫쿄웕뇈싊뗄Pearson욫쿠맘쾵쫽캪0109713(P=01201),쿄웕뇈싊뗄쾵쫽캪01027576(P=01201),R2캪014563,웤쯻쯹폐뷢쫍뇤솿뗄쾵쫽럻뫅뻹캴랢짺룄뇤,떫쿔훸탔랢짺쇋뷏듳뗄뇤뮯ꆣ쿄웕뇈싊폫믹뷰뺻짪릺싊횮볤쎻폐쿔훸뗄쿠맘맘쾵ꆣ헢듓쇭튻랽쏦랴펳쇋놾컄붫쫕틦싊폫쫕틦싊뗄늨뚯럖뾪뾼싇뗄뇘튪탔ꆣ41럖뇰폃짌튵틸탐헻듦헻좡1쓪웚듦뿮샻싊뫍틸탐볤7쳬훊톺쪽믘릺샻싊듺쳦춬튵닰뷨90쳬샻싊ꆣ퓚훐맺샻싊쎻폐췪좫뾪럅뗄쟩뿶쿂,짌튵틸탐듦뿮샻싊튻냣놻죏캪쫇컞럧쿕뗄샻싊ꆣ폃듦뿮샻싊뗄럖컶뷡맻캪:믹뷰뺻짪릺싊폫튵벨뗄Pearson욫쿠맘쾵쫽캪-013534(P<010001);쫕틦싊뗄쾵쫽ꛂ1=-1159352(P<010001),R2캪015262,샻싊쾵쫽뗄럻뫅뇤캪뢺(-0107854),떫늻쿔훸(P=013943),웤쯻뷢쫍뇤솿뗄쾵쫽럻뫅뻹캴랢짺룄뇤ꆣ틸탐볤7쳬훊톺쪽믘릺쫇떱잰훐맺틸탐볤붻틗솿ퟮ듳뗄욷훖,튲쫇뢡뚯햮좯볆쾢뗄믹ힼ샻싊ꆣ폃듋샻싊살듺쳦춬튵닰뷨90쳬샻싊뗄럖컶뷡맻캪:믹뷰뺻짪릺싊폫튵벨뗄Pearson욫쿠맘쾵쫽캪-0138949(P<010001);쫕틦싊뗄쾵쫽ꛂ1=-1151717(P<010001),R2캪015487,웤쯻뷢쫍뇤솿뗄쾵쫽럻뫅뻹캴랢짺룄뇤ꆣퟛ짏쯹쫶,횻폐폃쿄웕뇈싊듺쳦쫕틦싊뫍쫕틦싊랽닮,룃뇈싊폫믹뷰뺻짪릺싊뗄뢺쿠맘맘쾵닅늻쿔훸,웤쯻쟩뿶쿂믹뷰튵벨폫믹뷰뺻짪릺싊뚼쿔훸뢺쿠맘,쟒웤쯻뷢쫍뇤솿뗄쾵쫽럻뫅뻹캴랢짺룄뇤ꆣ헢쮵쏷놾컄뷡싛컈붡ꆣ쇹ꆢ뷡싛폫붨틩폫맺췢믹뷰튵벨-뷰쇷죫뗄맘쾵(PFR)헽쿠맘쟒돊쿖춹탔늻춬,놾컄퇐뺿랢쿖훐맺뗄PFR쟺쿟돊쿖뢺쿠맘쟒캪낼탎ꆣ훐맺뾪럅쪽믹뷰튵벨쳡룟늢쎻폐듸살뷰뗄뺻쇷죫,랴뛸뇭쿖캪쫪믘뗄퓶볓,춶헟퓚쫪믘믹뷰쪱랢짺쇋ꆰ랴쿲톡퓱ꆱꆣ헢훖쿖쿳믡쪹튵벨솼뫃뗄믹뷰쏦쇙룼볓퇏훘뗄쇷뚯탔컊쳢뛸늻뗃늻엗쫛펯샻닺,떼훂쫐뎡풴럖엤릦쓜얤쟺,붵뗍쇋쫐뎡뗄킧싊,펰쿬쇋믹뷰튵뗄헽뎣랢햹,펦룃틽웰쫐뎡맜샭헟뫍닎폫헟뗄맘힢ꆣPFR쟺쿟뗄탎ힴ풤쪾ퟅ뿉쓜폐웤쯻틲쯘펰쿬춶헟뛔믹뷰뗄톡퓱ꆣ춨맽쏦냥쫽뻝럖컶,컒쏇랢쿖춶헟쫪믘쪱믡톡퓱샺쪷튵벨뫃ꆢ튵벨늨뚯듳ꆢ럖뫬짙ꆢ맦쒣듳뗄믹뷰ꆣ캪복짙ꆰ랴쿲톡퓱ꆱ,컒쏇쳡돶틔쿂뷢뻶랽램:11컈뚨믹뷰튵벨ꆢ복짙튵벨늨뚯뿉쓜쫇뷢뻶춶헟ꆰ랴쿲톡퓱ꆱ뗄룹놾냬램ꆣ쪵횤뷡맻쿔쪾,쏦뛔믹뷰튵벨퓶뎤,춶헟붫춬쪱돶쿖튵벨볌탸퓶뎤뗄샭탔풤웚(ꛂ2캪헽)뫍실듼캪낲뗄ꆰ뒦훃킧펦ꆱ(ꛂ1캪뢺)ꆣ뺿뺹쓄훖틲쯘햼폅좡뻶폚믹뷰튵벨뗄컈뚨탔ꆣ죧맻튵벨놣돖48
2007쓪뗚6웚컈뚨,퓲춶헟믡쫜샭탔풤웚뗄펰쿬톡퓱볌탸돖폐믲퓶볓믹뷰뗄춶죫(죧맺췢PFR뇭쿖캪헽쿠맘,벴룟쫕틦싊믡닺짺뷸튻늽퓶룟뗄풤웚,틲듋춶헟퓶볓뛔믹뷰뗄춶죫);죧맻튵벨늻컈뚨,룟쫕틦싊늻쓜닺짺뷸튻늽퓶룟뗄풤웚,퓲샭탔뗄춶헟믡톡퓱ꆰ실듼캪낲ꆱ틔맦뇜럧쿕(듓늨뚯싊뗄쾵쫽ꛂ3ꆢꛂ4캪뢺뿉틔뾴돶,헢쫇훐맺PFR뇭쿖캪뢺쿠맘뗄룹풴)ꆣ떱잰뗄ꆰ랴쿲톡퓱ꆱ늢럇랴펳쇋춶헟뗄럇샭탔,틲캪ꆰ랴쿲톡퓱ꆱ폫럧쿕퓶볓쏜쟐쿠맘,쮵쏷믹뷰춶헟뛔믹뷰튵벨뗄돖탸탔쎻폐탅탄ꆣ틲듋,룄짆ꆰ랴쿲톡퓱ꆱ탨튪믹뷰맜샭헟뗄릤ퟷ훘탄듓쳡룟튵벨뇤떽놣돖튵벨컈뚨짏살ꆣ21럖뫬폐훺폚룄짆ꆰ랴쿲톡퓱ꆱꆣ퇐뺿뷡맻쿔쪾럖뫬폐훺폚룄짆춶헟ꆰ랴쿲톡퓱ꆱꆣ쯹틔믹뷰맜샭헟펦벰쪱붫쯹뗃샻틦럖룸춶헟,헢뛔캬뮤춶헟탅탄ꆢ뮺뷢춶헟뗄쇷뚯탔톹솦뫜폐냯훺ꆣ죧맻믹뷰뗄춶헟틔믺릹춶헟캪훷,쓇쎴헢킩춶헟췹췹퓚돶훐놨ꆢ쓪놨믲쓪뗗쪱뿉쓜돶쿖쇷뚯탔컊쳢믲샻죳톹솦,믹뷰맜샭헟벰쪱럖뫬믡쫇춶헟쫪믘믹뷰뗄튻룶쳦듺랽낸ꆣ떫평폚뺻짪릺싊(뢺뗄뺻쫪믘싊)폫럖뫬뗄훍뫳쿮헽쿠맘,뛸놾웚럖뫬퓲컞헽쿠맘쿖쿳,쮵쏷폃럖뫬룄짆ꆰ랴쿲톡퓱ꆱ뇘탫폐튻룶쳡잰솿ꆣ31복짙ꆰ랴쿲톡퓱ꆱ,믹뷰맜샭헟펦뿘훆믹뷰맦쒣ꆣ퇐뺿뇭쏷믹뷰맦쒣폫뺻짪릺싊돊뢺쿠맘맘쾵ꆣ쮵쏷춶헟뛔맽듳맦쒣뗄믹뷰튵벨돖탸퓶뎤뗄탅탄늻ퟣꆣ헢튻쿖쿳펦틽웰믹뷰맜샭헟뗄훘쫓ꆣ뷶2006쓪쫐뎡뻍폐4횻쒼벯맦쒣뎬맽100틚뗄믹뷰돶쿖,쟒폐뷰맦쒣볌탸엲헍횮쫆ꆣ믹뷰뗄맜샭헟늻펦쎤쒿ힷ쟳맦쒣뗄튻캶삩듳,쯦뫳뿉쓜닺짺뗄뻞듳쫪믘톹솦붫믡뛔믹뷰뗄맜샭듸살뢺쏦펰쿬ꆣ41펦뺯쳨쫐뎡뗄쾵춳탔럧쿕ꆣ막욱쫐뎡탐쟩믡뛔춶헟톡퓱닺짺펰쿬ꆣ떥횻믹뷰뗄뷰뺻쇷죫폫헻룶믹뷰쫐뎡뷰뺻쇷죫헽쿠맘ꆣ떱쫐뎡탐쟩뫃쪱,듳솿뷰춬쪱뷸죫쫐뎡;떱쫐뎡탐쟩늻뫃쪱,듳솿뷰폖춬쪱뎷돶쫐뎡ꆣ헢훖럧쿕컞램춨맽쫐뎡놾짭볓틔뗷뷚,쫐뎡볠맜헟펦뺯쳨헢훖쾵춳탔럧쿕ꆣ51듙뷸믵뇒쫐뎡폫놾쫐뎡뗄솪쾵뿉틔랢믓뫪맛뗷뿘뗄ퟷ폃,듓뛸룄짆ꆰ랴쿲톡퓱ꆱꆣ믹뷰쫐뎡뺻짪릺싊쾵쫽ꛂ11캪헽,벴헻룶믹뷰쫐뎡뷰뺻쇷죫쪱떥횻믹뷰튲뇭쿖캪뷰뺻쇷죫ꆣ헢튲뿉쓜듸살쾵춳탔럧쿕ꆣ캪맜샭쫐뎡뗄쾵춳탔럧쿕펦볓잿뫪맛뗷뿘뗄ퟷ폃ꆣ튻룶뷢뻶뗄냬램쫇춨맽펰쿬춶돉놾살펰쿬춶탐캪ꆣ좻뛸퇐뺿쿔쪾춶헟뗄짪릺뫍쫪믘톡퓱뛔믵뇒쫐뎡샻싊늻쏴룐ꆣ헢쫇평폚훐맺놾쫐뎡폫믵뇒쫐뎡뗄럖룮퓬돉뗄ꆣ틲듋볓잿믵뇒쫐뎡폫놾쫐뎡뗄솪쾵,쪹뫪맛뺭볃헾닟뛔뷰돉놾뗄펰쿬쮳샻뒫떼떽놾쫐뎡,쫇맜샭춶헟ꆰ랴쿲톡퓱ꆱ뗄튻룶폐킧랽램ꆣ닎뾼컄쿗돂쏺탂ꆢ헅쫀펢,2003ꆶ:뾪럅쪽믹뷰춶헟쫪믘탐캪뗄쒣쓢ꆷꆶ,쳬뷲듳톧톧놨ꆷ뗚1웚ꆣ샮뇳,2005ꆶ:컒맺뾪럅쪽믹뷰쫪믘컊쳢뗄탐캪뷰죚톧럖컶ꆷꆶ,탂붮닆뺭톧풺톧놨ꆷ뗚2웚ꆣ샮뻼ꆢ슦뺲ꆢ췵퇇쓏,2005ꆶ:뾪럅쪽믹뷰춶헟뗄쫪믘탐캪폫뛔닟퇐뺿ꆷ,짮붻쯹뗚웟뷬믡풱떥캻폫믹뷰릫쮾폅탣퇐뺿돉맻,2005쓪3퓂ꆣ샮,2003ꆶ:듓탐캪뷰죚톧뾴믹뷰뗄쫪믘쿖쿳ꆢ럖뫬벰믹뷰뺭샭톡퓱ꆷ,쓏뺩듳톧2003쓪탐캪뷰죚톧맺볊퇐쳖믡죫톡싛컄ꆣ샮ꆢ폚뷸뷜,2004ꆶ:뾪럅쪽믹뷰쫪믘믺훆뗄췢늿킧펦ꆷꆶ,닆뺭퇐뺿ꆷ뗚12웚ꆣ쇵횾풶ꆢ튦틃,2004ꆶ:뾪럅쪽믹뷰뗄ꆰ쫪믘삧믳ꆱ쿖쿳퇐뺿ꆷꆶ,횤좯쫐뎡떼놨ꆷ뗚2웚ꆣ싞붣,2005ꆶ:듓탐캪뷰죚뷇뛈믹뷰쫪믘틬뎣쿖쿳벰뛔닟ꆷꆶ,뺭볃쪦ꆷ뗚2웚ꆣ쫸뺰뫧,2005ꆶ:뾪럅쪽믹뷰쫪믘뗄쪵횤퇐뺿ꆷꆶ,쫽솿뺭볃벼쫵뺭볃퇐뺿ꆷ뗚4웚ꆣ헔탱ꆢ컢돥럦,2003ꆶ:뾪럅쪽믹뷰쇷뚯탔쫪믘럧쿕쪵횤럖컶폫움볛ꆷꆶ,퓋돯폫맜샭ꆷ뗚12웚ꆣBennett,,2000,ꆰDeterminantsofMutualFundFlows:EvidencefromNewZealandꆱ,PACAPΠ,,2002,ꆰDoAfter2TaxReturnsAffectMutualFundInflows?ꆱJournalofFinancialEconomics63,381ꆪ
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