2004쓪뗚6웚닺뗄샭탔뚨볛쒣탍뫍럇샭탔뚨볛쒣탍뗄뇈뷏퇐뺿ꆪꆪꆪ믹폚훐맺막쫐뗄쪵횤럖컶컢쫀얩ꆡ탭쓪탐(쿃쏅듳톧맜샭톧풺ꆡ361005)ꆡꆡ쓚죝쳡튪:놾컄틔1995쓪2퓂ꆪ2002쓪6퓂짮뮦솽쫐A막짏쫐릫쮾캪퇹놾,뾼달뫍뛔뇈죽룶뚨볛쒣탍ꆪꆪꆪCAPMꆢ죽틲쯘쒣탍뫍쳘헷쒣탍ꆣ쪵횤퇐뺿랢쿖:(1)훐맺막쫐듦퓚쿔훸뗄ꆰ헋쏦쫐횵뇈킧펦ꆱ(BMEffect)뫍ꆰ맦쒣킧펦ꆱ(SIZEEffect),떫뛔폚킡릫쮾퓲늻듦퓚ꆰ1퓂럝킧펦ꆱ;(2)죽틲쯘쒣탍뇈CAPM쓜룼뫃뗘쏨쫶막욱뫡뷘쏦쫕틦뗄뇤뮯;(3)믹폚ꆰ막욱뫡뷘쏦쫕틦쫇평릫쮾쳘헷뻶뚨ꆱ뗄럇샭탔뚨볛샭싛뗄쳘헷쒣탍늻돉솢,뛸믹폚ꆰ막욱뫡뷘쏦쫕틦쫇평럧쿕틲쯘뻶뚨ꆱ뗄샭탔뚨볛샭싛뗄죽틲쯘쒣탍돉솢ꆣ헢킩랢쿖쮵쏷,헋쏦쫐횵뇈뫍릫쮾맦쒣헢뛾룶뇤솿듺뇭뗄쫇튻훖ꆰ럧쿕틲쯘ꆱ,늢럇ꆰ쳘헷틲쯘ꆱ,틲듋훐맺막욱뫡뷘쏦쫕틦뗄뇤뮯좡뻶폚럧쿕틲쯘,뛸럇쳘헷틲쯘ꆣퟷ헟죏캪,떼훂짏쫶뷡맻뗄훷튪풭틲쫇훐맺막쫐뎤웚뗄춬헇춬뗸쳘헷ꆣ맘볼듊:헋쏦쫐횵뇈ꆡ릫쮾맦쒣ꆡ죽틲쯘쒣탍ꆡ쳘헷쒣탍튻ꆢ컊쳢뗄쳡돶뷼쓪살듳솿쪵횤퇐뺿뇭쏷,막욱뫡뷘쏦쫕틦폫짏쫐릫쮾뗄쿠맘쳘헷폐맘,죧맦쒣(SIZE)ꆢ좨틦헋쏦쫐횵뇈(BM)ꆢ룜룋뇈샽ꆢ막샻쫕틦싊ꆢ펯폠볛룱뇈뫍맽좥쫕틦맟탔ꆣ평폚CAPM쓑틔뷢쫍헢샠맘쾵,틲듋돆횮ꆰ틬쿳ꆱꆣ톧쫵뷧뛔폚룷훖틬쿳뗄퇐뺿훷튪벯훐폚ꆰBM킧펦ꆱ닺짺뗄풭틲,벴캪쪲쎴룟BM뗄막욱뇈뗍BM뗄막욱뻟폐룼룟뗄쫕틦ꆣ쒿잰,훷튪폐죧쿂쯄훖맛뗣:(1993),Mackinlay(1995)죏캪,BM킧펦횻쫇쳘뚨퇹놾퓚쳘뚨볬퇩웚쓚닅듦퓚,쫇쫽뻝췚뻲뗄뷡맻ꆣKothari뗈(1995)튲죏캪,쫇릹퓬BMퟩ뫏맽돌훐돶쿖뗄톡퓱탔욫닮(selectionbias)퓬돉BM킧펦뗄듦퓚ꆣ떫Chan뗈(1991),Davis(1994),Fama뫍French(1998)뗈죋춨맽볬퇩쏀맺횮췢뗄막쫐믲삭뎤볬퇩웚뫳,죔랢쿖BM킧펦쿔훸듦퓚,듓뛸럱뚨쇋Black뗈죋뗄뷢쫍ꆣ2.뗚뛾훖맛뗣(Fama뫍French,1992,1993,1996)죏캪,BM듺뇭뗄쫇튻훖럧쿕틲쯘ꆪꆪꆪ닆컱삧뺳럧쿕ꆣ뻟폐삧뺳뗄릫쮾뛔짌튵훜웚틲쯘죧탅듻쳵볾뗄룄뇤룼볓쏴룐,뛸룟BM릫쮾춨뎣쫇펯샻뫍쿺쫛뗈믹놾쏦뇭쿖늻병뗄릫쮾,닆컱ힴ뿶뷏든죵,틲듋뇈뗍BM릫쮾뻟폐룼룟럧쿕ꆣ뿉볻,룟BM릫쮾쯹믱뗃뗄룟쫕틦횻쫇뛔웤놾짭룟럧쿕뗄늹뎥,늢럇쯹캽늻뿉뷢쫍뗄ꆰ틬쿳ꆱꆣ3.뗚죽훖맛뗣(DeBont뫍Thaler,1987;Lakonishok뗈,1994)죏캪,BM킧펦뗄돶쿖쫇평폚춶헟뛔릫쮾믹놾쏦맽뛈랴펦퓬돉뗄ꆣ룟BM릫쮾춨뎣쫇믹놾쏦늻병뗄릫쮾,틲듋춶헟뛔룟BM릫쮾뗄막욱볛횵럇샭탔뗘뗍맀;뗍BM릫쮾퓲쫇믹놾쏦뷏뫃뗄릫쮾,틲듋춶헟뛔뗍BM릫쮾뗄막욱볛횵럇샭탔뗘룟맀ꆣ뿉볻,춶헟춨뎣뛔믹놾쏦늻병뗄릫쮾맽뛈놯맛,뛔믹놾쏦폅솼뗄릫쮾맽뛈샖맛ꆣ떱맽뛈랴펦뗃떽뻀헽뫳,룟BM릫쮾붫뇈뗍BM릫쮾뻟폐룼룟뗄쫕틦ꆣ4.뗚쯄훖맛뗣(Daniel뫍Titman,1997)튲죏캪BM뫍SIZE늻쫇럧쿕틲쯘,쫕틦늢럇평럧쿕뻶뚨105
컢쫀얩ꆢ탭쓪탐:닺뗄샭탔뚨볛쒣탍뫍럇샭탔뚨볛쒣탍뗄뇈뷏퇐뺿뗄ꆣ쪵볊짏,BM뫍SIZE듺뇭뗄쫇릫쮾뗄쳘헷,볲돆ꆰ쳘헷틲쯘ꆱ,웤듺뇭춶헟욫뫃,늢뻶뚨쫕틦뗄룟뗍ꆣ룟BM릫쮾평폚믹놾쏦뷏닮뛸볛횵놻뗍맀,맊돆ꆰ볛횵막ꆱ;랴횮,뗍BM릫쮾평폚믹놾쏦뷏뫃뛸볛횵놻룟맀,맊돆ꆰ돉뎤막ꆱꆣ평폚춶헟욫뫃폚돖폐믹놾쏦뷏뫃뗄돉뎤막,뛸퇡뛱돖폐믹놾쏦늻병뗄볛횵막,뷡맻떼훂룟BM릫쮾뻟폐뷏룟쫕틦ꆣ쪵볊짏,뫳죽훖맛뗣뿉럖캪솽듳톧엉:맛뗣뛾쫴ꆰ샭탔뚨볛톧엉ꆱ,죏캪막욱쫕틦쫜럧쿕뗄펰쿬,돽쇋쫜쫐뎡틲쯘펰쿬췢,뮹쫜BM뫍SIZE헢뛾듳럧쿕틲쯘뗄펰쿬ꆣퟜ횮,죎뫎춶닟싔뚼늻쓜믱뗃뺭럧쿕뗷헻뫳뗄뎬뎣쫕틦,쫐뎡짏늢늻듦퓚ꆰ쏢럑뗄컧닍ꆱ,폫폐킧쫐뎡볙쮵쿠럻ꆣ맛뗣죽뫍쯄쫴폚ꆰ럇샭탔뚨볛톧엉ꆱ,웤틔춶헟뗄죏횪욫닮믲룶죋욫뫃뗈럇샭탔틲쯘살뷢쫍BM뫍SIZE킧펦ꆣ뛾헟뚼죏캪룟BM릫쮾뗄막욱볛횵붫놻뗍맀뛸뻟폐뷏룟쫕틦,떫맛뗣죽죏캪맽뛈랴펦쫇평폚춶헟좱랦뛔폐맘탅쾢뗄돤럖샭뷢,췹췹닉폃볲떥뮯풭퓲췆닢맽좥믹놾쏦뫃뗄막욱퓚캴살죔붫폐뫃뗄믹놾쏦,뫶싔쇋릫쮾튵벨좱랦컈뚨탔뗄튻쏦,훂쪹웤춶뻶닟돶쿖ꆰ볲떥뮯욫닮ꆱ(simpleheuristics),ퟮ훕떼훂춶헟뛔뗍BM막욱믲돉뎤막맽폚샖맛,뛔룟BM막욱믲볛횵막맽폚놯맛;맛뗣쯄퓲죏캪춶헟횮쯹틔욫뫃폚돖폐돉뎤막뛸퇡뛱폚돖폐볛횵막,쳥쿖뗄쫇춶헟룶죋뗄쾲뫃(taste),늢펰쿬쇋춶헟돖폐돉뎤막믲볛횵막뗄뻶닟ꆣퟛ짏,샭탔뚨볛샭싛뫍럇샭탔뚨볛샭싛횮헹쪵볊짏뻍쫇폐킧쫐뎡볙쮵뫍탐캪뷰죚샭싛횮헹ꆣ튻떩Daniel뫍Titman뗄럇샭탔뚨볛샭싛놻횤쪵,쓇쎴럧쿕뚨볛샭싛붫쏦쇙뻞듳쳴햽ꆣ솽듳톧엉쮭쫇쮭럇ퟮ훕좡뻶폚Fama뫍French쳡돶뗄죽틲쯘쒣탍(Three2factorModel)뫍Daniel뫍Titman(1997)쳡돶뗄쳘헷쒣탍(Characteristic2basedModel)뗄볬퇩뷡맻ꆣꆡꆡ죽틲쯘쒣탍폫쳘헷쒣탍퓚탎쪽짏쯆뫵쎻폐쟸뇰,떫쪵볊짏퓚샭싛믹뒡ꆢퟩ뫏뗄릹퓬뫍볬퇩랽램짏듦퓚놾훊쟸뇰,볻뇭1ꆢ춼1뫍춼2ꆣ볙뚨SIZE늻뇤,틔BM캪샽,춼1훐뗄AꆢB뫍C죽훖횤좯,뛔폚죽틲쯘쒣탍,럧쿕틲쯘ꛂHML뻶뚨쫕틦R,틲듋폐:떱ꛂHML,A<ꛂHML,B,퓲RA<RB;떱ꛂHML,B=ꛂHML,C,퓲RB=RCꆣ춼2훐뗄AꆢB뫍C죽훖횤좯,뛔폚쳘헷쒣탍,쳘헷BM뻶뚨쫕틦R,뗍BM막욱붫믱뗃뗍쫕틦,룟BM막욱붫믱뗃룟쫕틦,R늻쫜ꛂHML듳킡뗄펰쿬ꆣ틲듋폐:떱BMB<BMC,퓲RB<RC;떱BMA=BMB,퓲RA=RBꆣ쏦뛔짏쫶뛾훖샭싛벰웤볬퇩뷡맻횮헹,ퟷ헟쫕벯1995쓪2퓂ꆪ2002쓪6퓂짮뮦솽쫐뗄폐맘쫽뻝,춬쪱볬퇩CAPMꆢ죽틲쯘쒣탍뫍쳘헷쒣탍,첽쳖쫇럧쿕(샭탔)틲쯘뮹쫇쳘헷(럇샭탔)틲쯘펰쿬훐맺막욱쫕틦뗄뇤뮯ꆣ뇭1죽틲쯘쒣탍뫍쳘헷쒣탍뗄닮틬죽틲쯘쒣탍(춼1)쳘헷쒣탍(춼2)쫕틦뗄뻶뚨틲쯘럧쿕ꛂHML뻶뚨쫕틦R쳘헷BM뻶뚨쫕틦RꛂA뫍B뗄뛔뇈HML뇈뷏ꛂHML,A<ꛂHML,BBM뇈뷏BMA=BMB쫕틦뇈뷏RA<RB쫕틦뇈뷏RA=RBꛂB뫍C뗄뛔뇈HML뇈뷏ꛂHML,B=ꛂHML,CBM뇈뷏BMB<BMC쫕틦뇈뷏RB=RC쫕틦뇈뷏RB<RC뛾ꆢ컄쿗믘맋(튻)맺췢뗄퇐뺿Daniel뫍Titman(1998)뛔솽룶쒣탍뷸탐쿪쾸럖컶뫍볬퇩,웤뷡맻럱뚨죽틲쯘쒣탍뛸횧돖쳘헷쒣탍ꆣ떫Davis뗈(2000)랢쿖,퓚Daniel뫍Titman(1997)뗄볬퇩웚쓚(1973ꆪ1993),뻜뻸죽틲쯘쒣탍뛸횧돖쳘헷쒣탍,떫퓚룼뎤볬퇩웚볤(1929ꆪ1997),뻜뻸쳘헷쒣탍뛸횧돖죽틲쯘쒣탍ꆣ틲듋ꆰ,Daniel106
2004쓪뗚6웚춼1ꆡ죽틲쯘쒣탍ꆡ춼2ꆡ쳘헷쒣탍ꆡ뫍Titman폐맘횧돖쳘헷쒣탍뗄횤뻝횻퓚뷏뛌볬퇩웚닅듦퓚ꆱꆣLewellen(1999)튲랢쿖,죽틲쯘쒣탍뇈쳘헷쒣탍쓜룼뫃뗘뷢쫍막욱쫕틦퓚쪱볤쾵쇐짏뗄뇤뮯ꆣDaniel뗈(2001)뷸탐랴늵,쯻쏇닉폃1975ꆪ1997쓪죕놾막욱쫐뎡뗄쫽뻝,뷡맻춬퇹뻜뻸죽틲쯘쒣탍뛸럇쳘헷쒣탍ꆣ뛸뛔폚Berk(2000)뗄엺움,Daniel뫍Titman(1999)죏캪쯻쏇뗄볬퇩랽램폫Black뗈(1972)쯹닉폃뗄랽램튻퇹,뿉틔쿻돽뇤솿컳닮ꆣ뛔듋,Berk튲돐죏,늢늻쫇Daniel뫍Titman(1997)쯹폐뗄볬퇩뚼쫜듋컳닮뗄펰쿬ꆣ듋췢,Cohen뫍Polk(1995)쪹폃뺭탐튵뗷헻뫳뗄BM뇈횵뷸탐볬퇩,뷡맻횧돖쳘헷쒣탍뛸뻜뻸틲쯘쒣탍ꆣJagannathan뗈(1998)죏캪,뛔폚죕놾막쫐,럧쿕틲쯘뫍릫쮾쳘헷릲춬펰쿬막욱쫕틦ꆣFerson뫍Harvey(1999)튲랢쿖,퓚좫쟲랶캧쓚,럧쿕틲쯘뫍릫쮾쳘헷튻웰뻶뚨쇋막욱쫕틦ꆣDaniel뗈(2000)횸돶,퓚튻룶럇샭탔뗄쒣탍샯,BM뫍ꛂHML뚼쓜뫜뫃뗘풤닢캴살쫕틦ꆣ죴늻춬막욱뗄놴쯾횵쿠맘,쓇쎴BM뇈ꛂHML쓜룼뫃뗘풤닢캴살쫕틦,떫퓚웤쯻쳵볾쿂,ꛂHML뇈BM뗄풤닢솦룼잿ꆣ뛸BM뇈ꛂHML뗄풤닢쓜솦룼잿뗄풭틲퓚폚,룟BM볈랴펳쇋릫쮾럧쿕뗄듳킡,튲랴펳춶헟뛔탅쾢뗄맽뛈랴펦,뛸ꛂHML횻랴펳쇋릫쮾럧쿕뗄듳킡ꆣ(뛾)맺쓚뗄퇐뺿쟩뿶쒿잰,맺쓚췢톧헟뛔훐맺막쫐BM킧펦뫍SIZE킧펦뗄퇐뺿쎻폐좡뗃튻훂탔뗄뷡싛(훬놦쿜뗈,2002;췴뗈,2002)ꆣ짏쫶퇐뺿캴쳖싛헢킩킧펦닺짺뗄풭틲,쟒평폚BM뫍SIZE뗄뛈솿랽램틔벰볬퇩웚늻뺡쿠춬뛸뿉쓜떼훂뷡싛늻춬ꆣBailey뗈(2003)쫗듎샻폃1996ꆪ2001쓪훐맺막쫐쫽뻝럖컶BM킧펦뫍SIZE킧펦뗄닺짺풭틲,뷡맻횧돖쳘헷쒣탍뛸뻜뻸죽틲쯘쒣탍,떫웤좱쿝폐:(1)쿈폃퇹놾웚볤룷쓪잰32룶퓂훁잰7룶퓂(t=-32ꆫ-7)뗄쫽뻝맀볆룶막놴쯾횵,퓙뷸탐3ꇁ3ꇁ5뗄럖ퟩ,쪹뗃룷ퟩ뫏맦쒣첫킡,짵훁돶쿖0ꆣ(2)캴럖컶볬퇩쫕틦싊뗄킭랽닮뻘헳쫇럱욽컈ꆣ(3)뷶쪹폃ꆰ쳘헷뻹뫢ퟩ뫏쫕틦ꆱ(ReturnonCharacteristics2balancedPortfolio)볬퇩죽틲쯘쒣탍뫍쳘헷쒣탍ꆣ뻝듋,ퟷ헟룄뷸쇋퇐뺿짨볆뫍볬퇩랽램:(1)퓶볓ퟩ뫏쫕틦욽컈탔럖컶;(2)닉폃ꆰ만뚨좨훘틲쯘ퟩ뫏ꆱ쯹릹붨뗄죽틲쯘살맀볆룶막뗄죽룶놴쯾횵;(3)뷨본Daniel뫍Titman(1997)뗈뗄퇐뺿,춬쪱폃ꆰ죽캬럖ퟩ뗄ퟩ뫏쫕틦ꆱ뫍ꆰ쳘헷뻹뫢ퟩ뫏쫕틦ꆱ볬퇩뫍뇈뷏죽틲쯘쒣탍뫍쳘헷쒣탍ꆣ죽ꆢ퇐뺿짨볆놾컄퇹놾쫽뻝살ퟔCSMAR,냼삨1995쓪2퓂ꆪ2002쓪6퓂퓚짮뮦솽쫐짏쫐뗄A막,떫쳞돽쇋퓚릹퓬ퟩ뫏쪱BM횵캪뢺믲춣없뗄막욱ꆣ놾컄폃1997쓪7퓂ꆪ2002쓪6퓂뗄쫽뻝럖컶BM킧펦뫍SIZE킧펦,늢뷸탐CAPM뫍죽틲쯘쒣탍뗄볬퇩폫뇈뷏;평폚뷸탐죽캬럖ퟩ탨쫂쿈맀볆룶막뗄죽룶놴쯾횵,놾컄맀볆웚캪1997ꆪ2001쓪웚볤쎿쓪6퓂럝뗄잰29룶퓂훁잰7룶퓂(t=-29ꆫ-7),틲듋쯹톡퇹놾막뻹뻟폐맽좥29룶퓂솬탸붻틗쫽뻝ꆣ107
컢쫀얩ꆢ탭쓪탐:닺뗄샭탔뚨볛쒣탍뫍럇샭탔뚨볛쒣탍뗄뇈뷏퇐뺿(튻)죽틲쯘쒣탍훐쿠맘뇤솿뗄뚨틥뫍볆쯣뫍SIZE뗄뚨틥쯤좻뛈솿BM폐벸훖랽램,떫뾼싇떽훐맺뛀쳘뗄막좨뷡릹,캪뿍맛랴펳훐맺짏쫐릫쮾BM뗄쳘폐몬틥,춨뎣틔(t-1)쓪쒩쎿막좨틦폫(t-1)쓪쒩쫕엌볛뗄뇈횵살뛈솿t쓪뛈BM뗄룟뗍ꆣ듋췢,놾컄폃t쓪6퓂뗗쇷춨쫐횵살뛈솿t쓪뛈SIZE뗄듳킡ꆣ2.뎬뎣쫕틦뗄볆쯣듓1997ꆪ2001쓪,쎿쓪6퓂뗗,붫퇹놾막욱럖뇰내BM룟뗍뫍SIZE듳킡5뗈럖,솽솽붻닦탎돉25룶ퟩ뫏,볆쯣쎿쓪7퓂떽뗚뛾쓪6퓂쎿룶ퟩ뫏볛횵볓좨(틔쎿횧막욱쇷춨쫐횵햼쯹퓚ퟩ뫏ퟜ쇷춨쫐횵뗄뇈샽캪룶막좨훘)뗄퓂쫕틦(Rp),늢폃(Rp-R)f듺뇭ퟩ뫏뎬뎣쫕틦,웤훐Rf캪죽룶퓂웚뚨웚뒢탮샻싊쯹헛쯣뗄퓂쫕틦싊ꆣ뫍HML뗄볆쯣듓1997ꆪ2001쓪,쎿쓪6퓂뗗내SIZE듳킡붫퇹놾뻹럖캪듳(B)뫍킡(S)솽ퟩ,내BM럖돉룟ꆢ훐뫍뗍죽ퟩ,벴H(30%)ꆢM(40%)ꆢL(30%);솽헟붻닦럖ퟩ탎돉6룶ퟩ뫏(SL,SM,SH,BL,BM뫍BH),볆쯣t쓪7퓂떽(t+1)쓪6퓂쎿룶ퟩ뫏볛횵볓좨퓂쫕틦싊ꆣSMB=(SL+SM+SH-BL-BM-BH)Π3,뇭쪾쳞돽SIZE틲쯘뫳룟BM폫뗍BMퟩ뫏뗄쫕틦닮;HML=(SH+BH-SL-BL)Π2,뇭쪾쳞돽BM틲쯘뫳킡SIZE폫듳SIZEퟩ뫏뗄쫕틦닮ꆣ4.죽틲쯘쒣탍뗄릹붨룹뻝짏쫶쫐뎡뎬뎣쫕틦ꆢSMB뫍HML뗄볆쯣뷡맻,쓢뫏죧쿂죽틲쯘쒣탍:Rp-Rf=ꛁ+ꛂMk(tRMkt-R)f+ꛂSMBSMB+ꛂHMLHML+ꛅ(i1)ꆡꆡ웤훐:RMt쫇짮뮦솽쫐ퟛ뫏쫐뎡퓂쫕틦싊ꆣ(뛾)쳘헷쒣탍훐쿠맘뇤솿뗄뚨틥뫍볆쯣1.ퟩ뫏쫕틦욽컈탔럖컶놾컄춨맽뾼달8룶ퟩ뫏(SL,SM,SH,BL,BM,BH,SMB뫍HML)쫕틦뗄뇪ힼ닮,럖컶ퟩ뫏탎돉잰뫳3쓪ퟩ뫏쫕틦뗄욽컈탔,쪱볤뿧뛈캪1995쓪7퓂ꆪ2002쓪6퓂ꆣ볆쯣랽램죧쿂:짨FY캪ퟩ뫏탎돉웚(FY=3ꆫ-3),떱FY=0쪱,ퟩ뫏쫕틦평t쓪7퓂훁(t+1)쓪6퓂릲12룶퓂쫕틦ퟩ돉,헢킩ퟩ뫏틔(t-1)쓪뗗BM룟뗍뫍t쓪6퓂뗗SIZE듳킡살럖ퟩ;떱FY늻캪0쪱,ퟩ뫏쫕틦춬퇹평t쓪7퓂훁(t+1)쓪6퓂웚볤뗄쫕틦ퟩ돉,떫헢킩ퟩ뫏틔(t-1+FY)쓪뗗BM룟뗍뫍(t+FY)쓪6퓂뗗SIZE듳킡살럖ퟩ,쟒틔(t+FY)쓪6퓂뗗SIZE듳킡살볆쯣ퟩ뫏뗄좨훘ꆣ샽죧,퓚1998쓪6퓂뗗릹붨ퟩ뫏쪱,펦틔1997쓪뗗BM뫍1998쓪6퓂SIZE듳킡살럖ퟩ:떱FY=3쪱,ퟩ뫏쫕틦평1995쓪7퓂ꆪ1996쓪6퓂웚볤뗄쫕틦ퟩ돉;떱FY=-3쪱,퓲평2001쓪7퓂ꆪ2002쓪6퓂웚볤뗄쫕틦ퟩ돉ꆣ2.놴쯾횵뗄맀볆늻춬폚Fama뫍French폃ꆰ좨훘훰쓪뇤뮯ꆱ좷뚨쒣탍훐뗄HML뫍SMB,Daniel뫍Titman(1997)랢쿖ퟩ뫏쫕틦뻟폐컈뚨탔,맊붫쎿쓪6퓂뗗쯹뗃뗄룶막좨훘ퟷ캪춬튻횧막욱퓚잰42룶퓂훁잰7룶퓂뗄좨훘(t=-42ꆫ-7),늢볆쯣HML뫍SMB뗄듳킡,폃ꆰ만뚨좨훘틲쯘ퟩ뫏ꆱ좷뚨뛾룶틲쯘ꆣ놾컄닉폃만뚨좨훘틲쯘ퟩ뫏뗄랽램,붫쎿쓪6퓂뗗쯹뗃뗄룶막좨훘ퟷ캪춬횧막욱퓚t=-29ꆫ-7웚볤뗄좨훘,늢볆쯣t=-29ꆫ-7릲23룶퓂뗄HML뫍SMB뗄듳킡,좻뫳폃룶막t=-29ꆫ-7웚볤뗄퓂쫕틦싊폫쯹쫶뛾틲쯘벰쫐뎡틧볛뷸탐믘맩ꋙ,뗃떽쎿횧막욱뗄죽룶놴쯾횵:ꛂHMLꆢꛂSMB뫍ꛂMktꆣꋙ내맟샽,놾컄횻퓚맀볆룶막놴쯾횵쪱쪹폃만뚨좨훘틲쯘ퟩ뫏좷뚨HML뫍SMB,떫퓚볬퇩죽틲쯘쒣탍뫍쳘헷쒣탍쪱죔닉폃좨훘훰쓪뇤뮯좷뚨HML뫍SMBꆣ108
2004쓪뗚6웚(죽)죽틲쯘쒣탍폫쳘헷쒣탍뗄뛔뇈볬퇩1.믹폚죽캬럖ퟩ뗄ퟩ뫏릹붨뗄볬퇩쒣탍쎿쓪6퓂뗗내BM룟뗍뫍SIZE듳킡뷸탐3ꇁ3붻닦럖ퟩ탎돉9룶ퟩ뫏,좻뫳퓚쎿룶ퟩ뫏쓚내놴쯾횵뗄듳킡퓙럖돉3ퟩ,릲탎돉27룶ퟩ뫏ꆣ듓1997쓪7퓂ꆪ2002쓪6퓂,쎿룶ퟩ뫏뻹폐60룶퓂뗄쫕틦쫽뻝ꆣ죽캬럖ퟩ뗄쒿뗄쫇캪쇋쪹릫쮾쳘헷뫍럧쿕틲쯘뛔막욱쫕틦뗄펰쿬쓜폐킧뗘럖뾪,틔좷뚨막욱쫕틦쫜릫쮾쳘헷믲쫜럧쿕틲쯘뗄펰쿬ꆣ평폚퓚BM뫍SIZE붻닦럖ퟩ뗄쎿룶ퟩ뫏샯,늻춬놴쯾횵뗄ퟩ뫏뻟폐쿠춬쳘헷뫍늻춬놴쯾횵,틲듋컒쏇뿉틔럖뇰퇐뺿릫쮾쳘헷뫍놴쯾횵뛔막욱쫕틦뗄펰쿬ꆣ틔BM캪샽,떱럧쿕틲쯘쒣탍돉솢,막욱쫕틦쫜ꛂHML듳킡뗄펰쿬,폫BM횵컞맘;떱쳘헷쒣탍돉솢,늻싛ꛂHML횵뛠듳,룟BM뗄막욱붫믱뗃룟쫕틦ꆣ볬퇩쒣탍죧쿂:RSZ,BM,FL-Rf=ꛁ+ꛂMk(tRMkt-R)f+ꛂSMBSMB+ꛂHMLHML+ꛅ(i2)ꆡꆡ웤훐:RSZ,BM,FL쫇죽캬럖ퟩ뫳쎿룶ퟩ뫏볛횵볓좨뗄퓂쫕틦싊ꆣ횵뗃횸돶뗄쫇,쒣탍(2)볈뿉폃폚죽틲쯘쒣탍볬퇩,튲뿉폃폚쳘헷쒣탍볬퇩ꆣ뛔폚죽틲쯘쒣탍,볙짨:ꛁ=0;뛔폚쳘헷쒣탍,퓲볙짨:뛔폚뗍놴쯾횵뗄ퟩ뫏,ꛁ>0;룟놴쯾횵뗄ퟩ뫏,ꛁ<0ꆣ2.믹폚쳘헷뻹뫢ퟩ뫏릹붨뗄볬퇩쒣탍뛔짏쫶BM뫍SIZE붻닦럖ퟩ탎돉뗄쎿룶ퟩ뫏,싲죫놴쯾횵캪듳뗄ퟩ뫏,싴뿕놴쯾횵캪킡뗄ퟩ뫏,벴붫놴쯾듳뗄ퟩ뫏복좥놴쯾킡뗄ퟩ뫏뫳탎돉9룶쳗샻ퟩ뫏ꆣ평폚퓚쎿룶ퟩ뫏샯,늻춬놴쯾횵뗄막욱ퟩ뫏뻟폐쿠쯆뗄릫쮾쳘헷,춨맽릹퓬쳗샻ퟩ뫏벴뿉쿻돽릫쮾쳘헷뗄닮틬뛔막욱쫕틦뗄펰쿬,뛸횻쪣쿂놴쯾횵뗄듳킡뛔막욱쫕틦폐펰쿬,헢뻍쫇ꆰ쳘헷뻹뫢ퟩ뫏ꆱꆣ쎿룶쳘헷뻹뫢ퟩ뫏폐60룶퓂뗄쫕틦쫽뻝,퓚쪵횤볬퇩쪱,뻹폃헢9룶ퟩ뫏60룶퓂쳘헷뻹뫢ퟩ뫏뗄뎬뎣쫕틦폫죽틲쯘뷸탐믘맩,웤쒣탍캪:Rcb-Rf=ꛁ+ꛂMk(tRMkt-R)f+ꛂSMBSMB+ꛂHMLHML+ꛅ(i3)ꆡꆡ웤훐:Rcb캪9룶쳘헷뻹뫢ퟩ뫏뗄볛횵볓좨뗄퓂쫕틦싊ꆣ죽틲쯘쒣탍죏캪,쎿룶쳘헷뻹뫢ퟩ뫏뚼쫇폃룟놴쯾횵ퟩ뫏복뗍놴쯾횵ퟩ뫏,솽룶ퟩ뫏쿠복뫳쳘헷뻹뫢ퟩ뫏뗄놴쯾횵죔캪헽,맊웤쫕틦Rcb펦룃듳폚0,떫ꛁ펦뗈폚0ꆣ쿠랴,쳘헷쒣탍죏캪,퓚쎿룶쳘헷뻹뫢ퟩ뫏샯,룟놴쯾횵ퟩ뫏폫뗍놴쯾횵ퟩ뫏뻟폐쿠춬뗄쳘헷,솽룶ퟩ뫏쿠복뫳쳘헷뻹뫢ퟩ뫏뗄쳘헷횵캪0,맊웤쫕틦Rcb펦룃뗈폚0,떫ꛁ펦킡폚0,틔뗖쿻헽뗄놴쯾횵(죧ꛂHML)뫍헽뗄틧볛(죧HML)돋믽(ꛂHMLHML)뗄펰쿬,쪹Rcb늻쫜놴쯾횵뗄펰쿬ꆣ횵뗃횸돶뗄쫇,쒣탍(3)춬퇹볈뿉폃폚볬퇩죽틲쯘쒣탍,튲뿉폃폚볬퇩쳘헷쒣탍ꆣ뛔폚죽틲쯘쒣탍,볙짨:Rcb>0,ꛁ=0;뛔폚쳘헷쒣탍,퓲볙짨:Rcb=0,ꛁ<0ꆣ(쯄)퇐뺿돌탲놾컄뗄퇐뺿늽훨쫇:(1)럖컶;(2)뛔뇈볬퇩CAPM뫍죽틲쯘쒣탍럖컶웤쫇럱욽컈;(3)럖컶볬퇩ퟩ뫏쫕틦쫇럱욽컈;(4)닉폃ꆰ만뚨좨훘틲쯘ퟩ뫏ꆱ볆쯣HML뫍SMB뛾룶틲쯘,늢폃쫐뎡틧볛뫍룶막퓂쫕틦싊뗄쫽뻝,틔죽틲쯘쒣탍살맀볆룶막뗄죽룶놴쯾(ꛂMktꆢꛂHML뫍ꛂSMB),좻뫳릹붨ꆰ죽캬럖ퟩ뗄ퟩ뫏ꆱ뫍ꆰ쳘헷뻹뫢ퟩ뫏ꆱ뛔뇈볬퇩죽틲쯘쒣탍뫍쳘헷쒣탍ꆣ쯄ꆢ춳볆쏨쫶킧펦뫍SIZE킧펦럖컶뇭2쇐쪾쇋룹뻝BM뫍SIZE럖ퟩ쯹뗃25룶ퟩ뫏뗄욽뻹뎬뎣쫕틦ꆣ듓A삸쯹폐퓂럝뗄욽뻹횵살뾴,BM틧볛듓1106%퓶뎤떽2162%,쟒5룶t횵폐4룶듳폚2,욽뻹BM틧볛캪1153%(t=2198),뇭쏷듓1997쓪7퓂ꆪ2002쓪6퓂,룟BMퟩ뫏욽뻹쎿퓂쫕틦뇈뗍BMퟩ뫏룟1153%ꆣ춬퇹뗄,SIZE109
컢쫀얩ꆢ탭쓪탐:닺뗄샭탔뚨볛쒣탍뫍럇샭탔뚨볛쒣탍뗄뇈뷏퇐뺿틧볛듓0137%퓶뎤떽1177%,횻폐2룶t듳폚2,떫욽뻹SIZE틧볛캪1115%(t=2114),뇭쏷킡SIZEퟩ뫏욽뻹쎿퓂쫕틦뇈듳SIZEퟩ뫏룟1153%ꆣ뿉볻,BM킧펦뫍SIZE킧펦뻹쿔훸듦퓚ꆣ뇭225룶ퟩ뫏뗄욽뻹뎬뎣쫕틦(Rp-R)f내BM룟뗍럖ퟩퟩꆡ뇰Low234HighH-Lt(H-L)A삸:쯹폐퓂럝뗄욽뻹뎬뎣쫕틦Small010208010235010197010262010339010132211520100860101610101670101620102160101312124내30101280101810101180101010102640101362105SIZE듳킡40102270101250101210101310103330101061168럖ퟩBig0100400101680100190101360103020102623116S-B010168010067010177010126010037ꆪꆪt(S-B)211701862131115364013181ꆪꆪB삸:1퓂럝뗄욽뻹뎬뎣쫕틦Small-010067010191-010208010245-010088-010020-01082-010141010081010177-0100050100500101911165내30100310102580100540100650105600105293153SIZE듳킡40104600101670100910101930106110101520174럖ퟩBig0101870104020101200103330109850107982143S-B-010245-010201-010319-010079-011063ꆪꆪt(S-B)-113044-015360-213534-011836-215089ꆪꆪC삸:돽1퓂럝틔췢웤쯼퓂럝뗄욽뻹뎬뎣쫕틦Small010233010239010233010264010378010145213020101070101690101670101780102320101251199내30101380101760101250101050102380101001144SIZE듳킡40102070101220101240101270103080101021153럖ퟩBig0100270101480100110101190102410102142156S-B010206010092010222010144010137ꆪꆪt(S-B)21531117217711771121ꆪꆪꆡꆡ힢:퓚뇭2훐,내BM횵룟뗍럖ퟩ쪱,듓뗍떽룟뗄ퟩ뇰틀듎폃1떽5뇭쪾;내SIZE듳킡럖ퟩ쪱,듓킡떽듳뗄ퟩ뇰틀듎폃1떽5뇭쪾ꆣ뇭5뗄뇪쪾랽램폫뇭2쿠춬ꆣ맺췢톧헟랢쿖킡릫쮾퓚1퓂럝뻟폐뷏룟쫕틦,벴ꆰ킡릫쮾1퓂럝킧펦ꆱꆣ퓚퇐뺿막욱쫕틦쪱,춨뎣냑1퓂럝쫽뻝떥뛀쓃돶살뷸탐볬퇩,틔업돽ꆰ1퓂럝킧펦ꆱ뛔퇐뺿뗄펰쿬ꆣ평B삸쇐쪾뗄1퓂럝욽뻹뎬뎣쫕틦뿉횪ꆰ,킡릫쮾1퓂럝킧펦ꆱ퓚훐맺늢캴돶쿖ꆣ쿠랴,듳릫쮾뇈킡릫쮾뻟폐룼룟쫕틦,5룶(S-B)뗄뎬뎣쫕틦좫뚼캪뢺,쮵쏷훐맺듦퓚ꆰ듳릫쮾1퓂럝킧펦ꆱꆣ듋췢,C삸쇐쪾쇋쳞돽1퓂럝쫽뻝뫳뗄욽뻹뎬뎣쫕틦,떫BM킧펦뫍SIZE킧펦죔쿔훸듦퓚ꆣ2.ퟩ뫏쫕틦욽컈탔럖컶110
2004쓪뗚6웚뇭3ퟩ뫏탎돉잰뫳3쓪ퟩ뫏쫕틦뗄뇪ힼ닮내BM뫍ퟩ뫏탎돉웚(FY)SIZE듳킡ퟩ뫏탎돉잰3쓪ퟩ뫏쫕틦뗄뇪ힼ닮ퟩ뫏탎돉뫳3쓪ퟩ뫏쫕틦뗄뇪ힼ닮붻닦럖ퟩFY=3FY=2FY=1FY=0FY=0FY=-1FY=-2FY=-3SL011212011073010777010878011030010939010762010803SM011111011049010847010815011230011150010844010907SH011117011067010784010867011492011313010945010962BL011445011255011121010927011062010975010802010826BM011145011103010923010843011100011035010825010844BH011108011077010925010720011212011139010866010907SMB010450010446010453010333010504010377010291010304HML010363010402010436010515010745010626010257010233ꆡꆡ듓뇭3뿉횪,8룶ퟩ뫏뇪ힼ닮뗄쫽횵뚼뷏킡,쟒잰뫳3쓪ퟩ뫏뇪ힼ닮뫍0웚욽뻹쿠닮0103ꆣ뿉볻,퓚훐맺,룷ퟩ뫏쫕틦퓚ퟩ뫏탎돉잰뫳춬퇹뻟폐튻뚨뗄욽컈탔,헢캪쿂컄쳘헷쒣탍뗄릹퓬뫍볬퇩쳡릩쪵횤횧돖ꆣ3.죽캬럖ퟩ뫳27룶ퟩ뫏뗄맦쒣놾컄닉폃3ꇁ3ꇁ3뛸럇3ꇁ3ꇁ5뗄럖ퟩ랽램,돽쇋내ꛂHML죽캬럖ퟩ,놾컄뮹럖뇰내BMꆢSIZE뫍ꛂSMB벰BMꆢSIZE뫍ꛂMkt뷸탐죽캬럖ퟩ,쎿룶죽캬럖ퟩ뫳탎돉27룶ퟩ뫏웤5쓪뗄욽뻹맦쒣뛠쫽퓚10횧틔짏,뇭쏷뇈Bailey뗈(2003)뗄럖ퟩ짨볆뫏샭ꆣ컥ꆢ쪵횤볬퇩뷡맻(튻)25룶ퟩ뫏뗄CAPM뫍죽틲쯘쒣탍뗄뛔뇈볬퇩뇭4쇐쪾쇋25룶ퟩ뫏쫕틦럖뇰폫CAPM뫍죽틲쯘쒣탍뷘뻠ꛁ맀볆횵벰웤t횵,웤쯼믘맩쾵쫽벰웤t횵쿞폚욪럹늻퓙쿪쾸놨룦ꆣ듓뇭4뗄A삸뿉횪:쫗쿈,킡SIZE뛸룟BM뗄ퟩ뫏믱뗃뺭쫐뎡럧쿕뗷헻뫳ퟮ룟뗄뎬뎣쫕틦3%ꆣ웤듎,25룶ꛁ뗄t횵폐19룶쿔훸늻뗈폚0,쟒25룶ꛂMkt뚼쿔훸늻뗈폚0,춬쪱C삸뇭쏷,25룶CAPM쓢뫏쒣탍뗷헻뫳R2퓚5516%훁9215%횮볤뇤뚯,욽뻹횵캪7914%,쮵쏷쫐뎡틲쯘뿉틔뷢쫍헢25룶ퟩ뫏쫕틦7914%뗄뇤뚯,쫇펰쿬막욱쫕틦ퟮ훷튪뗄틲쯘,떫평폚듳늿럖ꛁ쿔훸늻뗈폚0,쮵쏷ퟩ뫏쫕틦돽쇋쫜쫐뎡틲쯘펰쿬췢,뮹쫜떽웤쯼럧쿕틲쯘뗄펰쿬ꆣ뇭4뗄B삸쫇죽틲쯘쒣탍뗄쓢뫏뷡맻,웤쿔쪾25룶ퟩ뫏뗄ꛁ뷶8룶쿔훸늻뗈폚0,쟒25룶ꛂMkt뚼쿔훸늻뗈폚0,18룶ꛂSMB쿔훸늻뗈폚0,17룶ꛂHML쿔훸늻뗈폚0,춬쪱C삸쿔쪾,퓚쫐뎡틲쯘뗄믹뒡짏볓죫HML뫍SMB솽룶틲쯘뫳,25룶믘맩랽돌뗄뗷헻뫳R2뻹폐쯹쳡룟,욽뻹뗷헻뫳R2듯떽8713%ꆣ뿉볻,짏쫶죽룶틲쯘뛔ퟩ뫏쫕틦펰쿬쿔훸,쟒ꛁ뗈폚0뗄룶쫽튲쿔훸퓶볓,틲듋죽틲쯘쒣탍뇈CAPM쓜룼뫃뗘뷢쫍훐맺막쫐뫡뷘쏦쫕틦뗄뇤뮯ꆣ(뛾)죽틲쯘쒣탍뫍쳘헷쒣탍뗄뛔뇈볬퇩1.죽캬럖ퟩ뫳27룶ퟩ뫏뗄욽뻹뎬뎣쫕틦뇭5뷶쇐쪾쇋룹뻝BMꆢSIZEꛂHML죽캬럖ퟩ뫳27룶ퟩ뫏뗄욽뻹뎬뎣쫕틦:(1)퓚9룶BM뫍SIZE111
컢쫀얩ꆢ탭쓪탐:닺뗄샭탔뚨볛쒣탍뫍럇샭탔뚨볛쒣탍뗄뇈뷏퇐뺿뇭4CAPM뫍죽틲쯘쒣탍뗄뛔뇈볬퇩A삸:CAPM볬퇩뗄뷘뻠ꛁ뫍t횵Rp-Rf=ꛁi+ꛂMk(tRMkt-R)f+ꛅi내BM룟뗍럖ퟩ럖ퟩ볬퇩룷ퟩ쒣탍ꛁ맀볆횵룷ퟩ쒣탍ꛁ뗄볬퇩횵t(ꛁ)Low234HighLow234HighSmall010170101901015010220103021713160217031294124내2010040101101012010120101801973128217821152190SIZE듳킡3010080101401007010050100211843179119311114147럖ퟩ4010180100701007010080102931942146214621225114Big-0100301011-010030100801024-01073106-016221473149B삸:죽틲쯘쒣탍볬퇩뗄뷘뻠ꛁ뫍t횵Rp-Rf=ꛁ+ꛂMk(tRMkt-R)f+ꛂSMBSMB+ꛂHMLHML+ꛅi내BM룟뗍럖ퟩ럖ퟩ볬퇩룷ퟩ쒣탍ꛁ맀볆횵룷ퟩ쒣탍ꛁ뗄볬퇩횵t(ꛁ)Low234HighLow234HighSmall-0100201005-010030100401011-01561124-016901731195내2-0100401002-01001-0100401002-01860184-0134-11200147SIZE듳킡30100301008-01001-010060101601592107-0133-11483124럖ퟩ4010210100901004010050102841662171113411504136Big0100201020-01001010140103601486106-012241665129C삸:뛾룶쒣탍뗷헻뫳R2뗄뛔뇈내BM룟뗍럖ퟩ믘맩랽돌쓢뫏폅뛈CAPM뗄뗷헻뫳R2죽틲쯘쒣탍뗄뗷헻뫳R2Low234HighLow234HighSmall01646017120169701653015560190401865019000183801773내201814018870185901747016370186401944019450190801819SIZE듳킡301805018610188901858017470183201889019290191501792럖ퟩ40183801919019240191701748018720193001926019360174Big01764019020180701925017360180701939018040195001796붻닦럖ퟩ뗄ퟩ뫏훐,폐4룶ퟩ뫏뗄쫕틦쯦ꛂHML뗄퓶듳뛸퓶듳,뛸듓뇭5ퟮ뫳튻탐살뾴,9룶ퟩ뫏뗄욽뻹쫕틦튲쯦ꛂHML뗄퓶듳뛸퓶듳,쮵쏷ퟩ뫏쫕틦폫ꛂHML횮볤ퟜ쳥짏듦퓚헽쿠맘맘쾵;(2)떱BM캪뗍ꆢ훐뫍룟쪱,ퟩ뫏욽뻹뎬뎣쫕틦럖뇰캪010317ꆢ010188뫍01008,뿉볻ퟩ뫏쫕틦폫BM듦퓚뢺쿠맘맘쾵,폫쳘헷쒣탍뗄샭싛풤웚늻럻;떱SIZE캪킡ꆢ훐뫍듳쪱,ퟩ뫏욽뻹뎬뎣쫕틦럖뇰캪010182ꆢ010204뫍010199,ퟩ뫏쫕틦폫SIZE횮볤뗄맘쾵늢늻쏷쿔ꆣ쿠뇈횮쿂,ퟩ뫏뎬뎣쫕틦폫ꛂHML횮볤뗄맘쾵잿폚ퟩ뫏뎬뎣쫕틦폫BM믲SIZE횮볤뗄맘쾵ꆣ112
2004쓪뗚6웚ꆡꆡ춬퇹,룹뻝BMꆢSIZE뫍ꛂSMB뷸탐죽캬ꆡ뇭5죽캬럖ퟩ뫳27룶ퟩ뫏뗄욽뻹뎬뎣럖ퟩ쯹뗃떽뗄27룶ퟩ뫏,웤욽뻹뎬뎣쫕틦쫕틦(RSZ),BM,FL-Rf폫ꛂSMB뗄맘쾵잿폚ퟩ뫏뎬뎣쫕틦폫BM뫍내BM뫍SIZESIZE뗄맘쾵:떱ꛂSMB캪킡ꆢ훐뫍듳쪱,ퟩ뫏듳킡붻닦럖ퟩ내ꛂHML듳킡럖ퟩ욽뻹뎬뎣쫕틦럖뇰캪010133ꆢ010213뫍010223;떱BM캪뗍ꆢ훐뫍룟쪱,ퟩ뫏욽뻹BMSIZE킡훐듳욽뻹횵뎬뎣쫕틦럖뇰캪뗍킡010284010232010348010288010276ꆢ01019뫍010103;떱SIZE캪킡ꆢ훐뫍듳쪱,ퟩ뫏욽뻹뎬뎣쫕뗍훐010324010327010352010334틦럖뇰캪010164ꆢ010219뫍010187ꆣ뗍듳0103630103020103210103292.믹폚죽캬럖ퟩ뗄ퟩ뫏릹붨뗄볬퇩쒣훐킡010176010178010252010202탍훐훐010158010161010205010175뇭6쇐쪾쇋룹뻝ꛂHML죽캬럖ퟩ뫳27훐듳010153010185010227010188룶ퟩ뫏릹붨뗄볬퇩쒣탍뗄맀볆뷡맻,웤훐,ꛂ룟킡-010007010112010060010055HML캪듳뗄ퟩ뫏웤ꛁ좫늿듳폚0,폫쳘헷쒣탍뗄볙짨늻럻;듓뇭7ퟮ뫳튻탐뗄욽뻹횵룟훐010128010046010137010103살뾴룟듳010090010103010052010082,ꛂHML캪듳ퟩ뫏웤욽뻹ꛁ횵(010084)듳폚ꛂHML캪킡ퟩ뫏뗄욽뻹ꛁ횵욽뻹횵010185010187010217ꆪ(010075),튲폫쳘헷쒣탍뗄볙짨늻럻ꆣ쇭췢,27룶ퟩ뫏훐듳늿럖ꛁ쿔훸뗈폚0(27룶t횵횻폐7룶듳폚2),뛠쫽폫죽틲쯘쒣탍뗄볙짨쿠럻ꆣ틲듋,뇭6뗄볬퇩뷡맻횧돖죽틲쯘쒣탍뛸뻜뻸쳘헷쒣탍ꆣ뇭6믹폚죽캬럖ퟩ뗄27룶ퟩ뫏릹붨뗄볬퇩쒣탍내BM뫍SIZE내ꛂHML듳킡럖ퟩ듳킡붻닦럖ퟩ룷ퟩ쒣탍ꛁ맀볆횵룷ퟩ쒣탍ꛁ뗄볬퇩횵t(ꛁ)BMSIZE킡훐듳킡훐듳뗍킡010068010058010150112251108421389뗍훐010140010093010186310271177021789뗍듳010131010072010062118041132711046훐킡010068010061010126115871111411721훐훐010012010035010017011720180401354훐듳-010048010041010089-015910197921245룟킡010077010164010006214652167901081룟훐010130-01001301009531009-0131411287룟듳010100010071010022118351151901760욽뻹횵010075010065010084ꆪꆪꆪꆡꆡ춬퇹뗄,룹뻝ꛂSMB죽캬럖ퟩ뗄27룶ퟩ뫏뗄볬퇩뷡맻쿔쪾,ꛂSMB캪듳뗄ퟩ뫏웤욽뻹ꛁ횵(010072)듳폚ꛂSMB캪킡뗄ퟩ뫏뗄욽뻹ꛁ횵(010031),쟒듳늿럖ꛁ쿔훸뗈폚0(27룶t횵횻폐9룶듳폚2),뛠쫽폫죽틲쯘쒣탍뗄볙짨쿠럻;룹뻝ꛂMkt죽캬럖ퟩ뗄27룶ퟩ뫏뗄볬퇩뷡맻쿔쪾,ꛂMkt캪듳뗄ퟩ뫏웤욽뻹ꛁ횵(010085)듳폚캪ꛂMkt킡뗄ퟩ뫏뗄욽뻹ꛁ횵(010058),쟒듳늿럖ꛁ쿔훸뗈폚0(27룶t횵횻폐7룶듳폚2),뛠쫽튲폫죽틲쯘쒣탍뗄볙짨쿠럻ꆣ뿉볻,컞싛룹뻝쓄룶놴쯾횵뷸탐죽캬럖ퟩ쯹릹붨뗄볬퇩쒣탍,웤뷡맻뚼횧돖죽틲쯘쒣탍ꆣ113
컢쫀얩ꆢ탭쓪탐:닺뗄샭탔뚨볛쒣탍뫍럇샭탔뚨볛쒣탍뗄뇈뷏퇐뺿ꆡꆡ3.믹폚쳘헷뻹뫢ퟩ뫏릹붨뗄볬퇩쒣탍(1)믹폚ꛂHML릹붨뗄9룶쳘헷뻹뫢ퟩ뫏뗄볬퇩쒣탍평뇭7쇐쪾뗄9룶쳘헷뻹뫢ퟩ뫏뗄욽뻹쫕틦(Rcb)벰믘맩쾵쫽뗄맀볆뷡맻뿉횪:(1)9룶쳘헷뻹뫢ퟩ뫏뗄Rcb폐7룶듳폚0,쟒듓뇭7ퟮ뫳튻삸뿉볻,욽뻹살뾴,평9룶쳘헷뻹뫢ퟩ뫏쯹릹돉뗄뗈좨훘ퟩ뫏뗄욽뻹쫕틦Rcb쿔훸듳폚0,뷡맻폫죽틲쯘쒣탍뗄볙짨쿠럻;(2)9룶쳘헷뻹뫢ퟩ뫏뗄ꛁ횵쿔훸뗈폚0,튲폫죽틲쯘쒣탍뗄볙짨쿠럻;(3)욽뻹살뾴,죽룶놴쯾쾵쫽뗄맀볆횵뻹쿔훸늻뗈폚0,뷡맻튲횧돖죽틲쯘쒣탍ꆣ뿉볻,평Rcbꆢꛁ뫍죽룶놴쯾뗄맀볆뷡맻뚼폫죽틲쯘쒣탍뗄볙짨쿠럻ꆣ뇭7믹폚ꛂHML릹붨뗄9룶쳘헷뻹뫢ퟩ뫏뗄볬퇩쒣탍내BM뫍SIZE듳킡붻닦럖ퟩ욽뻹쫕틦(Rcb)뫍믘맩쾵쫽BMSIZERcbꛁꛂHMLꛂSMBꛂMkt뗷헻뫳R2뗍킡01006501006333-0164010840109901106뗍훐01002801002701336400133820113401118뗍듳-010041-0100880133747-01078-0104401083훐킡01007601003901460-013133013324001108훐훐010047-010013013370601028-0108601162훐듳01007411118401055330148301318901176룟킡010067-010091330196401334770114801290룟훐010009-010050013356901080-0103701191룟듳-010037-0101000133770110001047010289룶뻹뫢ퟩ뫏33010032-0100110133431013313401307701359뗄뗈좨훘ퟩ뫏(2108)(-0133)(4138)(1188)(2112)ꆪꆡꆡ힢:3뇭쪾퓚10%뗄쮮욽짏쿔훸;33뇭쪾퓚5%뗄쮮욽짏쿔훸,쿂춬ꆣꆡꆡ(2)믹폚ꛂSMB릹붨뗄9룶쳘헷뻹뫢ퟩ뫏뗄볬퇩쒣탍평뇭8쇐쪾뗄쳘헷뻹뫢ퟩ뫏뗄욽뻹쫕틦(Rcb)벰믘맩쾵쫽뗄맀볆뷡맻뿉횪:(1)9룶쳘헷뻹뫢ퟩ뫏뗄Rcb폐8룶듳폚0,쟒듓뇭8ퟮ뫳튻삸뿉볻,욽뻹살뾴,뗈좨훘ퟩ뫏뗄욽뻹쫕틦Rcb쿔훸듳폚0,뷡맻폫죽틲쯘쒣탍뗄볙짨쿠럻;(2)9룶쳘헷뻹뫢ퟩ뫏뗄ꛁ횵폐8룶쿔훸뗈폚0,튲폫죽틲쯘쒣탍뗄볙짨쿠럻;(3)욽뻹살뾴,죽룶놴쯾쾵쫽뗄맀볆횵뻹쿔훸늻뗈폚0,뷡맻횧돖죽틲쯘쒣탍ꆣ뿉볻,평Rcbꆢꛁ뫍죽룶놴쯾뗄맀볆뷡맻뚼폫죽틲쯘쒣탍뗄볙짨쿠럻ꆣ(3)믹폚ꛂMkt릹붨뗄9룶쳘헷뻹뫢ퟩ뫏뗄볬퇩쒣탍평뇭9쇐쪾뗄쳘헷뻹뫢ퟩ뫏뗄욽뻹쫕틦(Rcb)벰믘맩쾵쫽뗄맀볆뷡맻뿉횪:(1)욽뻹살뾴,뗈좨훘ퟩ뫏뗄욽뻹쫕틦Rcb쿔훸뗈폚0,폫쳘헷쒣탍뗄볙짨쿠럻;(2)9룶쳘헷뻹뫢ퟩ뫏뗄ꛁ횵폐7룶쿔훸뗈폚0,폫죽틲쯘쒣탍뗄볙짨쿠럻;(3)욽뻹살뾴,죽룶놴쯾쾵쫽횻폐ꛂMkt쿔훸늻뗈폚0,ꛂHML뫍ꛂSMB뻹쿔훸뗈폚0,뷡맻뻜뻸죽틲쯘쒣탍ꆣ뿉볻,내BMꆢSIZE뫍ꛂMkt럖ퟩ볬퇩쪱,퓝쓑에뛏죽틲쯘쒣탍뫍쳘헷쒣탍퓚훐맺막쫐뗄쫊폃탔,헽죧Daniel뗈(2001)횸돶뗄,풭틲뿉쓜쫇쫐뎡틧볛(RMt-R)f욫뗍믲(쟒)늨뚯욫듳ꆣ뺭볆쯣,1997쓪7퓂ꆪ2002쓪6퓂,훐맺욽뻹쎿퓂쫐뎡틧볛캪0152%(t=01502)ꆣ114
2004쓪뗚6웚뇭8믹폚ꛂSMB릹붨뗄9룶쳘헷뻹뫢ퟩ뫏뗄볬퇩쒣탍내BM뫍SIZE듳킡붻닦럖ퟩ욽뻹쫕틦(Rcb)뫍믘맩쾵쫽BMSIZERcbꛁꛂHMLꛂSMBꛂMkt뗷헻뫳R2뗍킡010045010064-01338-01039013326501050뗍훐010058-01000101236011520103901024뗍듳010238010218013337070121401321901281훐킡01009001003301130011510110701038훐훐-01009633-010187011220133426-0106701186훐듳010021-0100353-01019012060109901049룟킡010125010106013353001084330131701211룟훐01017001004833301425017830102401129룟듳010159010132-0109201113-01100010269룶뻹뫢ퟩ뫏01330090010042333301180012320113001291뗄뗈좨훘ퟩ뫏(2176)(1137)(1190)(2166)(1187)ꆪ뇭9믹폚ꛂMkt릹붨뗄9룶쳘헷뻹뫢ퟩ뫏뗄볬퇩쒣탍내BM뫍SIZE듳킡붻닦럖ퟩ욽뻹쫕틦(Rcb)뫍믘맩쾵쫽BMSIZERcbꛁꛂHMLꛂSMBꛂMkt뗷헻뫳R2뗍킡01004901000833-01182011180124601106뗍훐01006801003301137-01032330124701113뗍듳-010051-01004901328-012910111301033훐킡-01007433-010193013620133539-0112701181훐훐-010023-0100123013576-01334610121101193훐듳01017133010129-013341701193330130701251룟킡01006301005801109-01234330132401202룟훐01010601006901242-0102730115201035룟듳01000301002633-01482-011900133297013099룶뻹뫢ퟩ뫏01003501000801075-01043013319701379뗄뗈좨훘ퟩ뫏(1133)(0126)(0184)(-0153)(6105)ꆪ쇹ꆢ뷡싛폫쳖싛퓚훐맺막쫐,BM킧펦뫍SIZE킧펦뗄돶쿖뇭쏷BM뫍SIZE놾짭쯹듺뇭뗄쫇럧쿕틲쯘,룟BM뫍킡SIZE뗄막욱쯹믱뗃룟쫕틦헽쫇뛔쯹춶릫쮾놾짭룟럧쿕뗄튻훖늹뎥,폫샭탔닺뚨볛샭싛쿠럻ꆣ뺿웤풭틲:(1)뿉쓜쫇평폚훐맺막쫐쫕틦뇤뚯뗄쳘쫢쒣쪽쯹퓬돉뗄,벴막욱쫕틦뗄뇤뚯7914%쫜쫐뎡럧쿕틲쯘뗄펰쿬,틲듋뺡맜퓚CAPM뗄믹뒡짏볓죫BM뫍SIZE솽룶틲쯘,웤뷢쫍솦튲횻듓115
컢쫀얩ꆢ탭쓪탐:닺뗄샭탔뚨볛쒣탍뫍럇샭탔뚨볛쒣탍뗄뇈뷏퇐뺿7914%쳡룟떽8713%,쮵쏷쫐뎡럧쿕죔쫇펰쿬막욱쫕틦뗄ퟮ훷튪틲쯘,쫐뎡잿듳뗄쟽뚯솦붫쪹막욱쫕틦뇭쿖돶쿔훸뗄ꆰ춬헇춬뗸ꆱ쟷쫆ꆣ헢훖ꆰ뎤웚뗄춬헇춬뗸듳쫆ꆱ떼훂춶헟룶죋쾲뫃뗈쳘헷틲쯘컞램쿔훸뻶뚨막욱쫕틦뇤뚯,뷡맻쪹웤뇤뮯좡뻶폚럧쿕틲쯘뛸럇쳘헷틲쯘ꆣ(2)퇐뺿뷡맻뿉쓜쫜퇹놾웚볤뎤뛌펰쿬ꆣDavis뗈(2000)죏캪,뛌웚볤럇샭탔틲쯘펰쿬뷏쿔훸,뛸뎤웚볤샭탔틲쯘펰쿬뷏쿔훸ꆣ평폚놾컄퇐뺿웚쿞뷏뎤,늻업돽룼뛌웚쓚럇샭탔틲쯘뿉쓜펰쿬뎬뎣쫕틦ꆣ(3)쫕틦싊뗄뛈솿웚볤뎤뛌튲뿉쓜펰쿬퇐뺿뷡맻ꆣ닎뾼컄쿗훬놦쿜ꆢ뫎훎맺,2002ꆶ:ꛂ횵뫍헊쏦쫐횵뇈폫막욱쫕틦맘쾵뗄쪵횤퇐뺿ꆷꆶ,뷰죚퇐뺿ꆷ뗚4웚ꆣ췴ꆢ훜폮,2002ꆶ:훐맺막쫐ꆰ맦쒣킧펦ꆱ뫍ꆰ쪱볤킧펦ꆱ뗄쪵횤럖컶ꆷꆶ,뺭볃퇐뺿ꆷ뗚10웚ꆣBailey,W.,Cai,J.,Cheung,.,andZheng,Z.,2003,ꆰTheCross2sectionalDeterminantsofStockReturnsinChina:FurtherEvidenceonCharacteristics,Factors,andMomentumꆱ,WorkingPaper,,KentD.,andSheridanTitman,1997,ꆰEvidenceontheCharacteristicsofCross2sectionalVariationinCommonStockReturnsꆱ,JournalofFinance,52,1ꆪ,KentD.,andSheridanTitman,1998,ꆰCharacteristicsorCovariances?ꆱ,JournalofPortfolioManagement,24,24ꆪ,KentD.,SheridanTitman,andJohnWei,2001,ꆰExplainingtheCross2sectionofStockReturnsinJapan:FactorsorCharacteristics?ꆱ,JournalofFinance,56,743ꆪ,James,,,2000,ꆰCharacteristics,Covariances,andAverageReturns:1929ꆪ1997ꆱ,JournalofFinance,55,389ꆪ,EugeneF.,,1996ꆰ,MultifactorExplanationsofAssetPricingAnomaliesꆱ,JournalofFinance,51,55ꆪ,Josef,AndreiShleifer,,1994ꆰ,ContranianInvestment,Extrapolation,andRiskꆱ,JournalofFinance,49,1541ꆪ,Jaonathan,1999ꆰ,TheTime2seriesRelationsamongExpectedReturn,Risk,Book2to2marketꆱ,JurnalofFinancialEconomics,:EvidencefromStockMarketinChinaWuShinong&XuNianhang(SchoolofManagement,XiamenUniversity)Abstract:Inthispaper,theauthorsexamineandcomparethreeassetpricingmodelsꆪCAPMꆢThree2factorModelandCharacteristicModel,:(1)thereexistssignificantꆰBook2to2MarketEffectꆱandꆰSIZEEffectꆱ,butnoꆰJanuaryEffectꆱforthesmallfirms;(2)thethree2factormodelisabletoexplainthecross2sectionalvariationinstockreturnsbetterthanCAPM;(3)theresultsrejecttheirrationalassetpricingmodelꆪꆪꆪtheCharacteristicModel,butsupporttherationalassetpricingmodelꆪꆪꆪThree2factorModel,,ratherthancharacteristics,sothecros2ssectionalvariationinstockreturnsisdeterminedbyriskfactors,:Book2to2market;SIZE;Three2factorModel;CharacteristicModelJELClassification:E21,G11(퓰죎뇠벭:쪯ꆡ듥)(킣뛔:ퟓꆡ)116
