컒맺IPO뎤웚쫐뎡뇭쿖뗄쪵횤퇐뺿3ꆪꆪꆪ믹폚뎬뎣쫕틦싊늻춬닢뛈랽램뗄뇈뷏럖컶퇮ꆡ떤ꆡ쇖ꆡ쎯(컷쓏닆뺭듳톧MBA뷌폽훐탄ꆡ610074)ꆾ햪튪ꆿ놾컄톡좡1995쓪1퓂훁2000쓪12퓂뮦짮솽쫐774룶A막IPO퇹놾,볆쯣IPO뗄뗈좨욽뻹ꆢ쇷춨쫐횵볓좨욽뻹뫍ퟜ쫐횵볓좨욽뻹쫕틦싊,늢쪹폃늻춬뗄쫐뎡횸쫽벰엤뇈막욱ퟩ뫏뗄쫕틦싊볓틔뗷헻살움볛IPO뗄뎤웚쫐뎡뇭쿖ꆣ뺭맽쫂볾쪱볤뫍죕샺쪱볤뗄쪵횤퇐뺿랢쿖:(1)컒맺IPO퓚짏쫐뫳3쓪쓚ퟜ쳥짏뇭쿖돶뎤웚잿쫆ꆣ(2)IPO뎤웚뎬뎣쫕틦싊뛔쪹폃뫎훖닎헕횸뇪뗄쫕틦싊살뗷헻틔벰쪹폃뫎훖볓좨욽뻹랽램뫜쏴룐ꆣCAR뫍죕샺쪱볤퇐뺿뗄뷡맻룼쏷쿔뗘뇭쏷컒맺IPO듦퓚뎤웚잿쫆쳘헷,뛸쟒쪹폃쫐횵볓좨욽뻹랽램볆쯣뗄헽뎬뎣쫕틦싊룼캪쿔훸ꆣ(3)Fama2French죽틲쯘쒣탍뫍CAPM쒣탍믘맩뗄뷘뻠쿮뚼뇭쏷컒맺IPO듦퓚헽뗄뎤웚뎬뎣쫕틦싊ꆣꆾ맘볼듊ꆿIPO뎤웚뇭쿖ꆡ뎬뎣쫕틦싊ꆡ쫂볾쪱볤퇐뺿ꆡ죕샺쪱볤퇐뺿튻ꆢ컊쳢뗄쳡돶쫕틦싊쪱폈캪춻돶,헢헽쫇IPO뎤웚뇭쿖퇐뺿뷡싛듦퓚닮짏쫀볍90쓪듺틔살,막욱쫐뎡짏IPO짏쫐뫳뗄뎤웚쫐틬뗄훷튪풭틲ꆣ뾼달뎬뎣쫕틦싊뗄늻춬닢뛈랽램늻횻쫇튻뎡뇭쿖틽웰쇋훚뛠톧헟뗄맘힢ꆣ퓧웚뗄퇐뺿죏캪듦퓚IPO룶쫽톧짏퇏뷷뗄컊쳢,룼캪훘튪뗄쫇늻춬뗄닢뛈랽램듺뇭뎤웚죵쫆쿖쿳(Long2rununderperformance),벴IPO퓚짏쫐ퟅ늻춬뗄뺭볃싟벭뫍춶닟싔,뻟폐럇뎣훘튪뗄쿖쪵틢틥ꆣ뫳쫽쓪쓚뗄뇭쿖죵폚쫐뎡(Ritter,1991;Loughran뫍Rit2놾컄뻛붹폚퇐뺿IPO뎤웚뇭쿖뗄늻춬닢뛈랽램,헢뛔폚럖ter,1995)ꆣ믹폚듋튲닺짺쇋뛠훖볙쮵살뷢쫍IPO뎤웚죵쫆컶늢릺ꆢ믘릺뗈웤쯻닆컱쫂볾뗄뎤웚쫐뎡킧펦춬퇹뻟폐뷨쿖쿳ꆣ떫뫳살뷸튻늽뗄퇐뺿랢쿖,죧맻닉폃폐킩닢뛈랽램,본틢틥ꆣ죧샛볆뎬뎣쫕틦싊(CAR)믲Fama2French죽틲쯘쒣탍믘퓚컒맺샭싛뷧맘폚쫇럱듦퓚IPO뎤웚죵쫆쿖쿳뒦폚헹맩,IPO뎤웚죵쫆볙쮵늢늻돉솢(Brav뫍Gompers,1997)ꆣ싛횮훐,뛠쫽퇐뺿횻쫇닉폃쇋튻훖믲캪쫽늻뛠뗄벸훖닢뛈틲듋,쒿잰맺볊짏룃쇬폲뗄퇐뺿훘뗣틑뺭평뾪랢IPO뎤웚랽램ꆣ틲듋,놾컄횼퓚춨맽뛔뇈럖컶늻춬닢뛈랽램뛔뎬뎣죵쫆뗄뷢쫍쒣탍,틆떽첽쟳룼캪컈붡뗄IPO뎤웚뇭쿖닢쫕틦싊뗄펰쿬,좫쏦뾼달컒맺IPO뗄뎤웚뇭쿖ꆣ뫳컄냼삨뛈랽램짏ꆣ틔쿂쓚죝:뗚뛾늿럖붫믘맋맺쓚췢톧헟퓚IPO뎤웚뇭쿖랽움볛IPO짏쫐틔뫳뗄뎤웚뇭쿖,춨뎣쫇볆쯣웤짏쫐뫳쏦뗄훷튪컄쿗;뗚죽늿럖쫇퇹놾쫽뻝뗄톡퓱뫍돵늽럖컶;쫽쓪쓚뗄뎬뎣쫕틦싊살뫢솿ꆣ뎬뎣쫕틦싊쫇IPO퇹놾쫕틦뗚쯄늿럖쫇퇐뺿랽램;뗚컥늿럖쫇춳볆뷡맻벰럖컶,ퟮ뫳싊폫헽뎣쫕틦싊횮닮,쯼늻떫좡뻶폚헽뎣쫕틦싊뗄짨뚨랽쫇뷡싛ꆣ쪽,뮹폫볓좨욽뻹랽램ꆢ뢴샻랽램ꆢ쪹폃쫂볾쪱볤뮹쫇죕뛾ꆢ컄쿗믘맋샺쪱볤퇐뺿랽램뗈톡퓱뚼폐맘ꆣ볲퇔횮,뎬뎣쫕틦싊뗄볆Ritter(1991),Loughran뫍Ritter(1995)뷏퓧쳡돶쯣뷡맻뛔폚닉폃뫎훖닢뛈랽램쫇쏴룐뗄,퓚퇐뺿뎤웚뎬뎣IPO듦퓚뎤웚죵쫆쿖쿳,뛔듋뒫춳뗄폐킧쫐뎡샭싛뫜쓑룸돶3놾컄캪맺볒ퟔ좻뿆톧믹뷰훺쿮쒿ꆶ탅쾢ꆢ믺훆뫍탂막랢탐킧싊ꆷ(70672112)뷗뛎탔돉맻,늢뗃떽닆헾늿좫맺믡볆톧쫵듸춷죋쿮쒿횧돖ꆣퟷ헟룐킻쿃쏅듳톧닆컱폫믡볆퇐뺿풺쯯잫뷌쫚ꆢ놱뺩듳톧맢뮪맜샭톧풺붪맺뮪뢱뷌쫚뫍쓤쏻움짳죋쳡돶뗄탞룄붨틩ꆣ61
뫏샭뗄뷢쫍ꆣRitter뫍Welch(2002)춨맽퇐뺿쏀맺1980ꆪ좴돊쿖죵쫆ꆣ2001쓪뗄6,249룶IPO퇹놾랢쿖,듓IPO짏쫐쫗죕쫕엌뫳ퟛ짏쯹쫶뿉볻,쫇럱듦퓚IPO뎤웚죵쫆쿖쿳퓚맺ꆢ쓚뾪쪼볆쯣뗄3쓪웚싲죫늢돖폐쫕틦싊(BHRs)쫇2216%,췢샭싛뷧죔좻뒦폚헹틩횮훐,룹풴퓚폚뎬뎣쫕틦싊닢뛈랽떫쫇뺭맽쫐뎡횸쫽쫕틦싊뗷헻뫳뗄싲죫늢돖폐뎬뎣쫕틦싊램뗄톡퓱짏ꆣ뷼쓪살컒맺샭싛뷧퓚룃쇬폲뗄퇐뺿좡뗃쇋튻(BHAR)좴쫇-2314%ꆣ튻킩뺭볃톧쒣탍튲놻뾪랢돶살뷢킩돉맻,떫죔듦퓚튻뚨뗄뻖쿞탔ꆣ훷튪쳥쿖퓚:(1)뛠쫽쫍IPO뎤웚죵쫆쿖쿳,죧틢볻럖웧볙쮵ꆢꆰ샖뛓뺭샭ꆱ볙퇐뺿뗄퇹놾쫽뷏짙;(2)뻍춬튻퇹놾좫쏦쪹폃쫂볾쪱볤뫍쮵ꆢ믺믡뒰뿚볙쮵뫍펯폠맜샭볙쮵뗈ꆣꋙ죕샺쪱볤,틔벰뗈좨욽뻹쫕틦싊뫍쫐횵볓좨욽뻹쫕틦싊뗈떫튲폐톧헟늻죏춬IPO뎤웚죵쫆볙쮵ꆣBrav뫍Gompers뛠훖랽램뗄퇐뺿뮹뫜짙볻;(3)뛠쫽퇐뺿쪹폃뗈좨욽뻹믲(1997)랢쿖,죧맻폃BM뇈(헋쏦-쫐횵뇈)샠쯆뗄틑짏쇷춨쫐횵볓좨욽뻹랽램볆쯣쫕틦싊,뛸쒿잰컒맺듳늿럝막쫐막욱ퟷ닎헕,쳘뇰쫇쪹폃쫐횵볓좨욽뻹쫕틦싊살볆쯣,욱쫇럇쇷춨막,틲듋닉폃ퟜ쫐횵볓좨욽뻹쫕틦싊뷸탐뇈뷏IPO늢쎻폐뇭쿖돶뎤웚죵쫆ꆣBravꆢGeczy뫍Gompers퇐뺿튲뫜폐뇘튪;(4)뛔뎬뎣쫕틦싊늻춬닢뛈랽램쓚퓚뗄(2000)춨맽퇐뺿1975ꆪ1992쓪쏀맺쫐뎡4,662룶IPO퇹뺭볃싟벭좱랦짮죫뗄웊컶ꆣ놾,랢쿖IPO뎤웚죵쫆훷튪벯훐폚킡맦쒣뗄IPO,IPO짏쫐폐본폚듋,놾컄헫뛔컒맺A막쫐뎡뗄IPO퇹놾,럖뇰볆뫳뗄뎤웚뇭쿖쪵볊짏뷓뷼폚쫐횵뫍BM뇈샠쯆뗄틑짏쫐막욱쯣뗈좨욽뻹쫕틦싊ꆢ쇷춨쫐횵볓좨욽뻹쫕틦싊뫍ퟜ쫐횵볓좨뗄뇭쿖ꆣGompers뫍Lerner(2003)톡퓱Nasdaq돶쿖틔잰뗄욽뻹쫕틦싊,늢쪹폃늻춬뗄닎헕횸뇪살뗷헻,춬쪱퓋폃쫂볾1935ꆪ1972쓪3,661룶쏀맺IPO퇹놾,틔컥쓪웚볆쯣,랢쪱볤뫍죕샺쪱볤퇐뺿랽램살움볛컒맺IPO뗄뎤웚뇭쿖ꆣ쿖죧맻쪹폃쫂볾쪱볤퇐뺿랽램,쫐횵볓좨BHAR볆쯣뗄뷡죽ꆢ퇹놾쫽뻝뗄톡퓱뫍돵늽럖컶맻뇭쏷폐뎤웚죵쫆쿖쿳,떫폃뗈좨욽뻹BHAR뫍CAR,믲헟쪹폃죕샺쪱볤럖컶뫍Fama2French죽틲쯘믘맩럖컶,좴늻놾컄퇹놾쫽뻝살ퟔCSMAR,쫕벯쇋컒맺1995쓪1퓂훁쓜횤쏷듦퓚뎤웚죵쫆쿖쿳ꆣ2000쓪12퓂뮦짮솽쫐랢탐뗄774룶A막IPO퇹놾,쯹쪹폃틲듋뗄퓂뛈막욱쫕틦싊쫽뻝틑뺭뾼싇쇋뫬샻ꆢ뫬막ꆢ퓶ꆢ엤,IPO뎤웚뇭쿖뗄퇐뺿훘뗣훰늽평뷢쫍IPO뎤웚죵쫆쿖쿳,틆떽막뫍퓶랢뗈틲쯘ꆣ웰쪼쪱볤뚨캪1995쓪1퓂뗄풭틲쫇탨튪IPO뎤웚뎬뎣쫕틦싊닢뛈랽램뗄뇈뷏랽쏦ꆣ죧맻IPO뎤웚죵쫆헢룶쪵횤뷡싛놾짭늻릻컈붡뗄뮰,뷢쫍폐ퟣ릻뛠뗄틑짏쫐막욱릹훾엤뇈ퟩ뫏;뷘훁쪱볤뚨캪2000쓪12퓂뗄풭틲쫇탨튪쇴ퟣ3쓪뗄쪱볤뒰ꆣ뛸쟒퓚퇹놾웚볤IPO뎤웚죵쫆뗄샭싛튲뻍돉쇋컞풴횮쮮ꆣBarber뫍Lyon쓚,컒맺뗄IPO랢탐헾닟튲쿠뛔컈뚨ꆣ(1997),LyonꆢBarber뫍Tsai(1999)쳡릩쇋볆쯣뎬뎣쫕틦뗄뛠훖랽램,떫쫇쎻폐쪮럖쏷좷뗘횸돶쓄튻훖랽램룼병ꆣ닉폃폫Fama뫍French(1993),BravꆢGeczy뫍Gomp2ers(2000),Gompers뫍Lerner(2003)샠쯆뗄냬램,틔뮦Fama(1998)뛔늻춬닢뛈랽램뷸탐쇋움볛,죏캪폫CAR뫍쪱볤탲쇐믘맩랽램쿠뇈,BHAR룼폐뿉쓜닺짺ꆰ캱뻜뻸ꆱ짮솽쫐좫늿A막ퟷ캪닎헕,룹뻝ퟜ쫐횵뫍BM뇈뛔IPO뷸탐폐킧쫐뎡뗄뷡맻ꆣ틲캪BHAR쫇춨맽뛔쎿룶퓂쫕틦싊뷸탐럖ퟩ:뢴샻볆쯣뗃떽뗄,죝틗뿤듳IPO죵쫆쿖쿳ꆣ(튻)릹퓬t쓪1퓂훁6퓂뗄엤뇈ퟩ뫏뻘헳ꆣ룹뻝t-1퓚컒맺샭싛뷧,샮퓌ꆢ쯎뻼뫍컢돥럦쓪12퓂ퟮ뫳튻룶붻틗죕뗄룶막ퟜ쫐횵,붫뮦짮솽쫐좫늿A(2002)쪹폃쇷춨쫐횵볓좨CAR막짏쫐릫쮾내헕ퟜ쫐횵듓킡떽듳업탲,늢럖돉5뗈럝;퓙붫,랢쿖컒맺IPO뗄뎤웚뇭쿖늻죧쫐뎡,웤훐듳엌막뗄뇭쿖뷏닮,킡엌막뗄뇭쿖싔뫃폚쫐뎡쫕틦ꆣ쎿튻ퟜ쫐횵뗈럝훐뗄짏쫐릫쮾내헕BM뇈,듓뗍떽룟업탲,돂릤쏏ꆢ룟쓾(2000)튲죏캪듦퓚춬퇹튲럖돉5뗈럝ꆣ웤훐,BM뇈뗈폚t-1쓪12퓂31죕뗄IPO뎤웚죵쫆쿖쿳ꆣ튲폐튻킩쪵횤퇐뺿죏캪컒맺IPO뗄뎤웚뇭쿖돊쿖잿쫆쳘헷ꆣ막뚫좨틦돽틔t-1쓪12퓂ퟮ뫳튻룶붻틗죕뗄룶막ퟜ쫐횵ꆣ쇵솦ꆢ샮컄뗂(2001)럖뇰쪹폃BHARꆢCAR뗈횸뇪뷸탐즾돽BM뇈캪뢺뗄릫쮾ꆣ쪵횤럖컶,랢쿖컒맺IPO훁짙퓚죽쓪쓚뇭쿖뫃폚쫐뎡ꆣ뚡(뛾)릹퓬t쓪7퓂훁12퓂뗄엤뇈ퟩ뫏뻘헳ꆣ룹뻝t쓪쯉솼(2003)튲뗃떽샠쯆뷡싛ꆣ뮹폐튻킩퇐뺿뷡싛뷩폚6퓂뗄ퟮ뫳튻룶붻틗죕뗄ퟜ쫐횵,붫뮦짮솽쫐좫늿짏쫐릫쮾ꆰ잿쫆싛ꆱ뫍ꆰ죵쫆싛ꆱ횮볤,췵쏀뷱ꆢ헅쯉(2000)랢쿖내헕ퟜ쫐횵듓킡떽듳업탲,늢럖돉5뗈럝;퓙붫쎿튻ퟜ쫐횵듳뛠쫽IPO퓚룕짏쫐뗄튻뛎쪱볤쓚ퟟ쫆쿔훸죵폚쫐뎡횸쫽,뗈럝훐뗄짏쫐릫쮾내헕BM뇈,듓뗍떽룟업탲,춬퇹튲럖돉떫퓚짏쫐뗚뛾쓪틔뫳잿폚쫐뎡횸쫽ꆣ뛸퇮떤(2004)뗄뷡5뗈럝ꆣ웤훐,BM뇈뗈폚t-1쓪12퓂31죕뗄막뚫좨틦돽싛헽뫃쿠랴,쯻랢쿖IPO짏쫐뫳7룶퓂틔쓚듦퓚잿쫆,횮뫳틔t쓪6퓂ퟮ뫳튻룶붻틗죕뗄ퟜ쫐횵ꆣ춬퇹즾돽BM뇈캪뢺ꋙ닎볻Ritter뫍Welch(2002)뗄ퟛ쫶컄쿗ꆣ62
뗄릫쮾ꆣ캪닎헕ꆣ뷡맻볻뇭1ꆣ(죽)뛔t쓪뛈짏쫐뗄IPO뷸탐뚨캻ꆣ룹뻝짏쫐뫳쫗퓂폫틑짏쫐릫쮾쿠뇈,컒맺듳늿럖IPO퇹놾릫쮾쫴폚훐ꆢퟮ뫳튻룶붻틗죕뗄룶막ퟜ쫐횵,틔벰t쓪쒩뗄막뚫좨틦돽틔듳탍맦쒣뗄릫쮾,ퟮ킡맦쒣뗄IPO횻햼5169%;듓BM뇈쟩짏쫐뫳쫗퓂ퟮ뫳튻룶붻틗죕뗄ퟜ쫐횵뗃떽뗄BM뇈,뿉틔좷뿶살뾴,뗍뫍뷏뗍BM뇈뗄IPO릫쮾싔뛠,ퟮ뗍BM뇈뗄뚨IPO뒦폚5ꇁ5뻘헳뗄쓄룶떥풪,룃떥풪뗄쯹폐막욱뻍릹IPO햼24104%ꆣ뒦폚(1,1)떥풪(ퟮ킡맦쒣ꆢퟮ뗍BM돉헢룶IPO뗄엤뇈ퟩ뫏ꆣ죧맻IPO짏쫐죕웚뒦폚1훁6퓂뇈)뗄룟돉뎤릫쮾뗄뇈샽횻폐1168%ꆣ럝,뻍틔(1)캪닎헕;죧맻뒦폚7훁12퓂럝,뻍틔(2)ꆡꆡ뇭1ꆡ룹뻝ퟜ쫐횵뫍BM뇈뛔IPO뷸탐럖ퟩ(떥캻:%)내BM뇈평뗍떽룟럖ퟩퟮ뗍234ퟮ룟ퟜ볆ퟮ킡116811550152016511295169내ퟜ쫐횵평킡떽24101411321973175312318109듳럖ퟩ3618551306107416541012618846107617251433188314925159ퟮ듳5143614631494126411323177ퟜ볆2410424116181481711916115100ꆡꆡ컒맺뗄IPO뗄럖늼쳘헷폫BravꆢGeczy뫍Gompers췆뛏,뛸죕샺쪱볤랽램뿉틔튻뚨돌뛈짏뷢뻶룃컊쳢ꆣ(2000)뾼달뗄쏀맺IPO폐뷏듳늻춬,쏀맺ퟮ킡맦쒣IPO뗄(튻)쫂볾쪱볤퇐뺿랽램햼뇈캪77160%,ퟮ뗍BM뇈IPO뗄햼뇈캪66160%,뒦폚놾컄쯹닉폃뗄쫂볾쪱볤퇐뺿랽램냼삨볆쯣BHAR뫍(1,1)떥풪IPO뗄뇈샽캪51180%ꆣ폫컒맺뗄쟩뿶쿠뇈,쏀CAR살뾼달퇹놾IPO뗄뎤웚뎬뎣쫕틦싊ꆣ맺IPO럖늼퇏훘욫쿲킡맦쒣뫍뗍BM뇈ꆣ닮틬훷튪풴ퟔ솽룶ퟔ듓Ritter(1991)틔살,볆쯣BHAR훰붥돉캪튻훖웕랽쏦:쫗쿈,Brav닉폃Fama(1993)뗄랽램,믹폚얦풼횤붻뇩닉폃뗄뫢솿IPO뎤웚뇭쿖뗄랽램ꆣ쫂볾쪱볤BHAR뗄볆쯹뗄좫늿막욱뛸늻쫇좫늿쏀맺짏쫐막욱살릹퓬엤뇈ퟩ뫏뻘헳ꆣ쯣릫쪽죧쿂:얦풼횤붻쯹뗄막욱쫇틔듳탍삶돯캪훷뗄,뻟폐뷏듳뗄쫐횵뫍뷏룟뗄BM뇈,듳늿럖쏀맺IPO뗄쫐횵뫍BM뇈ퟔ좻쿠뛔뷏bhar=iꇇr(1+R)-i,tꇇr(1+RBMK),tt=1t=1킡ꆣ뛸놾컄좴쫇쪹폃뮦짮솽쫐좫늿뗄A막짏쫐릫쮾살릹퓬엤뇈ퟩ뫏뻘헳ꆣ웤듎,쏀맺IPO틔돉뎤탍릫쮾캪훷,뛸컒맺퓚BHAR=bhar=ꇆNwi,1ꇁbharit=1짏쫀볍웤훐,BHAR쫇좫늿IPO뗄(욽뻹)싲죫늢돖폐뎬뎣쫕90쓪듺훐뫳웚맺폐듳탍삶돯릫쮾닅쿠볌짏쫐,틲듋퇹놾웚볤컒맺IPO뗄맦쒣폫틑짏쫐릫쮾쿠뇈랴뛸욫듳ꆣ틦싊;bhar쫇뗚i룶IPO뗄싲죫늢돖폐뎬뎣쫕틦싊;N쫇i쯄ꆢ퇐뺿랽램IPO뗄퇹놾쫽;wi,1쫇쫐횵볓좨욽뻹쪱캪짏쫐뫳뗚튻룶퓂뗚i튪움볛IPO쫇럱듦퓚뎬뎣쫕틦,탨튪뾼싇틔쿂훷튪컊룶IPO뗄쫐횵좨훘,뗈좨욽뻹쪱캪1/N;T쫇돖폐쪱볤;쳢R쫇뗚i룶IPO퓚짏쫐뫳뗚t퓂뗄퓂쫕틦싊;Ri,tBMK쫇닎헕,t:(1)죧뫎좷뚨헽뎣쫕틦싊?헽뎣쫕틦싊뗄톡퓱횱뷓맘쾵떽IPO뗄뎬뎣쫕틦싊뗄듳킡ꆣ놾컄럖뇰쪹폃죽훖쫐뎡횸횸뇪퓚춬퓂뗄퓂쫕틦싊ꆣ쫽뗄쫕틦싊쫂볾쪱볤퇐뺿뗄쇭튻훖랽램쫇듳볒쫬쾤뗄CARꆣ쫂볾,ퟜ쫐횵뫍BM뇈샠쯆뗄엤뇈ퟩ뫏뗄쫕틦싊,틔벰CAPM뫍Fama2F쪱볤퇐뺿뗄헢솽훖랽램쓄튻훖룼뫃쓘?Barber뫍Lyonrench죽틲쯘뚨볛쒣탍,살짺돉헽뎣쫕틦싊ꆣ(2)닉폃뗈좨욽뻹뮹쫇쫐횵볓좨욽뻹볆쯣쫕틦싊?늻(1997)죏캪BHAR듺뇭뗄돖폐닟싔룼럻뫏춶헟뗄쿖쪵춶춬뗄볓좨욽뻹랽램믡뗃떽늻춬뗄뎬뎣쫕틦싊뷡맻ꆣ놾컄럖뺭샺,떫쫇Fama(1998)좴횸돶CAR쫇뇈BHAR욫닮룼뇰쪹폃뗈좨욽뻹ꆢ쇷춨쫐횵볓좨욽뻹뫍ퟜ쫐횵볓좨욽뻹랽램킡뗄랽램,틲캪BHAR닉폃뗄쫇뢴샻볆쯣,볆쯣뎤웚쫕틦살뾼달IPO뗄뎤웚뇭쿖ꆣ(3)떥샻뮹쫇뢴샻?BHAR쪹폃뗄싊쪱룶뇰쪱웚틬뎣쫽뻝뗄킧펦믡놻럅듳ꆣ쫇뢴샻랽램,뛸CAR쪹폃뗄쫇떥샻랽램ꆣ(4)쫂볾쪱볤뮹쫇(뛾)죕샺쪱볤퇐뺿랽램죕샺쪱볤퇐뺿랽램?쫂볾쪱볤랽램퇐뺿횤좯뗄뎤웚뇭쿖쪱,헫뛔뎤웚뎬뎣쫕틦싊,Fama(1998)ꆢLyonꆢBarber뫍퇹놾볤듦퓚뗄뫡뷘쏦쿠틀(Dependence)믡떼훂폐욫뗄춳볆Tsai(1999)뚼죏캪내헕죕샺쪱볤살릹퓬쎿퓂막욱ퟩ뫏뗄랽63
램룼뿉좡ꆣFama죏캪죕샺쪱볤랽램뛔뚨볛쒣탍뗄듭컳짨뚨맻쒣탍짨뚨헽좷,릫쪽훐뗄ꛁ뇭쪾뗄쫇뺭맽쫐뎡럧쿕뗷헻늻첫쏴룐,뛸쟒쓜뫜뫃뗘뿘훆쇋퇹놾횮볤뗄뫡뷘쏦쿠틀ꆣ놾틔뫳뗄뎬뎣쫕틦싊ꆣ컄뗄죕샺쪱볤퇐뺿랽램냼삨죕샺쪱볤퓂욽뻹뎬뎣쫕틦싊MC2ퟮ뫳,놾컄쪹폃Fama2French죽틲쯘쒣탍믘맩살퇐뺿TAR,틔벰죕샺쪱볤뗄CAPM뫍Fama2French죽틲쯘쒣탍믘맩ꆣIPO뗄뎤웚쫕틦ꆣFama뫍French(1993)쪹폃죽틲쯘쒣탍죕샺쪱볤MCTAR볆쯣릫쪽죧쿂:살뷢쫍막욱뗄뫡뷘쏦쫕틦,죏캪킡쫐횵막욱뫍룟BM뇈막욱N뗄쫕틦싊쾵춳탔뗘뷏룟ꆣ믘맩릫쪽죧쿂:CTAR=wꇁartꇆti,ti,ti=1Ripo-R=ꛁ+ꛂ(RR)+,tf,tM,tM-,tf,tMꛂCTAR=1TꇤꇆTꇤCTARSMBSMB+ꛂ,ttHMLHML+e,ttipo,ttt=1웤훐,SMB쫇킡쫐횵막욱쫕틦싊복좥듳쫐횵막욱쫕틦웤훐,CTAR쫇죕샺퓂럝뗚t퓂좫늿탂막(죧짏쫐늻뎬t싊뗄쇣춶ퟩ뫏쫕틦싊;HML쫇룟BM뇈막욱쫕틦싊복좥맽3쓪뗄막욱)욽뻹퓂뎬뎣쫕틦싊;MCTAR쫇좫늿IPO뗄뗍BM뇈막욱쫕틦싊뗄쇣춶ퟩ뫏쫕틦싊ꆣ퓚헻룶죕샺쪱볤뗄퓂욽뻹뎬뎣쫕틦싊;Tꇤ쫇뾼달뗄죕샺퓂럝컥ꆢ춳볆뷡맻벰럖컶ퟜ쫽;N쫇죕샺퓂럝뗚t퓂좫늿탂막뗄룶쫽;w쫇쫐횵볓ti,t(튻)쫂볾쪱볤뗄퇐뺿뷡맻좨욽뻹쪱캪뗚i룶IPO퓚죕샺쪱볤뗚t퓂뗄쫐횵좨훘,뗈좨놾컄틔IPO뗄짏쫐퓂럝캪쫂볾퓂,틔IPO짏쫐틔뫳뗚욽뻹쪱캪1/N;웤쯻뇤솿뗄뚨틥죧잰ꆣt뛾룶퓂캪웰뗣볆쯣1쓪ꆢ2쓪뫍3쓪뗄BHAR뫍CARꆣ헢춬쪱,놾컄튲쪹폃죕샺쪱볤뗄CAPM쒣탍믘맩럖컶:퇹뗄맦뇜쇋IPO짏쫐쫗죕뎬룟뗄뎬뎣쫕틦싊뗄펰쿬,튲쓜R-R=ꛁ)+eipo+ꛂ,tf,tM(R,tM-R,tf,tipo,t룼랽뇣뗘쪹폃CSMAR퓂뛈쫕틦싊쫽뻝살움볛IPO뗄뎤웚웤훐,R쫇룹뻝죕ipo-R샺쪱볤릹퓬뗄IPOퟩ뫏뫡뷘,tf,t뇭쿖ꆣ죧맻IPO퓚쫂볾뒰웚볤쓚쿂쫐,쪹폃쫐뎡쫕틦싊쏦쫕틦싊쿠뛔폚컞럧쿕샻싊뗄뎬뛮쫕틦싊;Rm-R쫇쫐횵,tf,t듺쳦ꆣ볓좨쫐뎡횸쫽쫕틦싊쿠뛔폚컞럧쿕샻싊뗄뎬뛮쫕틦싊ꆣ죧ꆡꆡ뇭2ꆡIPO싲죫늢돖폐1쓪ꆢ2쓪뫍3쓪뗄뎬뎣쫕틦싊BHAR(떥캻:%)뗈좨욽뻹BHR쇷춨쫐횵볓좨욽뻹BHRퟜ쫐횵볓좨욽뻹BHR닎헕믹ힼ쪱볤닎헕닎헕닎헕IPO믹ힼBHARIPO믹ힼBHARIPO믹ힼBHAR-21쓪125-6107-11172301643218918119241251118923161(333-11263)(-41067)(-71818333)뗈좨욽뻹CS2MARퟛ뫏쫐뎡2쓪-6100-14159-2213649158551582219737156151623719733횸쫽쫕틦싊(-21200)(-61670333)(-101301333)3쓪-14167-24184-30159671238119029158541422414455103(-71843333(-31629333))(-91524333)41202168-31441쓪301642614318119151501118915132쇷춨쫐횵볓좨(2129233)(117843)(-2125533)욽뻹CSMARퟛ뫏쫐뎡횸쫽쫕2쓪131313153-41854915836127221971914415162201473333(41726)(11595)(-211913)틦싊13쓪71992159-31746712349124291582619924144281183(4141633)(01833)(-11219)1쓪101545167-0128301642011018119121521118912117ퟜ쫐횵볓좨욽333(51866)(31818333)(-01187)뻹CSMARퟛ뫏쫐뎡횸쫽쫕틦2쓪221017138-0127491582715722197151601516215188333(71960)(31355333)(-01126)싊3쓪271746116015667123391492915823142241442318861787333()(1198233)(01186)64
탸뇭뗈좨욽뻹BHR쇷춨쫐횵볓좨욽뻹BHRퟜ쫐횵볓좨욽뻹BHR닎헕믹ힼ쪱볤닎헕닎헕닎헕IPO믹ힼBHARIPO믹ힼBHARIPO믹ힼBHAR9176710421041쓪30164201881811911115111899185ퟜ쫐횵뫍333BM(51475)(41771333)(11383)뇈쿠샠쯆막욱131432쓪614101364915836115(엤뇈22197161571516215126)ퟩ뫏쫕(41927333)(3102533)(01171)틦싊3쓪111084167111967123561142915824190241442312521770333()(11583)(01417)ꆡꆡ힢:(1)BHR쫇싲죫늢돖폐쫕틦싊ꆣ(2)삨뫅쓚캪t춳볆솿,333ꆢ33ꆢ3럖뇰뇭쪾퓚1%ꆢ5%ꆢ10%쮮욽쿔훸늻캪0(쮫캲볬퇩)ꆣꆡꆡ뇭2볆쯣뗄쫇IPO퇹놾뗄BHARꆣ뿉틔뾴떽:(1)뷡뫃,떼훂뗈좨욽뻹횸쫽뗄쫕틦룟폚웤쯻닎헕횸뇪ꆣ(2)볆맻뛔쪹폃뫎훖닎헕횸뇪뫜쏴룐ꆣ뗈좨욽뻹횸쫽뗷헻뗄BHAR쯣뷡맻뛔쪹폃뫎훖볓좨욽뻹랽램튲뫜쏴룐ꆣ쪹폃솽훖쫐횵뚼캪뢺,뛸쟒돖폐쪱볤풽뎤BHAR풽킡(뢺뗄돌뛈풽듳);볓좨욽뻹랽램듺쳦뗈좨욽뻹랽램볆쯣BHAR쪱,늻맜닉폃뛸웤쯻죽룶닎헕횸뇪뗷헻뗄BHAR퓚뛠쫽쟩뿶쿂캪헽ꆣ닺뫎훖닎헕횸뇪뗷헻BHAR뚼뇤킡쇋,풭틲퓚폚듳쫐횵IPO짺헢훖닮틬뗄훷튪풭틲퓚폚컒맺쫐뎡짏ꆰ킡엌막ꆱ뇭쿖룼뗄좨훘듳,뛸듳쫐횵IPO뗄뇭쿖톷폚킡쫐횵IPOꆣꆡꆡ뇭3ꆡ좫늿IPO퇹놾1쓪ꆢ2쓪뫍3쓪샛볆뎬뎣쫕틦싊CAR(떥캻:%)뗈좨욽뻹CR쇷춨쫐횵볓좨욽뻹CRퟜ쫐횵볓좨욽뻹CR닎헕믹ힼ쪱볤닎헕닎헕닎헕IPO믹ힼCARIPO믹ힼCARIPO믹ힼCAR-11201쓪5144-0110281933011333161281172716927179(3-01639)(4130933)(-01089)뗈좨욽뻹CS2-119581141122MARퟛ뫏쫐뎡2쓪451104710453178451644715046128횸쫽쫕틦싊(-01890)(41669333)(01687)3쓪-4177131228142571726214976144631227211463171(-01316)(11003)(01585)41941312671481쓪281932319933161201352716920121쇷춨쫐횵볓좨(2154233)(91882333)(51589333)욽뻹CSMARퟛ121218315175뫏쫐뎡횸쫽쫕2쓪1124511032199531783019547150311753333(5118533)(121435)(81395333)틦싊3쓪131053211227101571724416676144441327211445112(01754)(2132033)(1197833)9150151951쓪10137281931914233161171662716917132ퟜ쫐횵볓좨욽3(5101433)(111787333)(81199333)뻹CSMARퟛ뫏쫐뎡횸쫽쫕틦2쓪171832611019141451102712753178271684715028110333(71852333)(131675)(101819333)싊1812434152291723쓪571723914876144411927211442141(01990)33(21280)(2126233)65
탸뇭뗈좨욽뻹CR쇷춨쫐횵볓좨욽뻹CRퟜ쫐횵볓좨욽뻹CR닎헕믹ힼ쪱볤닎헕닎헕닎헕IPO믹ힼCARIPO믹ힼCARIPO믹ힼCAR81741615311184ퟜ쫐횵뫍1쓪281932011933161171082716915185BM(51080333)(111708333)(81770333)뇈쿠샠쯆막욱(엤뇈2쓪12153241161910545110321575317829162)ퟩ뫏쫕471502814570333(516)(111674333)(101273333)틦싊3쓪111213018227177571724615176144451627211444137(01639)(119483)(2105833)ꆡꆡ힢:(1)CR쫇샛볆쫕틦싊ꆣꆡꆡ뇭3볆쯣쇋IPO퇹놾뗄CARꆣ뷡맻뇭쏷:(1)폫듓짏쏦뗄BHAR뫍CAR쫂볾쪱볤럖컶뿉틔뾴떽,뛾헟BHAR쿠뇈,CAR볆쯣뗄뎬뎣쫕틦싊퓚룼뛠쟩뿶쿂캪헽쟒뗄뷡맻쫇폐닮틬뗄ꆣ죧맻횻쫇쪹폃뗈좨욽뻹횸쫽뗷헻뗄룼쿔훸,볆쯣뷡맻뛔쪹폃뫎훖닎헕횸뇪살뗷헻틔벰쪹폃뫎BHAR,뫜죝틗뗃돶컒맺IPO듦퓚뎤웚죵쫆헢룶뷡싛ꆣ떫죧훖볓좨욽뻹랽램춬퇹뫜쏴룐ꆣ(2)쪹폃뫳죽훖닎헕횸뇪뗷맻쪹폃웤쯻죽룶닎헕횸뇪뗷헻,춬쪱폖닉좡뗈좨욽뻹믲쇷헻뗄CAR좫늿캪헽,뛸쟒쏷쿔듳폚쪹폃뗈좨욽뻹횸쫽뗷헻춨쫐횵볓좨욽뻹랽램볆쯣BHAR,뷡맻ퟜ쳥짏횧돖IPO뎤웚뗄CARꆣퟜ뗄살뾴,뾼달쪱볤풽뎤CAR튲풽듳,떫쿔훸탔잿쫆ꆣ뛸CAR뗄볆쯣뷡맻룼쫇쏷쿔뗘뇭쏷컒맺IPO짏쫐뫳퓚쿂붵ꆣ(3)쪹폃솽훖쫐횵볓좨욽뻹랽램듺쳦뗈좨욽뻹랽훁짙3쓪쓚돊쿖뎤웚잿쫆뗄쳘헷ꆣ램볆쯣CAR쪱,늻맜닉폃뫎훖닎헕횸뇪뗷헻뗄CAR뚼쏷쿔(뛾)죕샺쪱볤뗄퇐뺿뷡맻퓶듳,헢폫잰컄BHAR뗄뷡맻헽뫃쿠랴ꆣ풭틲퓚폚BHAR놾컄룹뻝죕샺쪱볤살릹퓬쎿퓂IPOퟩ뫏:듓1995쓪2뫍CAR뗄쫐횵볓좨욽뻹랽램쫇늻춬뗄,BHAR뗄쫐횵볓좨퓂떽2003쓪12퓂웚볤쓚뗄쎿튻죕샺퓂럝t,냑짏쫐쪱볤뒦욽뻹횻쫇랴펳쇋쎿룶IPO퓚웚돵뗄쫐횵좨훘,뛸CAR뗄쫐폚3쓪쓚뗄막욱ퟷ캪탂막ꆣ뻟쳥닙ퟷ짏,놾컄냑짏쫐쪱볤듯횵볓좨욽뻹쪹폃뗄쫐횵좨훘퓚쎿룶퓂뚼늻춬ꆣ평폚킡쫐횵떽2룶퓂떫늻뎬맽37룶퓂뗄막욱ퟷ캪탂막,헢퇹뗄낲업죔IPO뗄뇭쿖뫃폚듳쫐횵IPO,쯦ퟅ쪱볤뗄췆틆킡쫐횵IPO뗄좻쫇캪쇋맦뇜IPO짏쫐쫗죕뎬룟뗄뎬뎣쫕틦싊뫍랽뇣뗘쪹쫐횵좨훘튲춬늽짏짽,헢퇹뗄ꆰ쮫훘킧펦ꆱ떼훂쫐횵볓좨폃CSMAR퓂뛈쫕틦싊쫽뻝ꆣ욽뻹랽램볆쯣뗄CAR뇭쿖룼뫃ꆣꆡꆡ뇭4ꆡ1995쓪2퓂훁2003쓪12퓂IPO뗄죕샺쪱볤MCTAR(떥캻:%)뗈좨욽뻹랽램볆쯣MCTAR쇷춨쫐횵볓좨욽뻹랽램볆쯣MCTARퟜ쫐횵볓좨욽뻹랽램볆쯣MCTAR닎헕믹ힼ퓂싊뇭쪾뮻쯣돉쓪싊퓂싊뇭쪾뮻쯣돉쓪싊퓂싊뇭쪾뮻쯣돉쓪싊ꆡ뗈좨욽뻹CSMARퟛ뫏쫐-010801930172뎡횸쫽쫕틦싊-0196111809105(-01258)(119633)(11414)ꆡ쇷춨쫐횵볓좨욽뻹CS201081110018911011410011120MARퟛ뫏쫐뎡횸쫽쫕틦싊(01237)(21364333)(11823)ꆡퟜ쫐횵볓좨욽뻹CSMAR012211241103ퟛ뫏쫐뎡횸쫽쫕틦싊21721519013106(01663)(2182333333)(21337)ꆡퟜ쫐횵뫍BM뇈쿠샠쯆013311250197막욱4102(엤뇈1610312124)ퟩ뫏쫕틦싊(11080)(21740333)(2108133)ꆡꆡ뇭4볆쯣뗄쫇듓1995쓪2퓂떽2003쓪12퓂IPO뗄죕샺폃뫳죽훖닎헕횸뇪뗷헻뗄MCTAR듳폚쪹폃뗈좨욽뻹횸쫽뗷쪱볤퓂욽뻹뎬뎣쫕틦싊MCTARꆣ볆쯣뷡맻뇭쏷:(1)횻폐닉헻뗄MCTAR,뛸쟒튲룼쿔훸ꆣ(3)쪹폃솽훖쫐횵볓좨욽뻹폃뗈좨욽뻹횸쫽뗷헻늢쪹폃뗈좨욽뻹랽램볆쯣쪱,MCTAR닅랽램볆쯣뗄MCTAR쿔훸듳폚쪹폃뗈좨욽뻹랽램뗄뷡맻ꆣ뿉캪뢺,떫늻쿔훸ꆣ웤쯻쯹폐쟩뿶쿂,MCTAR뚼캪헽ꆣ(2)쪹볻,죕샺쪱볤MCTAR폫쫂볾쪱볤CAR뗄뷡싛뫜뷓뷼ꆣ66
ퟮ뫳,놾컄믹폚죕샺쪱볤쫽뻝럖뇰뷸탐CAPM쒣탍뫍죧맻튪횤쏷IPO잿폚쫐뎡,퓲탨튪횤쏷뷘뻠쿮쿔훸캪헽ꆣFama2French죽틲쯘쒣탍뗄믘맩럖컶ꆣ퓚쒣탍쫊폃뗄잰쳡쿂,뷡맻볻뇭5ꆣꆡꆡ뇭5ꆡIPO뗄CAPM뫍Fama2French죽틲쯘쒣탍믘맩IPO뗈좨욽뻹쫕틦싊IPO쇷춨쫐횵볓좨욽뻹쫕틦싊IPOퟜ쫐횵볓좨욽뻹쫕틦싊CAPMFama2French죽틲쯘CAPMFama2French죽틲쯘CAPMFama2French죽틲쯘뷘뻠ꛁ010015010019010106010133010092010149(01409)(01610)(2125533)(21952333)(118593)(2108433)019560195611031110670197401995Rm,t-Rf,t333(241224)(26176133333333)(191814333)(2110473)(171835)(171566333)01377010591-01131SMB(41530333)(01500)(-01993)-01263-01292-010494HML3(-41971333)(-3188233)(-01588)AdjustedR2018470188301787018120174901749ꆡꆡ힢:(1)컞럧쿕쫕틦싊R폃춬웚틸탐죽퓂웚듦뿮샻싊(뮻캪퓂싊)살뇭쪾ꆣ(2)Rm폃쇷춨쫐횵볓좨욽뻹쫐뎡횸쫽뗄퓂쫕틦싊살f,t,t뇭쪾ꆣꆡꆡ뇭5뷡맻뇭쏷:(1)뾼달뗈좨욽뻹쫕틦싊쪱,CAPM좨훘ꆣ쒣탍믘맩뇭쏷뷘뻠쿮캪쎿퓂0115%,뇭쪾폐헽뗄뎬뎣쫕(죽)뷡맻럖컶틦싊,떫늻쿔훸;쪹폃죽틲쯘쒣탍뗄믘맩뫳,Adjusted퇐뺿뷡맻ퟜ쳥짏뇭쏷컒맺IPO퓚짏쫐틔뫳훁짙3쓪쓚뇭R2뇭쏷헻쳥쒣탍뗄뷢쫍솦뛈짏짽,뷘뻠쿮짏짽캪쎿퓂쿖돶잿쫆쳘헷ꆣ0119%,떫죔늻쿔훸ꆣ(2)뾼달쇷춨쫐횵볓좨욽뻹쫕틦놾컄퇐뺿뷡맻쫇럱뻜뻸컒맺막욱쫐뎡쫇튻룶폐킧쫐싊쪱,CAPM쒣탍믘맩뷘뻠쿮쎿퓂1106%쟒쿔훸;쪹폃뎡?늻춬뗄샭싛톧엉뿉쓜믡폐늻춬뗄뷢쫍ꆣ퓚탐캪뷰죚톧죽틲쯘쒣탍헻쳥뗄뷢쫍솦뛈폐쯹짏짽,뷘뻠쿮튲짏짽캪엉뾴살,쿔훸캪헽뗄뎤웚뎬뎣쫕틦쫇튻훖ꆰ틬쿳ꆱ쎿퓂1133%ꆣ(3)뾼달ퟜ쫐횵볓좨욽뻹쫕틦싊쪱,죽틲(Anomaly),컒맺춶헟뛔IPO뗄훊솿탅쾢뿉쓜듦퓚랴펦쯘쒣탍뗄뷘뻠쿮쿔훸캪헽,캪쎿퓂1149%ꆣ(4)ퟜ쳥살늻ퟣ,뇭쏷놾쫐뎡컞킧싊ꆣ죧맻믹폚샭탔뚨볛톧엉뗄맛뾴,Fama2French죽틲쯘쒣탍뗄뷢쫍솦뛈듳폚CAPM쒣뗣,믡죏캪헢뿉쓜쫇튻훖얼좻쿖쿳ꆣ벴쪹헽뗄뎬뎣쫕틦뎤탍,IPO듦퓚캪헽뗄뎬뎣쫕틦,쟒퓚닉폃쫐횵볓좨랽램웚듦퓚,샭탔뚨볛톧엉튲늢늻죏캪헢쫇뛔ꆰ폐킧쫐뎡볙쪱룼캪쿔훸ꆣ쮵ꆱ뗄뻜뻸,룼뿉쓜쫇평폚뚨볛쒣탍캴쓜랴펳쯹폐뗄럧쿕퓚죽틲쯘쒣탍믘맩럖컶훐,Rm-R뗄쾵쫽뚼뷓뷼1쟒틲쯘ꆣ틲캪맘폚폐킧쫐뎡헢룶풭볙짨뗄볬퇩쫇튻훖ꆰ솪뫏,tf,t룟뛈쿔훸,뇭쏷퓚뿘훆HML뫍SMB쯹듺뇭뗄럧쿕틲쯘틔볙짨ꆱ볬퇩:볈튪볬퇩뎬뎣쫕틦캪쇣,뮹튪볬퇩뚨볛쒣탍뫳,펰쿬쫐뎡횸쫽쫕틦뗄튻냣뫪맛럧쿕틔샠쯆뗄돌뛈펰쿬뗄폐킧탔ꆣ떫쫇,죎뫎뚨볛쒣탍뚼늻뿉쓜췪좫뗘쏨쫶헽뎣ퟅIPO뗄쫕틦ꆣHML뗄쾵쫽퓚죽룶믘맩쪼훕캪뢺,쮵쏷쫕틦싊(Fama,1998),헢샠쒣탍짨뚨컊쳢퓚뾼달뎤웚쫕IPO뗄BM뇈폫헻쳥쫐뎡쿠뇈뷏뗍,헢뫍뗚뛾뷚뇭1뗄뷡맻틦쪱폈웤퇏훘ꆣ튻훂,튲폫BravꆢGeczy뫍Gompers(2000)뾼달뗄쏀맺틲듋,IPO뎤웚쫐뎡뇭쿖뗄퇐뺿늻쓜볲떥뗘냑쒳킩ꆰ잿IPO뫜샠쯆ꆣSMB뗄쾵쫽뛔닉폃뗄쫕틦싊볆쯣랽램뫜쏴룐,쫆ꆱ믲ꆰ죵쫆ꆱ뗄쪵횤뷡싛ퟷ캪잰쳡,헢킩뷡싛뿉쓜횻쫇뛠쫽쟩뿶쿂늻쿔훸,쮵쏷컒맺IPO뗄맦쒣킧펦늻쏷쿔,헢튻훖믲짙쫽벸훖닢뛈랽램뗄뷡맻,늻릻컈붡ꆣ잰쳡죧맻늻폫쏀맺IPO룃쾵쫽쿔훸캪헽뗄쟩뿶늻춬ꆣ뿉뾿,싟벭짏뫏샭뗄뷢쫍쒣탍튲횻믡닺짺컳떼탔뗄뷡싛ꆣ퓚틔짏뗄늻춬닢뛈랽램훐,쇷춨쫐횵볓좨욽뻹랽램볆뷢쫍쒣탍뗄뾪랢펦룃폫뎬뎣쫕틦싊뗄닢뛈맽돌폐믺뗘뷡뫏쯣뗃떽뗄IPO뎤웚뎬뎣쫕틦싊뷡맻ퟜ쳥짏듳폚ퟜ쫐횵볓좨웰살,헢쫇놾컄뗄샭싛틢틥쯹퓚ꆣ쇭튻랽쏦,춨맽첽쳖늻욽뻹랽램뗄뷡맻ꆣ뺿웤풭틲,컒맺쫐뎡짏듳쫐횵IPO뗄럇춬뗄닢뛈랽램벰웤뛔펦뗄춶닟싔,폐훺폚뷒쪾퇹놾웚볤쇷춨막뇈샽튻냣룼룟,쪹폃ퟜ쫐횵볓좨욽뻹랽램볆쯣뎬뎣쓚늻춬IPO춶닟싔폫닎헕횸뇪쿠뇈뗄쫕틦ힴ뿶,뻟폐튻쫕틦싊쪱,뇭쿖톷즫뗄듳쫐횵IPO좴놻뢳폨쇋룼듳뗄뚨뗄쪵볹틢틥ꆣ67
쓄훖뎬뎣쫕틦싊룼쓜랴펳컒맺뗄쫐뎡ힴ뿶?ퟷ헟죏캪돖IPO뎤웚죵쫆볙쮵ꆣ펦룃퓚IPO횮췢뷸탐삩햹퇐뺿틔웚뗃떽룼폐쮵럾솦뗄뷡싛ꆣ(죽)쫂볾쪱볤CAR뗄볆쯣뷡맻,쳘뇰쫇쪹폃솽훖쫐춬쪱펦룃퓚볆쯣쫕틦싊뗄쪱뫲돤럖뾼싇컒맺쳘쫢뗄막좨럖횵볓좨욽뻹랽램,룼쿔훸뗘뇭쏷컒맺IPO퓚훁짙3쓪쓚돊쿖훃쿖ힴ뗄펰쿬,쪹쒣탍룼뻟폐쫊폃탔ꆣ잿쫆쳘헷,춬쪱랢쿖킡쫐횵IPO뗄뇭쿖뫃폚듳쫐횵IPOꆣ춨쇹ꆢ뷡싛맽죕샺쪱볤MCTAR럖컶ꆢCAPM쒣탍틔벰Fama2French죽놾컄ퟜ쳥짏뇭쏷퇹놾웚볤쓚컒맺IPO퓚짏쫐틔뫳훁짙3틲쯘쒣탍믘맩럖컶,튲뇭쏷컒맺IPO훁짙3쓪쓚돊쿖잿쫆쳘쓪쓚뇭쿖돶뎤웚잿쫆ꆣ훷튪뷡싛죧쿂:헷ꆣ(튻)컒맺뗄IPO뗄럖늼쳘헷폫쏀맺IPO폐뷏듳뗄늻IPO뎤웚쫐뎡뇭쿖뗄뫢솿놾훊짏쫇뎬뎣쫕틦싊뗄좷뚨맽춬ꆣ쏀맺IPO럖늼퇏훘욫쿲킡맦쒣뫍뗍BM뇈;퇹놾웚볤쓚돌,틲듋볆쯣뷡맻뛔닉폃뗄닢뛈랽램쫇쏴룐뗄ꆣ럖컶뎤웚컒맺IPO폫틑짏쫐막욱쿠뇈,BM뇈횻쫇싔뗍,뛸맦쒣랴뛸뎬뎣쫕틦탨튪뾼싇뗄틲쯘뷏뛠,쓄튻훖랽램룼폅쒿잰튲짐욫듳ꆣ틲듋,믹폚쏀맺IPO쪵횤뷡맻뗄뷢쫍뫍쒣탍늻튻뚨컞뚨싛,틲듋IPO뎤웚뇭쿖뷢쫍쒣탍뗄뾪랢펦룃폫뎬뎣쫕쫊뫏컒맺뗄쟩뿶ꆣ틦싊뗄닢뛈맽돌폐믺뗘뷡뫏웰살ꆣ좫쏦뾼달뎬뎣쫕틦싊뗄(뛾)컞싛쫇쫂볾쪱볤뮹쫇죕샺쪱볤퇐뺿랽램,뎬뎣쫕늻춬닢뛈랽램,쫽톧퇏뷷탔뗄놳뫳쫇쓚퓚뗄춶ퟩ뫏닟싔ꆣ틦뗄볆쯣뷡맻뛔닎헕횸뇪벰볓좨욽뻹랽램뫜쏴룐ꆣ쫂볾퇐놾컄뗄퇐뺿뷡맻뫜뫃뗘뷒쪾쇋퇹놾웚볤쓚늻춬IPO춶닟뺿뷡맻랢쿖,죧맻쪹폃쇷춨쫐횵볓좨욽뻹횸쫽ꆢퟜ쫐횵볓싔폫닎헕횸뇪쿠뇈뗄쫕틦ힴ뿶,뻟폐훘튪뗄쿖쪵틢틥,뛸좨욽뻹횸쫽믲엤뇈ퟩ뫏뗄쫕틦싊살뗷헻,춬쪱뮹닉폃뗈좨쟒뛔폚럖컶늢릺ꆢ믘릺뗈웤쯻닆컱쫂볾뗄뎤웚쫐뎡킧펦튲욽뻹믲쇷춨쫐횵볓좨욽뻹랽램볆쯣BHAR쪱,뷡맻늢늻횧뻟폐튻뚨뗄뷨본틢틥ꆣ훷튪닎뾼컄쿗돂릤쏏,룟쓾.2000.훐맺막욱튻벶쫐뎡뎤웚춶믘놨뗄쪵횤퇐뺿.뺭볃뿆톧,1:29ꆫ41뚡쯉솼.2003.훐맺탂막뎤웚ퟟ쫆쪵횤퇐뺿.쓏뾪뺭볃퇐뺿,3:55ꆫ62샮퓌,쯎뻼,컢돥럦.2002.뾼싇쫐횵좨훘뗄IPO뎤웚튵벨퇐뺿.떱듺뺭볃뿆톧,6:12ꆫ15쇵솦,샮컄뗂.2001.훐맺막욱쫐뎡막욱쫗듎랢탐뎤웚벨킧퇐뺿.뺭볃뿆톧,6:33ꆫ44췵쏀뷱,헅쯉.2000.훐맺탂막죵쫆컊쳢퇐뺿.뺭볃퇐뺿,9:49ꆫ56퇮떤.2004.탂막뎤웚볛룱탐캪쪵횤퇐뺿ꆪꆪꆪ믹폚뿇풴볛횵뗄볙쮵뫍횤뻝.닆뺭뿆톧,5:72ꆫ76Barber,Brad,:,43:341ꆫ372Brav,Alon,
EnglishAbstractsofMainPapersStudyofPlanningtheInformationSystemofEnterprisespiPerformanceEvaluationChenHongming&YuHaitaoꆡꆡ,thefactthattherearealargenumberofenterprisesandthedemandofappraisinginmultipleaspectsandfactorsmaketheworkofper2formanceevaluationcomplicated,meanwhile,(DFD)&ShuXiaohuiꆡꆡ,
,,AccountingStandards2BasedandInvestorProtection:aCaseStudyHeJiangang&LiuFengꆡꆡ,,,weraiseatheoreticalframeworktointerpretwhyandhowthedifferencesofaccountingstandards2basedmakeinfluencesoninvestorprotectioninthevariouscapitalsmarketinstitutionalenvironments(especiallylegalsystem).ꆪꆪꆪEmpiricalResearchBasedonAnnualReportDataoflistedcompaniesfrom2002to2004ZhuXiaoting&YangShizhongꆡꆡAsanimportantaccountinginformationqualitycharacteristic,,thispaperadoptsthelagasthereplacementvariablefortimelinessofannualreport,,theapparentlystrongermarketreactionap2pears,ꆡꆡAfterthinkingoverthelimitationoftheexistresearchonbudgetmanagement,onthetheoreticalbasisoforganizationtheory,organizationaltransformationandbehavioralsciences,thispaperanalyzesthebehavioralconsequencesoffunctiondisorder,,whicharebehaviorbasis,ꆪꆪꆪBasedontheFitofProposedTaxonomyforFinancialStatementsCorrespondingtoFirmpisPreferredReportingPracticesGaoJinping&ZhangTianxiꆡꆡAbstract:XBRLisatechnologicalcapabilityforseniorphaseofinternetfinancialreporting,,,,weconsiderthatXBRLbasedfinancialreportingcannotbegenerallyadoptedatpresent,ꆡꆡThispaperexpoundsandutilizesThornepisIntegratedModelofEthicalDecisionMaking,,whichconsistsofsensitivityandprescriptivereasoning;
