럇쇷춨막쫍돶뛔막볛뗄펰쿬ꎺ살ퟔ엤막짏쫐뗄횤뻝??맋폂 컢돥럦 샤듳샶2 햪튪 쒿잰ꎬ늻뿉쇷춨뗄맺폐막뫍램죋막훰늽짏쫐쇷춨틑뺭돉캪훐맺놾쫐뎡랢햹뗄뇘좻톡퓱ꆣ놾컄틔2000쓪4퓂훁2001쓪5퓂늻뿉쇷춨뗄엤막짏쫐쇷춨ퟷ캪퇐뺿퇹놾ꎬ퓋폃쫽샭춳볆랽램ꎬ퇐뺿쇋엤막짏쫐뛔막욱볛룱뗄펰쿬ꎬ늢럖컶쇋펰쿬막볛뇤뚯뗄쿠맘틲쯘ꆣ쪵횤퇐뺿뷡맻뇭쏷ꎺ엤막짏쫐헢튻쫂볾퓚뛌웚쓚뛔막욱볛룱듦퓚ퟅ쿔훸뗄쿻벫펰쿬ꎻ평폚훐맺막욱쫐뎡쿠뛔좱랦킧싊ꎬ퓚엤막짏쫐뫳막볛볌탸쿻벫랴펦뗄퇓탸쪱볤튪뎤폚맺췢듳ퟚ막좨붻틗뫳막볛랴펦뗄퇓탸쪱볤ꎻ퓚엤막짏쫐릫룦죕폫엤막쪵볊짏쫐죕횮볤ꎬ막욱볛룱듦퓚쏷쿔뗄랴떯쿖쿳ꎻ엤막짏쫐잰뫳막욱볛룱뗄쿻벫랴펦돌뛈폫쫐뺻싊횸뇪돊쿖쏷쿔뗄쿔훸뢺쿠맘탔ꎬ뛸폫엤막햼쇷춨막뗄뇈샽컞쿔훸맘쾵ꎻ릫쮾막볛뗄쿻벫랴펦돌뛈늢늻쯦릫쮾튵벨뗄쳡룟뛸복킡ꆣ 맘볼듊ꎺ막볛랴펦ꆢ엤막ꆢ짏쫐쇷춨ꆢ쫂볾퇐뺿ꆢ틬뎣쫕틦싊 튻ꆢ퇐뺿놳뺰 쒿잰ꎬ훐맺뗄짏쫐릫쮾막욱튻냣뿉틔럖캪솽훖샠탍ꎺ뿉쇷춨막럝뫍늻뿉쇷춨막럝ꆣ뿉쇷춨막튻냣쫇횸룶죋릫훚막ꎬ뛸늻뿉쇷춨막퓲냼삨맺폐막뫍램죋막ꎨ2000쓪4퓂틔잰ꎬ엤막튲늻뿉쇷춨ꎩꎬ훁뷱맺폐막뫍램죋막죔좻늻뿉쇷춨ꆣ헢훖쿖쿳뗄닺짺쫇평훐맺쳘쫢뗄샺쪷뫍맺쟩뻶뚨뗄ꆣ내헕맺볊맟샽ꎬ횻튪쫇짏쫐릫쮾ꎬ웤막욱뻍횻쓜퓚튻룶춳튻뗄쫐뎡훐쇷춨ꎬ쟒퓚막놾뷡릹훐횻폐웕춨막뫍폅쿈막횮럖ꎬ뛸컞뿉쇷춨뗄룶죋릫훚막뫍늻뿉쇷춨뗄맺폐막뫍램죋막횮럖ꆣ 쯦ퟅ훐맺횤좯쫐뎡뗄훰늽맦랶뫍폫맺볊뷓맬ꎬ엤막쒿잰틑뺭좫늿짏쫐쇷춨ꎬ늻뿉쇷춨뗄맺폐막뫍램죋막훰늽짏쫐쇷춨튲틑뺭돉캪훐맺놾쫐뎡랢햹뗄뇘좻톡퓱ꎬퟔ1999쓪웰ꎬ맺볒폐맘늿쏅뻍뾪쪼첽쯷늻뿉쇷춨막럝훰늽짏쫐쇷춨뗄폐맘랽낸쇋ꆣ 1999쓪12퓂ꎬ훐맺볎쇪ꎨ600877ꎩ뫍잭싖첥ꎨ0589ꎩ싊쿈뷸탐쇋ꆰ맺폐막폅쿈뚨쿲엤 1 놾퇐뺿뗃떽맺볒뷜돶쟠쓪뿆톧믹뷰ꆰ뷰죚릤돌폫뷰죚뢴퓓탔ꆱꎨ쿮쒿뇠뫅ꎺ70025303ꎩ뫍뷌폽늿뿧쫀볍죋닅믹뷰ꆰ뷰죚쾵춳뗄볛룱탐캪ꆱ쿮쒿훺ꆣ ퟷ헟튪쳘뇰룐킻쿣룛샭릤듳톧훐맺믡볆폫뷰죚퇐뺿훐탄훷죎돂릤쏏늩쪿ꎬ쯻뛔놾퇐뺿뗄톡쳢폫퇐뺿랽램쳡돶쇋탭뛠폐틦뗄붨틩ꎻ춬쪱뮹튪룐킻룃훐탄뗄솺쏱펽킡뷣캪놾퇐뺿쳡릩쇋쿠맘맺췢컄쿗ꆣ룐킻짏몣붻춨듳톧맜샭톧풺뗄쇵몣쇺늩쪿ꆢ쟘톧횾늩쪿ꆢ십뒺쇖늩쪿ꆢ샮뫋쮶쪿ꎬ쯻쏇뛔놾퇐뺿쳡돶맽탭뛠훐뿏뗄붨틩ꆣퟷ헟룐킻ꆶ훐맺믡볆폫닆컱퇐뺿ꆷ퓓횾뗄쓤쏻짳룥죋뛔놾컄쳡돶뗄탞룄틢볻ꆣ놾컄뗄튻쟐쫨슩뫍뿉쓜뗄듭컳뻹평ퟷ헟뢺퓰ꆣ 2 맋폂ꎬ쮶쪿ꎬ뢻맺믹뷰맜샭폐쿞릫쮾ꎬ짏몣쫐쓏뺩컷슷1565뫅ꎨ200040ꎩꎻ컢돥럦ꎬ뷌쫚ꎻ샤듳샶ꎬ짏몣붻춨듳톧쿖듺뷰죚퇐뺿훐탄훷죎훺샭ꎻ짏몣붻춨듳톧맜샭톧풺ꎬ짏몣쫐램뮪헲슷535뫅ꎨ200052ꎩꆣ 1
쫛룸웤릫훚막막뚫ꆱ뗄쫔뗣3ꆣ듓2000쓪3퓂떽2001쓪4퓂ꎬ풭쿈늻뿉쇷춨뗄엤막훰늽럖엺짏쫐ꆣ 쯹캽ꆰ엤막ꆱ쫇횸짏쫐릫쮾퓚쿲좫쳥막뚫퓶엤막쪱ꎬ평폚늿럖막뚫ꎨ맺폐막뫍램죋막막뚫ꎩ틲좱랦뷰믲웤쯼풭틲뛔ퟔ짭펦엤뗄늿럖믲좫늿막좨폐뎥죃룸웤쯻막뚫ꎨ훷튪쫇짧믡릫훚막막뚫ꎩ죏릺쯹탎돉뗄튻늿럖막욱ꎨ슥뫩뫀, 1997ꎩꆣ퓚2000쓪4퓂틔잰ꎬ엤막늻쓜짏쫐쇷춨4ꆣ뷘횹2000쓪3퓂뗗ꎨ엤막뾪쪼쇷춨틔잰ꎩꎬ뻟폐엤막샺쪷틅쇴컊쳢뗄짏쫐릫쮾릲폐170볒ꎬ햼짏쫐릫쮾ퟜ쫽뗄%ꎻ엤막막럝ퟜ뛮뷼35틚막ꎬ햼쇷춨A막뇈샽뗄4%ꆣ듓엤막랢짺뗄쪱볤짏뾴ꎬ1994쓪랢짺15볒ꎬ1995쓪훁1997쓪볤랢짺132볒ꎬ1998쓪랢짺23볒ꆣ헢킩짏쫐릫쮾랢짺엤막쪱엤막볛웕뇩뷏뗍ꎬ엤막볛ퟮ룟뗄쫇뚫듳낢엉ꎨ600718ꎩꎬ쎿막14풪ꎻퟮ뗍뗄쫇ST퓁몣랢ꎬ쎿막풪ꆣ웤훐엤막볛10풪틔짏뗄폐3볒ꎬ6-10풪뗄폐27볒ꎬ4-6풪뗄폐76볒ꎬ웤폠엤막볛뻹퓚4풪틔쿂ꎬ죃럑튻냣쎿막풪틔쿂ꎨ틗쿾쏷, 2000ꎩꆣ 2001쓪6퓂ꎬ맺컱풺랢늼쇋ꆶ복돖맺폐막돯벯짧믡놣헏믹뷰맜샭퓝탐냬램ꆷ5ꎬ맦뚨ꆰ복돖맺폐막ꎨ냼삨맺볒막뫍맺폐램죋막ꎩ쫇횸쿲짧믡릫훚벰횤좯춶믹뷰뗈릫릲춶헟죃짏쫐릫쮾ꎨ냼삨쓢짏쫐릫쮾ꎩ맺폐막뗄탐캪ꆱꎬ늢쟒맦뚨틔뫳ꆰ맺폐막복돖훷튪닉폃듦솿랢탐뗄랽쪽ꆱꆣ훁듋ꎬ늻뿉쇷춨뗄맺폐막뗄복돖좫쏦웴뚯ꆣ 늻뿉쇷춨막럝뗄짏쫐쇷춨ꎬ뇘붫퓶볓풭쿈쇷춨막쫐뎡뗄막욱릩룸ꎬ펰쿬쫐뎡탅탄ꎬ뛔막욱볛룱듸살돥믷ꆣ헽쫇돶폚늻뿉쇷춨막럝ꆰ쫍돶ꆱ뛔뛾벶쫐뎡돥믷랽쏦뗄뾼싇ꎬ볠맜늿쏅뛔폚맺폐막복돖랽낸럇뎣짷훘ꆣ춶헟튲쪮럖맘힢맺폐막ꆢ램죋막뗄쇷춨컊쳢ꎬ늢틔듋ퟷ캪춶뻶닟뗄훘튪틀뻝ꆣ놾컄붫틔엤막짏쫐뗄쫽뻝캪퇐뺿퇹놾ꎬ뛔늻뿉쇷춨막럝뗄짏쫐쇷춨뛔막욱쫐뎡볛룱뗄펰쿬돌뛈뷸탐돵늽뗄쪵횤퇐뺿ꎬ틔웚캪뷱뫳뛔맺폐막짏쫐쇷춨뗄퇐뺿벰헾닟훆뚨쳡릩늿럖닎뾼쇏ꆣ 횮쯹틔톡퓱엤막ퟷ캪퇐뺿퇹놾ꎬ늻뷶틲캪엤막풭놾쫇럇쇷춨막뗄튻훖ꎬ웤짏쫐쇷춨폫맺폐막뫍램죋막짏쫐쇷춨쪮럖샠쯆ꎬ뮹틲캪뷘횹2001쓪5퓂ꎬ쯹폐엤막틑뺭좫늿짏쫐ꎬ웤퇹놾죝솿쫊뫏ퟷ쪵횤퇐뺿ꆣ 놾컄뗄싟벭뷡릹죧쿂ꎺ뗚튻늿럖뷩짜퇐뺿놳뺰ꎬ볲튪탰쫶쇋럇쇷춨쫍돶뗄훆뛈놳뺰ꎻ뗚뛾늿럖뛔맺쓚췢쿠맘퇐뺿돉맻ퟷ쇋컄쿗믘맋ꎻ뗚죽늿럖룸돶쇋놾컄뗄퇐뺿쮼슷폫랽램ꎻ뗚쯄 3 훐맺볎쇪내10엤막뗄뇈샽붫1틚막맺폐막폅쿈뚨쿲엤쫛룸웤릫훚막막뚫ꎬ복돖뇈샽캪ퟜ막놾뗄%ꎻ잭싖첥내10엤막뗄뇈샽붫1710췲막맺폐막뚨쿲폅쿈엤쫛룸웤릫훚막막뚫ꎬ복돖뇈샽캪ퟜ막놾뗄%ꆣ복돖뫳솽릫쮾뗄맺폐막막뚫돖폐룃릫쮾막럝뗄뇈샽럖뇰평풭살뗄%뫍%쿂붵캪%뫍51%ꆣ 4 맘폚엤막컊쳢ꎬ맺볒맺폐닺맜샭뻖[1994]12뫅컄볾ꆶ맘폚퓚짏쫐릫쮾쯍엤막쪱캬뮤맺볒좨틦뗄뷴벱춨횪ꆷ맦뚨ꎺꆰ맺볒막막뚫떥캻횻쓜퓚좷폐뇘튪뗄쟩뿶쿂ꎬ닅뿉쓜퓚막뚫믡짏춶욱퓞돉엤막ꎬ죧맻맺볒막막뚫쎻폐쓜솦죏릺엤막ꎬ퓲늻펦춶욱퓞돉엤막ꆱꆣ죎뫎쟩뿶쿂맺볒막돖막떥캻늻뗃쯦틢럅웺엤막좨ꎬ죴죃맺볒막엤막좨ꎬ틋닉좡킭틩죃뗄랽쪽ꆣ뛸훐맺횤볠믡1994쓪10퓂27죕냤랢뗄[1994]161뫅컄볾ꆶ짏쫐릫쮾냬샭엤막짪쟫뫍탅쾢엻슶뗄뻟쳥맦뚨ꆷ횸돶ꎬꆰ엤막좨돶죃뫳ꎬ쫜죃헟평듋퓶볓뗄막럝퓝늻짏쫐쇷춨ꆣ1994쓪틑쪵쪩맽엤막랽낸뗄짏쫐릫쮾ꎬ튲내놾맦뚨횴탐ꆣꆱ퓚헢횮뫳ꎬ맺볒폐맘늿쏅폖뛠듎훘짪폐맘엤막퓝늻짏쫐쇷춨뗄헾닟튪쟳ꆣ헢퇹ꎬ쏦뛔ퟅ잿쇒뗄뷰탨쟳쟒럻뫏엤막쳵볾뗄짏쫐릫쮾ꎬ컞솦죏릺엤막뗄맺볒막뫍램죋막막뚫뇣닉좡폐뎥죃엤막좨뗄랽쪽붫엤막좨죃룸짧믡릫훚ꆣ1998쓪ꎬ맺볒춣횹쇋엤막뗄ퟶ램ꎬ틔럀횹헢튻샺쪷틅쇴컊쳢늻뛏삩듳ꎨ탭쪥뗀뫍릢횾쏱ꎬ1997ꎩꆣ 5 떫쫇ꎬ평폚룃ꆶ냬램ꆷ쪵쪩뫳3룶퓂쓚ꎬ뮦짮막쫐듳럹쿂듬30%뛠ꎬ횤볠믡늻뗃늻퓚2001쓪10퓂퓝춣쇋룃ꆶ냬램ꆷ뗄쪵쪩ꆣ 2
늿럖쫇쪵횤퇐뺿뗄쫽뻝쮵쏷벰웤쏨쫶탔춳볆ꎻ뗚컥늿럖룸돶쇋쪵횤퇐뺿뗄뷡맻ꎬ늢뛔듋뷸탐쇋럖컶ꎻ뗚쇹늿럖쫇퇐뺿뷡싛폫퇐뺿뻖쿞탔ꆣ 뛾ꆢ컄쿗믘맋 평폚맺췢횤좯쫐뎡늻듦퓚룶죋릫훚막ꆢ맺폐막뫍램죋막횮럖ꎬ틲듋늻듦퓚ꆰ맺폐막복돖ꆱ헢훖쮵램ꆣ뛸쟒ꎬ컷랽맺볒맺폐웳튵뗄쮽폐뮯ꎨPrivatizationꎩ튻냣횸횱뷓돶쫛맺폐웳튵믲헟죃웳튵ퟷ쫗듎릫뾪랢탐ꎨIPOꎩꎬ틲듋늻듦퓚뛔막욱볛룱뗄돥믷ꆣ 듓늻뿉쇷춨막좨짏쫐쇷춨뗄뷇뛈살뾴ꎬ맺폐막복돖샠쯆폚맺췢뗄ꆰ듳ퟚ막좨붻틗ꎨLarge Block Tradingꎩ”ꆣ퓚뷢쫍뫎캪듳ퟚ막좨붻틗쪱ꎬKraus뫍Stollꎨ1972ꎩ죏캪떱튻듎붻틗뗄막욱쫽솿듳폚쫐뎡쯹쓜쿻뮯뗄막욱쪱ꎬ벴뿉죏캪룃듎막욱붻틗쫇듳ퟚ막좨붻틗ꆣ뛸Aitken뫍Frinoꎨ1996ꎩ퓲룼볓쏷좷뗘횸돶ꎬ떱튻듎막욱붻틗뗄쫽솿듳폚룃막욱퓚쫐뎡짏틑뺭쇷춨막럝뗄1%쪱ꎬ퓲룃막좨붻틗캪듳ퟚ막좨붻틗ꆣKraus뫍Stollꎨ1972ꎩꆢHolthausenꎬLeftwich뫍Mayersꎨ1987ꎬ1990ꎩ뛔얦풼막욱붻틗쯹ꎨNYSEꎩ랢짺뗄듳ퟚ막좨붻틗뛔막볛뗄쿻벫펰쿬ퟷ쇋볬퇩ꎬ뻹랢쿖헢훖펰쿬퓚춳볆짏쫇럇뎣쿔훸뗄ꆣKeim뫍Madhavanꎨ1996ꎩ튲뛔얦풼막욱붻틗쯹ꎨNYSEꎩꆢ쏀맺막욱붻틗쯹ꎨAMEXꎩ뫍쓉쮹듯뿋뗄좫맺쫐뎡ꎨNASDAQ NMSꎩ랢짺뗄듳ퟚ막좨붻틗뛔막볛뗄펰쿬뷸탐쇋볬퇩ꎬ랢쿖펰쿬쿔훸ꆣAitken뫍Frinoꎨ1996ꎩ퓚뛔냄듳샻퇇막욱붻틗쯹ꎨASEꎩ랢짺뗄듳ퟚ막좨붻틗뛔막볛펰쿬뗄쪵횤퇐뺿훐튲랢쿖쇋샠쯆뗄뷡싛ꆣ 쇭췢ꎬ뛾듎럖쿺ꎨSecondary Distributionꎩ폫듳ퟚ막좨붻틗튲쪮럖샠쯆ꆣ쯹캽ꆰ뛾듎럖쿺ꆱ쫇횸쿺쫛쒳킩틑뺭랢탐퓚췢뗄막욱ꎬ헢킩막욱평폚뷰뛮첫듳뛸늻퓚막욱붻틗쯹붻틗ꆣ뛾듎럖쿺춨뎣퓚쫕엌틔뫳뷸탐ꎬ쿺쫛볛룱싔뗍폚믲뗈폚떱죕뗄쫕엌볛ꆣMikkelson뫍Partchꎨ1985ꎩ볬퇩쇋뛾듎럖쿺뛔막욱볛룱뗄펰쿬ꎬ랢쿖뛾듎럖쿺뛔막욱볛룱뗄펰쿬폫듳ퟚ막좨붻틗뗄펰쿬쪮럖샠쯆ꎬ벴뛾듎럖쿺뛔룶막쫕틦싊듦퓚쪮럖쿔훸뗄쿻벫펰쿬ꆣ 쓇쎴캪쪲쎴듳ퟚ막좨붻틗뫍뛾듎럖쿺믡뛔막욱볛룱닺짺죧듋쿔훸뗄펰쿬쓘ꎿKraus뫍Stollꎨ1972ꎩ죏캪훷튪폐죽랽쏦뗄풭틲ꎺꎨ1ꎩ탅쾢틲쯘ꎬ벴듳ퟚ막좨붻틗뗄랢짺쿲춶헟뒫뗝쇋쒳훖탅쾢ꎬ뛸헢훖탅쾢믡룄뇤춶헟뛔막욱뗄웚췻쫕틦ꎻꎨ2ꎩ춶헟욫뫃틲쯘ꎬ벴뛔쳘뚨횤좯ꎬ춶헟믡폐늻춬뗄욫뫃ꎻꎨ3ꎩ뛌웚쇷뚯탔돉놾틲쯘ꆣHolthausenꎬLeftwich뫍Mayersꎨ1987ꎩ죏캪쇷뚯탔돉놾ꆢ막욱탨쟳쟺쿟좱랦떯탔틔벰탅쾢펰쿬쫇떼훂듳ퟚ막좨붻틗펰쿬막욱볛룱뗄틲쯘ꆣ 뛔폚듳ퟚ막좨붻틗뛔막볛펰쿬뗄쿔훸탔볬퇩튻냣닉폃ꆰ쫂볾퇐뺿랽램ꎨEvent StudyꎩꆱꆣPetersonꎨ1989ꎩ뛔폚쫂볾퇐뺿뗄랽램ퟷ쇋쿪쾸뗄닻쫶ꆣ쫂볾퇐뺿뗄늽훨듳훂죧쿂ꎺꎨ1ꎩ좷뚨쫂볾랢짺죕ꎻꎨ2ꎩ톡좡쫂볾쟸볤ꎨEvent Periodꎩꎻꎨ3ꎩ톡좡맀볆쟸볤ꎨEstimation Periodꎩ폃살맀볆막욱뗄헽뎣쫕틦싊ꎻꎨ4ꎩ볆쯣쫂볾쟸볤뗄틬뎣쫕틦싊ꎨAbnormal Returnꎩ살볬퇩쫂볾뛔막욱볛룱뗄펰쿬쫇럱쿔훸ꆣ뷸탐쿔훸탔볬퇩뿉틔폃닎쫽볬퇩ꎨ닎볻Mikkelson뫍Partchꎬ1985ꎻPetersonꎬ1989ꎩ뫍럇닎쫽볬퇩ꎨ닎볻Corradoꎬ1989ꎻArnoldꎬ1992ꎩꆣ 맺췢톧헟뛔펰쿬막볛뇤뚯돌뛈뗄쿠맘틲쯘뷸탐럖컶쪱튻냣닉폃뛠풪쿟탔믘맩럖컶램ꆣ 3
Mikkelson뫍Partchꎨ1985ꎩ죏캪뛾듎럖쿺쯹퓬돉뗄탅쾢틲쯘뫍릩쟳틲쯘떼훂쇋막욱볛룱뗄틬뎣뇤뚯ꎬ웤훐탅쾢틲쯘폃돶쫛헟뗄샠탍ꎨ쫇럱쫇릫쮾맜샭닣ꎩꆢ뛾듎럖쿺뗄막욱돖폐죋퓚럖쿺잰뫳뗄돖막뇈샽뫍돶쫛막욱뗄쫐횵살뛈솿ꎻ릩쟳틲쯘폃뛾듎럖쿺막욱뗄쫽솿햼랢탐퓚췢ퟜ막쫽뗄뇈샽살뛈솿ꆣ쯻쏇뗄퇐뺿랢쿖틬뎣쫕틦싊폫뛾듎럖쿺뗄샠탍6쿔훸뢺쿠맘ꎬ떫폫뛾듎럖쿺뗄막욱뗄볛횵뫍쫽솿뗄쿠맘돌뛈늢늻쿔훸ꆣ틲듋Mikkelson뫍Partchꎨ1985ꎩ죏캪퓚뛾듎럖쿺훐ꎬ탅쾢틲쯘쫇펰쿬막욱볛룱뗄훷튪틲쯘ꆣKraus뫍Stollꎨ1972ꎩ퓲랢쿖막볛뇤뚯킧펦폫듳ퟚ막좨붻틗쫍돶막럝뗄ퟜ솿돊쿔훸뗄쿠맘맘쾵ꆣ 평폚훐맺맺쓚맺폐막복돖닅룕룕웰늽ꎬ듳솿뗄퇐뺿훷튪듓뚨탔럖컶죫쫖ꎬ뛔럇쇷춨막짏쫐쇷춨뛔막욱볛룱뗄펰쿬뷸탐쪵횤퇐뺿뗄늢늻뛠ꆣ쳆맺헽뗈ꎨ1998ꎩ틔1998쓪4퓂뮦ꆢ짮솽쫐626횻막욱뗄욽뻹볛룱캪놻뷢쫍뇤솿ꎬ틔짏쓪ꎨ벴1997쓪ꎩ뗄쎿막쫕틦ꆢ쇷춨막뇈샽캪뷢쫍뇤솿ꎬ뷸탐쇋믘맩럖컶ꎬ틔듋뾼달막볛뛔맺폐막뇈샽뗄랴펦ꆣ쯦뫳ꎬ훬커쿩뫍맹횾붭ꎨ1999ꎩ퓚듋믹뒡짏퓙볓죫탐튵욽뻹쫐펯싊ퟷ캪뷢쫍뇤솿뷸탐믘맩럖컶ꎬ짏쫶퇐뺿뻹랢쿖막욱볛룱폫쇷춨막뇈샽돊뢺쿠맘맘쾵ꆣ쳆맺헽뗈ꎨ1998ꎩ뫍훬커쿩뗈ꎨ1999ꎩ뗄짏쫶뚨솿퇐뺿뻹쫇뺲첬럖컶ꎬ횻볬퇩쇋막욱볛룱폫쇷춨막뇈샽횮볤뗄맘쾵ꎬ뛸쎻폐볬퇩쫍럅럇쇷춨막뛔막욱볛룱뗄펰쿬ꆣ 죽ꆢ퇐뺿짨볆 놾컄뗄퇐뺿훷튪닉좡쫂볾퇐뺿랽램ꎬ뛔럇쇷춨뗄엤막ꆰ쫍돶ꆱ뛔막욱볛룱뗄펰쿬뷸탐쪵횤퇐뺿ꎬ춬쪱뮹붫닉폃믘맩랽램볬퇩폐쓄킩틲쯘믡펰쿬ꆰ쫍돶ꆱ뛔막볛뗄펰쿬돌뛈ꆣ ꎨ튻ꎩ 막욱볛룱놻펰쿬돌뛈뗄뛈솿 Kraus뫍Stollꎨ1972ꎩ붫막욱뗄놻펰쿬돌뛈ꎨ믲막욱뛔쫂볾뗄랴펦돌뛈ꎩ뚨틥캪 +UPDI= ꎨ1ꎩ ttln−tlntP−It1t−1웤훐PtꆢDtꆢIt럖뇰뚨틥캪뗚t죕뗄막욱볛룱ꆢ막욱막샻뫍쫐뎡횸쫽ꆣ 듓20쫀볍80쓪듺웰ꎬ쯦ퟅ쫂볾퇐뺿랽램뗄죕틦돉쫬ꎬ뛈솿막욱볛룱뗄놻펰쿬돌뛈튲훰늽폐쇋튻쳗뇈뷏췪짆뗄랽램ꆣ 쫗쿈샻폃CAPM쒣탍살맀볆막욱뗄헽뎣쫕틦싊ꎨNormal Returnꎩꎬ벴 R=aˆ+bˆRm+e ꎨ2ꎩ jtjjtit웤훐Rjt캪t죕j막욱뗄죕쫕틦싊ꎬRmt캪t죕쫐뎡횸쫽뗄죕쫕틦싊ꎬe캪쯦믺컳닮쿮ꎬit럾듓뇪ힼ헽첬럖늼ꆣ샻폃맀볆쟸볤뗄룶막폫쫐뎡횸쫽뗄쫽뻝ꎬ닉폃ퟮ킡뛾돋램맀볆돶닎쫽aˆj뫍bˆꎻ좻뫳샻폃쫐뎡횸쫽퓚쫂볾쟸볤뗄죕쫕틦싊폫맀볆돶뗄닎쫽볆쯣돶쎿룶막욱뗄헽뎣쫕j틦싊ꆣ퓚쫂볾쟸볤뗄룶막틬뎣쫕틦싊ꎨAbnormal Returnꎬ볲돆ARꎩ캪쪵볊죕쫕틦싊복좥헽 6 뛾듎럖쿺뗄막욱돶쫛헟쫇럱캪릫쮾뗄맜샭닣ꎿ죧맻쫇맜샭닣ꎬ퓲룃퇆뇤솿좡1ꎻ럱퓲ꎬ좡0ꆣ 4
뎣쫕틦싊ꎬ벴 AR=R−(aˆ+bˆR) ꎨ3ꎩ jtjtjjmt퓚쫂볾쟸볤뗚t죕뗄N룶막욱뗄욽뻹틬뎣쫕틦싊ꎨAverage Abnormal Returnꎬ볲돆AARꎩ캪 1NAAR=∑AR ꎨ4ꎩ tNjtj=1돽쇋뾼달튻룶붻틗죕막볛놻펰쿬뗄돌뛈ꎬ컒쏇뮹붫뾼달퓚쫂볾쟸볤튻뛎쪱볤쓚막볛뗄샛볆놻펰쿬돌뛈ꎬ헢훖샛볆막볛놻펰쿬돌뛈뿉틔폃샛볆틬뎣쫕틦싊ꎨCumulative Abnormal Returnꎬ볲돆CARꎩ살뛈솿ꎬ벴 D2CARj ꎨ5ꎩ D1,D2=∑AR jtt=D1D1쫇볆쯣샛볆틬뎣쫕틦싊뗄웰쪼죕ꎬD2쫇훕횹죕ꆣ퓚쫂볾쟸볤튻뛎쪱볤쓚뗄N룶막욱뗄욽뻹샛볆틬뎣쫕틦싊ꎨAverage Cumulative Abnormal Returnꎬ볲돆ACARꎩ캪 1ND2ACAR= ꎨ6ꎩ D1,DAR2N∑∑jtj=1t=D1ꎨ뛾ꎩ 쿔훸탔볬퇩 캪쇋뾼달쫂볾쟸볤뗄막볛놻펰쿬돌뛈쫇럱쿔훸ꎬ뇘탫뛔짏쫶틬뎣쫕틦싊뫍샛볆틬뎣쫕틦싊뷸탐춳볆볬퇩ꎬ퓚헢샯컒쏇붫춬쪱닉폃닎쫽볬퇩뫍럇닎쫽볬퇩뗄랽램뷸탐쿔훸탔볬퇩ꆣ ?ꎮ닎쫽볬퇩?튪뛔틬뎣쫕틦싊뷸탐쿔훸탔닎쫽볬퇩ꎬ뇘탫뛔폐맘춳볆솿뷸탐맩튻뮯뒦샭ꎬ퓚헢샯컒쏇붫닉폃Mikkelson뫍Partchꎨ1985ꎩ뗄뒦샭랽램ꆣ 쫗쿈뛔죕틬뎣쫕틦싊뷸탐맩튻뮯뒦샭ꎬ벴 ARARS=jt ꎨ7ꎩ jtSjt웤훐 12R221(m−R) ꎨ8ꎩ S=Vm1tjtj++EDED∑R2(m−Rm)ii=1퓚ꎨ8ꎩ쪽훐ꎬV2캪릫쮾j퓚믘맩쒣탍ꎨ2ꎩ훐뗄믘맩닐닮뗄랽닮ꎬED캪맀볆쟸볤뗄뎤j뛈ꎨ붻틗죕ꎩꎬRm캪퓚쫂볾쟸볤뗚t죕뗄쫐뎡횸쫽죕쫕틦싊ꎬRm캪맀볆쟸볤쓚뗄욽뻹쫐뎡t횸쫽죕쫕틦싊ꆣ욽뻹뇪ힼ틬뎣쫕틦싊ꎨAverage Standardized Abnormal Returnꎬ볲돆ASARꎩ캪 1NASAR=∑SAR ꎨ9ꎩ tNjtj=1 5
튻냣뿉틔볙짨틬뎣쫕틦싊ꎨ벴믘맩닐닮ꎩAR럾듓헽첬럖늼ꎨMikkelson뫍Partchꎬ1985ꎩꎬjt쓇쎴SAR럾듓t럖늼ꎬ랽닮캪ED/(ED-2)ꆣ룹뻝훐탄벫쿞뚨샭ꎬ퓚ARꎨj=1ꎬ…ꎬNꎩ쿠뮥jtjt뛀솢뗄볙짨쿂ꎬASAR럾듓랽닮캪[ ED/(ED-2)(N) ]뗄헽첬럖늼ꆣ평폚튻냣ED좡횵뷏듳ꎬ tED/(ED-2)뷓뷼폚1ꎬ틲듋ASAR뗄랽닮뷓뷼폚1/Nꎬ벴ASAR~Nꎨ0ꎬ1/Nꎩꆣ볬퇩틬뎣쫕틦tt싊쫇럱쿔훸뗄뇪ힼ춳볆솿뿉틔짨캪ꎺ ZAR=N(ASAR) ꎨ10ꎩ tt퓚헢샯ZAR~Nꎨ0ꎬ1ꎩꆣ춬퇹뗘ꎬ뛔폚볬퇩샛볆틬뎣쫕틦싊쫇럱쿔훸ꎬ컒쏇튲뿉틔릹붨뇪ힼt춳볆솿ꎺ 1D2ZCAR=ARDDZ ꎨ11ꎩ 1,2DD∑t2−1+1t=D1D2평폚ZAR~Nꎨ0ꎬ1ꎩꎬ퓲t∑ZAR~Nꎨ0ꎬD−D+ꎩꎬ틲듋ZCARDD~Nꎨ0ꎬ1ꎩꆣ t2111,2t=D1릹붨췪돉짏쫶죕틬뎣쫕틦싊뫍샛볆틬뎣쫕틦싊뗄뇪ힼ춳볆솿틔뫳ꎬ퓚좷뚨쿔훸탔쮮욽ꎨ놾컄뗄쿔훸탔쮮욽짨캪ꎩ틔뫳ꎬ뻍뿉틔볬퇩짏쫶틬뎣쫕틦싊쫇럱쿔훸쇋ꆣ ?⸠럇닎쫽볬퇩?캪쇋뷸튻늽퇩횤쫂볾쟸볤틬뎣쫕틦싊뗄쿔훸탔ꎬ컒쏇닉좡Wilcoxon럻뫅훈볬퇩ꎨWilcoxon signed-rank testꎩꎨ닎볻컢쾲횮ꎬ1999ꎩꆣWilcoxon럻뫅훈볬퇩뗄늽훨죧쿂ꎺ ꎨ1ꎩ뛔폚j=1ꎬ….ꎬNꎬ볆쯣ARꆣ jtꎨ2ꎩ뛔벯뫏S={ARAR≠0}훐뗄풪쯘업탲ꎬ늢헒돶쯼쏇룷ퟔ뗄훈ꎻ죧맻폐쿠tjtjt춬룶퇹놾뗣ꎬ퓲쎿룶퇹놾뗣좡욽뻹훈ꆣ ꎨ3ꎩ쇮W+뗈폚AR>0뗄AR뗄훈뗄뫍ꎬW−뗈폚AR<0뗄AR뗄훈뗄뫍ꆣ tjtjttjtjtꎨ4ꎩ뛔폚쮫뇟볬퇩ꎬ퓚쇣볙짨쿂ꎬW+폫W−펦룃쿠닮늻뛠ꎬ틲뛸떱웤훐횮튻뫜킡쪱ꎬtt펦뮳틉쇣볙짨ꎻ퓚듋ꎬ좡볬퇩춳볆솿W=min(W+,W−)ꆣ샠쯆뗘ꎬ뛔폚떥뇟볬퇩ꎬ뿉틔좡W=W+믲W=W−ꆣ ꎨ5ꎩ떱퇹놾죝솿뷏킡쪱ꎨN<30ꎩꎬ뿉틔닩Wilcoxon럻뫅훈볬퇩뗄럖늼뇭뷸탐볬퇩ꎬ떱N뷏듳쪱ꎬ퓲튪폃헽첬럖늼뷼쯆ꎬ릹붨듳퇹놾붥뷼헽첬춳볆솿ꎬ웤릫쪽캪 W−N(N+1)/4Znp= ꎨ12ꎩ N(N+1)(2N+1)/24 6
퓚헢샯Znp~Nꎨ0ꎬ1ꎩꆣ퓚좷뚨쿔훸탔쮮욽ꎨ놾컄뗄쿔훸탔쮮욽짨캪ꎩ틔뫳ꎬ뻍뿉틔볬퇩짏쫶틬뎣쫕틦싊쫇럱쿔훸쇋ꆣ ꎨ죽ꎩ 펰쿬룶막볛룱뇤뚯돌뛈뗄잱퓚쿠맘틲쯘럖컶 럇쇷춨막뗄쫍돶믡뛔막욱볛룱뗄늨뚯닺짺펰쿬ꎬ펰쿬뗄돌뛈폃샛볆틬뎣쫕틦싊살뛈솿ꆣ늻춬막욱뗄샛볆틬뎣쫕틦싊룷늻쿠춬ꎬ쓇쎴믡폐쓄킩틲쯘펰쿬룶막뗄샛볆틬뎣쫕틦싊쓘ꎿ뾼싇퓚놾컄뗚뛾늿럖ꆰ컄쿗믘맋ꆱ훐쯹쳡떽뗄펰쿬틬뎣쫕틦싊뗄룷룶펰쿬틲쯘ꎬ틔벰본폚맺쓚뗄럇쇷춨막쫍돶폫맺췢뗄듳ퟚ막좨붻틗믲헟뛾듎럖쿺퓚돉틲뫍닙ퟷ맽돌훐뗄닮틬탔ꎬ듓훐맺쪵볊맺쟩뫍캪럇쇷춨막쫍돶쳡릩헾닟틀뻝뗄뷇뛈돶랢ꎬ컒쏇쳡돶쇋쿂쏦죽룶펰쿬럇쇷춨막쫍돶막볛랴펦뗄틲쯘ꆣ 1ꎮ 막욱릩룸틲쯘 죧맻춶헟뷸탐춶뻶닟쪱쒳튻릫쮾뗄막욱늻쓜놻웤쯼횤좯췪좫쳦듺뗄뮰ꎬ쓇쎴춶헟뛔막욱뗄탨쟳뻍늻뻟폐췪좫뗄떯탔ꎨPerfectly Elasticꎩꎬ튲뻍쫇막욱뗄탨쟳쟺쿟쿲폒쿂랽쟣킱ꎬ틲듋막욱릩룸뗄퓶볓붫떼훂릩룸쟺쿟퇘ퟅ탨쟳쟺쿟쿲폒틆뚯ꎬ막욱뗄뻹뫢볛룱붫쿂붵ꎨMikkelson뫍Partchꎬ1985ꎩꆣ평폚엤막뗄짏쫐떼훂막욱뗄릩룸퓶볓ꎬ릩룸쟺쿟쿲폒쿂랽틆뚯ꎬ춬쪱평폚막욱뗄탨쟳늢늻뻟폐췪좫떯탔ꎬ틲듋떼훂막욱볛룱뛔엤막짏쫐뗄쿻벫랴펦ꆣ쫍돶뗄럇쇷춨막뗄쿠뛔쫽솿풽뛠ꎬ막욱릩룸쟺쿟쿲폒틆뚯뗄럹뛈풽듳ꎬ막욱볛룱뗄뇤뚯튲뻍풽듳ꆣ틲듋ꎬ튪볬퇩막욱릩룸틲쯘뛔럇쇷춨쫍돶쪱막볛뇤뚯킧펦쫇럱쿔훸ꎬ탨튪볬퇩쿂쇐쏼쳢1쫇럱돉솢ꆣ 쏼쳢?ꎺ듽쫍돶뗄엤막햼룃막욱틑뺭쇷춨퓚췢뗄ퟜ막럝뗄뇈샽풽룟ꎬ쓇쎴뛔폚엤막쫍돶ꎬ룃막욱볛룱뗄쿻벫랴펦돌뛈풽룟ꆣ?죧맻짏쫶쏼쳢1돉솢ꎬ퓲쮵쏷막욱뗄릩쟳맘쾵쫇틽웰럇쇷춨막쫍돶뗄볛룱쿻벫랴펦뗄튻룶훘튪틲쯘ꆣ 2ꎮ 릫쮾펯샻쓜솦틲쯘 쒿잰탭뛠첽쳖맺폐막쇷춨뗄랽낸죏캪맺폐막쇷춨쫗쿈펦듓벨폅릫쮾뾪쪼ꎬ벴쯹캽ꆰ얮쿈볞ꆱꆣ쯻쏇죏캪죧맻릫쮾뗄튵벨풽뫃ꎬ쓇쎴춶헟뛔릫쮾뗄막욱풽뮶펭ꎬ풽샖폚뷓쫜헢킩쫍돶뗄막욱ꎬ틲듋럇쇷춨쫍돶뛔막볛뗄쿻벫펰쿬풽킡ꎻ랴횮ꎬ죧맻릫쮾튵벨뷏퓣ꎬ쓇쎴럇쇷춨쫍돶뛔막볛뗄쿻벫펰쿬뻍풽듳ꆣ튪볬퇩엤막쫍돶뗄쪵볊쟩뿶쫇럱죧듋ꎬ컒쏇탨튪볬퇩쿂쇐쏼쳢2쫇럱돉솢ꆣ 쏼쳢?ꎺ듽쫍돶엤막뗄짏쫐릫쮾튵벨풽뫃ꎬ쓇쎴뛔폚엤막쫍돶ꎬ룃막욱볛룱뗄쿻벫랴펦돌뛈풽킡ꆣ?퓚틔뫳뗄쪵횤볬퇩훐ꎬ컒쏇붫폃1999쓪뗄뺻닺쫕틦싊ꎨROEꎩ살뫢솿짏쫐릫쮾뗄튵벨ꆣ횮쯹틔톡퓱1999쓪뗄뺻닺쫕틦싊ꎬ훷튪쫇뾼싇엤막훷튪랢짺퓚2000쓪4퓂틔뫳뫍2001쓪3퓂틔잰ꎬ퓚헢튻뛎쪱볤쓚듳뛠쫽엤막릫쮾뗄2000쓪쓪놨뮹쎻폐릫늼ꎬ틲듋1999 7
쓪쓪놨훐엻슶뗄릫쮾쫕틦탅쾢쫇쫐뎡뛔짏쫐릫쮾튵벨뛈솿뗄훷튪틀뻝ꆣ 3ꎮ 볛횵틲쯘 튻냣뛸퇔ꎬ짏쫐릫쮾쿠뛔웤막볛뗄쓚퓚춶볛횵쫇컼틽춶헟뗄훘튪틲쯘ꆣ럇쇷춨막쫍돶쪱ꎬ죧맻쫍돶럇쇷춨막뗄막볛룟폚릫쮾쓚퓚춶볛횵뗄돌뛈늻쫇뫜듳뗄뮰ꎬ쓇쎴막볛뛔듋뗄쿻벫랴펦돌뛈튲뻍쿠뛔뷏킡ꎻ랴횮ꎬ죧맻쫍돶뗄막볛풶풶룟폚릫쮾뗄쓚퓚춶볛횵ꎬ퓲춶헟뻍믡ꆰ폃뷅춶욱ꆱꎬ막볛뗄쿻벫랴펦돌뛈뻍믡뫜듳ꆣ퓚훐맺짏쫐릫쮾뗄닺움맀훐ꎬ훷튪폃릫쮾뺻닺랴펳릫쮾뗄쓚퓚볛횵ꎻ춬쪱ꎬ춶헟뛔쎿막뺻닺헢튻횸뇪튲뻟폐쿠떱뗄죏춬뛈ꎬ틲캪쎿막뺻닺쿠뛔폚뺻닺쫕틦싊ꎨROEꎩ뗈펯샻탔횸뇪뛸퇔ꎬ뻟폐뷏뫃뗄컈뚨탔ꆣ틲듋떱막볛뫍쎿막뺻닺뗄뷓뷼돌뛈풽룟ꎬ춶헟풽풸틢뷓쫜쫍돶뗄럇쇷춨막ꎬ듓뛸럇쇷춨쫍돶떼훂뗄막볛뗄쿻벫랴펦돌뛈튲뻍풽킡ꆣ 캪쇋뷸튻늽퇐뺿볛횵틲쯘뛔막볛뗄펰쿬ꎬ컒쏇틽죫쫐뺻싊P/BVꎨ막볛/쎿막뺻닺ꎩ횸뇪7ꎬ뾼달막볛뗄샛볆틬뎣쫕틦싊폫쫐뺻싊횮볤뗄맘쾵ꆣ죧맻쫐뺻싊풽킡ꎬ벴막욱볛룱폫쎿막뺻닺뗄닮뻠뻍풽킡ꎬ퓲춶헟풽풸틢뷓쫜룃쫍돶막욱ꎬ틲듋막볛뛔럇쇷춨쫍돶뗄쿻벫랴펦돌뛈뻍풽뗍ꆣ뛔듋ꎬ뿉틔뷸튻늽볬퇩쿂쇐쏼쳢3ꆣ 쏼쳢?ꎺ죧맻막욱뗄쫐뺻싊풽킡ꎬ퓲막볛뗄쿻벫랴펦돌뛈뻍풽킡ꆣ?캪쇋볆쯣쫐뺻싊ꎬ컒쏇좡엤막짏쫐릫룦죕잰20죕뗄욽뻹쫕엌막볛ퟷ캪럖ퟓꎬ폃1999쓪쓪놨엻슶뗄쎿막뺻닺ퟷ캪럖쒸ꆣ톡퓱1999쓪쓪놨훐뗄뺻닺ퟷ캪럖쒸ꎬ튲쫇틲캪퓚엤막짏쫐헢튻뛎쪱볤쓚ꎬ듳뛠쫽엤막릫쮾뗄2000쓪쓪놨뮹쎻폐릫늼ꎬ1999쓪쓪놨훐엻슶뗄쎿막뺻닺쫽횵쫇쫐뎡뛔짏쫐릫쮾볛횵뛈솿뗄훷튪틀뻝ꆣ 퓚틔뫳뗄럖컶훐ꎬ컒쏇붫닉폃뛠풪쿟탔믘맩벼쫵ꎬ붫샛볆틬뎣쫕틦싊CARDퟷ캪놻뷢1,D2쫍뇤솿ꎬ뛈솿막볛뛔엤막쫍돶뗄쿻벫랴펦돌뛈ꎻ짏쫶죽룶쏼쳢훐뗄럖컶횸뇪ꆪꆪ엤막햼틑짏쫐쇷춨막뗄뇈샽ꎨRATIOꎩꆢ듽짏쫐엤막뗄1999쓪뗄뺻닺쫕틦싊ꎨROEꎩ뫍쫐뺻싊뗄떹쫽ꆪꆪퟷ캪뷢쫍뇤솿ꆣ뻝듋ꎬ컒쏇붫릹퓬쿂쏦뗄믘맩랽돌ꎺ CAR1DD=a+gRATIO+gROE+g+e ꎨ13ꎩ 1,21111213PBV1/춨맽뛔룷룶뷢쫍뇤솿뷸탐쿔훸탔볬퇩ꎬ뿉틔랢쿖폐쓄킩뇤솿뛔룶막뗄샛볆틬뎣쫕틦싊믡폐쿔훸뗄펰쿬ꆣ 쯄ꆢ쫽뻝쮵쏷뫍퇹놾톡좡 1. 쫽뻝쮵쏷 놾컄쫽뻝살풴폚슷춸탅쾢쾵춳ꆢꆶ짏몣횤좯놨ꆷꆢꆶ훐맺횤좯놨ꆷ뫍횤좯횮탇췸햾ꆣ웤훐ꎬ 7 퓚쏀맺ꎬ쫐뺻싊뗄룟뗍쫇놻폃살에뛏튻룶막욱쫇럱쫇볛횵탍막욱뗄훘튪뇪횾ꆣ뇈죧쏀맺뗄춶움벶릫쮾—뎿탇ꎨMorningStarꎩ릫쮾뻍냑릲춬믹뷰뗄막욱춶ퟩ뫏뗄욽뻹쫐뺻싊ퟷ캪에뛏룃믹뷰쫇볛횵탍믹뷰뮹쫇돉뎤탍믹뷰뗄훘튪뇪ힼꆣ 8
막욱죕붻틗쫽뻝좡ퟔ짏몣붻춨듳톧슷춸뷰죚릤ퟷ쫒뗄슷춸탅쾢쾵춳ꎻ엤막짏쫐막쫽ꆢ릫룦죕웚뫍짏쫐죕웚좡ퟔ짏쫐릫쮾퓚ꆶ짏몣횤좯놨ꆷ뫍ꆶ훐맺횤좯놨 ꆷ뗄엤막짏쫐릫룦ꎻ뺻닺쫕틦싊뫍쇷춨막쫽솿횱뷓좡ퟔ1999쓪쓪놨ꎨ뛔폚퓚2000쓪쓪돵훁엤막짏쫐릫룦죕횮볤폐쯍막ꆢ엤막벰퓶랢탂막뗄ꎬ쪵볊막쫽룹뻝쿠맘릫룦뷸탐뗷헻ꎩꆣ폐맘뇤솿뗄뚨틥벰웤좡횵죧뇭1쯹쪾ꆣ 뇭? 뇤솿벰좡횵쮵쏷뇭 뇤솿뚨틥 럻뫅뇭쪾 뇤솿좡횵 퇹놾웚볤ꎨ쳬ꎩ t 릫룦죕잰150룶붻틗죕ꎨ냼삨릫룦죕ꎩꎬ릫룦죕폫짏쫐죕횮볤뗄붻틗죕ꎬ짏쫐죕뫳30룶붻틗죕ꎨ냼삨짏쫐죕ꎩ 막욱죕쫕틦싊ꎨ%ꎩ R 뗚t죕뗄쫕틦싊평릫쪽P+Dtt볆쯣뗃떽 Pt−1욽뻹막욱볛룱ꎨ풪ꎩ P 릫룦잰20죕뗄욽뻹쫕엌막욱볛룱 뺻닺쫕틦싊ꎨ%ꎩ ROE 1999쓪쓪놨뗷헻잰뗄뺻닺쫕틦싊쫽뻝 엤막뇈샽ꎨ%ꎩ RATIO 엤막막쫽/쇷춨막막쫽 쫐뺻싊 P/BV 릫룦잰20죕뗄욽뻹막볛돽틔1999쓪뗄쎿막뺻닺 막욱ꛂ횵 ꛂ 평릫룦죕잰150죕훁30죕횮볤뗄120룶붻틗죕뗄붻틗쫽뻝믘맩볆쯣뗃떽 뇭1훐ꛂ횵틔엤막릫룦죕잰뗚ㄵ?죕훁릫룦죕잰뗚㌰룶붻틗죕횮볤릲ㄲ?룶붻틗죕뗄쫽뻝캪믹뒡ꎨ볆쯣웚볤ꎬ랢짺쯍막ꆢ엤막뗄막욱뻹뷸탐쇋뢴좨뒦샭ꎩꎬ룹뻝쫐뎡쒣탍뷸탐볆쯣ꆣ퓚볆쯣뗄맽돌훐ꎬ룹뻝막욱맒없붻틗뗄쫐뎡ꎬ럖뇰톡폃쇋짏몣?막횸쫽뫍짮??막횸쫽ퟷ캪쫐뎡믹ힼퟩ뫏ꆣ퓚톡퓱욽뻹막욱볛룱쪱ꎬ캪쇋업돽죕웚뗄늻좷뚨뛔럖컶뷡맻뿉쓜닺짺뗄펰쿬ꎬ놾컄닉폃쇋엤막짏쫐릫룦죕잰㈰죕뗄욽뻹쫕엌막볛ꆣ?2. 퇹놾톡좡 2000쓪3퓂떽2001쓪4퓂ꎬ뮦짮솽뗘랢늼엤막짏쫐릫룦뗄A막짏쫐릫쮾릲폐167볒8ꎬ웤훐뮦쫐99볒ꎬ짮쫐68볒ꆣ167볒짏쫐릫쮾뗄엤막ퟜ쫽캪틚막ꎬ햼헢킩릫쮾쇷춨막ퟜ쫽뗄%ꆣ 듓뇭2뿉틔뾴돶ꎬ엤막햼쇷춨막뇈샽킡폚1%뗄짏쫐릫쮾폐18볒ꎬ릲볆폐엤막췲막ꎬ뷶햼ퟜ엤막막쫽뗄%ꆣ춬쪱ꎬ쒿잰훐맺막욱쫐뎡훐듳늿럖룶막뗄욽뻹죕뮻쫖싊ꎨ죕돉붻솿/쇷춨막ퟜ막쫽ꎩ룟폚1%ꆣ평폚Kraus뫍Stollꎨ1972ꎩ죏캪듳ퟚ막좨붻틗뗄막욱쫽솿튪듳폚쫐뎡쯹쓜쿻뮯뗄막욱쫽솿ꎬ놾컄쳞돽쇋엤막햼쇷춨막뇈샽킡폚1%뗄18룶퇹놾ꎬ듓짏쫶167횻막욱훐뷶톡좡149횻막욱퇹놾ꆣ쇭췢ꎬ퓚헢149룶막욱훐ꎬPT췸뗣ꎨ600833ꎩ 8 쇭폐3볒퓚ꆶ훐맺횤좯놨ꆷ뫍ꆶ짏몣횤좯놨ꆷ짏쎻폐닩떽쿠맘릫룦ꆣ 9
평폚퓚엤막짏쫐웚볤틑뺭쪵탐쇋쳘뇰막욱죃ꎨPTꎩ9ꎬ막욱죕붻틗쫽뻝럇뎣짙ꎬ튲붫웤쳞돽돶퇹놾ꆣ틲듋ꎬ놾컄뷸탐쪵횤퇐뺿뗄퇹놾죝솿릲볆148룶막욱ꎬ웤훐짮쫐52룶ꎬ뮦쫐96룶ꆣ 짏쫐릫쮾퓚웤엤막짏쫐잰튪퓚ꆶ훐맺횤좯놨ꆷ믲ꆶ짏몣횤좯놨ꆷ짏랢늼엤막짏쫐릫룦ꎬ릫룦쮵쏷엤막뗄짏쫐쫽솿뫍짏쫐쪱볤ꆣ릫룦죕ꎨAnnouncement DateꎨADꎩꎩ뫍짏쫐죕ꎨDistribution DateꎨDDꎩꎩ횮볤볤룴뗄붻틗죕늻뗈ꎬ볤룴쪱볤듓0떽4룶붻틗죕늻뗈ꆣ퓚짏쫶148룶퇹놾훐ꎬ릫룦죕뫍짏쫐죕뗄볤룴캪0쳬뗄폐26볒ꎨ햼퇹놾ퟜ쫽뗄%ꎩꎬ볤룴캪1쳬뗄폐29볒짏쫐릫쮾ꎨ햼퇹놾ퟜ쫽뗄%ꎩꎬ볤룴캪2쳬뗄폐78볒짏쫐릫쮾ꎨ햼퇹놾ퟜ쫽뗄%ꎩꎬ웤폠뗄볤룴캪3쳬믲3쳬틔짏ꆣ 뇭3훐뗄쫽뻝캪막볛펰쿬틲쯘뗄쏨쫶탔춳볆ꆣ놾컄뗄쫽뻝뒦샭펦폃EXCEL릤ퟷ뇭죭볾뫍SPSS춳볆럖컶죭볾ꆣ 뇭? 167볒짏쫐릫쮾엤막햼쇷춨막뇈샽춳볆 엤막햼쇷춨킡폚1%-5% 5%-10% 10%-2020%-3030%-4040%-5050%-100듳폚뫏볆?막뗄뇈샽?1% % % % % % 100% 엤막볒쫽?ㄸ?㈹?ㄸ?㌲?㈲?ㄵ??ㄷ???ㄶ??엤막막쫽㜰㘮㤠㜳㜷⸱?ㄵ㘰〮〠㔵ㄳ㔮㠠㘵㜶㐮㔠㐷㜷㘮㐠㈷㜳㘮ㄠ㤳㌴㐮㌠㌳㈵〮㐠㌴㘶㤱⸴?ꎨ췲막ꎩ?햼ퟜ뗄엤막〮㈰??㈮ㄳ??㐮㔰??ㄵ⸹〠?ㄸ⸹㜠?ㄳ⸷㠠?㠮〰??㈶⸹㈠?㤮㔹????뇈샽(%) 뇭? 퇹놾훐막볛펰쿬틲쯘뗄쏨쫶탔춳볆 ?욽뻹?훐횵?ퟮ킡횵?ퟮ듳횵?엤막뇈샽⠥??㈸⸵㐠?ㄷ⸷ㄠ?ㄮ〹??㈲㌮㠹??뺻닺쫕틦싊(%ꎩ??㈮㈱?㠮????㔶㐮???㌸⸰??쫐뺻싊?㔮???㔮㔷?ㄶ㘮???ㄮ㜵?컥ꆢ뷡맻벰럖컶 ꎨ튻ꎩ틬뎣쫕틦싊벰웤쿔훸탔볬퇩 1ꎮ엤막짏쫐릫룦죕잰뫍짏쫐죕뫳뗄춳볆뷡맻벰럖컶 평폚쎿룶엤막뗄릫룦죕ꎨADꎩ뫍짏쫐죕ꎨDDꎩ횮볤뗄볤룴듓0죕떽4죕늻뗈ꎬ틲듋퓚뛔퇹놾ퟜ쳥ퟷ춳볆럖컶쪱ꎬ횻쓜럖뇰볆쯣릫룦죕잰25죕틔벰짏쫐죕뫳25죕뗄막욱틬뎣쫕틦싊ꎬ늢뛔웤ퟷ쿔훸탔볬퇩ꆣ 뛔릫룦죕잰25죕뗄틬뎣쫕틦싊벰웤닎쫽뫍럇닎쫽쿔훸탔볬퇩뗄뷡맻쇐쪾폚뇭4ꎬ뛔짏 9 PT쫇펢컄ꆰParticular Transferꆱꎨ틢ꆰ쳘뇰죃ꆱꎩ뗄쯵킴ꎬ쫇횸떱짏쫐릫쮾틲솬탸죽쓪뿷쯰뗈풭틲놻퓝춣짏쫐웚볤ꎬ붻틗쯹벰쿠맘믡풱퓚쎿훜컥ꎨ램뚨볙죕돽췢ꎩ캪돖폐믲폻릺룃릫쮾풭짏쫐쇷춨막뗄춶헟쳡릩뗄ꆰ쳘뇰죃럾컱ꆱꎬ PT릫쮾뗄막욱횻퓚쎿훜컥ꎨ램뚨뷚볙죕돽췢ꎩ뾪쫐쪱볤쓚짪놨죃캯췐ꎬ쫕쫐뫳뛔폐킧짪놨내벯뫏뺺볛랽램뷸탐듩뫏돉붻ꆣ튲뻍쫇쮵PT릫쮾쎿훜횻듩뫏돉붻튻듎ꎬ닺짺튻룶붻틗볛룱ꆣ 10
쫐죕뫳25죕뗄틬뎣쫕틦싊벰웤닎쫽뫍럇닎쫽쿔훸탔볬퇩뗄뷡맻쇐쪾폚뇭5ꆣ 퓚뇭4뫍뇭5훐ꎬ뗚ꎨ1ꎩ쇐뇭쪾붻틗죕탲쇐ꎬꎨAD-mꎩ뇭쪾릫룦죕잰뗚m죕ꎬꎨDD+mꎩ뇭쪾짏쫐죕뫳뗚m죕ꎻ뗚ꎨ2ꎩ쇐뇭쪾막욱뗄욽뻹틬뎣쫕틦싊ꎬ평릫쪽ꎨ4ꎩ볆쯣뗃떽ꎻ뗚ꎨ3ꎩ쇐쫇뛔뗚ꎨ2ꎩ쇐쫽뻝뗄쿔훸탔닎쫽볬퇩ꎬ볬퇩횵Z평릫쪽ꎨ10ꎩ볆쯣뗃떽ꎻ뗚ꎨ4ꎩ쇐뇭쪾퇹놾막욱훐틬뎣쫕틦싊캪뢺뗄뇈샽ꎻ뗚ꎨ5ꎩ쇐쫇뛔뗚ꎨ4ꎩ쇐쫽뻝뗄쿔훸탔럇닎쫽볬퇩ꎬ볬퇩횵평릫쪽ꎨ12ꎩ볆쯣뗃떽ꆣ ?뇭? 릫룦죕잰25죕틬뎣쫕틦싊벰볬퇩뷡맻 붻틗죕?욽뻹틬뎣쫕틦싊?Z횵ꎨ닎쫽볬퇩ꎩ??AR캪뢺뗄뇈Z횵ꎨ럇닎쫽볬퇩ꎩ???ꎨAARꎩꎨ%ꎩ ⠳??샽?⠵??⠱??(2) ⠴??AD ?〮㌸??㈮〱??〮㘸??㌮㔵??AD-1 ?〮㈴???〮㠵?〮㘰??ㄮ㤰??AD-2 ?〮ㄵ???〮㈳?〮㔸??ㄮ㠳???AD-3 ?〮〹???〮㈰?〮㔴??〮㘷??AD-4 ?〮㈰???〮㌳?〮㔵??ㄮ㤰??AD-5 ?〮〲???〮〹?〮㔳??〮㐳??AD-6 ?〮〳???〮㈳?〮㔵??ㄮㄸ??AD-7 ?〮〱???〮ㄸ?〮㔴??〮㤶??AD-8 ?〮〹??〮ㄲ?〮㔶??ㄮ㈱??AD-9 ?〮㈶???ㄮ㈳?〮㘱???⸷????AD-10 ?〮㐲???㈮㔵??〮㘱??㌮㌳??AD?-11 〮㌱??㈮㈸?〮㐹???〮㘳??AD-12 ?〮㌲???ㄮ㘰??〮㘱??㈮㌹??AD-13 ?〮〸???〮㐵?〮㔵??〮㠰??AD-14 〮〸??〮㐶?〮㔱??〮㔰??AD-15 〮㈱??ㄮ㐱?〮㔲???〮ㄷ??AD-16 ?〮〴??〮ㄱ?〮㔵??〮㜳??AD-17 〮㈰??ㄮ㈴?〮㔱??〮〴??AD-18 ?〮ㄵ???〮㜷?〮㘳??ㄮ㠷??AD-19 ?〮ㄲ???〮㌲?〮㘱??㈮〶??AD-20 ?〮ㄷ???〮㤸?〮㔸??ㄮ〹??AD-21 ?〮〱??〮㐸?〮㔱??〮㘳??AD-22 ?〮〷???〮〵?〮㔲??ㄮ㈶??AD-23 〮〵??〮㈵?〮㔷??〮㤳??AD-24 ?〮ㄸ???〮㤹?〮㔹??ㄮ㘳?AD-25 〮㐴??㈮㜶?〮㐶???ㄮ㐸?a쇣볙짨쫇욽뻹틬뎣쫕틦싊캪0ꆣ b쇣볙짨쫇튻룶붻틗죕훐막욱틬뎣쫕틦싊캪뢺뗄뇈샽뗈폚ꆣ c퓚뗄쮮욽쿔훸ꆣd퓚뗄쮮욽쿔훸ꆣ 듓뇭4훐뿉틔뾴돶ꎬ퓚릫룦죕ꎨADꎩ퇹놾뗄욽뻹틬뎣쫕틦싊캪%ꎬ쟒퓚뗄쮮욽짏쿔훸캪뢺ꎬ춬쪱퓚룃죕ꎬ폐68%뗄막욱뗄틬뎣쫕틦싊킡폚0ꎬ늢튲퓚뗄쮮욽짏쿔훸돉솢ꎬ헢쮵쏷룶막뛔엤막짏쫐헢튻탅쾢ퟷ돶쇋쏷쿔뗄쿻벫랴펦ꆣ퓚엤막짏쫐릫룦잰10룶붻틗죕ꎨAD-10ꎬAD-1ꎩ쓚ꎬ욽뻹틬뎣쫕틦싊뻹캪뢺횵ꎬ뺡맜횻폐퓚ꎨAD-10ꎩ죕뗄닎 11
쫽볬퇩퓚뗄쮮욽짏쿔훸캪뢺ꎬ떫쫇럇닎쫽볬퇩쿔쪾ꎬ퓚뗚ꎨAD-1ꎩ죕ꆢꎨAD-2ꎩ죕ꆢꎨAD-4ꎩ죕ꆢꎨAD-9ꎩ죕뫍ꎨAD-10ꎩ죕ꎬ틬뎣쫕틦싊캪뢺쟒퓚쮮욽짏쿔훸ꆣ퓚릫룦죕잰뗚11죕떽릫룦죕잰뗚25죕ꎨAD-25ꎬAD-11ꎩ쓚ꎬ폐9쳬뗄욽뻹틬뎣쫕틦싊캪뢺ꎬ쟒퓚뗄쮮욽짏뻹늻쿔훸캪뢺ꆣ짏쫶헢킩쿖쿳쮵쏷막욱볛룱뛔엤막짏쫐헢튻탅쾢뗄쳡잰랴펦훷튪벯훐퓚ꎨAD-10ꎬAD-1ꎩ헢10쳬훐ꎬ뛸퓚듋틔잰뗄랴펦퓲늢늻쏷쿔(닎볻춼1)ꆣ헢훖퓚릫룦죕잰튻뛎쪱볤쓚막욱볛룱뛔엤막짏쫐헢튻탅쾢뗄쳡잰랴펦쿖쿳ꎬ폫Kraus뫍Stollꎨ1972ꎩꆢMikkelson뫍Partchꎨ1985ꎩ뛔쏀맺쫐뎡뗄춳볆뷡맻튻훂ꆣ뛔폚헢훖쿖쿳ꎬ튻냣폃탅쾢틲쯘살뷢쫍ꎬ벴춶헟뛔엤막짏쫐헢튻쫂볾쪮럖맘힢ꎬ쯻쏇믡잧랽냙볆뗘뛔쿠맘탅쾢뷸탐쫕벯ꆢ럖컶폫뒫능ꎬ듓뛸퓚엤막짏쫐릫룦틔잰ꎬ쫐뎡볛룱틑뺭늿럖랴펳쇋엤막짏쫐헢튻탅쾢ꆣ 뇭? 짏쫐죕뫳25죕틬뎣쫕틦싊벰볬퇩뷡맻 붻틗죕?욽뻹틬뎣쫕틦싊Z횵ꎨ닎쫽볬퇩ꎩAR캪뢺뗄뇈샽?Z횵ꎨ럇닎쫽볬?ꎨ䅁?ꎩꎨ?ꎩ?a?⠴??퇩ꎩb?⠱??⠲??⠳??⠵??DD+25 ?〮㈱??〮㠴?〮㔹?㈮〲??DD+24 ?〮〹??〮㔵?〮㔹?ㄮ㘸??DD+23 〮ㄱ?〮㜵?〮㔸?〮㌸??DD+22 〮〰?〮㌹?〮㔴?〮㜳?DD+21 ?〮〱??〮ㄲ?〮㔳?〮㈲?DD+20 ?〮〵?〮㈳?〮㔹?〮㤶?DD+19 〮〱??〮〳?〮㔶?〮㘹?DD+18 ?〮㈶??ㄮ〲?〮㘴?㈮㜸??DD+17 ?〮〴?〮ㄵ?〮㘳?ㄮ㤴??DD+16 ?〮㈱??ㄮ〵?〮㘷?㌮??DD+15 ?〮㈳??〮㜶?〮㔳?ㄮ㌵?DD+14 ?〮〸??〮㔹?〮㔶?〮㠹?DD+13 ?〮ㄴ??〮㜹?〮㔴?ㄮ㈴?DD+12 〮〷?〮㜹?〮㔳?〮㔶?DD+11 〮〴?〮㜳?〮㔴??〮㈲?DD+10 〮ㄹ?ㄮ㐶?〮㔱??〮㐵?DD+9 〮ㄳ?ㄮ〶?〮㔳??〮ㄶ?DD+8 ?〮〲?〮㠰?〮㔶?〮㠳?DD+7 ?〮㌳??ㄮ㜹??〮㔸??⸲???DD+6 ?〮ㄱ??〮〹?〮㔹?ㄮ㔰?DD+5 ?〮ㄹ??〮㠲?〮㔶?ㄮ㈴?DD+4 ?〮〹??〮㔵?〮㔹?ㄮ㠰??DD+3 〮〲?〮㈲?〮㘱?ㄮ㘳?DD+2 ?〮㐱??ㄮ㘸??〮㘱?㈮㜶??DD+1 〮〱?〮㈶?〮㔸?〮㠶?DD ?〮㈶??ㄮ㠴??〮㔵?ㄮ㈷?a쇣볙짨쫇욽뻹틬뎣쫕틦싊캪0ꆣb 쇣볙짨쫇튻룶붻틗죕훐막욱틬뎣쫕틦싊캪뢺뗄뇈샽뗈폚ꆣ c퓚뗄쮮욽쿔훸ꆣd 퓚뗄쮮욽쿔훸ꆣ 12
퓙살뾴엤막짏쫐뫳뗄쟩뿶ꆣ퓚뇭5훐ꎬ엤막짏쫐죕뗄욽뻹틬뎣쫕틦싊캪%ꎬ쟒퓚뗄쮮욽짏쿔훸캪뢺ꆣ뺡맜퓚룃죕폐55%뗄막욱뗄틬뎣쫕틦싊캪뢺ꎬ떫퓚뗄쮮욽짏늻쿔훸ꆣ헢킩죔좻퓚튻뚨돌뛈짏쮵쏷쇋퓚엤막짏쫐떱죕ꎬ럇쇷춨막캪쇷춨막뛸떼훂쇷춨막막쫽퓶볓뛔막욱볛룱듦퓚튻뚨뗄쿻벫펰쿬ꆣ퓚엤막짏쫐뫳7룶붻틗죕ꎨDD+1ꎬDD+7ꎩ쓚ꎬ퓚뗚ꎨDD+2ꎩ죕뫍뗚ꎨDD+7ꎩ죕ꎬ틬뎣쫕틦싊캪뢺쟒퓚뗄쮮욽짏쿔훸ꎻ뛸럇닎쫽볬퇩쿔쪾ꎬ퓚뗚ꎨDD+2ꎩ죕ꆢ뗚ꎨDD+4ꎩ죕뫍뗚ꎨDD+7ꎩ죕ꎬ틬뎣쫕틦싊캪뢺쟒퓚뗄쮮욽짏쿔훸ꆣ뛸퓚엤막짏쫐죕뫳뗚8쳬떽뗚25쳬ꎨDD+9ꎬDD+25ꎩ쓚ꎬ뷶폐11쳬뗄욽뻹틬뎣쫕틦싊캪뢺ꎬ쟒퓚뷸탐닎쫽볬퇩쪱늢늻쿔훸ꆣ짏쫶헢킩쮵쏷퓚엤막쪵볊짏쫐틔뫳막욱볛룱뗄쿻벫랴펦훷튪벯훐퓚[DD+1ꎬDD+7]헢7쳬훐ꎬ뛸퓚듋틔뫳뗄랴펦늢늻쏷쿔ꎨ닎볻춼2ꎩꆣ 훐맺횤좯쫐뎡헢훖퓚엤막짏쫐뫳뷏뎤튻뛎쪱볤쓚막볛뗄틬뎣쫕틦싊죔좻캪뢺뗄쟩뿶폫맺췢폐맘ꆰ듳ퟚ막좨붻틗ꆱ뫍ꆰ뛾듎럖쿺ꆱ퓚짏쫐붻틗죕뫳뗄쟩뿶늻튻퇹ꆣKraus뫍Stollꎨ1972ꎩꆢMikkelson뫍Partchꎨ1985ꎩꆢAitken뫍Frinoꎨ1996ꎩ뗄퇐뺿랢쿖뷶퓚쫂볾랢짺죕뫳뗄2떽3쳬쓚ꎬ틬뎣쫕틦싊듦퓚쿔훸탔ꎬ뿉볻퓚훐맺뗄랴펦쪱볤쿔좻퇓뎤쇋ꆣ헢훷튪쫇평폚폫쏀맺뗈맺췢돉쫬놾쫐뎡쿠뇈ꎬ훐맺뗄놾쫐뎡죔좻쿠뛔좱랦킧싊ꎬ막볛뛔쒳튻쫂볾뗄랴펦쎻폐쿳쏀맺놾쫐뎡쓇쎴톸쯙ꆣ뺡맜엤막짏쫐죕잰뗄막볛틑뺭컼쫕쇋엤막짏쫐릫룦뗄탅쾢ꎬ떫퓚짏쫐죕뫳쿠떱튻뛎쪱볤쓚ꎬ뷏듳돌뛈뗄막볛쿻벫랴펦죔쫇뛔릫룦탅쾢뗄뷸튻늽볓짮ꆣ 맘폚헢튻뗣튲뿉틔듓짏쫐죕뫳뗄샛볆틬뎣쫕틦싊폫릫룦죕잰뗄샛볆틬뎣쫕틦싊듦퓚쿔훸뗄헽쿠맘맘쾵뾴돶ꆣ틔릫룦죕잰11죕ꎨ냼삨릫룦죕ꎩ뗄샛볆틬뎣쫕틦싊CARAD−10AD캪,뷢쫍뇤솿ꎬ틔짏쫐죕뫳11죕ꎨ냼삨짏쫐죕ꎩ뗄샛볆틬뎣쫕틦싊CARDD캪놻뷢쫍뇤솿ꎬ,DD+10뷸탐튻풪쿟탔믘맩ꎬ뗃떽 CARDDD+=−+,D10CARAD−10,AD ꎨ14ꎩ ()믘맩랽돌뗄Adj-R2=ꎬ믘맩랽돌뗄쿔훸탔돌뛈F=ꎬ뿉볻CARAD−10폫,ADCARDD뗄쿟탔믘맩맘쾵럇뎣쿔훸ꎬCAR,DD+10AD−10AD폫CAR,DD,DD+10쿔훸헽쿠맘ꆣ 뇭6쿔쪾쇋욽뻹샛볆틬뎣쫕틦싊뗄럖늼ꆣ뗚ꎨ1ꎩ쇐횸쪾쇋붻틗죕쟸볤ꎬ쎿룶붻틗쟸볤뗄잰튻쿮뇭쪾쟸볤뗄웰쪼죕ꎬ뫳튻쿮뇭쪾쟸볤뗄훕횹죕ꎻ뗚ꎨ2ꎩ쇐쫇욽뻹샛볆틬뎣쫕틦싊ꎬ평릫쪽ꎨ6ꎩ볆쯣뗃떽ꎻ뗚ꎨ3ꎩ쇐쫇닎쫽볬퇩횵ꎬ평릫쪽ꎨ11ꎩ볆쯣뗃떽ꆣ 퓚뇭6훐ꎬꎨAD-5ꎬADꎩ뗄욽뻹샛볆틬뎣쫕틦싊캪%ꎬ떫퓚뗄쮮욽짏늻쿔훸캪뢺ꆣꎨDDꎬDD+5ꎩ뗄욽뻹샛볆틬뎣쫕틦싊캪%ꎬ퓚뗄쮮욽짏쿔훸캪뢺ꆣ뛸퓚웤폠쪱볤쟸볤ꎬ닎쫽볬퇩뻹늻쿔훸ꆣ춬쪱ꎬꎨDDꎬDD+5ꎩ뗄욽뻹샛볆틬뎣쫕틦싊뗄뻸뛔횵뫍볬퇩뗄쿔훸탔쮮욽뻹듳폚ꎨAD-5ꎬADꎩ뗄욽뻹샛볆틬뎣쫕틦싊뗄뻸뛔횵뫍볬퇩뗄쿔훸탔쮮욽ꎬ벴퓚엤막짏쫐죕뫳6쳬ꎨ냼삨짏쫐죕ꎩ뗄쪱볤쓚ꎬ막볛뛔탅쾢뷸튻늽볓짮뗄쿻벫랴펦 13
돌뛈튪듳폚릫룦죕잰6쳬ꎨ냼삨릫룦죕ꎩ막볛뛔탅쾢쳡잰쿻벫랴펦뗄돌뛈ꆣ 춼? 릫룦죕잰뗄죕욽뻹틬뎣쫕틦싊뫍샛볆틬뎣쫕틦싊 〮ꎨ?▣? ??ⴰ⸵?ⴱ䅁?A䍁C䅒AR ?ⴱ⸵?ⴲⴲ⸵?䅄ⴳ?䅄ⴲ?䅄ⴲ?䅄ⴱ?䅄ⴱ?䅄ⴵ䅄죕웚ꎨ죕ꎩ?춼? 짏쫐죕뫳뗄죕욽뻹틬뎣쫕틦싊뫍샛볆틬뎣쫕틦싊 ꎨ〮▣???ⴰ⸵ⴱ䅁?䅃䅒ⴱ⸵ⴲⴲ⸵䑄䑄⬵䑄⬱?䑄⬱?䑄⬲?죕웚䑄ꎨ⬲죕?ꎩ뇭? 욽뻹샛볆틬뎣쫕틦싊벰웤쿔훸탔볬퇩 붻틗죕쟸볤??샛볆틬뎣쫕틦싊?Z횵ꎨ닎쫽볬퇩ꎩ??ꎨ?ꎩ?ꎨACARꎩꎨ?ꎩ?ꎨ?ꎩ?ꎨ?ꎩ?DD+21ꎬDD+25 DD+16ꎬDD+20 DD+11ꎬDD+15 DD+6ꎬDD+10 DDꎬDD+5 AD-5,AD AD-10,AD-6 ?〮㠲???〮㜲??AD-15,AD-11 〮ㄹ???〮㠳??AD-20,AD-16 ?〮㈷??〮㜴??AD-25,AD-21 〮㈳???〮㔸??a (AD-5ꎬAD)폫ꎨDDꎬDD+5ꎩ뗄쟸볤뎤뛈캪6룶붻틗죕ꎬ웤폠캪5룶붻틗죕ꆣ b쇣볙짨쫇샛볆틬뎣쫕틦싊캪0ꆣ c퓚뗄쮮욽쿔훸ꆣ? 14
?⸠엤막릫룦죕폫짏쫐죕횮볤뗄춳볆뷡맻폫럖컶?퓚잰쏦뛔퇹놾ퟜ쳥뷸탐럖컶쪱ꎬ평폚AD폫DD횮볤뗄볤룴쪱볤늢늻춳튻ꎬ볤룴죕듓0떽4룶붻틗죕늻뗈ꎬ틲듋컒쏇컞램뛔AD폫DD뗄볤룴죕뷸탐럖컶폫볬퇩ꆣ퓚헢샯ꎬ컒쏇붫럖뇰볆쯣볤룴캪1룶붻틗죕ꎨퟓ퇹놾쫽캪29ꎩꆢ2룶붻틗죕ꎨퟓ퇹놾쫽캪78ꎩ뫍3룶붻틗죕ꎨퟓ퇹놾쫽캪14ꎩ헢죽룶ퟓ퇹놾10뗄볤룴죕샛볆틬뎣쫕틦싊ꎬ늢뷸탐춳볆볬퇩ꆣ AD폫DD볤룴죕럖뇰캪1룶붻틗죕ꆢ2룶붻틗죕뫍3룶붻틗죕뗄ퟓ퇹놾뗄샛볆틬뎣쫕틦싊벰웤닎쫽뫍럇닎쫽쿔훸탔볬퇩뗄뷡맻쇐쪾폚뇭7ꆣ 퓚AD폫DD볤룴죕캪1쳬뗄29룶ퟓ퇹놾훐ꎬ웤볤룴죕욽뻹틬뎣쫕틦싊캪%ꎬ떫퓚쮮욽짏늻쿔훸ꎻ퓚룃볤룴죕뷶폐45%뗄막욱뗄틬뎣쫕틦싊캪뢺ꎬ퓚럇닎쫽볬퇩춳볆쿂늻쿔훸ꆣ퓙살뾴AD폫DD볤룴죕캪2쳬뗄틬뎣쫕틦싊쟩뿶ꎨ퇹놾쫽=78ꎩꎬ솽쳬볤룴웚뗄샛볆욽뻹틬뎣쫕틦싊캪%ꎬ쟒퓚뗄쮮욽쿂쿔훸캪헽ꎻ헢솽쳬샛볆틬뎣쫕틦싊캪헽뗄막욱쫽솿햼ퟓ퇹놾쫽뗄56%ꎬ쟒럇닎쫽볬퇩쿔쪾ꎬ헽틬뎣쫕틦싊쯹햼뗄뇈샽퓚뗄쮮욽짏쿔훸ꆣ뛔폚AD폫DD볤룴3쳬뗄쟩뿶ꎨ퇹놾쫽=14ꎩꎬ죽쳬뗄샛볆욽뻹틬뎣쫕틦싊캪%ꎬ떫퓚뗄쮮욽짏늻쿔훸ꎻ폐50%막욱뗄샛볆틬뎣쫕틦싊캪뢺ꎬ퓚뗄쮮욽짏튲늻쿔훸ꆣ뾼싇퇹놾쫽솿뗄틲쯘ꎬ볤룴죕캪1쳬뫍볤룴죕캪3쳬뗄ퟓ퇹놾뻹캪킡퇹놾춳볆ꎬ뺡맜웤뷡맻뗄쮵럾솦늢늻뫜잿ꎬ떫헢솽룶ퟓ퇹놾뗄샛볆욽뻹틬뎣쫕틦싊늢늻쿔훸캪뢺ꎻ뛸볤룴죕캪2쳬뗄퇹놾쫽폐78룶ꎬ쟒퓚뗄쮮욽쿂샛볆욽뻹틬뎣쫕틦싊쿔훸캪헽ꆣ 죧뇭6쯹쪾ꎬ퓚엤막짏쫐릫룦잰6쳬ꎨ냼삨릫룦죕ADꎩ뗄샛볆욽뻹틬뎣쫕틦싊퓚뗄쮮욽쿂쿔훸캪뢺ꎬ쓇쎴캪쪲쎴퓚릫룦죕뫍짏쫐죕횮볤뗄볤룴죕믡돶쿖샛볆틬뎣쫕틦싊캪뢺늻쿔훸짵훁틬뎣쫕틦캪헽뗄랴뎣쟩뿶쓘ꎿ 뛔폚헢훖퓚AD폫DD횮볤뗄볤룴죕쓚듦퓚ퟅ틬뎣쫕틦싊뗄쿔훸랴떯쿖쿳ꎬ컒쏇죏캪폐틔쿂솽룶뿉쓜뗄풭틲ꎺꎨ1ꎩ맽뛈랴펦ꆣ퓚릫룦죕잰ꎨ냼삨릫룦죕ꎩꎬ막욱뗄볛룱뛔엤막짏쫐헢튻탅쾢듦퓚맽뛈랴펦ꎬ벴막욱볛룱놻뎬뗷ꎨOver Shootingꎩ쇋ꎬ틲듋퓚릫룦죕뫳막욱볛룱뎬뗸랴떯ꎻꎨ2ꎩ쫐뎡훷솦믺릹뮤엌ꆣ엤막퓚탎돉맽돌훐ꎬ훷튪헆컕퓚믺릹춶헟쫖훐ꎨ죧엤막뗄돐쿺좯짌ꎩꎬ틲듋엤막짏쫐ꎬ뇘붫뷢쳗헢킩믺릹쫖훐뗄막욱ꎬ캪쇋믱뗃룟쫕틦ꎬ헢킩믺릹뇘좻퓚짏쫐죕틔잰캬돖막볛ꎬ틔뇣퓚엤막짏쫐뫳틔뷏룟뗄볛룱엗쫛막욱ꆣ 떫쫇ꎬ퓚뇭6훐ꎬ엤막쪵볊짏쫐죕DD뫳6쳬ꎨ냼삨DDꎩ뗄샛볆틬뎣쫕틦싊퓚뗄쮮욽쿂쿔훸캪뢺ꎬ헢쮵쏷엤막짏쫐뛔막볛뗄펰쿬퓚짏쫐죕DD뫳죔좻퓚볌탸짮뮯ꎬ쿔좻퓚릫룦죕잰막욱볛룱뛔엤막짏쫐헢튻탅쾢늢늻듦퓚맽뛈랴펦ꎬ틲듋뿉틔업돽맽뛈랴펦틲쯘ꎬ벴맽뛈랴펦늢늻쓜뷢쫍AD폫DD볤룴죕뗄틬뎣쫕틦싊캪헽뗄쿖쿳ꆣ평듋뿉볻ꎬ볤룴죕틬뎣쫕틦싊캪헽뿉쓜훷튪쫇평폚쫐뎡훷솦믺릹뮤엌쯹퓬돉뗄ꆣ 붫짏쫶폐맘엤막짏쫐릫룦죕폫짏쫐죕횮볤뗄럖컶뷡싛펦폃폚맺폐막췋돶ꎬ컒쏇뿉틔죏캪ꎬ죧맻쫍돶뗄맺폐막벯훐퓚튻룶믲벸룶춶믺릹쫖훐ꎬ퓙평헢킩믺릹내쫐볛돶쫛뗄뮰ꎬ쓇쯻쏇뻍폐뿉쓜돶쿖캪쇋ퟔ짭샻틦ퟮ듳뮯뛸닙ퟝ쫐뎡뗄쟩뿶ꎬ뛸쟒헢훖닙ퟝ퓚쇷춨릫룦죕폫짏쫐죕횮볤뗄볤룴웚볤쓚뇭쿖뗃룼캪쏷쿔ꆣ 15
뇭? AD폫DD횮볤뗄볤룴죕뗄샛볆틬뎣쫕틦싊벰웤쿔훸탔볬퇩 ퟓ퇹놾?볤룴죕샛볆?Z횵a?볤룴죕CAR캪뢺Z횵b?틬뎣쫕틦싊?ꎨ닎쫽볬퇩ꎩ?뗄뇈샽?ꎨ럇닎쫽볬퇩ꎩ?ꎨACARꎩ??????볤룴죕=1 〮㐸?ㄮ㘱?〮㐵??〮㘸?ꎨ퇹놾쫽ꎺ29ꎩ??볤룴죕㴲?〮㜷?ㄮ㜷??〮㐴??㈮〸??ꎨ퇹놾쫽ꎺ㜸ꎩ??볤룴죕㴳??〮㐲?〮〱?〮???〮〳?ꎨ퇹놾쫽ꎺㄴꎩ??a쇣볙짨쫇욽뻹틬뎣쫕틦싊캪0ꆣ b쇣볙짨쫇튻룶붻틗죕훐막욱틬뎣쫕틦싊캪뢺뗄뇈샽뗈폚ꆣ c퓚뗄쮮욽쿔훸ꆣ ?뛾??펰쿬막볛뇤뚯돌뛈뗄쿠맘틲쯘럖컶뷡맻?뇭8뫍뇭9럖뇰폃ퟮ킡뛾돋램뛔놻뷢쫍뇤솿샛볆틬뎣쫕틦싊ꎨ릫룦잰10죕ꎨAD-10ꎬADꎩ폫짏쫐뫳10죕ꎨDDꎬDD+10ꎩꎩ폫뷢쫍뇤솿ꆪꆪ엤막햼쇷춨막뗄뇈샽RATIOꆢ1999쓪뺻닺쫕틦싊ROE뫍엤막쯹뛔펦막욱뗄쫐뺻싊떹쫽1ꆪꆪ뷸탐쇋믘맩럖컶ꆣ P/BV짏쫶솽뇭훐뗄뗚ꎨ1ꎩ쇐쫇믘맩랽돌뗄뷘뻠ꎬ뗚ꎨ2ꎩ쇐쫇엤막햼쇷춨막ퟜ쫽뗄뇈샽뗄믘맩쾵쫽ꎬ뗚ꎨ3ꎩ쇐쫇듽쫍돶엤막쯹뛔펦뗄막욱1999쓪뗄뗷헻잰뗄뺻닺쫕틦싊뗄믘맩쾵쫽ꎬ뗚ꎨ4ꎩ쇐쫇쫐뺻싊떹쫽뗄믘맩쾵쫽ꆣ 뇭10쿔쪾쇋뛠풪쿟탔믘맩랽돌뗄뛠훘릲쿟탔죝쿞뛈ꎨToleranceꎩ11ꆣ뇭10쿔쪾뗚죽늿럖훐뗄믘맩랽돌ꎨ13ꎩ뗄뷢쫍뇤솿RATIOꆢROE뫍1뗄죝쿞뛈뻹퓚틔짏ꎬ틲듋뿉P/BV틔죏캪믘맩랽돌늻뻟폐뛠훘릲쿟탔ꆣ ?⸠막욱릩룸틲쯘뗄볬퇩?퓚뇭8훐ꎬ릫룦죕잰뗄샛볆틬뎣쫕틦싊뫍엤막햼쇷춨막뗄뇈샽RATIO뗄튻풪쿟탔믘맩쒣탍ꎨ5ꎩ쿔쪾ꎬRATIO뗄믘맩쾵쫽뗄t볬퇩횵캪ꎬ퓚뗄쮮욽짏늻쿔훸ꎻ뛸퓚뛠풪쿟탔쒣탍ꎨ1ꎩꆢꎨ2ꎩ뫍ꎨ3ꎩ훐ꎬRATIO뗄t볬퇩횵튲쪮럖뗄늻쿔훸ꆣ춬퇹뗘ꎬ퓚뇭9훐ꎬ짏쫐죕뫳뗄샛볆틬뎣쫕틦싊뫍RATIO뗄튻풪쿟탔믘맩쒣탍ꎨ5ꎩ쿔쪾ꎬRATIO뗄쾵쫽뗄t볬퇩횵캪ꎬ퓚뗄쮮욽짏늻쿔훸ꎻ퓚뛠풪쿟탔믘맩쒣탍ꎨ1ꎩꆢꎨ2ꎩ뫍ꎨ3ꎩ훐ꎬ RATIO뗄t볬퇩횵춬퇹튲늻쿔훸ꆣ 10 볤룴죕캪3쳬틔짏뗄릫쮾쫽뷶캪1ꎬ늻뻟폐춳볆틢틥ꎬ헢샯늻퓙볬퇩ꆣ 11 죝쿞뛈ꎨToleranceꎩ쫇틔쎿룶ퟔ뇤솿Xiퟷ캪놻뷢쫍뇤솿뛔웤쯻뷢쫍뇤솿믘맩쪱뗃떽뗄폠닮뇈샽ꎬ벴Tolerance=1−R2ꆣ죝쿞뛈풽킡ꎬ쮵쏷Xi폫웤쯻뇤솿뗄탅쾢훘뢴탔풽듳ꎬ웤뛔y뗄뇟볊뷢쫍쓜솦뻍ii⋅12⋅⋅⋅k풽킡ꆣ튻냣떱죝쿞뛈킡폚ꎬ뇣죏캪헢튻뇤솿폫웤쯻뇤솿횮볤뗄뛠훘릲쿟탔뎬맽쇋죝탭뗄뷧쿞ꎨ닎볻맹횾룕ꎬ1999ꎩꆣ 16
평듋뿉볻ꎬ훁짙퓚춳볆짏ꎬ듽쫍돶뗄엤막햼룃막욱틑뺭쇷춨퓚췢뗄ퟜ막럝뗄뇈샽RATIO폫막욱볛룱뗄쿻벫랴펦돌뛈뗄쿠맘맘쾵늢늻쿔훸ꎬ쏼쳢1늻돉솢ꎬ틲듋퓚엤막쫍돶뗄쟩뿶쿂ꎬ막욱릩룸틲쯘늢늻쫇펰쿬막욱볛룱놻펰쿬돌뛈뗄훘튪틲쯘ꆣ ㈮?릫쮾펯샻쓜솦틲쯘뗄볬퇩?퓚뇭8훐ꎬ릫룦죕잰뗄샛볆틬뎣쫕틦싊뫍ROE뗄튻풪쿟탔믘맩쒣탍ꎨ6ꎩ쿔쪾ꎬROE뗄믘맩쾵쫽뗄t볬퇩횵캪ꎬ퓚뗄쮮욽짏늻쿔훸ꎻ뛸퓚뛠풪쿟탔쒣탍ꎨ1ꎩꆢꎨ2ꎩ뫍ꎨ4ꎩ훐ꎬRATIO뗄t볬퇩횵튲쪮럖늻쿔훸ꆣ춬퇹뗘ꎬ퓚뇭9훐ꎬ짏쫐죕뫳뗄샛볆틬뎣쫕틦싊뫍RATIO뗄튻풪쿟탔믘맩쒣탍ꎨ6ꎩ쿔쪾ꎬRATIO뗄쾵쫽뗄t볬퇩횵캪ꎬ퓚뗄쮮욽짏늻쿔훸ꎻ퓚뛠풪쿟탔믘맩쒣탍ꎨ1ꎩꆢꎨ2ꎩ뫍ꎨ4ꎩ훐ꎬ RATIO뗄t볬퇩횵춬퇹튲늻쿔훸ꆣ 틲듋뺻닺쫕틦싊ROE폫막욱볛룱뗄쿻벫랴펦돌뛈뗄쿠맘맘쾵늢늻쿔훸ꎬ쏼쳢2늻돉솢ꆣ퓚엤막뗄쫍돶맽돌훐ꎬ릫쮾막볛뗄쿻벫랴펦돌뛈늢늻쯦릫쮾튵벨뗄쳡룟뛸복킡ꎬ뿉볻릫쮾튵벨늢늻쫇펰쿬럇쇷춨막쫍돶쯹틽웰뗄막볛쿻벫랴펦돌뛈뗄훘튪틲쯘ꆣ뇊헟죏캪ꎬ훐맺횤좯쫐뎡ퟷ캪탂탋뗄놾쫐뎡ꎬ퓚믡볆탅쾢엻슶랽쏦뮹듦퓚훮뛠컊쳢ꎬ짏쫐릫쮾뺻닺쫕틦싊쎿쓪뗄늨뚯뷏듳ꎬROE뗄뿉탅뛈듦퓚뫜듳뗄컊쳢ꎬ춶헟뛔냑ROEퟷ캪춶뻶닟맘볼틀뻝뗄죏춬뛈뷏뗍ꎬ헢떼훂쇋쏼쳢2뗄늻돉솢ꆣ틲듋맘폚맺폐막쫍돶뗄쯹캽ꆰ얮쿈볞ꆱ뗄쮵램ꎬ짐폐듽짌좶ꆣ 뇭? 릫룦잰10죕ꎨAD-10ꎬADꎩ샛볆틬뎣쫕틦싊뗄믘맩춳볆뇭 쒣탍?뷢쫍뇤솿?Adj-R2 F횵??獩朠????뷘뻠?RATIO ROE 1 ?? ꎨ?ꎩ?ꎨ2ꎩ ꎨP/BV3ꎩ ꎨ4ꎩ ꎨ?ꎩ??〮〴㔱??〮〰〱???〮〰㤴??〮ㄷ㈳??〮〲〷??㈮〲㈳??〮ㄱ㌵???ꎨ㈮㔲㐶ꎩ??ꎨ?〮㔱㠵ꎩ?ꎨ?〮㜳㘶ꎩ?ꎨ㈮㌳㠲ꎩ????ꎨ2ꎩ??〮〰㤳???〮〰〲???〮〰㈲????〮〰㤹?〮㈹〷??〮㜴㠲???ꎨ?〮㤹㐳ꎩ?ꎨ?〮㜲㘴ꎩ?ꎨ?〮ㄷ㌹ꎩ?????ꎨ3ꎩ??〮〴ㄸ???〮〰〱???〮ㄵ㤲??〮〲㌹??㈮㜷??〮〶㘰???ꎨ?㈮㐲ㄳꎩ?ꎨ?〮㔹㔰ꎩ??ꎨ㈮㈲㤷ꎩ????ꎨ4ꎩ??〮〴㠹????〮〱〰???〮ㄷ㔸?〮〲㔷??㈮㤱㌹??〮〵㜵???ꎨ?㌮〱㈲ꎩ??ꎨ?〮㜹㌷ꎩ???㈮㐰㈵?????ꎨ5ꎩ??〮〰㤱???〮〰〲?????〮〰㌱?〮㔵㔰??〮㐵㜵???ꎨ?〮㤸㘸ꎩ?ꎨ?〮㜴㔰ꎩ??????ꎨ6ꎩ??〮〱㌷????〮〰㈹????〮〰㘶?〮〵㐰??〮㠱㘶???ꎨ?ㄮ㤳〶ꎩ??ꎨ?〮㈳㈴ꎩ?????ꎨ7ꎩ??〮〴㔹????〮ㄶ㈲??〮〲㠲??㔮㈱ㄳ??〮〲㌹???ꎨ?㈮㤱ㄶꎩ???ꎨ㈮㈸㈸ꎩ????a 뛔믘맩쾵쫽뷸탐쿔훸탔볬퇩뗄t춳볆횵ꆣ b뛔믘맩랽돌뷸탐쓢뫏볬퇩뗄F춳볆횵ꆣ c F춳볆볬퇩뗄쿔훸탔룅싊ꆣ 17
㌮볛횵틲쯘뗄볬퇩?퓚업돽RATIO뫍ROEퟷ캪믘맩랽돌뗄뷢쫍뇤솿뫳ꎬ퓚뇭8뗄쒣탍ꎨ7ꎩ훐ꎬ쫐뺻싊떹쫽1뗄믘맩쾵쫽캪ꎬ쟒믘맩쾵쫽퓚뗄쮮욽짏쿔훸캪헽ꎬ웤믘맩랽돌캪 P/BVCAR1AD ꎨ15ꎩ −10AD=−+,P/BVF볬퇩튲쿔쪾짏쫶믘맩랽돌퓚뗄쮮욽짏쿔훸돉솢ꆣ죧맻쫐뺻싊평5붵뗍캪4ꎬ퓲샛볆틬뎣쫕틦싊평뇤캪ꆣ뿉볻쯦ퟅ쫐뺻싊뗄쿂붵ꎬ틬뎣쫕틦싊뗄뻸뛔횵붵뗍ꎬ막볛뛔럇쇷춨쫍돶뗄쿻벫랴펦돌뛈뇤죵쇋ꆣ 춬퇹뗘ꎬ뇭9뗄쒣탍ꎨ8ꎩ쯹뛔펦뗄쫐뺻싊뗄떹쫽1뗄믘맩쾵쫽캪ꎬ쟒믘맩P/BV쾵쫽퓚뗄쮮욽짏쿔훸캪헽ꎬ웤믘맩랽돌캪 +,+=− ꎨ16ꎩ P/BV짏쫶믘맩랽돌튲퓚뗄쮮욽짏쿔훸돉솢ꆣ춬퇹뗘ꎬ퓚랽돌ꎨ16ꎩ훐ꎬ쯦ퟅ쫐뺻싊뗄쿂붵ꎬ짏쫐죕뫳막볛뛔럇쇷춨막쫍돶뗄쿻벫랴펦돌뛈튲붫뇤죵ꆣ 평듋뿉볻ꎬ컞싛퓚릫룦죕잰뮹쫇퓚짏쫐죕뫳ꎬ쫐뺻싊폫막볛뗄쿻벫랴펦돌뛈뚼돊쿖헽쿲쿠맘맘쾵ꎬ벴쫐뺻싊풽뗍ꎬ막볛뗄쿻벫랴펦돌뛈풽킡ꎬ틲듋쏼쳢3돉솢ꆣ퓚엤막쫍돶뗄맽돌훐ꎬ릫쮾뗄볛횵틲쯘쫇펰쿬막볛쿻벫랴펦돌뛈뗄훘튪틲쯘12ꆣ ퟛ짏쯹쫶ꎬ퓚엤막쫍돶맽돌훐ꎬ엤막햼쇷춨막뗄뇈샽폫막볛뗄쿻벫랴펦돌뛈늢컞쿔훸뗄쿠맘탔ꎬ벴막욱릩룸틲쯘늢늻쿔훸뗘펰쿬막볛뛔쫍돶뗄쿻벫랴펦ꆣ춬쪱ꎬ릫쮾막욱뛔쫍 12 퓚퇐뺿훐ꎬ뇊헟뮹랢쿖쇋튻룶럇뎣폐좤뗄쿖쿳ꎬ엤막짏쫐뗄막볛쿻벫랴펦뗄돌뛈ꎨ샛볆틬뎣쫕틦싊ꎩ폫웤막욱볛룱듦퓚ퟅ쿔훸뗄믘맩맘쾵ꎨ뢺쿠맘ꎩꎺ Adj-R2 F 1−10=− ,() () CARDDDD10=− ,+.0021P () () 짏쫶뷡맻뇭쏷ꎬ훁짙듓춳볆틢틥짏쮵ꎬ샛볆틬뎣쫕틦싊폫막욱볛룱헢튻횸뇪돊쿖쏷쿔뗄쿔훸뢺쿠맘탔ꆣ막욱볛룱쎿복짙1풪ꎬ릫룦잰10죕뗄샛볆틬뎣쫕틦싊뗄뻸뛔횵붫쿂붵%ꎬ뛸짏쫐뫳10죕뗄샛볆틬뎣쫕틦싊뗄뻸뛔횵붫쿂붵%ꆣ헢쫇틲캪ꎺ 쫗쿈ꎬ막볛랴펳쇋볛횵틲쯘ꆣ튻냣살쮵막볛뷏뗍뗄막욱엌ퟓꎨ쇷춨막막쫽ꎩ뷏듳ꎬ막볛뗄엝쒭돉럖튲뷏킡ꎬ웤막볛폫쎿막뺻닺뗄뷓뷼돌뛈튲뻍뷏뫃ꎬ쯹틔듓쒳훖돌뛈짏쮵ꎬ막볛뗄룟뗍튲랴펳쇋릫쮾뗄춶볛횵ꆣ쫂쪵짏ꎬ퓚놾컄뗄퇹놾훐ꎬ컒쏇튲랢쿖막볛폫쫐뺻싊뻟폐쿔훸뗄쿠맘탔ꆣ뛔막욱볛룱뫍쫐뺻싊뗄떹쫽ퟷ튻풪쿟탔믘맩럖컶ꎬ틔쫐뺻싊떹쫽캪뷢쫍뇤솿ꎬ막욱볛룱캪놻뷢쫍뇤솿ꎬ쯹뗃뗄믘맩랽돌죧쿂ꎺ P1=−ꎬAdj-R2=ꎬ믘맩랽돌뗄쿔훸탔돌뛈F=ꎬ쫐뺻싊떹쫽뗄믘맩쾵쫽P/BV(−)뫍믘맩랽돌뻹럇뎣쿔훸ꆣ볙짨쫐뺻싊P/BV평4뇤캪3ꎬ퓲막욱볛룱붫평풪뇤캪풪ꎬ벴막욱볛룱풽뗍ꎬ퓲퓚춳볆짏웤쯹뛔펦쫐뺻싊튲뻍풽뗍ꆣ 웤듎ꎬ막욱볛룱뗄룟뗍랴펳쇋막욱뗄쇷뚯탔ꆣ튻냣살쮵ꎬ막욱볛룱풽뗍ꎬ퓲막욱뗄쇷뚯탔튲뻍풽뫃ꎬ춶헟풽풸틢뷓쫜ꎬ뛔폚쒳튻쫂볾막볛뗄쿻벫랴펦돌뛈튲뻍풽킡ꆣ 뗚죽ꎬ막볛뗄룟뗍볤뷓랴펳쇋폐맘룃막욱뗄탅쾢뒫능돌뛈ꆣBrennan뫍Hughesꎨ1991ꎩ뗄쪵횤퇐뺿뇭쏷ꎬ횤좯럖컶쪦ꎨAnalystꎬ퓚훐맺놻돆캪막움볒ꎩ룼쟣쿲폚맘힢막볛뷏뗍뗄막욱ꎻ뛸막움볒맘힢돌뛈풽룟ꎬ퓲룃막뗄탅쾢뒫능돌뛈튲뻍풽뫃ꎬ틲듋뗍볛막뗄탅쾢뒫능돌뛈뷏뫃ꆣ춬쪱ꎬ쫐뎡킧싊샭싛뫍캢맛뷡릹샭싛뮹죏캪죧맻탅쾢뒫능풽돤럖ꎬ퓲막볛퓚쫂볾쟸볤쓚뛔쫂볾뗄랴펦돌뛈뻍풽킡ꎨ닎볻Easley뫍Hara(1987)ꎩꆣ맘폚헢튻뗣ꎬ맺쓚뗄십뒺쇖뫍컢돥럦ꎨ2002ꎩ튲뗃돶훐맺막욱볛룱뛔쫂볾뗄랴펦돌뛈폫탅쾢릩펦솿듦퓚랴쿲맘쾵뗄뷡싛ꆣ 18
돶뗄쿻벫랴펦돌뛈늢늻쯦릫쮾튵벨뗄쳡룟뛸붵뗍ꎬ벴훁짙퓚춳볆짏벨폅릫쮾늢늻튻뚨떼훂뷏죵뗄막볛쿻벫랴펦돌뛈ꎬ퓚쪵횤훐컞횤뻝쿔쪾춶헟뛔벨폅릫쮾엤막뗄쫍돶돖룼볓뮶펭뗄첬뛈ꆣ폫듋쿠랴ꎬ춶헟뛔쫍돶뗄뗍쫐뺻싊엤막퓲돖튻훖룼볓뮶펭뗄첬뛈ꎬ헢킩막욱볛룱뗄쿻벫랴펦돌뛈뷏킡ꎬ튲뻍쫇욫쿲볛횵탍뗄막욱뛔럇쇷춨막쫍돶뗄쿻벫랴펦돌뛈뷏킡ꆣ ?뇭? 짏쫐뫳10죕ꎨDDꎬDD+10ꎩ샛볆틬뎣쫕틦싊뗄믘맩춳볆뇭 쒣탍?뷢쫍뇤솿?Adj-R2 F횵??獩朠????뷘뻠?RATIO ROE 1 ?? ꎨ?ꎩ?ꎨP/V2ꎩ ꎨ3ꎩB ꎨ4ꎩ ꎨ?ꎩ??〮〳㤳??〮〰〱??〮〰ㄵ??〮ㄴㄴ??〮〲㠹??㈮㐳㘳??〮〶㜲???ꎨ?㈮㜶ㄷꎩ??ꎨ?〮㠰㜳ꎩ?ꎨ〮ㄴ㐲ꎩ?ꎨ㈮㐰㘷ꎩ????ꎨ2ꎩ??〮〰㤹???〮〰〲??〮〰㜳????〮〰㌷?〮㜳㌶??〮㐸㈰???ꎨ?ㄮ㌳㐳ꎩ?ꎨ?ㄮ〱㜲ꎩ?ꎨ〮㜳㘰ꎩ?????ꎨ3ꎩ??〮〳㤸???〮〰〱???〮ㄴ㌵??〮〳㔵??㌮㘶㤱??〮〲㜹???ꎨ?㈮㠹㜳ꎩ?ꎨ?〮㜹㤷ꎩ??ꎨ㈮㔲㐹ꎩ????ꎨ4ꎩ??〮〴㐱???〮〰〷??〮ㄴ㔸?〮〳ㄲ??㌮㌳㘷??〮〳㠳???ꎨ?㌮㌹㤳ꎩ??ꎨ〮〶㐹ꎩ?⠲⸴㤵〩????ꎨ5ꎩ??〮〱〴???〮〰〲?????〮〰〵?〮㤲㠵??〮㌳㘹???ꎨ?ㄮ㐰〵ꎩ?ꎨ?〮㤶㌶ꎩ??????ꎨ6ꎩ??〮〱㐹???〮〰㘵????〮〰㌹?〮㐳㈴??〮㔱ㄸ???ꎨ?㈮㘲㈴ꎩ??ꎨ〮㘵㜶ꎩ?????ꎨ7ꎩ??〮〴㐲????〮ㄴ㘷??〮〳㜹??㘮㜱㔵??〮〱〵???ꎨ?㌮㔱㤰ꎩ???ꎨ㈮㔹ㄴꎩ????a 뛔믘맩쾵쫽뷸탐쿔훸탔볬퇩뗄t춳볆횵ꆣ b뛔믘맩랽돌뷸탐쓢뫏볬퇩뗄F춳볆횵ꆣ c F춳볆볬퇩뗄쿔훸탔룅싊ꆣ 뇭?? 믘맩랽돌뗄뛠훘릲쿟탔죝죌뛈(Tolerance)뇭 ?RATIO ROE BV/P ꎨ1ꎩ ꎨ2ꎩ ꎨ3ꎩ ꎨ?ꎩ?〮㤸??〮㤳??〮㤳??ꎨ2ꎩ?〮㤹??〮㤹???ꎨ3ꎩ?〮㤹???〮㤹??ꎨ4ꎩ??〮㤴??〮㤴??쇹ꆢ뷡싛벰뻖쿞 엤막짏쫐쇷춨쫇럇쇷춨막쫍돶뗄튻훖탎쪽ꎬ춨맽뛔엤막짏쫐쇷춨뛔막욱볛룱펰쿬벰웤쿠맘틲쯘뗄럖컶ꎬ폐훺폚컒쏇죏쪶맺폐막ꆢ램죋막뗈럇쇷춨막쫍돶뗄쫐뎡펰쿬ꆣ놾컄뛔2000쓪3퓂떽2001쓪5퓂엤막짏쫐뛔막볛뗄펰쿬뷸탐쇋쪵횤퇐뺿ꎬ퇐뺿뷡싛죧쿂ꎺ 1ꆢ엤막짏쫐헢튻쫂볾퓚뛌웚쓚뛔막욱볛룱듦퓚ퟅ쿔훸뗄쿻벫펰쿬ꆣ 2ꆢ폫맺췢폐맘듳ퟚ막좨붻틗뗄퇐뺿뷡싛쿠뇈ꎬ훐맺퓚엤막짏쫐뫳막볛볌탸쿻벫랴펦뗄퇓탸쪱볤튪뎤폚맺췢듳ퟚ막좨붻틗뫳막볛랴펦뗄퇓탸쪱볤ꎬ헢쫇평폚훐맺막욱쫐 19
뎡쿠뛔좱랦킧싊쯹틽웰뗄ꆣ 3ꆢ퓚엤막짏쫐릫룦죕폫엤막쪵볊짏쫐죕횮볤ꎬ막욱볛룱듦퓚쏷쿔뗄랴떯쿖쿳ꆣ 4ꆢ엤막짏쫐잰뫳막욱볛룱뗄쿻벫랴펦돌뛈폫쫐뺻싊횸뇪돊쿖쏷쿔뗄쿔훸헽쿠맘탔ꎬ벴쫐뺻싊풽뗍ꎬ엤막쫍돶쯹틽웰뗄막볛쿻벫랴펦돌뛈풽킡ꆣ 5ꆢ엤막짏쫐쯹틽웰뗄막볛쿻벫랴펦돌뛈폫엤막햼쇷춨막뗄뇈샽컞쿔훸맘쾵ꎬ벴막욱릩룸틲쯘늻쫇틽웰막볛쿻벫랴펦뗄훘튪틲쯘ꆣ 6ꆢ퓚엤막뗄쫍돶맽돌훐ꎬ릫쮾막볛뗄쿻벫랴펦돌뛈늢늻쯦릫쮾튵벨뗄쳡룟뛸복킡ꆣ 짏쫶뷡싛캪맺폐막뗈럇쇷춨막짏쫐쇷춨뛔쫐뎡뗄돥믷벰맺폐막쇷춨뗄헾닟톡퓱쳡릩쇋튻킩횤뻝ꎺ ꎨ1ꎩ맺폐막짏쫐붫뛔막욱볛룱닺짺쿔훸뗄쿻벫펰쿬ꎻ ꎨ2ꎩ캪붵뗍쫐뎡뛔맺폐막쫍돶뗄쿻벫랴펦돌뛈ꎬ맺폐막쫍돶뚨볛늻펦틔짏쫐릫쮾뗄쫕틦ힴ뿶캪뚨볛틀뻝ꎬ뛸튪돤럖뾼싇릫쮾뗄볛횵틲쯘ꎬ벴뚨볛펦틔쎿막뺻닺캪틀뻝ꎬ뚨볛풽뷓뷼쎿막뺻닺ꎬ퓲막볛뗄쿻벫랴펦돌뛈풽킡ꆣ ꎨ3ꎩ죧맻뚨볛뫏샭ꎨ뷓뷼쎿막뺻닺ꎩꎬ쫍돶뗄맺폐막햼틑쇷춨막뗄뇈샽뛔막볛뗄쿻벫랴펦돌뛈컞쿔훸펰쿬ꆣ 놾컄뗄뻖쿞훷튪퓚폚ꎺꎨ1ꎩ쯹폐엤막짏쫐뗄쪱볤랶캧캪2000쓪3퓂떽2001쓪5퓂ꎬ뛸퓚룃뷗뛎ꎬ훐맺막쫐돊쿖ꆰ싽얣ꆱ탐쟩ꎬ틲듋놾컄뗄뷡싛횻쫇랴펦퓚막쫐짏헇뷗뛎뗄쟩뿶ꆣ평폚쫜듳쫆뗄펰쿬ꎬ퓚뫡엌믲쿂뗸뷗뛎ꎬ럇쇷춨막쫍돶뛔막욱볛룱뗄펰쿬뿉쓜믡늻춬ꆣꎨ2ꎩ놾컄퇐뺿뗄쫇엤막짏쫐ꎬ떫듓ퟜ쳥짏붲엤막짏쫐뗄맦쒣튪풶풶킡폚맺폐막짏쫐맦쒣ꎬ헢붫쿷죵퇐뺿뷡맻뗄듺뇭탔ꎬ춬쪱헢튲폐뿉쓜쫇엤막짏쫐뛔막볛뗄쿻벫펰쿬돌뛈폫엤막햼쇷춨막뗄뇈샽늢컞쿔훸맘쾵뗄풭틲ꆣ 닎뾼컄쿗 훐컄닎뾼컄쿗내몺폯운틴업탲ꆣ 맹횾룕. 1999. ꆶ짧믡춳볆럖컶랽램—SPSS죭볾펦폃ꆷ. 훐맺죋쏱듳톧돶냦짧 슥뫩뫀. 1997. 엤막짏쫐뛔컒맺횤좯쫐뎡뗄펰쿬. ꆶ헣붭듳톧톧놨ꎨ짧믡뿆톧냦ꎩꆷ뗚2웚ꎬ88-90. 쳆맺헽ꎬ탭쓾ꎬ췵횾돏ꎬ쪷쫷훐. 1998. 샻폃뿉붻뮻햮좯뇤쿖맺폐막캪맺볒닆헾죚. ꆶ뺭볃퇐뺿ꆷ뗚10웚ꎬ64-69. 컢쾲횮. 1999. ꆶ럇닎쫽춳볆ꆷ. 훐맺춳볆돶냦짧 탭쪥뗀ꎬ릢횾쏱. 1997. 맘폚엤막컊쳢뗄죴룉쮼뾼. ꆶ뷰죚샭싛폫쪵볹ꆷ뗚11웚ꎬ8-9. 틗쿾쏷. 2000. 듓엤막짏쫐첸뛔횤좯쫐뎡뗄펰쿬. ꆶ쟠몣뷰죚ꆷ뗚5웚ꎬ42-44. 십뒺쇖ꎬ컢돥럦. 2002. 훐맺막욱쫐뎡탅쾢릩펦솿펰쿬틲쯘럖컶. 릤ퟷ싛컄. 짏몣붻춨듳톧 훬커쿩ꎬ맹횾붭. 1999. 막욱쫐뎡뛔럇쇷춨막뇈샽뗄볛룱랴펦-볦컶쫍럅럇쇷춨뛔막쫐돥믷킧펦벰닟싔. ꆶ뺭볃퇐뺿ꆷ뗚5웚ꎬ32-38. 20
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