2006쓪뗚10웚막쏱맽뛈붻틗쇋쎴3?ꆪꆪꆪ믹폚훐맺쒳횤좯펪튵쳼쫽뻝뗄퇐뺿첷쯉쳎ꆡ췵퇇욽ꆡꆡ쓚죝쳡튪:놾컄샻폃훐맺쒳횤좯펪튵쳼룶죋막욱붻틗쫽뻝,퇩횤쇋훐맺막욱쫐뎡짏듦퓚뗄맽뛈붻틗쿖쿳ꆣ컄헂랢쿖,뛔펦ퟅ늻춬뗄막욱돖폐웚,춶헟싲뷸뗄막욱퓚싲뷸뫳튻뚨쪱볤쓚뗄쫕틦싊,뗍폚쯻쏇돶쫛뗄막욱퓚쫛돶뫳쿠춬쪱볤뎤뛈쓚뗄쫕틦싊ꆣ헢튻뷡싛퓚막욱쫐뎡헻쳥ퟟ쫆뷘좻늻춬뗄솽룶뷗뛎,뛔폚늻춬춶맦쒣ꆢ늻춬붻틗욵싊춶헟뚼쫇돉솢뗄ꆣ뛸쟒,퓚쳞돽헽뎣붻틗탨쟳뫳짏쫶뷡싛틀좻돉솢ꆣ헢쮵쏷막쏱듳솿뗄붻틗뻶닟쫇듭컳뗄,뛔폚샭탔춶헟살붲헢킩붻틗풭놾늻룃랢짺ꆣ듓헢룶틢틥짏붲,뿉틔죏캪훐맺막쏱듦퓚ퟅ맽뛈붻틗쟣쿲ꆣ춨맽뛔늻춬탔뇰춶헟춶탐캪뗄뇈뷏,컒쏇랢쿖쓐탔춶헟맽뛈붻틗뗄돌뛈튪룟폚얮탔춶헟ꆣ뷡뫏탄샭톧쇬폲뗄퇐뺿돉맻,헢퓚쒳훖돌뛈짏틢캶ퟅ훐맺막쫐춶헟맽뛈붻틗쿖쿳폫맽뛈ퟔ탅쫇쿠맘뗄ꆣ맘볼듊:맽뛈붻틗ꆡ맽뛈ퟔ탅ꆡ탐캪뷰죚튻ꆢ틽ꆡ퇔뒫춳뷰죚샭싛뺭샺쇋50폠쓪뗄랢햹,틔폐킧쫐뎡볙쮵,폈웤쫇뛔뺭볃룶쳥뗄샭탔볙뚨캪믹쪯,탎돉쇋튻쳗췪헻뗄샭싛쳥쾵ꆣ헢킩샭싛캪죋쏇샭뷢뫍죏쪶쿖쪵짺믮훐뗄뷰죚쫐뎡쳡릩쇋폐킧뗄쫖뛎ꆣ좻뛸,쯦ퟅ쫐뎡짏룷훖틬뎣쿖쿳뗄샛믽,샭싛폫쪵볊뗄놳샫죃죋쏇룐쫜떽뒫춳뷰죚샭싛퓚뷢쫍쒳킩컊쳢쪱듦퓚뗄좱쿝ꆣ헢떱훐,놶쫜톧헟맘힢뗄튻뗣뻍쫇뷰죚쫐뎡짏맽룟뗄붻틗맦쒣컊쳢ꆣDeBondt뫍Thaler(1994)퓚뛔탐캪뷰죚뗄캢맛믹뒡뷸탐ퟜ뷡쪱퓸횸돶:뷰죚쫐뎡맽룟뗄붻틗맦쒣ꆰ뿉쓜쫇캨튻쇮뒫춳뷰죚톧ퟮ캪??뗄쫂쪵ꆱꆣ퓧퓚1968쓪Jensen뻍퓸뺭랢쿖,듳뛠쫽붻틗믮풾뗄릲춬믹뷰뗄믘놨싊뚼튪뗍폚쫐뎡믘놨싊ꆣ헢쮵쏷,욵랱뗄붻틗늢쎻폐룸듳뛠쫽믹뷰뺭샭쏇듸살뎬뛮믘놨ꆣ좻뛸,쿖쪵훐죋쏇좴뾴떽,컞싛쫇돉쫬뗄횤좯쫐뎡뮹쫇탂탋뗄횤좯쫐뎡,막욱붻틗뗄쓪뮻쫖싊뚼쿠떱룟!1999쓪,뚫뺩ꆢ싗뛘ꆢ쿣룛ꆢ첩맺ꆢ탂볓웂뗄횤좯쫐뎡뗄뮻쫖싊럖뇰캪49%ꆢ57%ꆢ51%ꆢ78%뫍75%(볻ꆶ훐맺횤좯웚믵춳볆쓪본2001ꆷ)ꆣ춬쓪,쏀맺얦풼횤좯붻틗쯹(NYSE)뗄쓪뻹뮻쫖싊듯떽75%ꆣ룱쇖쮹엋떱쪱죏캪쏀맺막욱쫐뎡돶쿖쇋ꆰ럇샭탔뿱퓪ꆱ(irrationalexuberance)ꆣ좻뛸,폫헢킩맺볒쿠뇈,맽룟뗄뮻쫖싊퓚훐맺룼캪춻돶ꆣ퓚맽좥쪮뛠쓪훐,훐맺뮦쫐쓪뻹뮻쫖싊ퟮ룟쪱듯떽1134165%(1994쓪);짮쫐쓪뻹뮻쫖싊ퟮ룟쪱듯떽1350135%(1996쓪)ꆣ벴뇣퓚컒맺막욱쫐뎡붻틗ힴ뿶쪮럖뗍쏔뗄2002쓪,짮뮦쫐뎡뮻쫖싊튲럖뇰듯떽19818%뫍214%,풶풶룟폚웤쯻맺볒뫍뗘쟸막쫐ꆣ3ꆡ첷쯉쳎,훐맺죋쏱듳톧닆헾뷰죚톧풺,폊헾뇠싫:100872,뗧ퟓ탅쿤:Tansongtao@;췵퇇욽,놱뺩듳톧맢뮪맜샭톧풺,폊헾뇠싫:100871,뗧ퟓ탅쿤:Ywang@ꆣퟷ헟룐킻ꆰ뗚컥뷬훐맺쟠쓪뺭볃톧헟싛첳ꆱ폫믡춬죊뛔놾컄쳡돶뗄탞룄틢볻ꆣ룐킻맢뮪맜샭톧풺돂폱폮샏쪦ꆢ헅틭샏쪦퓚싛컄킴ퟷ맽돌훐룸폨뗄횸떼뫍냯훺ꆣ룐킻쒳횤좯릫쮾쳡릩뗄쫽뻝횧돖,룐킻쓤쏻짳룥볒뗄움짳틢볻ꆣ떱좻,컄퓰ퟔ뢺ꆣ83' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
첷쯉쳎ꆢ췵퇇욽:막쏱맽뛈붻틗쇋쎴?막욱쫐뎡훐돶쿖뗄헢킩붻틗뚼쫇뫏샭뗄쎴?죧맻늻뫏샭막쏱폖캪쪲쎴죧듋욵랱뗘뷸탐붻틗쓘?헢킩컊쳢퓚뒫춳뗄뷰죚톧뿲볜쿂뫜쓑뗃떽쇮죋싺틢뗄듰낸ꆣ풭틲퓚폚,퓚뺭뗤뗄Merton쒣탍훐,쎿룶춶헟릺싲뗄막욱뚼쫇쫐뎡춶ퟩ뫏,듋쪱,쫐뎡훐펦룃늻믡랢짺죎뫎붻틗ꆣ퓚샭탔풤웚쒣탍훐,죧맻춶헟늻듦퓚틬훊탔,붻틗춬퇹늻믡랢짺ꆣ벴뇣볙뚨춶헟펵폐늻춬뗄탅쾢,떫횻튪ꆰ춶헟쫇샭탔뗄ꆱ헢튻탅쾢쫇릫릲탅쾢,붻틗춬퇹늻믡랢짺ꆣ틲캪,튻룶샭탔뗄춶헟쫇늻믡릺싲쇭췢튻룶샭탔춶헟돶쫛뗄막욱뗄(Milgrom뫍Stokey,1982)ꆣ뒫춳샭싛폫쿖쪵쟩뿶횮볤뗄쿔훸놳샫캪톧헟쳡돶쇋튻룶횵뗃퇐뺿뗄컊쳢ꆪꆪꆪꆰ붻틗횮쏕ꆱ(tradingpuzzle)ꆣStatman,Thorley뫍Vorkink(2003)틔벰Glaser뫍Weber(2003)쿪쾸뗘ퟜ뷡쇋퓚뒫춳뷰죚톧뿲볜쿂톧헟쏇뛔ꆰ붻틗횮쏕ꆱ컊쳢뗄퇐뺿쮼슷ꆣ룹뻝쯻쏇뗄ퟜ뷡뿉틔뾴돶,틔췹톧헟훷튪듓틔쿂벸뗣뷢쫍ꆰ붻틗횮쏕ꆱ컊쳢:튻쫇틽죫쇷뚯탔붻틗헟뗄룅쓮,죧Kyle(1985)ꆢAdmati뫍Pfleiderer(1988)ꆢFoster뫍Viswanathan(1990);뛾쫇틽죫춶헟틬훊탔뗄룅쓮,죏캪춶헟뗄쿈퇩탅쓮믲헟?쫍릫릲탅쾢뗄랽램늻춬,헢샠컄헂냼삨Varian(1985)ꆢHarris뫍Raviv(1993)뗈;죽쫇틽죫퓫틴붻틗헟뗄룅쓮,죧Black(1986)틔벰Bagehot(1971)ꆣ좻뛸,헽죧Statman,Thorley뫍Vorkink(2003)퓚컄훐횸돶ꆰ,ꆭꆭ뫳탸뗄퇐뺿뇭쏷,짏쫶헢킩샭싛뚼듦퓚쒳훖슩뚴,듓뛸쪹뗃믹폚헢킩랽램뛔ꆮ붻틗횮쏕ꆯ뷸탐뗄뷢쫍쓑틔쇮죋탅럾ꆣꆱ쯦ퟅ탐캪뷰죚톧뗄랢햹,듓춶헟ꆰ맽뛈ퟔ탅ꆱ뗄탄샭뷇뛈뛔ꆰ붻틗횮쏕ꆱ컊쳢뷸탐뗄퇐뺿풽살풽쫜떽톧헟쏇뗄훘쫓ꆣDeBondt뫍Thaler(1994)횸돶ꆰ샭뷢붻틗횮쏕뗄맘볼뗄탐캪틲쯘퓚폚맽뛈ퟔ탅ꆱꆣ헢샯,쯹캽맽뛈ퟔ탅쫇횸죋쏇뛔쒳볾쫂쟩뗄에뛏맽폚뿏뚨쇋(Lichtensteinetal,1982),믲헟쮵죋쏇쯵킡쇋뛔쒳튻쿖쿳뫳퇩럖늼뗄에뛏랶캧ꆣ뻙샽살쮵,죧맻룹뻝쒿잰쫐뎡짏돶쿖뗄탅쾢,쒳횻막욱쏷쳬뗄볛룱폐80%뗄룅싊실퓚6ꆪ10풪횮볤,맽뛈ퟔ탅뗄죋퓲믡쯵킡헢튻에뛏뗄볛룱쟸볤,죏캪볛룱폐80%뗄룅싊실퓚7ꆪ9풪횮볤ꆣDeBondt뫍Thaler(1994)죏캪ꆰ퓚탄샭톧쇬폲폐맘룶죋에뛏뗄퇐뺿돉맻훐,ퟮ컈붡뗄(robust)뷡싛뿉쓜뻍쫇죋쏇쫇맽뛈ퟔ탅뗄ꆱꆣ듳솿뗄탄샭톧퇐뺿뇭쏷,탭뛠횰튵뗄죋뚼듦퓚맽뛈ퟔ탅뗄쟩뿶,헢냼삨:탄샭톧볒,튽짺뫍뮤쪿ꆢ릤돌쪦ꆢ싉쪦ꆢ첸에죋풱ꆢ웳튵볒ꆢ맜샭죋풱ꆢ춶틸탐볒ꆢ횤좯럖컶쪦틔벰뺭볃풤닢죋풱(Danieletal,1998)ꆣOdean(1998)붫룶죋맽뛈ퟔ탅뗄뇭쿖탎쪽ퟜ뷡캪틔쿂벸룶랽쏦:죋쏇맽룟뗘맀볆ퟔ벺횪쪶뗄ힼ좷돌뛈;죋쏇맽룟뗘맀볆ퟔ벺ퟶ뫃쒳볾쫂쟩뗄쓜솦;룶죋퓚쒳쿮죎컱훐뗄훘튪탔풽룟,쯻뛔ퟔ벺쓜솦뗄룟맀돌뛈튲풽듳;듳뛠쫽죋죏캪ퟔ벺뇈욽뻹쮮욽룟,뛸쟒듳뛠쫽죋뛔ퟔ벺뗄움볛튪뇈뇰죋뛔쯻뗄움볛룟,뗈뗈ꆣ퓚탄샭톧퇐뺿뗄믹뒡짏,뺭볃톧볒뷸튻늽랢쿖,폫샭탔죋쿠뇈맽뛈ퟔ탅춶헟룼쟣쿲폚뷸탐붻틗ꆣ죔좻볌탸짏쏦뗄샽ퟓ,볙뚨샭탔춶헟뫍맽뛈ퟔ탅춶헟퓚뻶뚨쫇럱붻틗쪱돖폐뗄뇪ힼ뚼쫇튻퇹뗄,쯻쏇뚼죏캪횻폐떱볛룱쓜틔90%뗄룅싊실퓚6ꆪ10풪횮볤뗄쪱뫲닅쓜뷸탐붻틗(틲캪횻폐떱볛룱싺ퟣ헢룶쳵볾뗄쪱뫲쯻닅죏캪ퟔ벺뗄붻틗쓜릻믱샻)ꆣ떱쫐뎡탅쾢뇭쏷볛룱믡틔80%뗄룅싊실퓚6ꆪ10풪뗄쪱뫲,샭탔춶헟늻믡뷸탐붻틗,떫쫇맽뛈ퟔ탅춶헟평폚쯵킡쇋ퟔ벺뛔막볛뗄룅싊럖늼랶캧,틲듋쯻쏇믡듭컳뗘죏캪쏷쳬볛룱뗄럖늼듯떽붻틗랢짺쯹탨뗄쳵볾ꆣ폚쫇쯻쏇뻍퓚탅쾢늻ퟣ뗄쟩뿶쿂ퟶ돶쇋붻틗뻶닟ꆣ헢퇹,막욱쫐뎡짏뗄붻틗탐캪뻍퓶볓쇋,뛸맽뛈ퟔ탅춶헟랸듭뗄룅싊튲쯦횮퓶볓ꆣBenos(1998)뫍Odean(1998)뗄쒣탍횤쏷,맽뛈ퟔ탅춶헟룟맀쇋춶뗄웚췻쫕틦,틲듋쯻쏇욵랱뗘뷸탐붻틗,듓뛸떼훂쇋막욱쫐뎡짏웚췻붻틗맦쒣뗄짏짽;DeavesꆢLuders뫍Luo(2003)뗄쫔퇩퇐뺿쿔쪾,맽뛈ퟔ탅닺짺쇋뛮췢뗄붻틗;Glaser뫍Weber(2003)랢쿖쓇킩죏캪ퟔ벺춶벼쟉믲헟틔췹뗄춶쫕틦뇭쿖뎬맽욽뻹쮮욽뗄죋쏇붻틗뗃룼뛠ꆣKim뫍Nofsinger(2002)샻폃죕놾막욱쫐뎡뗄쫽뻝퓙뛈횤쪵쇋짏쫶뷡싛,춬쪱,쯻쏇뮹랢쿖폫컷랽맺볒뗄컄뮯쿠뇈,퇇훞뗄컄뮯쪹춶헟룼죝틗닺84' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
2006쓪뗚10웚짺맽뛈ퟔ탅ꆣ헢킩퇐뺿듓룷룶랽쏦뛔뷰죚쫐뎡뗄맽뛈ퟔ탅컊쳢뷸탐쇋첽쳖,늢뗃떽쇋튻룶릲춬뗄뷡싛,쓇뻍쫇맽뛈ퟔ탅믡떼훂맽뛈붻틗ꆣOdean(1999)퓋폃쏀맺쒳헛뿛뺭볍짌뗄뿍뮧붻틗볇슼퇩횤쇋쏀맺막욱쫐뎡듦퓚맽뛈붻틗쿖쿳,Barber뫍Odean(2001)샻폃춬튻쫽뻝뷸튻늽횤쪵헢훖맽뛈붻틗쫇폫맽뛈ퟔ탅쿠맘뗄ꆣ퓚훐맺,횱뷓샻폃막욱쫐뎡춶헟룶죋붻틗쫽뻝뛔막쏱맽뛈붻틗뫍맽뛈ퟔ탅탐캪뷸탐쪵횤퇐뺿뗄컄헂뮹뇈뷏짙ꋙ,쒿잰퓚컒쏇헆컕뗄쇏랶캧쓚뷶랢쿖샮탄떤ꆢ췵벽쓾뫍뢵뫆(2002)(룃컄춬쪱놻쫕슼떽샮탄떤,2004,ꆪ252)퓸뺭샻폃훐맺쒳횤좯펪튵늿7894캻춶헟뗄룶죋붻틗쫽뻝뛔훐맺룶쳥횤좯춶헟붻틗탐캪뷸탐쇋튻킩쪵횤퇐뺿,웤훐폐뷼솽튳뗄욪럹첸벰춶헟뗄맽뛈ퟔ탅컊쳢ꆣ횻쫇룃싛컄뛔맽뛈ퟔ탅뫍맽뛈붻틗뗄퇩횤맽돌듦퓚튻뚨컊쳢,본폚맽뛈붻틗뫍맽뛈ퟔ탅컊쳢퓚톧쫵뫍쪵볊튵컱닙ퟷ훐뗄훘튪탔,컒쏇죏캪폐뇘튪춨맽룼캪맦랶뗄랽램ꆢ퇏뷷뗄싛횤ꆢ쿪쾸뗄닻쫶캪듳볒쳡릩튻룶컈붡뗄뷡싛ꆣ놾컄퇘쾮쇋Odean(1999)틔벰Barber뫍Odean(2001)훐뛔맽뛈붻틗뗄뚨틥,샻폃1999ꆪ2003쓪웚볤훐맺쒳횤좯펪튵쳼뗄룶죋막욱붻틗쫽뻝살볬퇩막쏱쫇럱듦퓚맽뛈붻틗,춬쪱뾼달맽뛈붻틗쫇럱평맽뛈ퟔ탅떼훂ꆣ컒쏇죏캪,죎뫎춶뚼쫇폐믺믡돉놾뗄ꆣퟷ캪튻룶샭탔뗄춶헟,폃쫖훐쿖뷰릺뷸막욱믲헟쫛돶쒳횻막욱늢폃돶쫛막욱믱뗃뗄뷰릺뷸웤쯻막욱,웤잰쳡뇘좻쫇릺뷸뗄막욱퓚릺뷸뫳튻뚨쪱볤쓚뗄쫕틦싊룟폚쯻쏇돶쫛뗄막욱퓚쫛돶뫳튻뚨쪱볤쓚뗄쫕틦싊ꆣ죧맻쫂뫳컒쏇랢쿖헦쪵쟩뿶폫듋쿠랴,쓇뻍틢캶ퟅ막쏱싲뷸뗄막욱쎻폐쯻쏇싴돶뗄막욱뫃ꆣ평폚막쏱붻틗뗄쒿뗄쫇캪쇋펯샻,틲듋헢훖쟩뿶뻍쮵쏷막쏱떱쪱뗄붻틗뻶닟쫇듭컳뗄,믲헟쮵막쏱떱쪱뷸탐뗄쫇튻뇊늻룃뷸탐뗄붻틗ꆣ뛸떱막쏱듳솿뗄붻틗탐캪쫇헢훖늻룃랢짺뗄붻틗뗄쪱뫲,쓇뻍뇭쏷막쏱뿉쓜퓚탅쾢늻ퟣ틔횧돖쯻뷸탐붻틗뻶닟뗄쪱뫲ퟶ돶쇋뻶닟,뮻뻤뮰쮵튲뻍쫇막쏱듦퓚ퟅ맽뛈붻틗쟣쿲ꆣ틔튻룶볲뮯뗄탩쓢붻틗캪샽,볙짨춶헟퓚5퓂1죕싴돶막욱A,춬쪱싲뷸막욱Bꆣ죧맻듓쫂뫳뗄뷇뛈믱쾤,룃막쏱뛔막욱B뗄돖폐웚캪솽룶퓂,튲뻍쫇쮵막쏱퓚6퓂30죕돶쫛쇋막욱B,쓇쎴떱컒쏇에뛏룃막쏱퓚5퓂1죕랢짺뗄쓇솽뇊붻틗뻶닟쫇럱헽좷뗄쪱뫲,뻍뿉틔붫막욱A뫍B퓚5퓂1죕떽6퓂30죕웚볤뗄믘놨싊뷸탐뇈뷏,죧맻떱쪱싴돶뗄막욱퓚헢웚볤뗄믘놨싊뗍폚떱쪱싲뷸막욱뗄믘놨싊,쓇뻍틢캶ퟅ룃막쏱퓚5퓂1죕쓇쳬ퟶ돶뗄붻틗뻶닟쫇듭컳뗄ꆣ죧맻듓쫂뫳뗄뷇뛈랢쿖막쏱듳솿뗄붻틗뻶닟뚼쫇헢훖듭컳뗄뻶닟쪱,쓇뻍쮵쏷막쏱듦퓚맽뛈붻틗쿖쿳ꆣ훁폚맽뛈붻틗쫇럱평맽뛈ퟔ탅틽웰뗄,횱뷓뗄볬퇩쫇삧쓑뗄ꆣ떫죧맻횪뗀쒳늿럖춶헟맽뛈ퟔ탅돌뛈뇈쇭튻늿럖춶헟룟,늢쟒랢쿖맽뛈ퟔ탅돌뛈룼룟뗄춶헟뻟폐룼퇏훘뗄맽뛈붻틗쟣쿲,쓇쎴퓚쒳훖돌뛈짏뻍늻쓜업돽맽뛈붻틗쫇평맽뛈ퟔ탅틽웰뗄볙짨ꆣ믹폚헢훖뾼싇,놾컄내헕탔뇰붫춶헟럖캪솽샠,춨맽뇈뷏늻춬탔뇰춶헟맽뛈붻틗돌뛈뗄닮틬살싛횤맽뛈붻틗뫍맽뛈ퟔ탅횮볤뗄솪쾵ꆣ놾컄뗄릱쿗퓚폚:뗚튻,막욱쫐뎡쫗쿈쫇막쏱뗄쫐뎡,뛔폚훐맺헢퇹튻룶탂탋뗄횤좯쫐뎡살쮵,쫐뎡훐듦퓚뗄뫜뛠컊쳢쫇컷랽횤좯쫐뎡쯹쎻폐뗄,퓚헢훖쫐뎡뮷뺳쿂,막쏱뗄춶탐캪믡돊쿖돶쪲쎴쳘뗣쫇탭뛠죋룐탋좤뗄,춬쪱튲쫇컒쏇컞램듓맺췢톧헟뗄쪵횤퇐뺿훐뗃떽뗄ꆣ좻뛸,평폚훖훖풭틲,맺쓚톧헟훁뷱뛔막쏱뗄춶탐캪쳘헷퇐뺿짵짙,쯹횪짵짙ꆣ춨맽뛔훐맺막욱쫐뎡룶죋붻틗쫽뻝뗄쏨쫶뫍럖컶,폐훺폚죋쏇짮죫뗘쇋뷢훐맺막쏱뗄춶탐캪쳘헷뫍춶탄샭쳘헷,헢캪죋쏇뷸튻늽죏쪶훐맺막욱쫐뎡쳡릩쇋틀뻝ꆣ뗚뛾,훐맺막욱쫐뎡맽룟뗄뮻쫖싊퓚쫀뷧랶캧쓚뚼쫇튻훖틬뎣쿖쿳,컞싛쫇쪵튵뷧뮹쫇톧쫵뷧듳볒튻횱쪮럖맘힢헢튻컊쳢ꆣ떫쫇,튪헽좷뾴듽헢훖맽룟뗄뮻쫖싊,ꋙ본폚맺췢톧헟뛔맽뛈붻틗컊쳢뗄샭싛퇐뺿뇈뷏돉쫬,퓚듋컒쏇늻퓙뛔맺쓚톧헟퓚샭싛랽쏦뗄퇐뺿뷸탐ퟛ쫶ꆣ85' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
첷쯉쳎ꆢ췵퇇욽:막쏱맽뛈붻틗쇋쎴?뻍튪춸맽컊쳢뗄뇭쿳짮죫럖컶웤놳뫳뗄풭틲ꆣ놾컄붫맺췢탐캪뷰죚쇬폲ퟮ탂뗄퇐뺿랽램뫍퇐뺿돉맻펦폃떽뛔훐맺컊쳢뗄럖컶훐,캪컒쏇헽좷샭뷢훐맺막욱쫐뎡맽룟뗄뮻쫖싊쳡릩쇋틀뻝ꆣ뗚죽,맽뛈붻틗뫍맽뛈ퟔ탅컊쳢쫇탐캪뷰죚톧쇬폲튻룶럇뎣훘튪뗄컊쳢ꆣ맺췢톧헟듳솿뗄샭싛퇐뺿뇭쏷맽뛈ퟔ탅뛔붻틗듦퓚펰쿬,떫쫇뷘훁쒿잰,컞싛쫇퓚맺쓚뮹쫇맺췢헢랽쏦뗄쪵횤퇐뺿뚼뫜짙ꆣ놾컄샻폃훐맺뗄쫽뻝듓쪵횤뗄뷇뛈뛔맺췢샭싛뷡맻뷸탐쇋퇩횤,헢튻랽쏦쪹뗃샭싛퇐뺿뗄돉맻룼캪뿉탅,쇭튻랽쏦튲캪웤쯻톧헟퓚듋믹뒡짏뷸튻늽퇐뺿훐맺막욱쫐뎡뗄춶탐캪쳡릩볡쪵뗄믹뒡ꆣ컄헂뻟쳥낲업죧쿂:뗚뛾뷚쏨쫶놾컄쪹폃뗄쫽뻝쟩뿶;뗚죽뷚쳖싛쪵횤퇐뺿뗄랽램;뗚쯄뷚룸돶쪵횤퇐뺿뗄뷡싛;뗚컥뷚ퟜ뷡좫컄ꆣ뛾ꆢ쫽뻝쏨쫶ꆡꆡ놾컄쪹폃뗄쫽뻝훷튪냼삨틔쿂죽늿럖:ꆡ뇭11999ꆪ2003쓪펪튵쳼헋뮧튻쫇1999쓪1퓂1죕떽2003쓪12퓂31죕웚볤,ힴ뿶쏨쫶떥캻:룶DataStream쫽뻝뿢훐짮뮦쫐뎡뗷헻뫳뗄죕막볛쫽뻝ꆣ뛾쫇훐맺쒳횤좯펪튵쳼뾪뮧ힴ뿶쫽뻝ꆣ놾쫽뻝냼쓪럝떱쓪탂뾪뮧쪵볊믮뚯뾪뮧쫽ퟜ쫽헋뮧쫽몬쇋1994쓪틔살퓚룃펪튵쳼뾪뮧뗄쯹폐룶죋뗄탔뇰ꆢ1999쓪틔잰5826뾪뮧쪱볤뫍뷰헋뫅ꆣꋙ뷘훁2003쓪12퓂31죕,룃1999쓪218380094142펪튵쯹릲폐16577룶뷰헋뮧,웤훐쎿쓪탂뾪뮧쫽ꆢ뷘2000쓪4991130008263훁쎿쓪쓪뗗뾪뮧ퟜ쫽틔벰퓚룃쓪쪵볊뷸탐쇋막욱싲싴붻틗뗄헋뮧쫽(믲헟쪵볊믮뚯헋뮧쫽ꋚ)럖뇰죧뇭2001쓪21361513687651쯹쪾2002쓪1066162026316:듓뇭2003쓪3751657758921뿉틔뾴돶,쎿쓪쪵볊믮뚯헋뮧쫽쒿튪뗍폚뷘훁룃쓪뗗뾪뮧ퟜ쫽,튲뻍쫇쮵,쎿튻쓪뚼믡폐늿럖춶헟뒦폚럇믮뚯ힴ첬믲헟췋돶막쫐ꆣ튻냣살쮵,춶헟췋돶막쫐뗄풭틲폐솽훖:튻쫇춶헟춶막욱뗄쓜솦뇈뷏닮,막욱춶뎤웚뿷쯰,틲뛸훰붥듓막쫐췋돶ꆣ뛾쫇춶헟폐뇈춶막욱뗄웚췻믘놨싊룼룟뗄춶믺믡,헢늿럖죋튲믡붫뷰듓막쫐돩ퟟ,쿲웤쯻춶쿮쒿ꆣ퓚헢훖쟩뿶쿂,춶헟췋돶막쫐뗄잰쳡쫇쯻쏇퓚막욱쫐뎡웚췻춶믘놨싊뗍폚웤쯻놸톡춶쿮쒿ꆣ뛸죧맻룸뚨짧믡뗄춶믺믡,쓇킩퓚막욱쫐뎡춶믘놨싊풽뗍뗄죋풽죝틗듓막욱쫐뎡췋돶쿲웤쯻춶쿮쒿ꆣ틲듋,컞싛쫇뗚튻훖쟩뿶뮹쫇뗚뛾훖쟩뿶,쯼쏇뚼믡뛔퇹놾퓬돉닐듦욫닮(survivorshipbias)ꆣ튲뻍쫇쮵,뛔폚춬튻쪱볤뷸죫막쫐뗄춶헟살쮵,쯦ퟅ쪱볤뗄췆틆,춶쓜솦뗍뗄죋훰붥듓막쫐췋돶,뛸쓇킩쓜릻쇴퓚막쫐훐뗄춶헟춶쓜솦쿠뛔뷏룟ꆣ헢퇹,퇹놾뻍컞램ힼ좷랴펳ퟜ쳥뗄쳘탔ꆣ놾컄쿻돽닐듦욫닮뗄랽램쫇붫헻룶펪튵쳼쎿쓪탂뾪뮧뗄쯹폐춶헟뚼냼몬떽퇹놾훐,평폚쎿쓪탂뾪뮧뗄춶헟훐춬쪱냼몬쇋춶쓜솦잿뫍춶쓜솦죵뗄죋,헢퇹뻍뿉틔붵뗍평폚늿럖춶쓜솦닮뗄춶헟췋돶막쫐듸살뗄닐듦욫닮ꆣ죽쫇1999쓪1퓂1죕떽2003쓪12퓂31죕웚볤퓚룃횤좯펪튵쳼랢짺뗄쯹폐막욱붻틗볇슼ꆣ놾쫽뻝릲707239쳵붻틗볇슼,냼몬붻틗랢짺쪱볤ꆢ뷰헋뫅ꆢ싲싴뇪횾ꆢ막욱듺싫ꆣ웤훐,랢짺뗄싴돶막욱뗄붻틗릲327050뇊,싲뷸막욱뗄붻틗릲380189뇊ꆣꋙ평폚룃쫽뻝짦벰춶헟룶죋탅쾢ힴ뿶,틲듋퓚믱좡쫽뻝뗄쪱뫲,쫽뻝뺭맽쇋튻뚨뗄뒦샭,떫헢훖뒦샭훷튪쫇틾님춶헟헦쪵짭럝,늢늻펰쿬뛔늻춬춶헟뗄쟸럖,튲늻펰쿬컒쏇뛔컊쳢뗄퇐뺿ꆣꋚ폐킩헋뮧뗄횤좯헋뮧짏뿉쓜듦폐막욱,쯻쏇닎폫쇋릫쮾뗄럖뫬ꆢ엤막뗈믮뚯떫쫇퓚룃쓪뛈쎻폐랢짺막욱싲싴붻틗;튲폐튻킩헋뮧횻랢짺쇋맺햮ꆢ믹뷰뗈횤좯붻틗,떫쫇평폚컒쏇헢샯훷튪쳖싛뗄쫇막욱붻틗,틲듋튲쎻폐붫헢늿럖헋뮧볆쯣퓚쓚ꆣ86' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
2006쓪뗚10웚죽ꆢ퇐뺿랽램A1볬퇩춳볆솿짨볆헢샯,쫗쿈튪뛔맽뛈붻틗룅쓮짔ퟶ뷢쫍ꆣ컒쏇횪뗀,뛔폚튻룶샭탔뗄ꆢ틔퓶볓쫕틦캪쒿뗄뗄막쏱살쮵,떱쫐뎡듦퓚붻틗돉놾쪱,쯻쏇뷸탐싲싴붻틗뗄잰쳡뇘좻쫇붻틗듸살뗄쫕틦퓶볓욽뻹뾴살쓜릻쏖늹붻틗돉놾ꆣ튲뻍쫇쮵,퓚튻뚨뗄쪱볤뎤뛈쓚,춶헟싲뷸막욱뗄쫐뎡믘놨싊튪룟폚쯻떱돵캪싲뷸룃막욱뛸쫛돶막욱뗄쫐뎡믘놨싊ꆣ죧맻욽뻹뾴살,붻틗믱뗃뗄쫕틦늻ퟣ틔쏖늹웤붻틗돉놾,짵훁퓚캴뾼싇돉놾뗄쟩뿶쿂춶헟싲뷸막욱뗄쫐뎡믘놨싊뚼뗍폚싴돶막욱쫐뎡믘놨싊,쓇쎴컒쏇뻍뿉틔죏캪춶헟떱돵뗄붻틗뻶닟듦퓚컊쳢ꆣ쯻쏇퓚뻶닟뗄쪱뫲믲헟맽룟뗘맀볆쇋ퟔ벺펵폐탅쾢뗄뺫좷탔믲헟뛔탅쾢뗄샭뷢듦퓚쾵춳탔욫닮ꆣOdean(1999)죏캪헢솽훖쟩탎뚼쫇춶헟맽뛈ퟔ탅뗄쳥쿖,뛸헢훖맽뛈ퟔ탅폖붫틽웰맽뛈붻틗ꆣ룹뻝짏쫶쿫램,튪뛔춶헟맽뛈붻틗쟩뿶뷸탐볬퇩,쫗쿈탨튪짨뚨튻룶뫏샭뗄막욱돖폐웚ꆣ쯤좻훐맺쎿쓪뚼믡퓚횤좯웚믵쓪본훐릫늼짏쓪짮뮦쫐뎡막욱뮻쫖싊,떫쫇헢튻쫽뻝쫇좫맺막쏱막욱붻틗뗄ퟜ쳥뮻쫖싊,뻟쳥떽놾컄쪹폃뗄퇹놾죧맻틀뻝헢튻쫽뻝뿉쓜믡듦퓚뷏듳욫닮ꆣ틲듋쿂쏦쫗쿈튪룹뻝퇹놾훐춶헟뗄붻틗쟩뿶볆쯣돶퇹놾쓚춶헟뗄욽뻹뮻쫖싊ꆣ놾컄붫춶헟뮻쫖싊뚨틥캪춶헟싴돶막욱뮻쫖싊뫍싲뷸막욱뮻쫖싊뗄욽뻹횵ꆣ춶헟h퓚뗚t훜싴돶막욱뗄뮻쫖싊캪ꇆShStitp3i=1itH,웤훐Sit캪춶헟퓚뗚t훜싴돶막욱i뗄쫽솿;Hit캪춶it헟퓚뗚t훜돵돖폐막욱i뗄쫽솿;pit캪춶헟퓚뗚t훜돵돖폐막욱i뗄볛횵돽틔룃훜춶ퟩ뫏뗄ퟜ볛횵;Sht캪춶헟퓚뗚t훜싴돶뗄늻춬막욱룶쫽ꆣ춶헟퓚뗚t훜싲뷸막욱뗄뮻쫖싊캪ꇆShBtitp+13i=1i,tH,웤훐Bit캪춶헟퓚뗚t훜싲뷸막욱i뗄쫽솿ꆣꋙ퓚짏쫶뚨틥쿂,쯹폐춶헟훜i,t+1NjTNퟜ뮻쫖싊뗄욽뻹횵뻍뗈폚ꇆꇆTrjtꇆjT,웤훐,Trjt캪춶헟j퓚뗚t훜뗄훜ퟜ뮻쫖싊,jT쫇춶j=1t=1j=1헟j뗚튻듎랢짺붻틗떽ퟮ뫳튻듎랢짺붻틗횮볤뗄ퟜ훜쫽,N쫇춶헟룶쫽ꆣ춶헟훜싲뷸ꆢ싴돶막욱뮻쫖싊욽뻹횵뗄볆쯣랽램폫횮샠쯆ꆣ룹뻝짏쫶뚨틥,뺭볆쯣뗃떽퇹놾쓚쯹폐춶헟쯹폐싲뷸ꆢ싴돶틔벰ퟜ뮻쫖싊뗄욽뻹횵럖뇰캪:915%ꆢ1417%뫍12%ꆣ헢튲뻍틢캶ퟅ,퇹놾쓚춶헟욽뻹막욱돖폐웚캪8133훜,믲헟쮵42룶붻틗죕ꆣ틲듋,컒쏇뻍붫춶ퟩ뫏돖폐웚좷뚨캪죽룶ꆪꆪꆪ21룶붻틗죕ꆢ42룶붻틗죕뫍84룶붻틗죕,헢럖뇰뛔펦ퟅ죕샺쪱볤뗄튻룶퓂ꆢ솽룶퓂뫍쯄룶퓂ꆣ뷓쿂살,틔헋뮧캪떥캻,룹뻝쎿룶춶헟쎿훜뗄ퟜ뮻쫖싊볆쯣돶쎿룶춶헟욽뻹훜ퟜ뮻쫖싊,좻뫳내헕춶헟뗄쓪쇤뷡릹뫍뷰뷡릹쳘헷뷸탐럖샠,룸돶늻춬쳘헷춶헟욽뻹훜ퟜ뮻쫖싊뗄욽뻹횵뗈춳볆횸뇪,뻟쳥뷡맻볻뇭2ꆣ퓚좷뚨쇋막욱돖폐웚횮뫳,룹뻝룶죋붻틗볇슼뇭훐쎿뇊붻틗랢짺뗄쪱볤,뿉틔볆쯣돶룃뇊붻틗랢짺뗄T룶붻틗죕쓚(T=21,42,84),붻틗막욱뗄쫐뎡믘놨싊Ri,T=Pi,t+TPi,t-1ꆣ웤훐ij,듺뇭jjj뗚j룶헋뮧뗄뗚듎붻틗뗄막욱,Pi,t캪t죕막욱ij뗄볛룱ꆣ뷴뷓ퟅ,냑쎿룶헋뮧쯹폐릺뷸막욱뗄쫐j뎡쫕틦싊뫍쯹폐쫛돶막욱뗄쫐뎡쫕틦싊럖뇰뷸탐욽뻹,뗃떽쎿룶헋뮧쯹폐릺뷸막욱쫐뎡쫕틦싊뗄욽뻹횵RP,T뫍쯹폐쫛돶막욱쫐뎡쫕틦싊뗄욽뻹횵RS,T,틔벰헢솽룶욽뻹횵횮볤뗄닮횵RN,Tꆣퟮjjjꋙ뮻쫖싊뗄뚨틥뷨본쇋Odean(2001)뗄ퟶ램,떫룹뻝훐맺뗄쪵볊쟩뿶뷸탐쇋뇤뮯ꆣퟮ훷튪뗄쫇,헢샯쎻폐붫뮻쫖싊쫽횵쿞뚨퓚킡폚1뗄랶캧쓚ꆣ87' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
첷쯉쳎ꆢ췵퇇욽:막쏱맽뛈붻틗쇋쎴?뫳ꆡꆡ,룹뻝쯹폐헋뮧뗄RN,T뿉틔볬ꆡ뇭2늻춬쳘헷춶헟욽뻹훜ퟜ뮻쫖싊쟩뿶j퇩웤퓚춳볆틢틥짏쫇럱듳폚쇣ꆣ뮻쫖싊짏쏦룸돶쇋볬퇩춳볆솿뗄짨쿮쒿뻹횵25%럖캻뗣훐캻쫽75%럖캻뗣뇪ힼ닮볆랽램ꆣ쿂쏦폐벸룶컊쳢탨튪ퟶퟜ쳥쟩뿶814%1139%3119%714%012526뷸튻늽쮵쏷:뗚튻,탨튪힢틢뗄쫇,짏쏦뗄샏쓪8115%1133%3110%6182%012157쓪쇤볬퇩랽램늢쎻폐뾼싇붻틗돉놾뗄뷡릹훐쓪7175%1134%3101%6176%012659컊쳢ꆣ헢훖ퟶ램뗄풭틲퓚폚,죧쟠쓪9143%1148%3147%8162%012368맻퓚늻뾼싇붻틗돉놾뗄쟩뿶쿂,뷰즢뮧8136%1137%3117%7135%012534춶헟싲뷸막욱뗄헇럹뚼튪뗍폚맦쒣듳뮧10141%2104%4106%9133%012208싴돶막욱헇럹뗄뮰,쓇쎴듓쫕틦ꆡꆡꆡ힢:샏쓪캪쓪쇤듳폚55쯪죋풱,훐쓪캪쓪쇤퓚31ꆪ55횮볤뗄죋풱,쟠쓪캪쓪쇤훐쳞돽붻틗돉놾뫳룃뷡싛펦룃춬퓚30쯪틔쿂죋풱ꆣ즢뮧캪춶맦쒣킡폚20췲뗄춶헟;듳뮧캪춶맦쒣퓚20췲틔퇹돉솢ꆣ짏뗄춶헟,헢늿럖춶헟뿉틔뷸죫펪튵늿듳뮧쫒뷸탐붻틗ꆣ퓚뷸탐뻹횵볆쯣쪱,뗚뛾쳞돽쇋훜뮻쫖싊듳폚10뗄맛닢뗣(릲18룶맛닢뗣)ꆣ헢샯,춶맦쒣캪퓚막쏱춶,놾컄쫇틔헋뮧캪떥캻,뛔쎿룶헋뮧쯹폐싲뷸뫍싴돶막욱웚쓚쎿훜춶ퟩ뫏쫐뎡볛횵뗄욽뻹횵ꆣ뗄쫐뎡믘놨싊뷸탐볓ퟜ뗄,헢폫Odean(1999)뗄랽램폐쯹늻춬ꆣOdean(1999)쫇틔막욱캪떥캻,뛔쎿횻막욱쯹폐싲뷸뫍싴돶붻틗뗄믘놨싊뷸탐볓ퟜꆣ떫쫇,평폚놾컄퇐뺿뛔쿳쫇막욱쫐뎡훐뗄춶헟,틲듋내헕헋뮧뷸탐볓ퟜ뗄랽램뿉쓜룼캪횱맛튲룼죝틗놻죋쏇샭뷢ꆣ춬쪱,컒쏇폃틔막욱캪떥캻뷸탐볓ퟜ뗄랽램뛔놾컄뗄훷튪뷡싛훘탂뷸탐쇋퇩횤,랢쿖솽훖랽램뗄뷡싛쎻폐놾훊뗄닮뇰ꆣ쿞폚욪럹,헢샯뷶쳡릩쇋틔헋뮧캪떥캻뷸탐볓ퟜ뗄볬퇩뷡싛ꆣ뗚죽,놾컄뾼달뗄막욱쫕틦싊늢늻쫇춶헟퓚막욱쫐뎡짏쪵볊믱뗃뗄헦쪵쫕틦,뛸쫇춶헟싲싴막욱횮뫳,룃막욱뗄쫐뎡헇뗸쟩뿶ꆣ볲떥뗘쮵,컄헂뻍쫇춨맽뇈뷏춶헟쫇싴돶막욱헇뗄뛠뮹쫇싲뷸막욱헇뗄뛠,뛔춶뻶닟뗄헽좷탔뷸탐에뛏,뷸뛸뻶뚨춶헟쫇럱듦퓚맽뛈붻틗ꆣ뗚쯄,평폚놾컄쪹폃뗄퇹놾쫇짮뮦쫐뎡쯹폐춶헟뗄튻룶ퟓ벯,틲듋폐죋뿉쓜믡죏캪,폃막욱쫐뎡훐웤폠쯹폐춶헟뗄붻틗볇슼훘뢴놾컄뗄퇐뺿펦룃뗃떽폫헢샯쿠랴뗄뷡싛ꆣ쫂쪵짏,헢훖쿫램쫇쯆쫇뛸럇뗄ꆣ평폚놾컄퓚볆쯣춶헟붻틗막욱뗄쫐뎡쫕틦싊쪱늢쎻폐뾼싇쪵볊붻틗뗄뷰뛮,틲듋쒳횻막욱튻뇊싲뷸붻틗뿉쓜뛔펦ퟅ뛠뇊싴돶붻틗,랴횮틠좻ꆣ헢퇹,쯤좻퇹놾춶헟쯹폐싲뷸(싴돶)뗄붻틗뷰뛮뗈폚짮뮦쫐뎡웤폠춶헟쯹폐싴돶(싲뷸)뗄붻틗뷰뛮,떫쫇퇹놾춶헟쯹폐싲뷸(싴돶)붻틗탐캪늢늻튻뚨뛔펦ퟅ짮뮦쫐뎡웤폠춶헟쯹폐싴돶(싲뷸)붻틗탐캪ꆣ틲뛸,늻쓜틲듋췆뛏폃쫐뎡웤폠춶헟뗄붻틗쫽뻝뷸탐퇐뺿,믡뗃떽폫놾컄쿠랴뗄뷡싛ꆣퟮ뫳,폐늿럖맛뗣죏캪,춶헟싲죫막욱뗄쫕틦싊뗍폚싴돶막욱뗄쫕틦싊뿉쓜쫇평폚춶헟싲죫뗍럧쿕막욱뛸싴돶쇋룟럧쿕막욱ꆣ뛸퓚뺭맽럧쿕뗷헻뫳,싲뷸막욱뗄쫕틦뿉쓜늢늻뗍폚싴돶막욱뗄쫕틦ꆣ틲듋,퓚퇐뺿맽돌훐펦룃쿈뛔쫕틦뷸탐럧쿕뗷헻ꆣ펦룃쮵헢훖쿫램폐튻뚨뗄뗀샭ꆣ떫쫇,퓚놾컄뗄뿲볜쿂,컒쏇죏캪헢훖틔뗷헻춶ퟩ뫏럧쿕쮮욽캪쒿뗄뗄붻틗탐캪쫴폚춶헟헽뎣뗄붻틗탐캪ꆣ컒쏇횪뗀,춶헟룄뇤춶ퟩ뫏뗄릹돉,뷸뛸룄뇤웤돐떣뗄럧쿕쮮욽,웤풭틲훷튪폐솽룶ꆣ튻쫇쯦ퟅ쪱볤뗄뇤뮯막쏱돖폐막욱ퟩ뫏뗄럧쿕쮮욽랢짺쇋뇤뮯;뛾쫇막쏱뗄럧쿕욫뫃랢짺쇋룄뇤ꆣ뗚튻훖쟩뿶쫂쪵짏뻍쫇춶헟돶폚훘탂욽뫢춶ퟩ뫏뗄탨튪뷸탐뗄붻틗,뛸뗚뛾훖쟩뿶퓲쫇뗚튻훖쟩뿶뗄쓦쿲뇤뮯(닎헕뗣랢짺뇤뮯)ꆣ뫳컄컒쏇믡춨맽퇹놾즸톡,뺡뿉쓜복짙헢훖붻틗뚯믺뛔놾컄뷡싛뗄펰쿬ꆣB1훃탅쟸볤뗄맀볆잰쏦뷩짜쇋춶헟싲뷸ꆢ싴돶막욱쫐뎡믘놨싊닮횵뗄릹퓬랽램ꆣ헢훖릹퓬랽램룸닮횵뗄쿔훸88' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
2006쓪뗚10웚탔볬퇩듸살튻룶컊쳢,쓇뻍쫇평폚늻춬춶헟뿉쓜퓚쿠뷼뗄쪱웚릺싲(믲돶쫛)쿠춬뗄막욱,틲듋헢킩쫐뎡믘놨싊횮볤뻍뫜뿉쓜듦퓚쿠맘탔ꆣ볙짨춶헟A퓚t0쪱웚릺뷸막욱S,30쳬뫳춶헟B릺뷸쿠춬뗄막욱,쓇쎴AꆢB룷ퟔ뷸탐뗄헢뇊붻틗42쳬뫳뗄쫐뎡믘놨싊횮볤뻍듦퓚12쳬훘뗾쪱볤ꆣ퓚헢킩훘뗾죕웚쓚막욱S뗄쫐뎡믘놨싊쫇쿠춬뗄,헢뻍떼훂쇋헋뮧A뫍헋뮧B쯹릺뷸막욱뗄쫐뎡믘놨싊돶쿖쿠맘탔ꆣ헢퇹,퓚뷸탐쿔훸탔볬퇩쪱뻍늻쓜쪹폃뒫춳뗄t춳볆볬퇩횸뇪ꆣ뷢뻶헢튻컊쳢뗄쮼슷횮튻쫇춨맽볙짨릺뷸막욱쫐뎡쫕틦싊뗄욽뻹횵탲쇐{RP,T}뫍쫛돶막욱j쫐뎡쫕틦싊뗄욽뻹횵탲쇐{RS,T}럾듓헽첬럖늼,뷸뛸죏캪닮횵{RN,T}럾듓헽첬럖늼,좻뫳샻폃헢jj튻뷡싛뷸탐볬퇩춳볆솿뗄짨볆ꆣ좻뛸,퓚뛔쯹폐릺뷸막욱쫐뎡쫕틦싊뗄욽뻹횵탲쇐{RP,T}틔벰쯹j폐쫛돶막욱쫐뎡쫕틦싊뗄욽뻹횵탲쇐{RS,T}뗄헽첬탔뷸탐볬퇩뫳랢쿖,컞싛쫇욫뛈ꆢ럥뛈뮹쫇솪뫏j볬퇩,퓚킡폚01001뗄훃탅쮮욽뚼쓜뻜뻸욽뻹횵탲쇐럾듓헽첬럖늼뗄볙짨ꆣ평폚헽첬탔볙짨잰쳡늻돉솢,짏쏦헢훖랽램뗄뿉탅뛈뻍듳듳붵뗍쇋ꆣퟷ캪쳦듺,놾컄닉폃쇋Bootstrap뗄랽램ꆣ튻냣살붲,튪쿫뛔춳볆솿뗄뺫좷탔뷸탐뫢솿쫗쿈튪좷뚨퇹놾뗄럖늼ꆣ죧맻쫂쿈횪뗀ퟜ쳥럖늼,믲헟쿈퇩뗘뛔ퟜ쳥럖늼ힴ뿶뷸탐쇋볙뚨,뻍뿉틔듓ퟜ쳥훐쯦믺돩좡N룶퇹놾,볆쯣돶춳볆솿뗄횵,뷸뛸뻶뚨훃탅쟸볤ꆣBootstrap랽램폫횮늻춬횮뒦퓚폚,쯼쫇샻폃맛닢떽뗄퇹놾럖늼ퟷ캪헦쪵ퟜ쳥럖늼뗄쳦듺ꆣ춬쪱,춨맽럅믘돩퇹뗄랽램닺짺튻룶퇹놾럖늼뗄Bootstrap럖늼,샻폃Bootstrap럖늼,뿉틔맀볆돶춳볆횵뗄뇪ힼ닮틔벰훃탅쟸볤뗈횸뇪ꆣ볙짨퇹놾폐N룶맛닢횵,샻폃헢N룶맛닢횵뿉틔볆쯣돶쒳룶맀볆솿ꛈ^,평폚늻쟥돾퇹놾뗄럖늼쟩뿶,뻍컞램샻폃t춳볆솿믲헟웤쯻춳볆솿뛔ꛈ^뗄훃탅쟸볤뷸탐뷧뚨ꆣ떫쫇,죧맻폃럅믘돩퇹뗄랽램쯦믺뗘듓헢N룶맛닢횵훐돩좡m룶,룹뻝헢m룶횵볆쯣돶ꛈ^뗄튻룶맀볆횵ꛈ^i;훘뢴짏쫶닙ퟷK듎,뿉틔뗃떽튻룶탲쇐{ꛈ^i},춨맽헢룶탲쇐뻍쓜맀볆돶ꛈ뗄Bootstrap럖늼,좻뫳샻폃헢튻럖늼뛔ꛈ^뗄훃탅쟸볤뗈횸뇪뷸탐볆쯣ꆣ쯦ퟅ볆쯣믺뒦샭쫽뻝쓜솦뗄쳡룟,뷼킩쓪살,Bootstrap뗄랽램뗃떽맣랺뗄펦폃ꆣ폈웤떱폶떽퇹놾맛닢횵듦퓚쿠맘탔믲헟퇹놾듦퓚욫킱럖늼(skeweddistribution)컊쳢뗄쪱뫲,Bootstrap랽램뻍쳡릩쇋튻룶뫜뫃뗄맀볆훃탅쟸볤뗄랽램ꆣKothari뫍Warner(1997)죏캪,룃랽램ꆰ캪튻킩횼퓚붵뗍짨뚨듭컳(misspecification)뗄쳦듺볬퇩쳡릩쇋튻룶뫜폐잰뺰뗄뿲볜ꆱꆣLyon,Barber뫍Tsai(1999)퇩횤쇋헢훖랽램뗄뷓쫜싊뫍뻜뻸싊(acceptanceandrejectionrate),랢쿖뛔폚쯦믺퇹놾살붲,룃랽램럇뎣폐킧ꆣ놾컄샻폃춳볆죭볾Stata쳡릩뗄죭볾냼횱뷓볆쯣돶춳볆솿뗄욫닮뷃헽(bias2corrected)훃탅쟸볤ꆣ퓚Bootstrap맽돌훐샻폃좫늿퇹놾뷸탐럅믘돩퇹,럅믘돩퇹뗄듎쫽좡캪500듎ꆣ쯄ꆢ볬퇩뷡맻A1믹놾뷡싛뇭3룸돶쇋놾컄뗄믹놾뷡싛ꆣ웤훐,PanelA떽PanelC럖뇰쫇1999ꆪ2003쓪ꆢ1999ꆪ2000쓪틔벰2001ꆪ2003쓪웚볤쯹폐춶헟붻틗막욱뗄쫐뎡믘놨싊쟩뿶ꆣ듓헢늿럖뗄볬퇩뷡맻뿉틔뾴돶,뛔펦ퟅ늻춬뗄쪱뛎,헫뛔죽룶늻춬뗄돖폐웚,95%훃탅쟸볤뗄짏쿞뻹킡폚쇣,헢틢캶ퟅ닮횵RN,T훁짙j퓚5%뗄훃탅쮮욽짏뚼쫇킡폚쇣뗄ꆣ평듋뿉틔죏캪,퓚늻춬뗄퇹놾웚,퇹놾쓚춶헟뻹듦퓚ퟅ맽뛈붻틗컊쳢ꆣ뇈뷏PanelB(쯹폐춶헟퓚1999ꆪ2000쓪볤붻틗막욱뗄쫐뎡믘놨쟩뿶)뫍PanelC(쯹폐춶헟퓚2001ꆪ2003쓪볤붻틗막욱뗄쫐뎡믘놨쟩뿶)솽늿럖뷡싛뿉틔뾴돶,쯤좻솽룶쪱볤뛎쓚막욱쫐뎡헻쳥ퟟ쫆늻춬,떫쫇퓚헢솽룶뷗뛎막욱싲싴쫕틦뗄닮횵뻹캪뢺횵,뛸쟒뛔펦ퟅ죽룶돖폐웚,2001ꆪ2003쓪웚볤닮횵뗄뻸뛔횵뻹쏷쿔뇈1999ꆪ2000쓪킡,잰헟뷶폐뫳헟뗄60%ꆪ74%ꆣ헢뇭쏷,쯤좻막욱쫐뎡헻쳥ퟟ쫆뗄늻춬늢쎻폐룄뇤춶헟맽뛈붻틗뗄쳘뗣,떫쫇퓚쫐뎡쿝죫뗍쏔웚뗄쪱뫲춶89' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
첷쯉쳎ꆢ췵퇇욽:막쏱맽뛈붻틗쇋쎴?헟맽뛈붻틗뗄돌뛈쿔좻뇈쫐뎡랱죙웚뗍ꆣ헢틢캶ퟅ퓚쫐뎡뗍쏔웚,춶헟뗄붻틗탐캪룼캪뷷짷ꆣ뇭3퓚붻틗랢짺횮뫳뗄T쳬쓚붻틗막욱뗄쫐뎡믘놨싊PanelA:1999ꆪ2003쓪쯹폐춶헟21룶붻틗죕42룶붻틗죕84룶붻틗죕싲뷸-010078-010106-010167싴돶010045010040-010017닮횵(싲뷸-싴돶)-010123-010146-01015닮횵뇪ힼ닮01000540100073010010495%훃탅쟸볤(BC)(-010134,-010112)(-010161,-010131)(-010172,-01013)PanelB:1999ꆪ2000쓪쯹폐춶헟21룶붻틗죕42룶붻틗죕84룶붻틗죕싲뷸-010031-010065010301싴돶010021010017010472닮횵(싲뷸-싴돶)-010051-010082-010171닮횵뇪ힼ닮010005010006010011295%훃탅쟸볤(BC)(-01006,-01004)(-010095,-010071)(-010192,-010141)PanelC:2001ꆪ2003쓪쯹폐춶헟21룶붻틗죕42룶붻틗죕84룶붻틗죕싲뷸-010035-01007-010622싴돶010003-010019-010495닮횵(싲뷸-싴돶)-010037-01005-010127닮횵뇪ힼ닮010004010006010010995%훃탅쟸볤(BC)(-010045,-010029)(-010061,-01004)(-010150,-010108)PanelD:쳞돽퇹놾훐뿉쓜뗄뫏샭붻틗횮뫳뗄쫽뻝21룶붻틗죕42룶붻틗죕84룶붻틗죕싲뷸-010087-010107-010197싴돶010048010049-010006닮횵(싲뷸-싴돶)-010135-010156-010191닮횵뇪ힼ닮0100060100070100195%훃탅쟸볤(BC)(-010147,-010123)(-010172,-010142)(-010209,-010172)ꆡꆡ힢:컒쏇럖뇰볆쯣쇋쎿뇊붻틗랢짺뫳뗄T룶붻틗죕(T=21ꆢ42ꆢ84)쓚룃막욱뗄쫐뎡믘놨싊,늢붫쎿룶헋뮧쯹폐릺뷸뫍쫛돶막욱뗄쫐뎡믘놨싊럖뇰뷸탐욽뻹ꆣ샻폃Bootstrap뗄랽램,맀볆돶닮횵95%뗄훃탅쟸볤ꆣ뷡맻뇭쏷,뛔펦ퟅ죽훖돖폐웚,늻춬쟩뿶쿂닮횵95%훃탅쟸볤뗄짏쿞뻹킡폚쇣,틲듋훁짙퓚5%뗄훃탅쮮욽쿂,뿉틔뻜뻸릺뷸뫍쫛돶막욱뗄욽뻹쫐뎡믘놨싊뗄닮횵듳폚뗈폚쇣뗄볙짨ꆣ틔짏뗄볬퇩폐튻룶릲춬뗄볙짨,쓇뻍쫇춶헟뗄붻틗쒿뗄뚼쫇캪쇋믱샻ꆣ좻뛸,퇏룱쮵살,춶헟튲뿉쓜틲캪튻킩뫏샭뗄풭틲뗷헻룶죋춶ퟩ뫏,웤훐ퟮ훷튪뗄냼삨돶폚싺ퟣ쇷뚯탔탨쟳ꆢ뷸탐쮰쫕맦뇜틔벰훘탂욽뫢춶ퟩ뫏뗈쒿뗄뷸탐뗄붻틗탐캪ꆣ떱좻,평폚쒿잰훐맺막욱쫐뎡짏횻폐펡뮨쮰뛸쎻폐헷쫕놾쯹뗃쮰,틲듋훐맺막쏱뮹늻듦퓚쮰쫕맦뇜컊쳢ꆣ틲듋,폠쿂솽훖붻틗탐캪뻍돉캪놾컄ퟅ훘뾼싇뗄뫏샭탔붻틗탐캪ꆣ캪쇋쳞돽헢킩붻틗탐캪뛔놾컄뷡싛뗄펰쿬,PanelD폃뺭맽즸톡뗄퇹놾훘탂뛔컊쳢뷸탐쇋볬퇩ꆣ헢샯,즸톡뗄풭퓲죧쿂:튻랽쏦,퓚PanelD뗄볬퇩훐,횻뾼싇쓇킩싴돶튻횻막욱횮뫳죽훜쓚퓙싲뷸쇭췢튻횻막욱뗄붻틗ꆣ평폚막욱붻틗돉놾풶풶룟폚죽훜뗄틸탐듻뿮샻쾢,틲듋,죧맻뷶뷶캪쇋싺ퟣ쇷뚯탔탨쟳,춶헟췪좫뿉틔춨맽뛌웚듻뿮뗄랽쪽믱뗃쿖뷰뛸늻펦돶쫛막욱ꆣ쇭튻랽쏦,퓚PanelD훐,횻뾼싇춶헟퓚돶쫛쒳횻막욱쪱,붫웤돖폐뗄룃막욱뗄쯹폐럝뛮좫늿쫛돶뗄붻틗ꆣ헢퇹,뻍뺡뿉쓜뗘냑춶헟훘탂욽뫢쒳횻막욱돖폐럝뛮뗄붻틗쒿뗄쳞돽90' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
2006쓪뗚10웚뗴쇋ꆣ듓PanelD뗄볬퇩뷡맻뿉틔랢쿖,뛔펦ퟅ늻춬막욱돖폐웚,춶헟싲뷸뫍싴돶막욱쫐뎡믘놨싊횮볤뗄닮뛮뻹킡폚쇣ꆣ헢쮵쏷,퓚쿻돽믲늿럖쿻돽헽뎣탔붻틗뗄뿉쓜펰쿬횮뫳,막쏱맽뛈붻틗뗄믹놾뷡싛틀좻돉솢ꆣퟮ뫳,폃PanelA훐뗄뷡싛폫Odean(1999)뗄뷡싛뷸탐뇈뷏뿉틔랢쿖,뛔펦폚84룶붻틗죕뗄돖폐웚,훐쏀솽맺춶헟릺뷸뫍쫛돶막욱뗄쫐뎡믘놨싊횮볤뗄닮횵늢컞쿔훸닮틬ꆣ헢뻍틢캶ퟅ,쯤좻훐맺막욱쫐뎡뗄뮻쫖싊풶풶룟폚쏀맺,떫쫇솽맺춶헟맽뛈붻틗돌뛈늢컞쿔훸뗄닮틬ꆣ헢튻뷡싛쫇뿉틔샭뷢뗄,틲캪,헽죧늻쓜틲캪춶헟A뗄붻틗욵싊뎬맽춶헟B뻍뛏뚨춶헟A쫇맽뛈붻틗튻퇹,컒쏇춬퇹늻쓜틲캪훐맺춶헟뗄붻틗욵싊뎬맽쏀맺춶헟뻍뛏뚨훐맺춶헟뗄맽뛈붻틗(믲헟맽뛈ퟔ탅)돌뛈뻍뎬맽쏀맺춶헟ꆣB1춶맦쒣폫맽뛈붻틗춶헟뗄뷰맦쒣쫇펰쿬춶탐캪뗄맘볼틲쯘,평폚훐맺막욱쫐뎡짐캴췆탐싲뿕싴뿕믺훆,틲듋막욱싲싴뇘탫췪좫틀뾿쿖뷰ꆣ헢퇹,뷰맦쒣뗄듳킡뻍뻶뚨쇋막쏱뗄풤쯣풼쫸벯ꆣ늻춬뷰맦쒣뗄춶헟,뛔막욱샠탍뗄톡퓱틔벰춶ퟩ뫏ힴ뿶튲듳쿠뺶춥ꆣ돂뇳ꆢ샮탅쏱뫍뛅튪훒(2002)뗄뗷닩놨룦쿔쪾,뷰맦쒣듳뗄룶죋춶헟맘힢룟볛막뗄뇈샽쏷쿔뇈뷰맦쒣킡뗄춶헟룟;쯦ퟅ뷰맦쒣뗄퓶볓릺싲ST믲헟PT샠막욱뗄죋쫽뇈샽쏷쿔짏짽;뛸쟒뷰맦쒣룟뗄춶헟럖즢춶뗄뇈샽뷏룟ꆣ듓뇭2튲뿉틔뾴돶,퇹놾훐춶맦쒣룟뗄춶헟(듳뮧)뮻쫖싊쮮욽튪쿔훸룟폚춶맦쒣뗍뗄춶헟(즢뮧)ꆣ쓇쎴,늻춬뷰맦쒣뗄춶헟퓚맽뛈붻틗컊쳢짏쫇럱듦퓚닮뇰?헢튻뷚내헕뷰맦쒣뛔춶헟뷸탐럖샠,늢뛔뇈늻춬뷰맦쒣뗄막쏱퓚맽뛈붻틗랽쏦뗄닮틬ꆣ쿠맘뗄볬퇩뷡맻볻뇭4ꆣ뇭4늻춬춶맦쒣막쏱맽뛈붻틗ힴ뿶PanelE:춶맦쒣퓚잰10%춶헟21룶붻틗죕42룶붻틗죕84룶붻틗죕싲뷸-010029-010014-01003싴돶닮횵(싲뷸-싴돶)-010104-010132-01015뇪ힼ닮%훃탅쟸볤(BC)(-010123,-010086)(-01016,-010105)(-010185,-01012)PanelF:춶맦쒣퓚뫳90%춶헟21룶붻틗죕42룶붻틗죕84룶붻틗죕싲뷸-010086-01012-010187싴돶01004101003-010036닮횵(싲뷸-싴돶)-010127-01015-010172뇪ힼ닮0100060100090100195%훃탅쟸볤(BC)(-01014,-010116)(-010166,-010132)(-01019,-01015)ꆡꆡ힢:컒쏇내헕춶맦쒣붫춶헟뮮럖캪솽샠,좻뫳럖뇰볆쯣쎿뇊붻틗랢짺뫳뗄T룶붻틗죕(T=21ꆢ42ꆢ84)뫳늻춬춶맦쒣춶헟싲싴막욱뗄쫐뎡믘놨싊벰웤닮횵ꆣ샻폃Bootstrap뗄랽램,맀볆돶닮횵95%뗄훃탅쟸볤ꆣ뷡맻뇭쏷,뛔펦ퟅ죽훖돖폐웚,닮횵95%훃탅쟸볤뗄짏쿞뻹킡폚쇣,틲듋,훁짙퓚5%뗄훃탅쮮욽쿂,뿉틔뻜뻸릺뷸뫍쫛돶막욱뗄욽뻹쫐뎡믘놨싊뗄닮횵듳폚뗈폚쇣뗄볙짨ꆣ듓뇭4뿉틔뾴돶,컞싛춶맦쒣뗄룟뗍,춶헟싲뷸막욱뗄쫐뎡믘놨싊뚼튪뗍폚싴돶막욱뗄쫐뎡믘놨싊,뛸쟒훁짙퓚5%뗄훃탅쮮욽짏닮횵쫇킡폚쇣뗄,헢쮵쏷맽뛈붻틗쿖쿳쎻폐틲캪춶맦쒣뗄늻춬랢짺뇤뮯ꆣ웤듎,춶맦쒣퓚잰10%뗄춶헟싲뷸뫍싴돶막욱쫐뎡믘놨싊횮볤뗄닮횵튪뗍폚춶맦쒣퓚뫳90%뗄춶헟,헢퓚튻뚨돌뛈짏랴펳돶춶맦쒣룟뗄막쏱맽뛈붻틗뗄돌뛈뗍폚춶맦쒣뗍뗄춶헟ꆣ뛔듋,컒쏇죏캪,평폚뷰맦쒣룟뗄춶헟쎿뇊붻틗짦벰뗄뷰솿쿠뛔뷏듳,91' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
첷쯉쳎ꆢ췵퇇욽:막쏱맽뛈붻틗쇋쎴?틲뛸쯻쏇퓚뷸탐막욱톡퓱뗄쪱뫲믡룼캪뷷짷,맽뛈붻틗돌뛈튲쿠뛔뷏뗍ꆣ춬쪱,평폚뷰맦쒣룟뗄춶헟룼폐벤샸횧뢶룼룟뗄돉놾좥믱좡ꆢ럖컶뫍헧뇰쫐뎡탅쾢,틲듋,쯻쏇톡퓱막욱뗄쓜솦튲쿠뛔뷏잿,헢훷튪쳥쿖퓚뛔펦ퟅ늻춬뗄돖폐웚,춶맦쒣룟뗄춶헟톡퓱싲뷸막욱뗄욽뻹쫐뎡쫕틦싊뚼튪룟폚춶맦쒣뗍뗄춶헟ꆣC1붻틗욵싊폫맽뛈붻틗짏컄틑뺭쮵쏷,맽뛈붻틗믡뛔붻틗듎쫽뫍붻틗욵싊닺짺펰쿬,떫쫇뛔폚늻춬춶헟,평폚웤춶탨쟳틔벰럧쿕욫뫃룷늻쿠춬,틲뛸늢늻쓜틔붻틗욵싊뗄닮틬ퟷ캪춶헟쫇럱쫇맽뛈붻틗뗄에뛏틀뻝ꆣ쓇쎴,늻춬붻틗욵싊뗄춶헟퓚맽뛈붻틗랽쏦쫇럱듦퓚늻춬?붻틗욵싊뗍뗄춶헟쫇럱뻍늻듦퓚맽뛈붻틗컊쳢?퓚쎻폐좷쟐뗄횤뻝횮잰뫜쓑ퟶ돶에뛏ꆣ쿂쏦,컄헂뻍내헕붻틗욵싊뛔춶헟뷸탐럖샠,늢뷸튻늽뾼달늻춬붻틗욵싊뗄춶헟쫇럱뚼듦퓚맽뛈붻틗컊쳢ꆣ쫗쿈,컒쏇붫춶헟쓪욽뻹붻틗욵싊뚨틥캪:TF=252ꇁTNΠTRꆣ웤훐TR쫇춶헟퓚퇹놾웚쓚뗚튻듎뫍ퟮ뫳튻듎붻틗웚볤뗄붻틗죕룶쫽;TN캪춶헟붻틗랢짺뗄ퟜ듎쫽ꆣ뷓쿂살,내헕붻틗욵싊,붫춶헟럖돉솽늿럖,뗚튻늿럖쫇붻틗욵싊퓚잰10%뗄춶헟,웤폠뗄맩캪뗚뛾늿럖ꆣퟮ뫳,볆쯣돶늻춬붻틗욵싊춶헟릺뷸뫍쫛돶막욱뗄쫐뎡믘놨싊,틔벰뛾헟횮볤뗄닮횵,늢뛔닮횵쫇럱쿔훸킡폚쇣뷸탐볬퇩ꆣ쿠맘뷡싛볻뇭5ꆣ뇭5늻춬붻틗욵싊춶헟춶쫕틦ힴ뿶뇈뷏PanelG:1999ꆪ2003쓪붻틗욵싊퓚잰10%춶헟21룶붻틗죕42룶붻틗죕84룶붻틗죕싲뷸-01000370100164-0100412싴돶010050701008201006558닮횵(싲뷸-싴돶)-0100544-0100653-0101068뇪ힼ닮010011010017010020895%훃탅쟸볤(BC)(-010076,-01003)(-0101,-010032)(-010149,-010065)PanelH:1999ꆪ2003쓪붻틗욵싊퓚뫳90%춶헟21룶붻틗죕42룶붻틗죕84룶붻틗죕싲뷸-0100867-01012-0101808싴돶0100445010035-0100266닮횵(싲뷸-싴돶)-0101312-010155-0101542뇪ힼ닮010006010008010010195%훃탅쟸볤(BC)(-010143,-010119)(-010169,-010138)(-010178,-010136)ꆡꆡ힢:컒쏇내헕춶헟뗄붻틗욵싊붫춶헟럖캪솽ퟩ:붻틗욵싊퓚잰10%뗄춶헟뫍붻틗욵싊퓚뫳90%뗄춶헟,좻뫳럖뇰볆쯣쎿ퟩ춶헟릺뷸뫍쫛돶막욱퓚붻틗랢짺뫳뗄T룶붻틗죕(T=21ꆢ42ꆢ84)쓚뗄쫐뎡믘놨싊,틔벰뛾헟횮볤뗄닮횵ꆣ샻폃Bootstrap뗄랽램,맀볆돶닮횵95%뗄훃탅쟸볤ꆣ뷡싛뇭쏷,컞싛쫇뛔폚붻틗욵싊룟뗄춶헟뮹쫇붻틗욵싊뗍뗄춶헟,95%훃탅쟸볤뗄짏쿞킡폚쇣,틲듋뿉틔뗃돶,훁짙퓚5%뗄훃탅쮮욽쿂,뿉틔죏캪솽ퟩ춶헟뻹듦퓚맽뛈붻틗컊쳢ꆣ뛔뇈PanelG뫍H뿉틔랢쿖,뛔펦ퟅ늻춬붻틗욵싊뗄춶헟,싲싴막욱뗄쫐뎡쫕틦싊횮닮뻹킡폚쇣ꆣ헢뷸튻늽횤쪵쇋맽뛈붻틗탐캪뗄듦퓚늢캴틲춶헟붻틗욵싊뗄늻춬랢짺뇤뮯ꆣ떫쫇,뛔펦ퟅ늻춬뗄돖폐웚,붻틗욵싊뗍뗄춶헟싲뷸뫍싴돶막욱쫐뎡믘놨싊뗄닮횵(뻸뛔횵)튪듳폚붻틗욵싊룟뗄춶헟ꆣ헢쯆뫵틢캶ퟅ붻틗욵싊뗍뗄춶헟맽뛈붻틗돌뛈룼룟ꆣ쯤좻헢훖췆뛏뫍놾컄뗄훷튪뷡싛늢컞돥춻,떫쫇,늻뗃늻쮵헢훖췆뛏쫇좱랦룹뻝뗄ꆣ헢훷튪쫇틲캪붻틗욵싊퓚뫢솿춶헟붻틗욵랱돌뛈뗄춬쪱,튲퓚튻뚨돌뛈짏쳥쿖쇋춶헟뗄붻틗뺭퇩ꆣ퓚쿠춬쪱볤뛎쓚,붻틗욵싊룟뗄막쏱붻틗듎쫽쿠뛔뷏룟,춶뺭퇩틔벰톡퓱막욱뗄쓜솦튪뇈붻틗욵싊뗍뗄춶헟잿ꆣ듓뇭5튲뿉틔뾴돶,뛔펦ퟅ죽룶늻춬뗄돖폐웚,붻틗욵싊룟뗄춶헟릺뷸막욱뗄욽뻹쫐뎡쫕틦싊뻹쿔훸뗘룟폚붻틗욵싊뗍뗄춶헟ꆣ헢쮵쏷,퓚헢죽룶쳘뚨뗄돖폐웚92' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
2006쓪뗚10웚쓚,붻틗욵싊룟뗄춶헟톡퓱릺뷸뗄막욱뗄쫐뎡뇭쿖튪폅폚붻틗욵싊뗍뗄춶헟ꆣ헽쫇평폚붻틗욵싊뻟폐헢퇹뗄쮫훘탔훊,쯹틔퓚쎻폐뿘훆붻틗뺭퇩뗄쟩뿶쿂,쫇컞램에뛏솽샠춶헟맽뛈붻틗돌뛈듳킡뗄ꆣ떫쫇,춨맽뛔늻춬붻틗욵싊춶헟뗄퇐뺿,뮹쫇뿉틔뾴떽맽뛈붻틗늢쎻폐틲춶헟붻틗욵싊뗄늻춬랢짺뇤뮯ꆣ헢뷸튻늽횤쪵쇋맽뛈붻틗쿖쿳뗄웕뇩탔ꆣD1탔뇰ꆢ맽뛈붻틗폫맽뛈ퟔ탅틔짏볬퇩쇋춶헟맽뛈붻틗뗄컊쳢ꆣ좻뛸,쒳훖돌뛈짏붲,짏쫶퇐뺿뷶뷶퇩횤쇋춶헟맽뛈붻틗듦퓚뗄웕뇩탔,늢쎻폐듓룹놾짏횤쪵춶헟뗄맽뛈붻틗쫇평맽뛈ퟔ탅떼훂뗄ꆣ헽죧Barber뫍Odean(2001)쯹쮵ꆰ,뛔맽뛈ퟔ탅쫇럱떼훂쫐뎡돶쿖맽뛈붻틗뗄쇭튻훖볬퇩랽램뻍쫇붫춶헟럖캪솽샠,튻샠쫇맽뛈ퟔ탅돌뛈뷏룟뗄춶헟,쇭튻샠쫇맽뛈ퟔ탅돌뛈뷏뗍뗄춶헟ꆣꆱ좻뫳,춨맽뇈뷏맽뛈ퟔ탅돌뛈늻춬뗄솽샠춶헟뗄맽뛈붻틗쟩뿶,뾼달맽뛈ퟔ탅쫇럱떼훂쇋붻틗솿뗄퓶볓ꆣ탄샭톧뗄퇐뺿뇭쏷,쯤좻쓐탔뫍얮탔뚼듦퓚맽뛈ퟔ탅컊쳢,떫쫇쓐탔맽뛈ퟔ탅뗄돌뛈튪룟폚얮탔(Lundebergetal,1994,뗈),뛸퓚뒦샭뷰죚컊쳢뗄쪱뫲쓐탔쟣쿲폚죏캪ퟔ벺뇈얮탔룼폐쓜솦(Prince,1993)ꆣ헽쫇믹폚헢킩퇐뺿돉맻,놾컄내헕탔뇰붫춶헟럖캪솽샠ꆣ좻뫳럖뇰뾼달쓐탔뫍얮탔춶헟퓚뮻쫖싊틔벰춶믘놨싊랽쏦뗄닮틬ꆣ죧맻쓐탔춶헟뇈얮탔춶헟맽뛈ퟔ탅돌뛈룼룟,뛸맽뛈ퟔ탅폖믡떼훂붻틗솿퓶볓,쓇쎴뻍펦룃쓜릻춬쪱뾴떽솽룶쿖쿳:튻랽쏦쓐탔춶헟튪뇈얮탔춶헟붻틗룼볓욵랱,쇭튻랽쏦ꆡ뇭6늻춬탔뇰춶헟붻틗횸뇪뻹횵뇈뷏평폚맽뛈붻틗돌뛈룼룟,쓐탔춶헟릺뷸뫍쫛돶막욱뗄쫐뎡믘놨싊닮횵믡쓐탔얮탔닮횵뇈샽(얮탔-쓐탔)(얮탔Π쓐탔)뇈얮탔춶헟룼듳ꆣ뇭6붫늻춬탔뇰춶헟뗄벸룶훘퇹놾룶쫽625256096438917%튪횸뇪뷸탐쇋뛔뇈ꆣ춨맽뛔뇈뿉틔랢돖폐늻춬막욱룶쫽16171415-2128618%쿖샛볆붻틗막욱듎쫽561445-11147918%,쓐탔춶헟뫍얮탔춶헟횮볤ퟮ듳뗄닮틬퓚폚뛾헟뮻쫖싊뗄늻춬ꆣ퓚훜뮻쫖싊(%)1518718-8104914%놾컄쪹폃뗄퇹놾훐,얮탔춶헟훜뮻춶맦쒣(췲풪)51245162013810713%쫖싊뷶캪쓐탔뗄4914%ꆣ헢쮵쏷얮ꆡꆡꆡ힢:돖폐막욱쫽캪뷘훁쎿룶붻틗훜쒩춶헟듓뾪뮧죕웰샛볆돖폐맽뗄늻탔춶헟퓚붻틗뗄믮풾돌뛈짏풶풶뗍춬막욱쫽;샛볆붻틗막욱듎쫽캪뷘횹쎿룶붻틗훜쒩춶헟샛볆랢짺뗄막욱붻폚쓐탔춶헟ꆣ틗듎쫽ꆣ쓐탔춶헟샛볆붻틗막욱듎쫽뻹횵뗄볆쯣쫇냑쯹폐쓐탔춶헟쎿훜ꆡꆡ캪뾼달쓐탔뫍얮탔톡퓱릺뷸뫍쫛뗄샛볆돖폐막욱쫽뷸탐욽뻹뗃떽뗄,뛸늻쫇쿈볆쯣돶쎿룶춶헟뗄욽뻹샛볆돶막욱쫐뎡믘놨싊닮횵쫇럱듦퓚쿔훸붻틗듎쫽,좻뫳퓙뛔춶헟뷸탐욽뻹ꆣ웤쯻횸뇪뗄볆쯣랽램폫듋쿠쯆ꆣ닮틬ꆡ뇭7쫐뎡믘놨싊닮횵뛔탔뇰뗄믘맩뷡맻,뷓쿂살,컒쏇폃탔뇰탩쓢뇤솿뛔닮횵뷸탐믘맩ꆣ좻뛸평폚막쏱뗄춶21룶붻틗죕42룶붻틗죕84룶붻틗죕뺭퇩뿉쓜펰쿬막쏱뗄맽뛈붻틗돌뛈,돖폐늻춬막욱룶쫽333010001518010001722010001872쯦ퟅ춶헟뛔쫐뎡쇋뷢돌뛈뗄볓짮,훜뮻쫖싊(%33)0100839010000858010001248쯻쏇뿉쓜믡춨맽톧쾰훰붥붵뗍ퟔ짭맽춶맦쒣(췲풪3)0100003770130000377010000391뛈ퟔ탅돌뛈ꆣ쇭튻랽쏦,춶헟펵폐뗄뷰맦쒣쳥쿖쇋쯻퓚뻶닟맽돌훐뗄탔뇰탩쓢뇤솿3301003890100379010064215풤쯣풼쫸쟩뿶ꆣ춬쪱늻춬뷰맦쒣뗄ꆡꆡꆡ힢:탔뇰탩쓢뇤솿뗄좡횵쓐탔뗈폚0,얮탔뗈폚1ꆣ믘맩쪱뿘훆쇋춶헟춶헟믱좡뫍헧뇰쫐뎡탅쾢뗄얬솦돌뗄훜뮻쫖싊ꆢ춶맦쒣틔벰돖폐늻춬막욱쫽죽룶뇤솿ꆣ뷡맻쿔쪾,뛔폚죽룶늻춬뗄돖폐웚,탔뇰탩쓢뇤솿뗄쾵쫽뻹캪헽횵,쟒욫닮뗷헻(bias2corrected)훃탅뛈튲늻춬ꆣ헢튲믡펰쿬쯻쏇뗄맽뛈ퟔ쟸볤뗄95%쿂쿞뚼듳폚쇣(3뇭쏷퓚5%뗄훃탅쮮욽짏쿔훸),헢뻍틢캶ퟅ퓚탅돌뛈ꆣ틲듋,퓚믘맩맽돌훐컒쏇럖5%훃탅쮮욽짏탔뇰닮틬뚼쫇쿔훸뗄ꆣ얮탔춶헟싲뷸막욱쫐뎡믘놨싊뫍싴뇰폃춶헟돖폐맽뗄늻춬막욱쫽틔벰돶막욱쫐뎡믘놨싊횮볤뗄닮횵튪듳폚쓐탔춶헟ꆣ93' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
첷쯉쳎ꆢ췵퇇욽:막쏱맽뛈붻틗쇋쎴?뮻쫖싊(뛔붻틗듎쫽뗄뇪ힼ뮯)ퟷ캪뫢솿춶뺭퇩뗄횸뇪,폃춶맦쒣ퟷ캪웤뷰맦쒣뗄뫢솿횸뇪,퓚뿘훆쇋헢솽룶틲쯘뗄쟩뿶쿂,뛔(1)쪽뷸탐쇋믘맩ꆣ헢쪱,늻춬탔뇰춶헟싲싴막욱쫐뎡믘놨싊뗄닮틬훷튪쳥쿖쇋탔뇰틲쯘뛔맽뛈붻틗뗄펰쿬ꆣ듓쇭튻룶뷇뛈튲뿉틔뾴돉쫇맽뛈ퟔ탅돌뛈뗄늻춬뛔맽뛈붻틗뗄펰쿬ꆣ믘맩뷡맻볻뇭7:RN,T=Hold+Turnover+Scale+Dummy+ꛅ(1)ꆡꆡ웤훐,RN,T캪춶헟릺뷸뫍쫛돶막욱쫐뎡믘놨싊횮볤뗄닮횵,Hold캪춶헟샛볆돖폐늻춬막욱쫽,Turnover캪춶헟훜뮻쫖싊,Scale캪춶맦쒣,Dummy캪탔뇰탩쓢뇤솿,ꛅ캪컳닮쿮,쿂뇪T듺뇭늻춬뗄막욱돖폐웚,T=21ꆢ42뫍84룶붻틗죕ꆣꆡꆡ룹뻝뇭7뗄뷡맻뿉틔뾴돶,뛔펦ퟅ죽룶늻춬뗄돖폐웚,탔뇰탩쓢뇤솿뗄쾵쫽뚼쫇헽횵ꆣ뛸쟒,볬퇩뷡맻뇭쏷,퓚5%훃탅쮮욽짏탔뇰탩쓢뇤솿뚼쫇쿔훸뗄ꆣ헢쮵쏷쓐탔춶헟맽뛈붻틗뗄돌뛈튪룟폚얮탔춶헟ꆣ뷡뫏탄샭톧뗄퇐뺿돉맻,헢튻뷡싛훁짙퓚쒳훖돌뛈짏쮵쏷훐맺막욱쫐뎡짏듦퓚뗄맽뛈붻틗컊쳢폫춶헟뗄맽뛈ퟔ탅쫇쿠맘뗄ꆣ컥ꆢ뷡ꆡ싛놾컄샻폃1999ꆪ2003쓪훐맺막욱쫐뎡쒳횤좯펪튵쳼뗄룶죋붻틗쫽뻝,퇩횤쇋막쏱맽뛈붻틗쿖쿳ꆣ퇐뺿랢쿖,막쏱뗄맽뛈붻틗쫇막욱쫐뎡떱훐럇뎣웕뇩뫍컈뚨뗄쿖쿳ꆣ퓚늻춬쪱뛎ꆢ늻춬뷰맦쒣춶헟ꆢ늻춬붻틗욵싊춶헟뚼듦퓚맽뛈붻틗쿖쿳ꆣ떱쫐뎡뇈뷏뗍쏔뗄쪱뫲춶헟맽뛈붻틗뗄돌뛈튪뇈쫐뎡랱죙쪱뗍ꆣ춶맦쒣룟ꆢ붻틗욵싊룟뗄막쏱톡퓱막욱뗄쓜솦뷏잿ꆣ쯻쏇릺뷸막욱뗄쫐뎡믘놨싊튪룟폚춶맦쒣뫍붻틗욵싊쿠뛔뷏뗍뗄막쏱ꆣퟮ뫳,컄헂뛔뇈쇋늻춬탔뇰춶헟춶탐캪뗄닮뇰ꆣ뷡맻랢쿖,쓐탔뫍얮탔춶헟횮볤튻룶훘듳뗄닮뇰퓚폚얮탔춶헟뗄뮻쫖싊풶풶뗍폚쓐탔춶헟,퓚뿘훆쇋춶헟돖폐늻춬막욱쫽ꆢ춶맦쒣뫍뮻쫖싊뗈맘볼틲쯘횮뫳,컒쏇랢쿖쓐탔춶헟맽뛈붻틗뗄돌뛈튪룟폚얮탔춶헟ꆣ틲듋,폐샭평죏캪쓐얮춶헟맽뛈붻틗돌뛈뗄닮뇰쫇평탔뇰틽웰뗄ꆣ평폚탄샭톧퇐뺿뇭쏷,퓚뷰죚쇬폲쓐탔춶헟맽뛈ퟔ탅뗄돌뛈튪뎬맽얮탔춶헟,틲듋짏쏦뗄뷡싛훁짙퓚쒳훖돌뛈짏쮵쏷훐맺막욱쫐뎡짏듦퓚뗄맽뛈붻틗컊쳢폫춶헟뗄맽뛈ퟔ탅쫇쿠맘뗄ꆣꋙ닎뾼컄쿗돂뇳ꆢ샮탅쏱ꆢ뛅튪훒,2002ꆶ:훐맺막쫐룶죋춶헟ힴ뿶뗷닩놨룦ꆷ,짮횤ퟛ퇐ퟖ뗚0055뫅,쿠맘솴뷓볻http:ΠΠΠfinalpageΠ2002-05-10Π5715411PDFꆣ샮탄떤ꆢ췵벽쓾ꆢ뢵뫆,2002ꆶ:훐맺룶쳥횤좯춶헟붻틗탐캪뗄쪵횤퇐뺿ꆷꆶ,뺭볃퇐뺿ꆷ뗚11웚ꆣ샮탄떤,2004ꆶ:탐캪뷰죚톧ꆪꆪꆪ샭싛벰훐맺뗄횤뻝ꆷ,짏몣죽솪쫩뗪,ꆪ252ꆣ,2000,ꆰTradingisHazardoustoYourWealth:TheCommonStockInvestmentPerformanceofIndividualInvestorsꆱ,JournalofFinance,April,ꆪ,2001,ꆰBoysWillbeBoys:Gender,Overconfidence,andCommonStockInvestmentꆱ,QuarterlyJournalofEconomics,,Alexandros,1998,ꆰAggressivenessandSurvivalofOverconfidentTradersꆱ,JournalofFinancialMarkets,October,ꆪ,Fischer,1986ꆰ,Noiseꆱ,JournalofFinance,,ꆪ,HirshleiferDavidandSubrahmanyamAvanidhar,1998,ꆰInvestorPsychologyandSecurityMarketUnder2and2Over2Reactionsꆱ,JournalofFinance,53(5),December,ꆪ,,1994,ꆰFinancialDecision2makinginMarketsandFirms:ABehavioralPerspectiveꆱ,ꋙ룃컄헽쪽쫕슼퓚1995쓪ꆢVoijslavMaksimovic뫍뇠벭뗄Finance,HandbooksinOperationsResearchandManagementScience,,ꆪ410훐ꆣ94' 1994-2008 China Academic Journal Electronic Publishing House. All rights reserved.
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