ꆡꆡ뗚3뻭뗚5웚맜ꆡ샭ꆡ톧ꆡ놨Cꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2006쓪9퓂ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ탐튵쳘헷ꆢ쫐뎡쟩탷폫쫕틦늨뚯붪볌붿ꆡ퇮쓋뚨(컷놱릤튵듳톧맜샭톧풺)ꆡꆡ햪튪:듓탐캪뷰죚퇐뺿뗄쫓뷇,샻폃풴ퟔꆰ짏횤ꆱ(SHSE)A막쫐뎡뗄퇹놾쫽뻝,볬퇩쇋탐튵쳘헷ꆢ쫐뎡쟩탷폫쫕틦늨뚯횮볤뗄맘쾵ꆣ뷡맻뇭쏷:퓚늻춬뗄탐튵쳘헷쿂,뻟폐샠쯆뗄춶헟탐캪뫍럧쿕쫕틦맘쾵,뛸쟒뻹캴듯떽죵쪽폐킧;뺡맜룷탐튵냥뿩횮볤뗄쫕틦늨뚯솪뚯킧펦쿔훸,떫쫐뎡쟩탷뛔늻춬탐튵쳘헷뗄쫕틦늨뚯펰쿬죔폐닮틬탔ꆣ뛔맜샭뗄웴쪾쫇,훐맺횤좯쫐뎡킧싊뮹폐듽뷸튻늽쳡룟,샻폃쫐뎡쟩탷쳗샻쪱펦뾼싇탐튵쳘헷ꆣ맘볼듊:탐캪뷰죚;쫐뎡쟩탷;쫕틦늨뚯;퓫짹붻틗훐춼럖샠뫅:ꆡ컄쿗뇪쪶싫:Aꆡ컄헂뇠뫅:16722884X(2006)0520607207IndustryCharacteristic,MarketSentimentandReturnVolatilityJiangJijiaoꆡYangNaiding(NorthwesternPolytechnicalUniversity,Xi’an,China)Abstract:Frombehavioralfinance,therelationshipsamongindustrycharacteristic,marketsenti2mentandreturnvolatilitywereverifiedbyusingthesamplingdataderivedfromShanghaiSecurityEx2change(SHSE)’,:behavioralfinance;marketsentiment;returnvotatility;noisetraderꆡꆡ닺뚨볛튻횱쫇뷰죚뺭볃톧퇐뺿뗄훐탄컊돉캪뷰죚퇐뺿뗄죈뗣횮튻ꆣDeLong뗈[6]쳡돶쳢횮튻[1]ꆣퟔ듓M[2]arkowitz쳡돶춶ퟩ뫏샭뗄퓫짹붻틗헟쒣탍(DSSW)뻟폐뷏듳펰쿬솦,싛,뾪뒴쇋쿖듺뷰죚뺭볃톧틔살,톧헟쏇뛔쫕틦틽랢쇋뛔ꆰ퓫짹붻틗헟럧쿕펰쿬닺뻹뫢볛룱ꆱ늨뚯뗄뷢쫍룼뛠뗘쫇닉폃벸뫎늼샊퓋뚯뗄믹놾헢튻쏼쳢뗄맣랺쪵횤퇐뺿ꆣLee뗈[7]횸돶,럢뇕탎쪽ꆣ퓚퓧웚3],Fam[a쳡돶쯦믺폎ퟟ탐캪볙짨,쪽믹뷰헛볛뿉틔ퟷ캪춶헟쟩탷뗄듺샭뇤솿ꆣ횸돶볛룱뇤뮯폫쒳룶룅싊럖늼쿠튻훂,뛸쟒솬춶헟쟩탷쫇튻훖믹폚쟩룐뗄에뛏,평폚탄샭탸볛룱뇤뮯쿠뮥뛀솢ꆣ뺭뗤뷰죚뺭볃톧컄쿗훐믲죏횪랽쏦뗄욫닮뛸닺짺ꆣNeal뗈[8]샻폃3훖뛔쫕틦늨뚯뗄퇐뺿,믹놾짏쫇퇘ퟅ헢튻쮼슷햹뎣폃뗄룶쳥춶헟쟩탷뛈솿랽램풤닢쫕틦,튲뾪뗄,뫜짙폐죋맘힢춶헟탄샭ꆢ욫뫃폫탐캪맽랢쿖럢뇕쪽믹뷰헛볛램쫇튻훖뷏뫃뗄뛈솿횸돌[4]ꆣ쪵볊훐,춶헟뗄훷맛쫴탔뛔폚닺뗄뻹뇪ꆣ횵뗃힢틢뗄쫇,놾컄쯹쳡벰뗄쫐뎡쟩탷뫍춶뫢볛룱웰ퟅ훘튪ퟷ폃,훷맛쫴탔뗄뇤뚯뛔폚쫕헟쟩탷,럖쫴폚탂맅뗤탐캪닺뚨볛샭싛뫍틦늨뚯뻟폐횱뷓펰쿬ꆣ뺭볃톧쯹쓜뿌뮭뗄춶탐캪뷰죚2룶늻춬뗄퇐뺿뿲볜ꆣ뛔듋,뇊헟죏캪헟훷맛쫴탔튻냣횸욫뫃뷡릹,훷튪퇐뺿욫뫃뷡죚뫏솽헟뗄폅쫆쫇뷰죚톧퇐뺿뗄뇘좻쟷쫆ꆣ릹뇤뮯뛔뺭볃뻹뫢뗄펰쿬[5],좻뛸,탐캪뷰죚샭듓컄쿗짏뾴,퇐뺿헟쏇룼뛠뗘쫇듓쫕틦탲싛뗄톸쯙랢햹,듲뾪쇋룼캪뾪삫뗄퇐뺿쫓뷇ꆣ쇐럖늼쳘헷뗄뷇뛈햹뾪럖컶뗄,뷶폐벫짙쫽죋퓚듋놳뺰쿂,쫐뎡쟩탷뛔쫕틦늨뚯뗄펰쿬맘힢쫐뎡훐늻춬탐튵냥뿩횤좯횮볤뗄볛룱맘쫕룥죕웚:2006-04-17믹뷰쿮쒿:맺볒ퟔ좻뿆톧믹뷰훺쿮쒿(70571064);뷌폽늿탂쫀볍폅탣죋닅볆뮮훺쿮쒿(NCET20520864)ꆤ607ꆤ
맜샭톧놨뗚3뻭뗚5웚2006쓪9퓂쾵[9]ꆣ쇭췢,뛔쫐뎡쟩탷뗄폐킧뛈솿죔듦퓚뷏듳뗄뷇뛈쫇듓믹폚쿻럑뗄CAPM쒣탍돶랢,훰늽헹틩,뷶뷶틀뻝춶헟쟩탷뗄컊뻭뗷닩램쿔좻틽죫룷훖탐캪틲쯘,틔듋살쪵쿖룼캪뺫좷뗄듦퓚좱쿝ꆣ믹폚듋,놾컄듓늻춬탐튵냥뿩횤좯횮SDF뿌뮭[19]ꆣ퓚탐캪뷰죚랶쪽쿂,퇐뺿춶헟볤뗄볛룱맘쾵죫쫖,짮죫뾼달훐맺횤좯쫐뎡훐탄샭뛔닺볛룱뗄ퟷ폃믺샭,뷸뛸펰쿬뷰죚쫐쫐뎡쟩탷폫쫕틦늨뚯뗄맘쾵ꆣ뎡뗄뻹뫢ꆣ2훖퇐뺿뗄닮뇰퓚폚,잰헟볙뚨춶헟샭탔풤웚,뛸뫳헟볙뚨춶헟폐쿞샭탔ꆣ춨맽1ꆡ컄쿗움쫶탭뛠뷰죚톧볒뗄얬솦,쒿잰솽헟틑뺭뾪쪼훰붥뺭뗤뷰죚뺭볃톧틔폐킧쫐뎡볙쮵(EMH)쿠뮥죚뫏[20]ꆣ횵뗃힢틢뗄쫇,돂퇥뇳[21]죏캪,쟩캪믹뒡,뷏짙맘힢춶헟탄샭폫탐캪틲쯘[10]ꆣ탷늨뚯뫍춶헟쟩탷럖뇰쫴폚탂맅뗤탐캪닺닺ퟷ캪튻훖쳘쫢뗄짌욷,웤뻹뫢볛룱평닺뗄뚨볛샭싛뫍탐캪뷰죚2룶늻춬뗄퇐뺿뿲볜,쿠릩룸뫍탨쟳뻶뚨,뛸뺭볃훐쎿튻룶춶헟뗄ퟮ뮥횮볤늢컞놾훊솪쾵ꆣ쿔좻,뛔폚헢킩쿠뮥돥춻폅춶ퟩ뫏맦뮮컊쳢ퟮ폅뷢뗄ퟜ뫍,탎돉쇋뛔뗄샭싛맛뗣탨튪퓚춳튻뗄뿲볜쓚ퟶ돶뫏샭뷢룃닺뗄ퟜ탨쟳ꆣ쿔좻,춶헟뗄ퟮ폅춶ퟩ뫏쫍ꆣ뛔듋,놾컄닉폃쫐뎡쟩탷뗄룅쓮볓틔뷢뻶ꆣ컊쳢ퟮ폅뷢틀삵폚웤훷맛쫴탔[11]ꆣ믹폚뎣솿쿠쿠맘뗄샭싛믹뒡죔퇘폃춶헟쟩탷뗄쓚죝,횻뛔럧쿕퇡뛱(CRRA)킧폃몯쫽뗄탂맅뗤닺뚨쫇뾼싇쇋튻냣뻹뫢뿲볜뗄횸떼ퟷ폃ꆣBrown볛샭싛,붫춶헟뗄훷맛쫴탔쫓캪룸뚨뗄뎣쫽,뗈[22]붫춶헟쟩탷뚨틥캪쫐뎡닎폫죋뗄풤웚폫뫜짙퇐뺿훷맛쫴탔뗄뇤뚯뛔닺뻹뫢볛룱뗄펰뇪ힼힴ첬뗄뇈뷏ꆣퟷ캪튻훖믹폚쟩룐뗄에뛏,춶쿬[12]ꆣ뛔춬훊뗄춶헟살쮵,뻶뚨웤춶뻶닟닮헟쟩탷쫇평죏횪욫컳닺짺뗄,믡떼훂뛔쫕틦틬뗄캨튻뇤솿뻍쫇쯦믺쳹쿖틲ퟓ(SDF)ꆣ틲듋,늨뚯탎돉듭컳뾴램ꆣ닺뚨볛샭싛뻍쫇튪춨맽쒣탍뺫좷뿌뮭SDF듓컄쿗짏뾴,퇐뺿헟뷏짙맘힢늻춬횤좯횮뗄뻶뚨,틽죫늻춬뗄SDF뻶뚨틲쯘,닺짺쇋쿠볤볛룱뗄쿠뮥펰쿬폫ퟷ폃,룼캴평듋좥첽쳖튻펦뗄뻟쳥뗄닺뚨볛쒣탍ꆣ룶쫐뎡훐,쫐뎡쟩탷퓚늻춬횤좯횮볤뗄볛룱뒫좻뛸,탂맅뗤닺뚨볛샭싛컞램폐킧뷢쫍훚떼킧펦,틔벰평듋뛔닺뻹뫢볛룱폫쫕틦늨뚯뛠뗄뷰죚쫐뎡틬쿳,웤훐,ퟮ캪훸쏻뗄뻍쫇막욱뗄펰쿬ꆣ뷰죚쫐뎡훐뗄훚뛠횤좯,뇋듋듦퓚ퟅ룷틧볛횮쏕뫍컞럧쿕샻싊횮쏕[13]ꆣ탂뗄닺뚨볛샭훖룷퇹뗄솪쾵,퇐뺿쫐뎡쟩탷뛔쫕틦늨뚯뗄뷢싛뻍쫇톰헒SDF뗄뻶뚨틲ퟓ,톰헒뗄랽램뻍쫇쫍솦쫇튻훖훘튪뗄럖컶쮼슷,쪵볊닙ퟷ훐룼쫇틽죫룷훖틬훊볙뚨,뇈죧춶헟욫뫃틬훊ꆢ쫕죫놻춶헟맣랺쪹폃[23]ꆣ퓚훐맺뗄횤좯쫐뎡짏,뛠틬훊ꆢ샠탍틬훊뗈ꆣ퓚닺뚨볛샭싛훐,틬훊볙뚨쫽춶헟뚼믡닺짺튻훖잿쇒뗄횱맛룐뻵,쫐뎡뗄틽죫쳥쿖퓚뛔춶헟킧폃몯쫽뗄탞헽짏,평듋듦퓚쿔훸뗄냥뿩솪뚯쿖쿳ꆣ돂쏎룹뗈[24]횸돶,퓚랢햹웰살뗄탐캪닺뚨볛샭싛믱뗃뻞듳돉릦[14]ꆣ훐맺헢퇹뗄탂탋쫐뎡훐,늻춬탐튵냥뿩횮볤뗄탂맅뗤탐캪닺뚨볛샭싛놾짭,튲뿉틔죏캪쫇막볛듦퓚쏷쿔솪뚯,떫캴뷒쪾헢튻쿖쿳뗄짮닣퇐뺿춶헟욫뫃뷡릹뗄뇤뚯뛔닺뻹뫢볛룱뗄풭틲ꆣ믹폚듋,퇐뺿늻춬탐튵냥뿩훐,쫐뎡쟩탷펰쿬ꆣ퓚탂맅뗤뺭볃톧뿲볜쿂,탐캪닺뚨볛샭폫쫕틦늨뚯뗄맘쾵훁맘훘튪ꆣ싛쿔훸쳡룟쇋뛔쪵볊뷰죚쫐뎡뗄뷢쫍쓜솦ꆣMehra뗈[15]틔쟩탷늨뚯(m2ꆡ샭싛쒣탍oodfluctuations)쏨쫶춶헟욫뫃뷡릹닎쫽뗄뇤뚯,뛔폚샭뷢막볛ꆡ쫐뎡쟩탷뗄쏨쫶뗄늨뚯뻟폐훘튪틢틥ꆣ맘폚쳗샻헟쿻돽닺볛룱폫웤쓚퓚볛횵욫탐캪뷰죚샭싛뗄톸쯙랢햹,캪돤럖샭뷢쫐샫뗄퇐뺿,틑돉캪뷼쓪살뷰죚퇐뺿뗄죈뗣횮튻ꆣ뎡쟩탷뛔쫕틦늨뚯뗄ퟷ폃쳡릩쇋탂뗄릤뻟[16]ꆣ웤훐DSSW쒣탍뗄펰쿬ퟮ캪맣랺,룃쒣탍틔럢춶헟뻟폐췪좫늻춬뗄3훖욫뫃쾵쫽:훷맛쳹뇕쪽믹뷰헛볛쿖쿳ퟷ캪놳뺰,틽랢쇋뛔퓫짹붻쿖틲ퟓꆢ럧쿕맦뇜쾵쫽뫍뿧웚쳦듺떯탔ꆣ쿔좻틗헟럧쿕펰쿬뷰죚닺뻹뫢볛룱헢튻쏼쳢뗄쾵CRRA킧폃몯쫽컞램룸돶췪쏀뗄뷢쫍[17]ꆣ뛔듋,춳쪵횤퇐뺿[25]ꆣ퓚폐쿞쳗샻뮷뺳쿂,죧맻춶헟붫탄샭톧뫍뷰죚톧퇐뺿쿠뷡뫏,랢믓탐캪랽램쟩탷쿠뮥펰쿬,쳗샻헟붫컞램쿻돽럇샭탔탐캪뫍뚨솿춶쒣탍뗄벯돉폅쫆뻟폐훘튪틢틥ꆣ탐떼훂뗄듭컳뚨볛,쫐뎡쟩탷붫돉캪펰쿬뷰죚캪뷰죚샭싛맣랺뗘컼쫕쿖듺탄샭톧뗄퇐뺿돉닺뻹뫢볛룱뗄쾵춳탔럧쿕,짦벰춶헟쟩탷뛔맻,캪퇐뺿횤좯쫐뎡훐뗄쫕틦늨뚯쳡릩쇋탂뗄쫕틦뗄펰쿬ꆢ춶헟쟩탷뛔쫕틦늨뚯뗄펰쿬뗈샭싛랽램[18]ꆣ퓚탐캪뺭볃톧랶돫쓚,튻훖듺뇭탔훮뛠랽쏦ꆣLee뗈[26]퇐뺿죏캪럢뇕쪽믹뷰헛볛ꆤ608ꆤ
탐튵쳘헷ꆢ쫐뎡쟩탷폫쫕틦늨뚯ꆪꆪ붪볌붿ꆡ퇮쓋뚨뿉틔ퟷ캪춶헟쟩탷뗄듺샭뇤솿,평듋랢쿖춶맻쿠뮥펰쿬,듦퓚뛠풪뻶닟랴삡믺훆ꆣ믹폚헢튻헟쟩탷쫇펰쿬볛룱뗄쾵춳탔틲ퟓꆣ틲듋,놾컄맛뗣,뗤탍뗄퇐뺿돉맻캪Bakshi뗈[30]쳡돶뗄믹샻폃DSSW캪믹뒡,뷡뫏훐맺횤좯뗄쪵볊쟩뺳폚닆뢻욫뫃뗄탐캪닺뚨볛샭싛쒣탍ꆣ볙짨춶쏨쫶웤훐뗄쫐뎡쟩탷ꆣ헟뗄쿻럑-춶ퟩ뫏톡퓱컊쳢캪:놾컄뾼싇뗄쫇튻룶듺뇭탔춶헟뺭볃ꆣ뚨maxEt틥ꇆꇞj=0Βju(ct+j,zt+j)ꆡ,Wt뫍Ct캪t웚돵쪼쪱뿌뗄ퟜ닆뢻뫍ퟜ쿻럑,Rm,t+1캪틑춶뗄ퟜ닆뢻횮쫕틦싊,쿂뇪m뇭쪾퓚풤쯣풼쫸쳵볾늻뇤쪱,쪹폃뚯첬맦뮮뗃떽쯦틑춶뗄ퟜ닆뢻,듺뇭탔춶헟뗄뚯첬풤쯣풼믺쳹쿖틲ퟓ1=Et[MT+1Rt+1],폚쫇,뿉뗃t쪱뗄쫸랽돌캪W컞럧쿕샻싊Rbt=1öEt(Mt+1),뛸쯦믺쳹쿖틲ퟓt+1=Rm,t+1(Wt-Ct)ꆣ짨Et캪쳵볾웚췻쯣ퟓ,Β<1캪훷맛쳹쿖틲ퟓ,Α>0캪쿠뛔럧ꆡꆡMt+1=Βuc(ct+1,Wt+1)+uW(ct+1,Wt+1)쿕맦뇜쾵쫽uc(ct,Wꆡꆣ(3)t),Χ-1>0캪뿧웚쳦듺떯탔ꆣ듋쪱,춶헟뗄욫뫃뇭쪾캪튻훖뗝맩킧폃몯쫽Ut,떱닎ꆡ뻹뫢볛룱뗄좷뚨쫽퓚탐캪닺뚨볛쒣탍뗄튻냣뻹뫢뿲볜쿂,Α=Χ쪱,헢튻뗝맩킧폃몯쫽뻍췋뮯캪뒫춳뗄쪱볤뿉럖뗄쏝킧폃몯쫽,웤쿠펦뗄럧쿕맦뇜쾵놾컄샻폃Shefrin뗈[31]쳡돶뗄탐캪횤좯ퟩ뫏쫽(behavioralportfoliotheory,BPT)뿌뮭닺볛Α>0;춶헟톡퓱럻뫏풤쯣풼쫸랽돌뗄쿻럑뫍닺ퟩ뫏룱뗄탎돉맽돌ꆣ짨뻶닟헟퓚뗍웚췻쮮욽탄샭헋,ퟮ듳뮯킧폃쮮욽UtꆣEpstein뗈[27]횸돶뮧훐짨솢뗄웚췻쮮욽캪As,캴살닆뢻Ws늻뗍,뛔폚쳘뚨탎쪽뗄Ut,닺j뗄쫕틦Rj,t+1뿉틔샻폃얷삭랽돌룸돶뻟쳥뗄쏨쫶탎쪽폚As뗄룅싊캪Ps,붨솢퓚룃헋뮧짏뗄킧폃몯쫽:UU1-ΧΧs=PsE(W),쪽훐,0ꇜΧꇜ1,폃틔좨뫢뛔낲t={(1-Β)C1-Χt+Β(E(1-Χ)ö(1-Α)(tUt+1)}1-Α)ö(1-Χ)ꆡꆣ1=E-Χ(t{[Β(Ct+1öC1-Α)ö(1-Χ)R(1-Α)ö(1-Χ)-1t)]m,t+1R좫탔횸뇪뗄훘쫓돌뛈,Χ좡횵풽듳뇭쏷풽늻훘j,t+1}(1)쫓낲좫탔,쿠펦뗘룼볓훘쫓웚췻쫕틦ꆣ뻶닟헟퓚ꆡ튻냣뻹뫢뿲볜뗄틽죫룟웚췻쮮욽짨솢Ar,룃탄샭헋뮧훐캴살닆뢻Wr뾼싇L[28]ucas뗄뒿붻뮻뺭볃쒣탍,듦퓚튻늻뗍폚Ar뗄룅싊캪Pr,붨솢퓚룃탄샭헋뮧짏뗄훖짺닺탔닺,헢훖닺쎿튻웚뚼붫닺짺튻킩킧폃몯쫽Ur=1-ΒPrE(WΒr),쪽훐,Β뇭쪾좨쾵쫽뫬샻,뛸쟒,좫늿짺닺탔닺뗄뫬샻캪룃뺭볃쾵(0ꇜΒꇜ1),웤몬틥춬Χꆣ짨∆s뫍∆r럖뇰캪탄샭춳뗄ퟜ?뢳Yt,럾듓뇪ힼ뗄벸뫎늼샊퓋뚯:헋뮧뗄좨쾵쫽,뷰럖엤뗄쒣쪽뇭쪾캪Yt=ΛYtdt+ΡYtBt,tꇊ[0,T]ꆡꆣmaxU=∆Χs[P1-ΧsE(Ws)]{1+∆r[P1-ΒrE(WΒr)]}ꆡꆣ(4)쪽훐,Y0>0,Λꇝ0,Ρ>0,뻹캪뎣쫽;Bt캪뇪ힼ뗄ꆡꆡ뻶닟헟붫퓚풤쯣늻뎬맽Ws0뗄쳵볾쿂,쪹폃늼샊퓋뚯,뛸쟒Λ>Ρ2ö2ꆣmaxUs퓚뗍웚췻쮮욽탄샭헋뮧훐엤훃닺,뛸놾쫐뎡짏듦퓚2훖뷰죚횤좯,벴럧쿕퓚풤쯣늻뎬맽Wr0뗄쳵볾쿂,쪹폃maxUr퓚룟닺(막욱)뫍뛌웚컞럧쿕릤뻟(햮좯)ꆣ퓚t=0떽웚췻쮮욽탄샭헋뮧훐엤훃닺,늢쟒,퓚싺ퟣt=T횮볤돖폐튻막막욱,웚볤뗄횧뢶캪Yt,tꇊWs0+Wr0ꇜW0뗄잰쳡쿂,룹뻝킧폃몯쫽퓚2룶[0,T]ꆣ럧쿕닺돽좨뗄볛룱캪St,tꇊ[0,T];탄샭헋뮧횮볤엤훃뷰W0ꆣ평폚Shefrin뗈[31]컞럧쿕닺뗄벴웚샻싊캪rt,춶헟퓚t웚뗄쿻닉폃뗄쒿뇪몯쫽쫇Cobb2Douglas짺닺몯쫽,퓬럑싊캪Ct,뛔컞럧쿕닺뗄돖폐캪Αt,뛔럧쿕돉쪵볊뗄쟳뷢틬뎣삧쓑,틲듋,탫듓쪵폃탔뷇뛈닺뗄돖폐캪Ηt,쿻럑뫍붻틗닟싔{Ct,(Αt,Ηt)}캪ퟔ쫊펦맽돌ꆣ믹폚듋,싺ퟣ뇪ힼ뗄뿉믽쳵볾캪뛔BPT쒣탍뷸탐뗷헻:짨뻶닟헟캪탄샭헋뮧sꇒ뫍r톡퓱쇋Ks뫍Kr룶춶뛔쿳,볛룱쿲솿csTC2tdt<ꇞ=(0cs1,cs2,ꆭ,csK),cr=(cr1,cr2,ꆭ,crK);춶웚쒩ꇒT뗄킧폃뿕볤캪s=(λΚλs1,Κs2,ꆭλ,ΚsK),r=(λΚr1,ûΑtrtdt+Ηt(Ytdt+dSt)û<ꇞꆡꆣ(2)0λꇒΚr2,ꆭλ,ΚrK)ꆣ볙짨킧폃쿲솿θΚsj뫍Κθrj돶쿖뗄룅싊TΗ2td[St]<ꇞ캪0Psj뫍Prj,뿉붫BPT쒣탍뗷헻캪ꆡꆡ튻냣뻹뫢뿲볜쿂KKsr,CRRA킧폃쒣탍뗃떽맣랺펦폃,좻뛸,ퟔꆡmaxE(W)=∆sꇆpθTsjΚsjw(j)+∆rꇆpθrjΚTrjw(j)ꆡ,(5)20쫀볍80쓪듺틔살,CRRAj=1j=1킧폃쒣탍쫜떽쇋훮뛠뷰죚틬쿳뗄쳴햽,웹뷱틑Prob{WsꇝAs}ꇝPs놻톧헟쏇럅웺[29]ꆣ폫탂맅뗤뺭볃톧늻춬,탐캪뷰Prob{WrꇝAr}ꇝ.ꆡꆣ(6)죚퓚폐쿞샭탔뗄볙뚨쿂,죏캪욫뫃뫍?뢳캪쓚Tcsw(s)ꇜWs0;ꆡTcrw(r)ꇜWr0짺ꆣ춶헟뗄뻶닟탄샭쳘헷ꆢ탐캪쒣쪽뫍뻶닟뷡0ꇜWs0+Wr0ꇜW0ꆤ609ꆤ
맜샭톧놨뗚3뻭뗚5웚2006쓪9퓂뗄틀뻝ꆣ퓚캪쫽늻뛠뗄ꆢ퇐뺿튻맺믲춬튻쫐뎡훐3ꆡ쪵횤퇐뺿늻춬막볛쿠뮥맘쾵뗄컄쿗훐,ퟮ뻟듺뇭탔뗄쫇ꆡ퇹놾쫽뻝Ew[34]ing,쯻닉폃랽닮럖뷢램짮죫뾼달쇋탐튵뛔짏쫐릫쮾뗄탐튵쳘헷뷸탐퇐뺿쪱,톡퓱횸쫽퓚뚯첬뒫떼믺훆훐뗄훘튪탔ꆣ떫웹뷱캪횹,뿆톧뗄탐튵럖샠뇪ힼ훁맘훘튪,틲캪짏쫐릫쮾맺쓚뛔럢뇕쪽믹뷰헛볛쿖쿳뗄뷢쫍짐캴듯돉뷏탐튵럖샠랽램뗄뿆톧탔뇘좻믡펰쿬쪵횤퇐뺿뷡캪튻훂뗄맛뗣,틲듋,놾컄럅웺쇋뒫춳짏춬샠퇐맻뗄헽좷탔[32],틲듋,캪쇋퇐뺿늻춬탐튵쳘헷쿂뺿쯹맟폃뗄쟩탷횸쫽,뛸쫇닉폃뚡훎맺뗈[35]쳡쫐뎡쟩탷뛔쫕틦늨뚯뗄펰쿬,탨튪톰헒튻훖뫏돶뗄튻훖쫐뎡쟩탷횸쫽볙쮵샭싛ꆣ샭뗄탐튵럖샠랽램ꆣ쏀맺뗄쪵횤퇐뺿튻냣닉폃믹폚듋,놾컄붫ꆰ짏횤ꆱA막쫐뎡훐,춶헟뇪ힼ닺튵럖샠(SIC),떫늻춬쫽뻝뿢쯹쳡릩뗄짏탅쾢돥믷쮥복쾵쫽Κ뚨틥캪쫐뎡쟩탷횸쫽,틔쫐릫쮾럖샠뷡맻죔뻟폐닮틬,틲듋뻍믡떼훂쪵뿌뮭쫐뎡훐춶헟뛔탅쾢돥믷돖탸탔뗄풤웚,횤퇐뺿뗄뷡맻쿔훸늻춬[33]ꆣ뷼쓪살,쯤좻훐맺뗄틲듋,퓚뻹횵틢틥쿂뗄횤좯볛룱,쫇춶헟믹폚짏쫐릫쮾쫽솿벱뻧퓶볓,떫훷튪벯훐폚훆퓬튵,쫐뎡쟩탷횸쫽뛔릫쮾쓚퓚볛횵뗄펳짤ꆣ듋쪱,쳹뛸퓚쒳킩탐튵뷶폐뫜짙뗄릫쮾,헢퇹뗄퇐뺿뷡쿖틲ퟓk캪쫐뎡쟩탷횸쫽Κ뗄몯쫽,춶헟뛔싛뿏뚨듦퓚튻뚨욫닮ꆣ캪듋,닎헕ꆰ짏횤ꆱ뇠훆탐탅쾢돥믷쮥복쾵쫽뗄톡퓱,뻶뚨쇋뛔릫쮾쓚퓚튵럖샠막볛횸쫽뗄쮼쿫,닉폃뗘닺횸쫽(DC)ꆢ볛횵뗄맀볆,튲쳥쿖쇋뛔캴살풤웚뗄첬뛈ꆣ볙죧릤튵횸쫽(GY)ꆢ짌튵횸쫽(SY)ꆢ릫폃횸쫽춶헟좡튻룶뷏듳뗄탅쾢돥믷쮥복쾵쫽,퓲뇭(UT)폫ퟛ뫏횸쫽(ZH)뗄럖샠ꆣ쏷춶헟뛔떱잰탅쾢돥믷뗄돖탸탔뻟폐뷏뫃풤틲듋,놾컄톡좡ꆰ짏횤ꆱA막쫐뎡훐뗄254웚ꆣ샻폃vt뇭쪾춶헟퓚t쪱뿌뛔횤좯쓚퓚볛룶퇹놾,럖쫴폚뗘닺ꆢ릤튵ꆢ짌튵ꆢ릫폃폫ퟛ뫏5횵뗄맀볆횵;EPSt+1캪횤좯퓚t쪱뿌뗄쎿막쫕룶탐튵냥뿩,웤훐,늻냼몬퓸놻STꆢPT믲뇤룼틦;rt캪t쪱뿌뗄쳹쿖싊,웤횵뗈폚컞럧쿕샻훷펪튵컱뗄릫쮾ꆣ샻폃죭볾뷸탐퇹놾싊(t);vt+1뇭쪾t+1쪱뿌,믹폚탂뗄탅쾢붫릫쮾볛탲쇐뗄쏨쫶탔춳볆럖컶ꆣ뷡맻랢쿖:퇹놾탲쇐뗄욫횵쳹쿖떽t쪱뿌,퓲폐뛈횸뇪뻹뷩폚1뫍2횮볤,듳폚헽첬럖늼뗄욫뛈∃(t)vt+1=∃EPSt+1ö(1+rt-Κ)ꆡ,(7)횸뇪횵캪0,돊쿖돶듳킡늻뗈뗄폒(ퟳ)욫쳘헷;럥쪽훐,1ö1(1+rt,-Κ)캪쳹쿖틲ퟓk,평듋뿉뗃뛈횸뇪쿔훸듳폚헽첬럖늼뗄럥뛈횸뇪횵3,뇭쿖돶쫐뎡쟩탷횸쫽Κ=1+rt-1ökꆣ퓚ꆰ짏횤ꆱA막쫐뷏쏷쿔뗄볢럥쳘헷ꆣ헽첬볬퇩뷡맻뮹뇭쏷,헢5룶뎡훐,평폚뺺헹믺훆뗄ퟷ폃,탅쾢돥믷뛔릫쮾쫕퇹놾탲쇐뗄J2B춳볆솿뻹뫜쿔훸,쿠펦뗄룅싊횵틦뗄펰쿬쯦쪱볤돊쮥복쟷쫆,뻟쳥뇭쪾캪벸뫵캪0,탲쇐뇭쿖돶럇헽첬탔ꆣ퇹놾웚캪1998쓪∃EPSi,t+1=Κ∃EPS,쿔좻,Κꇊ[0,1]ꆣ뻸듳뛠쫽2퓂1죕훁2005쓪10퓂30죕,믹폚탐튵쳘헷뗄쳵볾쿂,탅쾢돥믷떼훂뗄릫쮾쫕틦뇤뮯,붫쯦ퟅ퇹놾탲쇐쿠맘탔쾵쫽볻뇭1ꆣ쿔좻,쫐뎡훐늻춬냥쪱볤뗄췆틆훰붥뇤죵,헢헽쫇쫐뎡쟩탷첽쳖뗄뿩횮볤뻟폐쿔훸뗄막볛솪뚯쳘헷ꆣ훷튪랶돫ꆣ본폚뺭볃맬맽돌훐컒맺횤좯쫐뎡뇭1ꆡ퇹놾탲쇐뗄쿠맘쾵쫽뻘헳뻟폐뗄뛀쳘횮뒦,쳘뇰쫇훐맺뒫춳컄뮯뛔폚춶DCGYSYUTZH헟잱퓚뗄펰쿬,맊퇐뺿ꆰ짏횤ꆱA막쫐뎡쟩탷컊쳢쪱뮹펦뾼싇춶헟죏횪욫닮뗄ꆰ훐맺쳘즫ꆱꆣ퓚듋놳뺰쿂,놾컄쓢샻폃Granger틲맻볬퇩뛔퇹놾쫽뻝뷸탐럖컶ꆣ춨맽퇐뺿뇤솿횮볤뗄틽떼맘쾵,쓜릻랴펳늻춬탐튵냥뿩횮볤쿠뮥ퟷ폃뗄랽쿲ꆣꆡ쫐뎡쟩탷횸쫽ꆡ쪵퇩뷡맻쒿잰,폫쫐뎡쟩탷쿠맘뗄퇐뺿훷튪벯훐퓚평샭싛쒣탍뿉횪,퓫짹붻틗헟믱뗃탅뫅뫳춶헟쟩탷랽쏦ꆣ뎣폃뗄춶헟쟩탷횸쫽듺샭뗄쟩탷뇤뮯춨맽2훖춾뺶펰쿬쫕틦:튻쫇틽훂뇤솿캪뾪럅쪽믹뷰뺻쫪믘ꆢ쟩탷뗷닩횸쫽폫럢뛔횤좯쓚퓚볛횵뗄듭컳맀볆;뛾쫇틽훂퓫짹붻뇕쪽믹뷰볓좨헛볛싊,퓋폃뷏캪맣랺뫍돉릦뗄틗헟럧쿕탞헽쫕틦늨뚯ꆣ뛔듋,룟욵뷰죚쪱볤탲쫇뫳2훖랽램ꆣ톧헟쏇듓늻춬뷇뛈,뷒쪾쇋횤좯쇐럖늼춨뎣뻟폐늨뚯싊벯좺쳘탔,샻폃쫐뎡짏춶헟탄샭폫탐캪뗄펰쿬ퟷ폃,헢캪퇐GARCH샠쒣탍쓜릻뷒쪾헢훖늨뚯쳘탔ꆣ떫퓚뺿쫐뎡쟩탷폫쫕틦늨뚯횮볤뗄맘쾵쳡릩쇋뿍맛놾컄뾼달ꆰ짏횤ꆱA막쫐뎡훐뗄쫽뻝쪱,랢쿖ꆤ610ꆤ
탐튵쳘헷ꆢ쫐뎡쟩탷폫쫕틦늨뚯ꆪꆪ붪볌붿ꆡ퇮쓋뚨ADF볬퇩뗄Σ춳볆솿캪,퓚1%쿔훸쫐뎡쫕틦싊뻹캪냗퓫짹맽돌,늻듦퓚쿟탔뗄탲탔쮮욽짏뻜뻸떥캻룹,쿔쪾쫕틦싊욽컈,퓚짨훃쇐틀삵뫍죕샺킧펦,틲듋,놾컄닉폃Granger틲랴펳죕샺킧펦뗄탩쓢뇤솿뫳,룹뻝퇹놾죝솿좡맻볬퇩,춨맽퇐뺿뇤솿횮볤뗄틽떼맘쾵,랴펳늻AR(25),Box2PierceQ춳볆솿캪,뇭쏷춬탐튵냥뿩횮볤쿠뮥ퟷ폃뗄랽쿲(볻뇭2)ꆣ뇭2ꆡGranger틲맻볬퇩뗄쫤돶뷡맻풭볙짨H0힢쫍F2춳볆솿룅싊횵P틽떼맘쾵DCdoesnotGrangerCauseGYRDCꇺ쫇GYdoesnotGrangerCauseDCRGYꇺ쫇GYdoesnotGrangerCauseSYRGYꇺ쫇SYdoesnotGrangerCauseGYRSYꇺ쫇GYdoesnotGrangerCauseUTRGYꇺ쫇UTdoesnotGrangerCauseGYRUTꇺ쫇ZHdoesnotGrangerCauseGYRZHꇺ쫇GYdoesnotGrangerCauseZHRGYꇺ쫇DCdoesnotGrangerCauseSYRDCꇺ쫇SYdoesnotGrangerCauseDCRSYꇺ쫇DCdoesnotGrangerCauseUTRDCꇺ쫇UTdoesnotGrangerCauseDCRUTꇺ쫇DCdoesnotGrangerCauseZHRDCꇺ쫇ZHdoesnotGrangerCauseDCRZHꇺ쫇UTdoesnotGrangerCauseSYRUTꇺ럱SYdoesnotGrangerCauseUTRSYꇺ쫇ZHdoesnotGrangerCauseSYRZHꇺ쫇SYdoesnotGrangerCauseZHRSYꇺ쫇ZHdoesnotGrangerCauseUTRZHꇺ쫇UTdoesnotGrangerCauseZHRUTꇺ쫇ꆡꆡꆡ힢:PairwiseGranger틲맻볬퇩,퇹놾쫽솿캪254,훍뫳웚캪3룶퓂3;p<;p<;p<ꆡꆡ뇭2쿔쪾쇋뛔퇹놾탲쇐뗄Granger틲맻볬펦몯쫽쏨쫶쾵춳뛔돥믷뗄뚯첬랴펦,늢듓뚯첬랴퇩뷡맻,훍뫳뷗쫽틀뻝AIC뫍SC탅쾢ힼ퓲살펦훐에뛏뇤솿횮볤뗄쪱훍맘쾵ꆣ놾컄듓춶헟뛔좷뚨ꆣ쪵횤뷡맻뇭쏷,퇹놾탲쇐훐뷶릫폃횸쫽탅쾢뗄폐킧랴펳쫓뷇,퓚쒳튻탎돉웚웚쒩룸퇹놾(UT)뛔짌튵횸쫽(SY)횮볤늻듦퓚쿔훸뗄틽떼탲쇐쪩볓튻룶떥캻뗄싶돥,VAR쾵춳훐룷뇤솿붫맘쾵,웤쯻뗄뻹듦퓚Granger틢틥짏뗄틲맻맘ퟶ돶쿠맘랴펦(볻뇭3)ꆣ쾵ꆣ헢튻뷡맻뇭쏷,ꆰ짏횤ꆱA막쫐뎡훐늻춬탐튵쪵횤뷡맻뇭쏷,퓚ꆰ짏횤ꆱA막쫐뎡훐,돖폐냥뿩퓚쫐뎡쟩탷돥믷뒫떼컊쳢짏,쿔훸뗘펰쿬웚뷏뛌뗄쟩뿶쿂뻟폐뷏캪쏷쿔뗄뚯솿샻죳,돖쫕틦늨뚯,듦퓚냥뿩솪뚯킧펦:떱춶헟샖맛폐웚뷏뎤쪱닉좡랴닟싔췹췹쓜믱뗃뷏룟쫕쪱,쫕틦쿔훸퓶볓;떱춶헟놯맛쪱,쫕틦쿔훸틦ꆣ헢쮵쏷ꆰ짏횤ꆱA막쫐뎡훐짏쫐릫쮾뗄닆컱복짙ꆣ튲틽횤쇋훐맺횤좯쫐뎡뗄튻룶맛뗣ꆪꆪ횸뇪늢쎻폐죧쪵랴펳짏쫐릫쮾뗄헦쪵볛횵ꆣ떫쫐뎡샖맛쪱뚼뗈잮,쫐뎡놯맛쪱뚼믡엢잮ꆣ쇭퓚훐뎤웚놳뺰쿂,쪵횤퇐뺿뚼뇭쏷뚯솿닟싔퓚췢,쫐뎡쟩탷뛔쫕틦늨뚯뻟폐쿔훸뗄헽쿲잿뮯ꆰ짏횤ꆱA막쫐뎡뗄쪧냜,뛸랴닟싔퓲좡뗃뫜ퟷ폃,늢뻟폐튻뚨뗄훍뫳웚쿞ꆣ평듋,뇭쏷쫐뎡듳뗄돉릦,뛸쟒쯦ퟅ돖폐웚뫍탎돉웚뗄퇓뎤뇭쟩탷뗄벱뻧뇤뮯,쓜릻퓬돉룼뻧쇒뗄쫕틦늨뚯,쿖뗃룼쏷쿔ꆣ평폚훐맺막욱쫐뎡쾵춳럧쿕퓚ퟜ틽횤쇋쫐뎡쟩탷횸쫽볙짨쏼쳢ꆣ럧쿕훐햼폐뫜듳뗄뇈훘,떼훂막욱뎬뎣쫕틦뗄뛔폚룷ퟔ탐튵냥뿩쓚늿뗄쫐뎡쟩탷뒫떼킧뇪ힼ닮첫듳,듓뛸t춳볆솿늻쿔훸ꆣ헻쳥뛸퇔,펦,탨튪뷸튻늽햹뾪럖컶ꆣ춨맽쿲솿ퟔ믘맩쫐뎡쟩탷뛔ꆰ짏횤ꆱA막쫐뎡틬쿳뻟폐뷏잿뗄뷢(VAR)쒣탍뗄싶돥쿬펦럖컶맽돌,웊컶쫐뎡쟩쫍솦,폫떱잰훐맺횤좯쫐뎡뗄훆뛈놳뺰쿠맘솪,탷폫쫕틦늨뚯횮볤뗄펰쿬맘쾵,늢쟒쫔춼듓쳵뎤웚춶뗄샭쓮뫜쓑퓚쫐뎡훐뗃떽죏뿉ꆣ볾럖늼뗄뷇뛈첽쯷솽헟횮볤뗄틲맻맘쾵ꆣ뛔폚싶뛔폚늻춬냥뿩뗄횤좯쫕틦,VAR쾵춳뛔탅돥쿬펦몯쫽뛸퇔,뿌뮭쇋퓚쒳튻죅뚯쿮짏쪩볓튻쾢뗄랴펦늢캴뇭쿖돶벴쪱쫕솲탔,벴쫐뎡쟩탷룶튻듎탔뗄돥믷뫳,뛔쓚짺뇤솿뗄떱잰횵뫍캴살뛔쫕틦늨뚯뗄펰쿬뻟폐쿔훸뗄뿉돖탸탔ꆣ퓚뛌횵쯹듸살뗄펰쿬[36]ꆣ퓚VAR쒣탍훐,쒳튻뇤솿t웚쓚뚯솿킧펦뗝복,떫퓚훐뎤웚폖돊쿖돶믽벫웚뗄죅뚯쿮뇤뚯믡춨맽뇤솿횮볤뗄뚯첬솪쾵,뛔t뗄랴킧펦ꆣ샭싛짏,폐킧쫐뎡훐볛룱뛔탅쾢뗄웚틔뫳룷룶뇤솿닺짺튻솬뒮뗄솬쯸ퟷ폃ꆣ싶돥쿬랴펦뻟폐벴쪱탔,쫐뎡쏦뛔탂탅쾢뗄돥믷붫톸ꆤ611ꆤ
맜샭톧놨뗚3뻭뗚5웚2006쓪9퓂뇭3ꆡ퇹놾탲쇐뗄싶돥쿬펦럖컶뷡맻탎돉웚ö쓪탐튵돖폐웚ö퓂쳘헷쯙뗷헻훁쒳룶탂뗄뻹뫢볛룱짏,쪵쿖쫐뎡돶쟥ꆣ폃,닅쓜쳡돶쿠펦뗄훎샭뛔닟ꆣꋛ헾뢮펦룃훰늽믹폚듋,ꆰ짏횤ꆱA막쫐뎡퓚폐킧탔랽쏦뮹듦퓚릹붨쾵춳뗄춶헟놣뮤램싉뿲볜,잿뮯뛔춶쏷쿔늻ퟣ,쫐뎡킧싊폐듽쳡룟ꆣ헢튻랢쿖폫맺쓚헟뗄폐킧놣뮤ꆣꋜ춨맽뿘훆쫐뎡쟩탷,뛔폚붵뗍훚뛠쿠맘컄쿗뗃돶뗄뷡싛쟷폚튻훂,퓚늻춬냥훐맺횤좯쫐뎡럧쿕튲뻟폐볛횵ꆣ뿩횮볤뗄뛀쳘탔퓲쫇놾컄뗄탂첽쯷ꆣ퓚ꆰ짏횤ꆱ놾컄첽쳖쇋ꆰ짏횤ꆱA막쫐뎡훐,늻춬탐튵A막쫐뎡훐,쫐뎡쟩탷뛔쫕틦늨뚯뗄뚯솿킧펦냥뿩막볛웫헇웫뗸뗄뒫떼믺샭,뛔듋뮹뿉틔햹돖탸웚튻냣캪12룶퓂;늻춬탐튵냥뿩뒫뚯킧펦뾪짮죫뗄퇐뺿ꆣ뛔훐맺헢튻탂탋뗄횤좯쫐뎡뛸룷틬,웤훐DC냥뿩뗄늨뚯ퟮ캪뻧쇒ꆣ퇔,컞싛쫇캢맛닣쏦뗄춶헟탄샭,뮹쫇뫪맛닣쏦뗄헾닟뮷뺳뻹듦퓚룟뛈늻좷뚨탔,튲쪹뗃탐4ꆡ뷡폯캪뷰죚톧퓚훐맺펵폐맣삫뗄랢햹뿕볤뫍펦폃잰놾컄샻폃ꆰ짏횤ꆱA막쫐뎡뗄퇹놾쫽뻝,쪵뺰ꆣ놾컄쯤좻쫇믹폚룶쳥춶헟햹뾪뗄퇐뺿,떫횤볬퇩쇋훐맺횤좯쫐뎡쟩탷폫쫕틦늨뚯횮볤뗄믺릹춶헟튲쫇훐맺횤좯쫐뎡뿉쓜뗄퓫짹붻틗맘쾵ꆣ퓚탐캪뷰죚뗄랶쪽쿂,믹폚탐튵쳘헷럖샠헟럧쿕풴,틲듋,뿉틔뷸튻늽듓믺릹춶헟뷇붫쫐뎡쟩탷폫쫕틦늨뚯맘쾵뗄볬퇩훃폚쇋튻훖뛈,첽쳖쫐뎡쟩탷폫쫕틦늨뚯횮볤뗄맘쾵ꆣ샽탂뗄럖컶뿲볜쿂ꆣ평폚뾼싇쇋훐맺횤좯쫐뎡뗄죧,뷒쪾횤좯쫐뎡훐쫐뎡쟩탷폫럢뇕쪽믹뷰헛쳘헷볛횮쏕뗄쿠뮥맘쾵ꆣ쇭췢,탨튪쮵쏷뗄쫇,뷶뷶,뷏뒫춳퇐뺿룼캪럻뫏쪵볊;죚뫏탐캪닺뚨볛폫탐캪뷰죚샭싛,퇐뺿릹퓬튻훖탐캪닺뮮럖캪컥듳탐튵냥뿩놾짭죔좻좱랦퇏쏜뗄뿆톧뚨볛쒣탍,뇭쏷쫐뎡쟩탷쫇뻹뫢볛룱뗄쾵춳탔탔ꆣ샽죧,튻킩ퟛ뫏샠짏쫐릫쮾늢늻뻟폐ퟛ뫏쳘펰쿬틲ퟓꆣ퇹놾웚쓚헷,헢퓚튻뚨돌뛈짏펰쿬쇋뷡싛뗄쮵럾솦ꆣ,ꆰ짏횤ꆱA막쫐뎡듦퓚쿔훸뗄볛룱솪뚯쿖쿳ꆣ헢뇭쏷훐맺횤좯쫐뎡쫜춶헟죏횪욫컳ꆢ탐헾믺훆ꆢ램싉뮷뺳뗈틲쯘뗄펰닎뾼컄쿗쿬[1]EasleyD,O’,쫐뎡킧싊폐듽쳡룟,늢쟒,늻춬탐튵쳘헷뗄횤좯ퟩ뫏,뛔쫐뎡쟩탷뗄랴펦뮹뻟폐뛀쳘쒣쪽ing[J].HandbookoftheEconomicsofFinance,2003,,1(2):102121051.뇘탫폐헫뛔탔뗘닉좡쳗샻닟싔ꆣ[2][J].Journalof짏쫶뷡싛뛔췪짆훐맺횤좯쫐뎡뫍맦랶춶Finance,1952,7(1):77291.헟탐캪,틔벰횸떼춶헟뻶닟탐캪뻹뻟폐튻뚨[3][J].웴쪾JournalofBusiness,1965,38(1):342105.:ꋙ춶헟뿉틔닉폃쿠펦뗄탐캪뷰죚춶닟싔,퓚뛌웚믲뎤웚쓚믱좡뷏듳뗄쳗샻뿕볤ꆣ폐[4]킧틖훆춶헟뗄죏횪욫닮벰웤폐쿞샭탔탐캪inAssetPricing[J].JournalofBanking&Finance,,폖뿉틔쳡룟춶벨킧,뷸뛸랢믓횤좯쫐뎡뗄믽2005,29(11):270122722.[5]태뫍욽.쿻럑쾰맟ꆢ틬훊욫뫃폫뚯첬닺뚨볛:뒿붻뮻벫릦쓜ꆣꋚ횤좯쫐뎡볠맜늿쏅횻폐냑컕춶헟뺭볃쟩탎[J].뺭볃퇐뺿,2005,22(10):912100.죏횪욫닮뛔훐맺횤좯쫐뎡헻쳥퇝뷸뗄헾닟킧[6]DeLongJB,ShleiferA,SummersLH,ꆤ612ꆤ
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