뗚19뻭뗚6웚춳볆폫탅쾢싛첳쓪11퓂ꆡꆡꆡꆡꆡꆡꆡꆡꆡNov.,2004ꆾ춳볆펦폃퇐뺿ꆿ막욱웚췻쫕틦싊뷘쏦퇐뺿ꆪꆪꆪ살ퟔ짏몣막욱쫐뎡뗄뺭퇩럖컶키뾡쾲1,췵쟬쪯2,ퟞ벪뮪3(1.뚫놱닆뺭듳톧쫽솿뺭볃쾵;2.뚫놱닆뺭듳톧맺볊짌톧풺,쇉쓾듳솬,116025;3.퇌첨췲뮪뻛낱막럝폐쿞릫쮾닆컱늿,즽뚫퇌첨ꆡ264002)햪ꆡ튪:컄헂틔쫐뎡막좨뫍헊쏦쫐횵뇈캪믹ힼ릹퓬쇋25룶춶ퟩ뫏,폃솽늽램뷸탐쇋믘맩럖컶ꆣ뺭퇩뷡맻뇭쏷:11뒫춳뗄CAPM쒣탍뷘쏦믘맩훐놴쯾ꛂ뷢쫍쓜솦폐쿞,훁뛠횻쓜뷢쫍%뗄뎬뛮웚췻쫕틦싊뗄뷘쏦뇤뮯;21Fama-French뗄3틲ퟓ쒣탍뷘쏦믘맩뇭쏷퓚퓶볓SMBt뫍HMLt솽룶틲ퟓ뫳,놴쯾ꛂ벸뫵쪧좥쇋뷢쫍쓜솦,뚼놻HMLt컼쫕쇋ꆣ폫CAPM쒣탍뷘쏦믘맩뷢쫍뎬뛮웚췻쫕틦싊뗄뷘쏦뇤뮯쿠뇈,Fama-French뗄3틲ퟓ쒣탍뷘쏦믘맩뷢쫍쓜솦폐뫜듳뗄쳡룟,쓜릻듯떽%ꆣ맘볼듊:웚췻쫕틦싊;뷘쏦;CAPM쒣탍;Fama-French틲ퟓ쒣탍훐춼럖샠뫅:F224ꆡꆡ컄쿗뇪쪶싫:Aꆡꆡ컄헂뇠뫅:1007-3116(2004)06-0043-07튻ꆢ샭싛믘맋뫍컄쿗볲쫶ChanꆢHamao폫Lakonishok(죕놾,1991)랢쿖헊쏦쫐횵뇈퓚뷢쫍죕놾막욱웚췻쫕틦싊튲웰ퟅ뫜잿뗄ퟷ폃\[2\]ꆣ쿄웕(SharpeFama폫French(쏀맺,1993)랢쿖냼삨놴쯾ꆢ쫐뎡막좨틔,1964)ꆢ쇖쳘쓉(Lintner,1965)폫쒪탁(Mossin,1965)퓚십뿉캬듄(Markowitz,1959)춶ퟩ뫏샭싛벰헊쏦쫐횵뇈뗄쒣탍뇈횻냼삨놴쯾뗄쒣탍뗄뷢쫍쓜솦폐쿔뗄믹뒡랢햹쇋뺭볃틢틥,룷ퟔ뛀솢뗘퇐뺿쇋죎튻횤좯ퟩ뫏쫕훸뗄쳡룟\[3\]ꆣ틦싊폫쒳룶릲춬틲ퟓ뗄맘쾵,떼돶쇋놾닺뚨볛쒣탍Stattman(쏀맺,1980)랢쿖쏀맺막욱웚췻쫕틦싊뫍릫쮾(CAPM)ꆣCAPM쒣탍튵틑뻶뚨쇋뷰죚톧볒뫍쪵볹헟쯹뾼헊쏦쫐횵뇈헽쿠맘\[4\]ꆣ싇뗄럧쿕닺웚췻쫕틦싊폫웤돐떣뗄럧쿕뗄랽쪽ꆣCAPM컒맺ퟔ막욱쫐뎡뒴붨틔살,틑뛈맽쇋10폠룶뒺쟯ꆣퟮ쒣탍죏캪쫐뎡ퟩ뫏쫇십뿉캬듄틢틥짏뻹횵-랽닮폐킧뗄ꆣ뷼벸쓪맺쓚폐듳솿컄헂뛔CAPM쒣탍폐킧탔볬퇩뷸탐쇋맣쫐뎡ퟩ뫏폐킧탔틢캶ퟅ:럧쿕닺뗄웚췻쫕틦싊쫇쯼쏇쫐뎡랺첽쳖ꆣ떫퇐뺿컒맺막욱쫕틦싊뷘쏦뇤뮯뗄컄쿗쿠떱?랦,놴쯾ꛂ뗄헽뗄쿟탔몯쫽;쫐뎡놴쯾ꛂ췪좫늶ힽ웚췻뎬뛮쫕틦웤훐훷튪퇐뺿컄쿗죧쿂:싊뗄뷘쏦뇤뮯ꆣ돂킡퓃폫튦쳎(1995)랢쿖:막욱뗄웚췻쫕틦싊훁짙폫떫뛔쒣탍뗄뺭퇩럖컶튻횱뚼헹싛늻택,폐횧돖뗄,튲폐솽룶뛀솢뇤솿돉쿟탔맘쾵,웚췻쫕틦싊폫좫늿럧쿕돉헽쿠늻횧돖뗄ꆣ퓧웚뗄퇩횤뛠캪횧돖CAPM쒣탍뗄,퇩횤뷡맻맘,뛸쟒폫돉붻맦쒣돉뢺쿠맘\[5\]ꆣ헢퓚튻뚨돌뛈짏뿏뚨쇋컒랢쿖헽쿱쿄웕ꆢ쇖쳘쓉폫쒪탁탎쪽뗄CAPM쒣탍쯹풤퇔뗄맺막쫐훐뗄맦쒣킧펦;돂킡퓃뫍쯯낮뻼(2000)춨맽뷘쏦믘맩쓇퇹,막욱웚췻쫕틦싊폫ꛂ횮볤뗄헽쿠맘맘쾵돉솢ꆣ좻뛸ퟔ랢쿖ꛂ:뛔훐맺막쫐웚췻쫕틦싊늻뻟폐뷢쫍쓜솦,듓뛸럱뚨20쫀볍70쓪듺뫳웚,폈웤20쫀볍80쓪듺틔살,뢺쏦뗄뺭퇩쇋CAPM쒣탍퓚훐맺막쫐뗄폐킧탔\[6\];쇵횾탂ꆢ슬폫믆닽럖컶뗄뷡맻뷓뛸훁,웤훐ퟮ훸쏻뗄쫇Banz(쏀맺,1981)뗄샻(2000)뗄볬퇩뷡싛쫇:맦쒣(Size)폫막쾢볛룱뇈(Earnings/맦쒣킧펦(SizeEffect)ꆣ쯻랢쿖쫐뎡ꛂ막좨(MarketEquity)Price)뛔웚췻쫕틦싊뗄뷢쫍쿔훸,쫇웚췻쫕틦싊뗄럧쿕뚨볛퓶볓쇋쫐뎡ꛂ쯹쳡릩뗄웚췻쫕틦뗄뷘쏦뇤뮯뗄뷢쫍쓜솦ꆣ틲쯘,뛸ꛂ쾵쫽뛔웚췻쫕틦싊컞쿔훸뗄뷢쫍ퟷ폃,튲뻍쫇쮵,룸뚨ꛂ맀볆횵,쫕틦싊폫릫쮾맦쒣돉랴쿲맘쾵\[1\]ꆣ훐맺막쫐듦퓚맦쒣킧펦뫍쫐펯싊킧펦\[7\];퇮뎯뻼ꆢ닌쏷뎬폫쫕룥죕웚:2004-05-27ퟷ헟볲뷩:키뾡쾲(1975-),쓐,낲믕쪡컞캪쫐죋,늩쪿짺,퇐뺿랽쿲:닺뚨볛ꆢ뷰죚볆솿뺭볃톧폫놣쿕뺫쯣;췵쟬쪯(1961-),쓐,쇉쓾쪡쇉퇴쫐죋,뷌쫚,늩쪿짺떼쪦,퇐뺿랽쿲:놾쫐뎡춳볆폫럖컶폫뫪맛뺭볃춳볆;ퟞ벪뮪(1968-),쓐,쓚쏉맅돠럥쫐죋,뺭볃쪦,퇐뺿랽쿲:릫쮾뷰죚ꆣ43
춳볆폫탅쾢싛첳뢵볌늨(2001)랢쿖:쫐뎡쾵춳럧쿕늻쫇펰쿬쫕틦싊뗄캨튻틲폐뗄랽돌뻟폐춬퇹뗄믘맩틲ퟓ,쓇쎴폐킧맀볆솿뻍쫇떥랽돌쯘,짏몣막쫐듦퓚맦쒣킧펦\[8\]ꆣOLS,뛸쟒OLS폫GLS쫇튻퇹뗄,떫쫇듋쪱맀볆솿쫇ퟮ병뗄뻍맺쓚컒맺막욱웚췻쫕틦뗄뷘쏦뇤뮯뗄훷튪컄쿗살뾴,폐킧뗄맀볆솿ꆣ샻폃Fama폫French뗄3틲ퟓ쒣탍퇐뺿컒맺막욱웚췻쫕틦뗚뛾늽,퓚뗚튻늽믹뒡횮짏닉폃뷘쏦믘맩,쪹폃OLS럖싊뗄뷘쏦뇤뮯뗄컄쿗뮹늻뛠볻,놾컄뻍쫔춼듓헢튻뷇뛈뛔컒뇰맀볆쿂쏦솽룶믘맩랽돌GLS:맺막욱웚췻쫕틦싊뗄뷘쏦뇤뮯뷸탐퇐뺿ꆣ캪쇋뇈뷏럖컶,춬E\[Zit\]=ꛃ0+ꛃ1ꛂ^im+v(i8)쪱튲퇐뺿쇋CAPM쒣탍ꆣE(Z)it=ꛃ0+ꛃ1b^i+ꛃ2s^i+ꛃ3h^i+ꛌ(i9)뛾ꆢ쒣탍폫퇐뺿랽램웤훐E\[Zit]쫇ퟩ뫏i뗄뎬뛮웚췻쫕틦싊ꛂ^,imꆢ^biꆢ^si폫h^i럖뇰쫇뗚튻늽훐ꛂimꆢbiꆢsi폫hi뗄맀볆횵,vi폫ꛌi럖뇰쫇믘맩랽돌(8)폫(9)뗄닐닮ꆣ(튻)쒣탍1.쿄웕ꆢ쇖쳘쓉폫쒪탁탎쪽뗄CAPM쒣탍ꆣ쿄죽ꆢퟩ뫏쫕틦쫽뻝벰웤쏨쫶탔춳볆웕ꆢ쇖쳘쓉폫쒪탁탎쪽뗄CAPM쒣탍볙뚨춶헟쓜릻틔컞럧쿕쫕틦싊뷸탐뷨듻,쫇컒쏇ퟮ캪쫬횪뗄탎쪽(튻)쫽뻝뗄톡좡:E놾컄톡좡짏몣A막막쫐캪퇐뺿뛔쿳,평폚짏횤ퟛ뫏횸\[Rit\]=E\[Rft\]+ꛂim(E\[Rmt-Rft](1)ꛂim=Cov쫽쓜릻뇈뷏ힼ좷뗘랴펳헻쳥탐쟩뗄뇤뮯뫍막욱쫐뎡뗄헻쳥\[Rit,Rmt\]/Var\[Rmt](2)웤훐RitꆢRmt폫Rft럖뇰캪ퟩ뫏i뗄쫕틦싊,쫐뎡ퟩ뫏뗄쫕틦랢햹쟷쫆,늢쟒냼삨쇋짏몣막쫐훐룷훖횤좯,뇈뷏럻뫏싊뫍컞럧쿕닺퓚쪱뿌뗄쫕틦싊ꆣ틔뎬뛮웚췻쫕틦싊뷸탐CAPM쒣탍훐쯹쏨쫶뗄쫐뎡ퟩ뫏,틲듋톡퓱짏횤ퟛ뫏횸쫽ퟷ뇭쪾캪쫐뎡횸쫽ꆣ,짏쫶쒣탍뗈볛탎쪽캪:톡폃뗄쫽뻝살ퟔ럖컶볒쾵춳뮹좨뫳뗄짏몣막욱쫐뎡ퟛE\[Zit\]=ꛂimE\[Zmt](3)ꛂ뫏횸쫽뗄퓂쫕엌쫽틔벰짏몣막욱쫐뎡짏훁짙틑솬탸붻틗19im=Cov\[Zit,Zmt\]/Var\[mZt](4)웤훐룶퓂뗄막욱퓂쫕엌볛,헢퇹ퟶ쫇캪쇋뇜쏢짺듦욫닮(SurvivalZit=Rit-Rft뫍Zmt=Rmt-Rft럖뇰캪ퟩ뫏i뫍쫐뎡ퟩ뫏m퓚쪱뿌t뗄뎬뛮웚췻쫕틦싊ꆣBias)ꆣ폃뮹좨뫳뗄쫽뻝뫃뒦퓚폚뛔막욱뗄럖룮ꆢ쯍막ꆢ엤막틔벰엉랢뫬샻뗈쟩뿶틑럖뇰ퟶ쇋쿠펦뗄뗷헻,헢캪볆쯣쫕틦-French틲ퟓ쒣탍ꆣFama-French뗄3싊쳡릩쇋랽뇣ꆣ틲ퟓ쒣탍쫇쮵춶ퟩ뫏뛔컞럧쿕닺뗄뎬뛮웚췻쫕틦싊뿉볬퇩퇹놾웚톡좡캪1997쓪12퓂훁2003쓪12퓂,틲캪놻웤쫕틦싊뛔3룶틲ퟓ뗄쏴룐뛈쯹뷢쫍ꆣ헢3룶틲ퟓ럖뇰퓚헢횮잰컒맺막쫐뮹뒦폚늻맦랶뗄돵웚랢햹뷗뛎,떱쪱막쫐쫇쫐뎡ퟩ뫏뎬뛮쫕틦싊(Zm)t=Rmt-Rftꆢ킡맦쒣뗄막욱ퟩ뫏훐뗄막욱쫽솿짙,짏쫐맦쒣튲늻듳,막쫐뺭뎣뒦폚횻헇늻뗸쫕틦싊폫듳맦쒣뗄막욱ퟩ뫏쫕틦싊횮닮(SMB)t뫍룟헊쏦쫐뗄ힴ첬,볓횮춶헟뗄럧쿕틢쪶뮹뫜떭놡,돐쫜쓜솦튲뫜킡,횵뇈뗄막욱ퟩ뫏쫕틦싊폫뗍헊쏦쫐횵뇈뗄막욱ퟩ뫏쫕틦싊튻폶떽쒳킩쿻쾢뗄듌벤,막쫐듳웰듳실,헢킩늻맦랶쫽뻝뛔횮닮(HML)tꆣ쓇쎴,ퟩ뫏i뎬뛮웚췻쫕틦싊쫇:폚럖컶헻룶막쫐뗄쳘헷믡퓬돉얤쟺ꆣ듋췢,ퟔ1997쓪쓪뗗E(Rit-Rf)t=biE(Rmt-Rf)t+siE(SMB)t+hiE(HML)(t5)컒맺막쫐쇷춨쫐횵폫GDP뗄뇈횵쿔훸짏짽,1999쓪뗗틑뎬벴ꆡE(Z)it=biE(Zm)t+siE(SMB)t+h(iE(HML)t6)맽10%ꆣ틲듋,듓뷰죚짮뮯뷇뛈뾼싇,뛔컒맺룃쪱웚틔뫳뗄웤훐E(Zm))tꆢE(SMBt폫E(HML)t쫇웚췻틧볛,biꆢsi폫hi쫇횤좯쫐뎡쫽뻝퇐뺿뗄쿖쪵틢틥룼잿ꆣ캪쇋뿍맛뗘랴펳컒맺쿂쏦쪱볤탲쇐믘맩뗄킱싊쾵쫽ꆣ헢샯ai쫇뷘뻠쿮ꛅ,it쫇믘맩막쫐뗄쳘헷,붫퇹놾랶캧좷뚨캪1997쓪12퓂훁2003쓪12닐닮:퓂,릲73룶퓂ꆣRit-Rft=ai+b(iRmt-Rf)t+siSMBt+hiHMLt+ꛅ(it7)듓잮쇺죭볾럖컶쾵춳믱뗃쇋쯹톡좡뗄막욱뗄막놾뷡릹,(뛾)퇐뺿랽램듓뻞뎱톶췸()믱뗃쇋쯹톡좡놾컄닉폃솽늽믘맩램:뗄막욱퓚룷쓪뗗쎿막뺻닺횵쫽뻝ꆣ듓컒맺맺볒춳볆뻖췸뗚튻늽,폃믬뫏쫽뻝믘맩쟳랽돌(3)훐ꛂim뗄맀볆횵뫍랽햾()믱뗃쇋컒맺뻓쏱쿻럑헟볛룱횸돌(7)훐뗄biꆢsi폫hi뗄맀볆횵ꆣ떫쫇폫쿖폐뗄맺쓚컄쿗늻쫽(CPI)퓂뛈쫽뻝,늢틔1997쓪뻓쏱쿻럑헟볛룱횸쫽(CPI)춬뗄쫇닉폃뗄쫇쯆늻쿠맘믘맩쒣탍(SeemlyUnrelatedRe2캪100,뛔돵쪼쫽뻝뷸탐쇋뗷헻,뗃떽쇋뚨믹뇈뗄CPI쫽뻝gressionsmodel,볲돆SUR)퇩횤쿄웕ꆢ쇖쳘쓉폫쒪탁탎쪽뗄(쿂컄훐쯹쳡벰뗄CPI뚼쫇뗷헻뫳뗄쫽뻝)ꆣCAPM쒣탍뫍Fama-French틲ퟓ쒣탍늢볆쯣ꛂimꆢbiꆢs틔3룶퓂뗄뚨웚뒢탮듦뿮샻싊캪컞럧쿕샻싊,내헕벸뫎i폫hi뗄맀볆횵ꆣ쪹폃쯆늻쿠맘믘맩쒣탍(SUR)뗄뫃뒦폐솽뗣:튻욽뻹쫽랽램헛쯣퓂뢴샻샻싊,늢폃CPI뷸탐뗷헻뗃떽쪵볊컞쫇쯆늻쿠맘믘맩쒣탍(SUR)쫇솪솢랽돌뗄맣틥ퟮ킡뛾돋믘럧쿕샻싊ꆣ맩(GLS),춨맽닐닮쿮붫룷룶랽돌솪쾵퓚튻웰ꆣ쿔좻,헢쓜(뛾)쫕틦싊볆쯣릻뿋럾떥룶랽돌OLS믲헟GLS믘맩뗄좱쿝;뛾쫇죧맻랽돌1.막욱쫕틦싊뗄볆쯣ꆣ평폚폃뮹좨뫳뗄쫽뻝,틲볤닐닮쿮늻쿠맘,쓇쎴SUR뻍쫇GLS;죧맻SUR쒣탍훐쯹듋,막욱쫕틦싊릫쪽죧쿂:44
키뾡쾲,췵쟬쪯,ퟞ벪뮪:막욱웚췻쫕틦싊뷘쏦퇐뺿Rit=ln(Pit/(CPI)t-ln(Pit-1/CPIt-1)틔볛횵볓좨볆쯣킡맦쒣뗄춶ퟩ뫏ꆢ듳맦쒣뗄춶ퟩ웤훐R뫏ꆢ룟헊쏦쫐횵뇈뗄춶ퟩ뫏틔벰뗍헊쏦쫐횵뇈뗄춶ퟩ뫏it쫇막욱i퓚쪱뿌t뗄쪵볊쫕틦싊;Pit뫍Pit-1럖뇰쫇막욱퓚퓂뛈t뫍t-1뗄쫕엌볛,CPIt폫CPIt-1럖뇰쫇퓂뛈t뫍뗄쫕틦싊ꆣ퓚듋믹뒡짏,퓙볆쯣SMBt뫍HMLtꆣt-1뗄뻓쏱쿻럑볛룱횸쫽;ln쫇ퟔ좻뛔쫽ꆣ럖뇰틔볛횵볓좨뫍뗈뇈볓좨볆쯣쫐뎡막좨뫍헊쏦쫐횵2뇈캪믹ힼ뗄25룶춶ퟩ뫏뗄쫕틦싊ꆣ.짏횤횸쫽쫕틦뗄볆쯣ꆣ퓚짏횤ퟛ뫏횸쫽볆쯣풭퓲훐,뛔막욱뗄럖룮ꆢ쯍엤틔벰막욱탂짏쫐뗈쟩뿶틑럖뇰ퟶ(죽)ퟩ뫏쫕틦싊뗄쏨쫶탔춳볆쇋쿠펦뗄뗷헻,틲듋뿉틔횱뷓내쿂쇐릫쪽볆쯣짏횤횸쫽쫕틦캪쇋돵늽뗘죏쪶짏컄훐쯹릹퓬뗄25룶춶ퟩ뫏뗄뎬뛮싊Rm쫕틦싊뗄쏨쫶탔춳볆쳘탔,뷸탐쇋볲떥춳볆럖컶(죧뇭1쯹tꆣRmt=ln(Indext/(CPI)t-ln(Indext-1/CPIt-1)쪾)ꆣ평뇭1뿉횪,킡맦쒣뗄춶ퟩ뫏틔벰룟헊쏦쫐횵뇈뗄웤훐Rmt뇭쪾쫐뎡ퟩ뫏m퓚쪱뿌t뗄쫕틦싊,Indext뫍In2춶ퟩ뫏뻟폐뷏룟뗄뎬뛮웚췻쫕틦싊,떫폫맺췢컄쿗쿠뇈,dex뎬뛮웚췻쫕틦싊뗄쫽횵듳킡늻죧맺췢컄쿗훐쯹쪾뗄닮틬탔t-1럖뇰뇭쪾쫐뎡ퟩ뫏m퓚쪱뿌t뫍t-1뗄쫕엌횸쫽ꆣ3.ퟩ뫏릹퓬벰웤쫕틦싊뗄볆쯣ꆣ평폚컒맺믡볆쓪듳ꆣ쯹폐ퟩ뫏뗄뇪ힼ닮닮틬탔늻듳,퓚짏쿂뇤뚯ꆣ뛈(죕샺쓪1퓂떽12퓂)늻춬폚쏀맺믡볆쓪뛈(죕샺쓪짏쓪뗄7퓂떽쿂쓪뗄6퓂),틔짏튻쓪12퓂뗗뗄쇷춨쫐횵,벴쫐쯄ꆢ뺭퇩뷡맻폫럖컶뎡막좨(ME,12퓂뗗뗄막욱쫕엌볛돋틔쇷춨A막쫽)캪믹ힼ샻폃뺭볃볆솿럖컶죭볾,쫗쿈쪹폃쯆늻쿠맘붫룃쓪막쫐짏훁짙틑솬탸붻틗19룶퓂뗄막욱럖돉5룶뗈벶믘맩랽램(SUR)뷸탐믘맩,뗃떽볛횵볓좨뫍뗈뇈볓좨뗄맦쒣;퓙붫쎿룶뗈벶맦쒣틔짏튻쓪6퓂뗗뗄쇷춨A막뗄헊쏦CAPM쒣탍뫍Fama-French뗄3틲ퟓ쒣탍쪱볤탲쇐믘맩뷡쫐횵뇈(BE/ME)캪믹ힼ쾸럖캪5룶뗈벶ꆣ헢퇹뻍뗃떽쇋틔맻,죧뇭2ꆢ뇭3ꆢ뇭4뫍뇭5쯹쪾ꆣ쫐뎡막좨뫍헊쏦쫐횵뇈캪믹ힼ뗄25룶춶ퟩ뫏,뇊헟폃평뇭2ꆢ뇭3ꆢ뇭4뫍뇭5늻쓑랢쿖,늻싛쫇CAPM쒣탍,뮹ꆰSiBjꆱ(i,j=1,2,ꆭ,5)뇭쪾ퟩ뫏ꆰ,Sꆱ뇭쪾쫐뎡막좨ꆰ,Bꆱ뇭쫇Fama-French뗄3틲ퟓ쒣탍룶뇰믘맩랽돌뷘뻠쿮퓚춨뎣뗄쪾헊쏦쫐횵뇈,펢컄뫳뷴룺뗄낢삭늮쫽ퟖ뇭쪾쫐뎡막좨뫍헊(1%ꆢ5%뫍10%)쿔훸탔쮮욽쿂쿔훸뗘틬폚쇣ꆣ캪쇋뷸튻늽뗘쏦쫐횵뇈듓킡떽듳업탲뗄뷡맻ꆣ샽죧,S5B5뇭쪾ퟮ듳맦쒣퇩횤헢킩뷘뻠쿮솪뫏뗘뗈폚쇣뗄쇣볙짨,뷸탐쇋Wald쾵쫽볬ퟮ룟뗄헊쏦쫐횵뇈뗄ퟩ뫏ꆣ놾컄훐킡맦쒣뗄춶ퟩ뫏뫍듳퇩,볬퇩뷡맻(뾨랽춳볆솿뗄횵벰웤쯹뛔펦뗄룅싊횵)뚼뇭쏷뻜맦쒣뗄춶ퟩ뫏럖뇰쫇틔짏튻쓪12퓂뗗뗄쇷춨쫐횵(ME)뻸헢퇹뗄쇣볙짨ꆣ틲듋,헢폫CAPM쒣탍뫍Fama-French뗄3업탲훐ퟮ킡뗄뫍ퟮ듳뗄맦쒣뗄30횧막욱릹퓬뛸돉뗄ꆣ룟헊틲ퟓ쒣탍쯹튪쟳뗄뷘뻠쿮뗈폚쇣뗄쇣볙짨쿠캥놳ꆣ쏦쫐횵뇈뗄춶ퟩ뫏뫍뗍헊쏦쫐횵뇈뗄춶ퟩ뫏럖뇰쫇틔놴쯾ꛂ횵퓚1%쿔훸탔쮮욽쿂뚼쿔훸뗘듳폚쇣ꆣFama짏튻쓪6퓂뗗뗄쇷춨A막뗄헊쏦쫐횵뇈(BE/ME)업탲훐ퟮ-French뗄3틲ퟓ쒣탍춨맽퓶볓뛮췢뗄솽룶틲ퟓSMBt뫍듳뗄뫍ퟮ킡뗄헊쏦쫐횵뇈뗄30횧막욱릹퓬뛸돉뗄ꆣHMLt붫놴쯾ꛂ횵탞헽캪룼뷓뷼폚1ꆣ헢뫍Fama폫French뗄뷡싛샭싛럖컶뫍쪵횤뷡맻뚼쫇튻훂뗄ꆣ뇭1ꆡ틔쫐뎡막좨뫍헊쏦쫐횵뇈캪믹ힼ뗄25룶춶ퟩ뫏뎬뛮쫕틦싊쏨쫶탔춳볆뇭헊쏦쫐횵뇈(BE/ME)맦쒣1234512345(ME)뻹횵뇪ힼ닮ꆡꆡꆡ볛횵볓좨ꆡꆡ뗈뇈볓좨ꆡꆡ늻싛쫇볛횵볓좨뗄Fama-French뗄3틲ퟓ쒣탍,뮹쫇ퟮ듳맦쒣뗄ퟩ뫏뗄SMBt뗄쾵쫽뚼쿔훸뗘틬폚쇣,떫뚼킡폚뗈뇈볓좨뗄Fama-French뗄3틲ퟓ쒣탍,돽쇋뗈뇈볓좨뗄쇣;웤쯻맦쒣뗄ퟩ뫏뗄SMBt뗄쾵쫽돽쇋룶뇰쾵쫽퓚춨뎣쿔ퟮ듳맦쒣ퟮ룟헊쏦쫐횵뇈뗄ퟩ뫏ퟮ듳맦쒣뗄ퟩ뫏(S5B5)뗄훸탔쮮욽쿂늻쿔훸췢,웤쯻쾵쫽뚼쿔훸,뛸쟒뚼듳폚쇣ꆣ헢SMBt뗄쾵쫽퓚춨뎣쿔훸탔쮮욽쿂늻쿔훸뗘틬폚쇣췢,웤쯻뫍Fama폫French뗄뷡싛샭싛럖컶뫍쪵횤뷡맻튲쫇튻훂뗄ꆣ45
춳볆폫탅쾢싛첳뇭2ꆡ볛횵볓좨뗄25룶춶ퟩ뫏뗄CAPM쒣탍뗄쪱볤탲쇐믘맩뷡맻뇭헊쏦쫐횵뇈(BE/ME)맦쒣1234512345(ME)ꛁ^ꛂ^()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()Rꛖ2(ꛁ)=\ꛖ2[(ꛁ)\]=ꆡꆡ힢:뇭훐맀볆횵쿂쏦뗄삨뫅훐쫽횵뇭쪾t-춳볆솿뗄횵ꆣ폃뫚쳥뇭쪾t-춳볆솿퓚춨뎣뗄(1%ꆢ5%뫍10%)쿔훸탔쮮욽쿂쿔훸ꆣ쿂컄훮뇭훐뫚쳥죴캴쳘뇰볓틔쮵쏷,폫듋쿠춬ꆣ듋뇭틔벰쿂컄훮뇭ퟮ뫳튻탐쫇뛔뷘뻠쿮솪뫏뗘뗈폚쇣뗄쇣볙짨뷸탐Wald쾵쫽볬퇩뗄뷡맻(뾨랽춳볆솿뗄횵벰웤쯹뛔펦뗄룅싊횵)ꆣ뇭3ꆡ뗈뇈볓좨뗄25룶춶ퟩ뫏뗄CAPM쒣탍뗄쪱볤탲쇐믘맩뷡맻뇭헊쏦쫐횵뇈(BE/ME)맦쒣1234512345(ME)ꛁ^ꛂ^()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()Rꛖ2(ꛁ)=\ꛖ2[(ꛁ)\]=
키뾡쾲,췵쟬쪯,ퟞ벪뮪:막욱웚췻쫕틦싊뷘쏦퇐뺿뇭4ꆡ볛횵볓좨뗄25룶춶ퟩ뫏뗄Fama-French뗄3틲ퟓ쒣탍뗄쪱볤탲쇐믘맩뷡맻뇭헊쏦쫐횵뇈(BE/ME)맦쒣1234512345(ME)ꛁ^ꛂ^()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()s^ih^()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()Rꛖ2(ꛁ)=\ꛖ2[(ꛁ)\]=ꆡꆡ퓚볛횵볓좨뗄Fama-French뗄3틲ퟓ쒣탍뗄ퟮ뗍뗄헊Fama-French뗄3틲ퟓ쒣탍춨맽퓶볓뛮췢뗄솽룶틲ퟓSMBt쏦쫐횵뇈뗄ퟩ뫏훐,돽쇋ퟩ뫏S2B1뗄HMLt뗄쾵쫽늻퓚춨뫍HMLt퓶잿쇋쒣탍뷢쫍쓜솦ꆣ퓚믘맩훐,룶뇰랽돌돶쿖쇋뎣쿔훸탔쮮욽쿂늻쿔훸뗘틬폚쇣췢,웤쯻ퟩ뫏뗄HMLt뗄쾵닐닮ퟔ쿠맘쿖쿳,떫늻펰쿬놾컄뗄럖컶ꆣ쫽퓚춨뎣쿔훸탔쮮욽쿂뚼쿔훸뗘틬폚쇣,뛸쟒쯹폐HMLt뗄ퟮ뫳,샻폃쯆늻쿠맘믘맩랽램(SUR)쪱볤탲쇐믘맩뗄뷡쾵쫽뚼쫇킡폚쇣뗄;퓚ퟮ룟뗄헊쏦쫐횵뇈뗄ퟩ뫏훐,쯹폐맻ꛂimꆢbiꆢsi폫hi뗄맀볆횵ꛂ^imꆢ^biꆢ^si폫h^i,퓙뷸탐OLS믘맩,HMLt뗄쾵쫽뚼쫇듳폚쇣뗄,떫횻폐솽룶ퟩ뫏(S3B5뫍뗃떽CAPM쒣탍뫍Fama-French뗄3틲ퟓ쒣탍뷘쏦믘맩뷡S4B5)뗄HML맻,죧뇭6쯹쪾ꆣt뗄쾵쫽퓚춨뎣쿔훸탔쮮욽쿂쫇쿔훸뗘틬폚쇣뗄ꆣ퓚뗈뇈볓좨뗄Fama-French뗄3틲ퟓ쒣탍뗄ퟮ뗍뗄헊평뇭6늻쓑랢쿖,CAPM쒣탍뷘쏦믘맩놴쯾ꛂ뗄쾵쫽맀쏦쫐횵뇈뗄ퟩ뫏훐,ퟩ뫏S1B1ꆢS2B1ꆢS4B1뫍S5B1뗄HML볆횵퓚춨뎣쿔훸탔쮮욽쿂쫇쿔훸뗘듳폚쇣뗄,떫놴쯾ꛂퟮ뛠t뗄쾵쫽뚼쫇킡폚쇣뗄,떫횻폐S2B1뗄HMLt뗄쾵쫽퓚춨뎣횻쓜뷢쫍쇋%뗄뎬뛮웚췻쫕틦뗄뷘쏦뇤뮯,뛸쟒뷘뻠쿮쿔훸탔쮮욽쿂쫇늻쿔훸뗄ꆣ뺡맜ퟩ뫏S3B1뗄HMLt뗄쾵쫽뚼쿔훸뗘킡폚쇣ꆣ쫇듳폚쇣뗄,떫퓚춨뎣쿔훸탔쮮욽쿂쫇늻쿔훸뗄;쯹폐뗄ퟮFama-French뗄3틲ퟓ쒣탍뷘쏦믘맩횻폐h^i쾵쫽퓚룟뗄헊쏦쫐횵뇈뗄ퟩ뫏뗄HMLt뗄쾵쫽퓚춨뎣쿔훸탔쮮욽1%쿔훸탔쮮욽쿂쿔훸뗘듳폚쇣,웤쯻쾵쫽벰웤뷘뻠쿮퓚춨쿂뚼쫇쿔훸뗘듳폚쇣뗄ꆣ헢뫍Fama폫French뗄뷡싛샭싛뎣뗄쿔훸탔쮮욽쿂뚼늻쿔훸,떫폫CAPM쒣탍뷘쏦믘맩뷢쫍럖컶뫍쪵횤뷡맻믹놾짏쫇튻훂뗄ꆣ폫CAPM쒣탍쿠뇈,뎬뛮웚췻쫕틦뗄뷘쏦뇤뮯쿠뇈,Fama-French뗄3틲ퟓ쒣탍47
춳볆폫탅쾢싛첳뷘쏦믘맩폐뫜듳뗄쳡룟,뷢쫍쓜솦쓜릻쳡룟떽%ꆣ뇭5ꆡ뗈뇈볓좨뗄25룶춶ퟩ뫏뗄Fama-French뗄3틲ퟓ쒣탍뗄쪱볤탲쇐믘맩뷡맻뇭헊쏦쫐횵뇈(BE/ME)맦쒣1234512345(ME)ꛁ^()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()s^ih^()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()Rꛖ2(ꛁ)=\ꛖ2[(ꛁ)\]=뇭6ꆡCAPM쒣탍뫍Fama-French뗄컥ꆢ뷡싛벰웤뷢쫍3틲ퟓ쒣탍뷘쏦믘맩뷡맻뇭춨맽뺭퇩럖컶뗃떽죧쿂뷡싛:퓚쪱볤탲쇐믘맩훐,ퟮ듳ꛃ^0ꛃ^1ꛃ^2ꛃ^3R2맦쒣ퟩ뫏뗄SMBt뗄쾵쫽뚼킡폚쇣,뷏킡맦쒣뗄SMBt뗄쾵볛횵쫽뚼듳폚쇣;ퟮ룟뗄헊쏦쫐횵뇈ퟩ뫏뗄HMLt뗄쾵쫽뚼듳폚볓좨()()쇣,ퟮ뗍뗄헊쏦쫐횵뇈ퟩ뫏뗄HMLt뗄쾵쫽믹놾뚼킡폚쇣ꆣ쒣탍뷘쏦믘맩뇭쏷놴쯾ꛂ뷢쫍쓜솦폐쿞,횻쓜뷢()()()()쫍%뗄뎬뛮웚췻쫕틦뗄뷘쏦뇤뮯ꆣ뷘뻠쿮뚼쿔훸뗘킡뗈뇈볓좨폚쇣ꆣFama-French뗄3틲ퟓ쒣탍뷘쏦믘맩뇭쏷퓚퓶볓()()SMBt뫍HMLt솽룶틲ퟓ뫳,놴쯾ꛂ벸뫵쪧좥쇋뷢쫍쓜솦,뚼놻HMLt컼쫕쇋ꆣFama-French뗄3틲ퟓ쒣탍뷘쏦믘맩뷢()()()()ꆡꆡ힢쫍쇋%뗄뎬뛮웚췻쫕틦뗄뷘쏦뇤뮯ꆣ듓닺뚨볛샭싛:3ꆢ33뫍333럖뇰뇭쪾t-춳볆솿퓚1%ꆢ5%뫍10%뗄쿔훸탔쮮욽쿂쫇쿔훸뗄ꆣ뷇뛈살뾴,Fama-French뗄3틲ퟓ쒣탍뇈CAPM쒣탍룼뫃,떫쯼뮹쇴폐뫜듳튻늿럖뎬뛮웚췻쫕틦뗄뷘쏦뇤뮯캴쓜뷸탐48
키뾡쾲,췵쟬쪯,ퟞ벪뮪:막욱웚췻쫕틦싊뷘쏦퇐뺿뷢쫍,헢튲쫇뷱뫳?탫뷢뻶뗄컊쳢ꆣ뛔짏쫶뷡맻,쫔춼룸돶SMBt뗄쾵쫽뗄맀볆횵듳킡벰웤럻뫅뇤뮯쟩뿶뇭쏷쇋컒죧쿂뷢쫍:맺막쫐듦퓚맦쒣킧펦,헢뫍Fama폫French틔벰맺쓚튻킩톧놴쯾ꛂ뷢쫍쓜솦폐쿞뗄풭틲쫇컒맺막쫐쫇룶탂탋뗄쫐헟뗄퇐뺿뷡싛믹놾짏쫇튻훂뗄ꆣ튻랽쏦,퓚랢듯뗄놾쫐뎡뎡,룷쿮램싉램맦뚼헽뒦퓚훰늽췪짆뗄맽돌훐,폫랢듯돉쫬훐,튻냣죏캪,킡맦쒣릫쮾뗄럧쿕뷏룟,춶헟쯹튪쟳뗄웚췻뗄놾쫐뎡횮볤뮹폐쿠떱뗄닮뻠,룷훖붻틗훆뛈늻붡좫,쪹쫕틦싊튲뷏룟ꆣ쇭튻랽쏦,퓚놾컄퇐뺿훐,쫐뎡막좨쫇틔짏뗃쫐뎡늨뚯탔룼듳,춬쪱듦퓚듳솿뗄막탐캪뫍룟뇈샽쯍엤쫐릫쮾뗄쇷춨막캪믹뒡볆쯣뗄,틲듋,맦쒣킧펦뗄듦퓚돽폫막쿖쿳,쪹뗃쾵춳럧쿕늻컈뚨ꆣ틲듋,놴쯾ꛂ헢튻횸뇪늢늻럧쿕폐맘,뮹폫컒맺막쫐춶헟뛔킡엌쇷춨막뗄뎴ퟷ폐맘ꆣ쓜(췪좫)뿌뮭컒맺짏쫐릫쮾뗄쾵춳럧쿕ꆣ헢붫뛔컒맺춶헟춶떼쿲웰ퟅ뫜듳뗄ퟷ폃ꆣ뷘쏦믘맩뗄뷘뻠쿮4룶떱훐뻍폐3룶킡폚쇣,뛸쟒HMLt뗄쾵쫽뗄맀볆횵듳킡벰웤럻뫅뇤뮯쟩뿶뇭쏷쇋컒CAPM쒣탍뷘쏦믘맩뗄뷘뻠쿮퓚춨뎣쿔훸탔쮮욽쿂뚼쫇쿔맺막쫐듦퓚헊쏦쫐횵뇈킧펦ꆣ헢튲뇭쏷쇋컒맺막쫐춶헟훸뗄ꆣ헢뇭쏷컒맺늢늻듦퓚헦헽틢틥짏뗄컞럧쿕닺ꆣ쇭퓚뷼벸쓪뗄춶훐틑힢틢춨맽헊쏦쫐횵뇈뿘훆럧쿕,럧쿕틢튻랽쏦,헢폖뇭쏷쇋짏몣막쫐짏춶헟뻟폐춶믺탔,ힷ쟳룟쪶폐쯹퓶잿ꆣ럧쿕쯹듸살뗄룟쫕틦,뛸늢늻맘탄놾뗄쪱볤볛횵ꆣ닎뾼컄쿗\[1\]ꆡꆯyieldsandyield-surrogates\[J\].JournalofFinancialEconomics,1978,(6):,103-126.\[2\]ꆡChanLKC,HamaoY,\[J\].JournalofFinance,1991(,46):1739-1764.\[3\]ꆡFamaEF,\[J\].JounalofFinancialEconomics,199(333):3-56.\[4\]ꆡ\[J\].TheChicgaoMBA:AJournalofSelectedPapers,1980,(4):25-45.\[5\]ꆡ돂킡퓃,튦쳎.짏몣막쫐럧쿕폫뚨솿럖컶\[J\]뺭.볃뿆톧,1995,(1):50-56.\[6\]ꆡ돂킡퓃,쯯낮뻼.CAPM퓚훐맺막쫐뗄폐킧탔볬퇩\[J\]놱.뺩듳톧톧놨(헜톧짧믡뿆톧냦),2000,(4):28-37.\[7\]ꆡ쇵횾탂,슬ꆡ,믆닽샻.훐맺막쫐풤웚쫕틦싊뗄뫡뷘쏦퇐뺿\[J\]뺭.볃뿆톧,2000,(3):65-70.\[8\]ꆡ퇮뎯뻼,닌쏷뎬,뢵볌늨.짏몣막욱쫐뎡놾닺뚨볛뗄뫡뷘쏦퇐뺿\[J\]쾵.춳릤돌샭싛폫쪵볹,2001,(10):60-70.\[9\]ꆡ(theFourthEdition)\[M\].PrenticeHallInc.,-636.(퓰죎뇠벭:십ꆡ믛)(짏뷓뗚42튳)탐믬튵뺭펪뗄늽랥,뒴퓬돶샭탔뗄춶뮷뺳,쪹뗃막튻뷗떥헻뗄ퟔ믘맩쳵볾틬랽닮쒣탍,뿉틔폃듋쒣탍욱쫐뎡탎돉춶뫍춶믺늢듦뗄뻖쏦,뛸늻쫇ꆰ튻룶듳풤닢캴살뗄ꛂ횵,캪막욱캴살뗄럧쿕쳡릩뻶닟횸뇪ꆣ뛄뎡ꆱꆣ틲듋샻폃쪱볤탲쇐붨쒣랽램,뛔ꛂ탲쇐붨솢닎뾼컄쿗\[1\]ꆡ(쏀)맾쒷ꆤ샕췾.횤좯춶ퟩ뫏폫톡퓱\[M\]맣.훝:훐즽듳톧돶냦짧,1997.\[2\]ꆡ늼슬쒷.ꛂ횵벰웤믘맩쟣쿲.,(7).\[3\]ꆡ닜쫀폂,듯쟬샻.맘폚CAPM쪵횤볬퇩삧쓑탔뗄럖컶\[J\]맜.샭릤돌톧놨,2002,(4):104-107.\[4\]ꆡ뷹퓆믣,쇵ꆡ쇘.훐맺막욱쫐뎡CAPM뗄쪵횤퇐뺿\[J\]뷰.죚퇐뺿,2001,(7):106-115.\[5\]ꆡ펦붨뻼.쪱뇤CAPM쿂뗄횤좯춶뻶닟랽램퇐뺿\[J\]닆.뺭싛듔,1999,(4):52-55.\[6\]ꆡ벽,헅ꆡ캬,쯯ꆡ뫆.샻폃MLPOM뛔짏몣막쫐쪱뇤CAPM뗄쪵횤퇐뺿\[J\]풤.닢,1998,(2):60-62.\[7\]ꆡ(쏀)Young-HyeCho,RobertFEngle:TIME-VARYINGBERASANDASYMMETRICEFFECTSOFNEWS:EMPIR2ICALANALYSISOFBLUECHIPSTOCKS\[R\].NBERworkignpaper,1999,.(퓰죎뇠벭:맹쪫쏎)49
