뗚28뻭ꆡ뗚8웚2009쓪8퓂릤튵벼쫵뺭볃Vol128,No18ퟜ뗚190웚막욱뚨볛쿠맘쒣탍럖컶벰펦폃헔톩횦(뫾쓏뿆벼듳톧,쿦첶ꆡ411201)ꆲ햪ꆡ튪ꆳꆡ놾컄훷튪퇐뺿쇋솽훖막욱뚨볛쒣탍:막쾢쳹쿖쒣탍뫍쫐펯싊맀볛쒣탍ꆣ톡폃2006쓪짏몣막욱붻틗쯹뗄훐쪯뮯막욱ퟷ캪퇐뺿뛔쿳,틔훐맺쪯뮯막욱볛횵럖컶캪샽,훘뗣럖컶쇋막쾢쳹쿖쒣탍뫍쫐펯싊쒣탍퓚쪵볊훐뗄펦폃,퓋폃막쾢쳹쿖쒣탍뫍쫐펯싊쒣탍맀볆돶훐쪯뮯막욱뫏샭뗄쫐뎡볛룱,늢뛔뷡맻뫍쫐뎡볛룱뷸탐쇋쪵횤뛔뇈,틔좷뚨쯹쳖싛뗄쒣탍뫍랽램뗄킧맻ꆣꆲ맘볼듊ꆳꆡ막쾢쳹쿖뚨볛쒣탍ꆡ쫐펯싊뚨볛쒣탍ꆡ훐맺쪯뮯ꆲ훐춼럖샠뫅ꆳF830191ꆡꆲ컄쿗뇪쪶싫ꆳAꆡꆡ막욱틑뺭돉캪쇋튻훖훘튪뗄춶쫖뛎,막욱쫐뎡뗄뗄막쾢뫍캴살돶쫛막욱쪱쫛볛뗄펰쿬,뛸막욱돶쫛쪱뗄볛룱늨뚯볈쫇쫐뎡뺭볃뗄쟧폪뇭,튲쪱쪱펰쿬듳훚뗄닆쫛볛튲쫇평막욱뗄캴살풤웚막쾢쫕죫뻶뚨뗄ꆣ퓚쪵볊퓋뢻뇤뮯,잣뚯ퟅ뫜뛠죋뗄짱뺭ꆣ막쫐럧퓆뇤뮯쒪닢,듓폃훐막쾢쳹쿖쒣탍룹뻝쪱웚늻춬폐뛠훖뇭쿖탎쪽:2007쓪10퓂떽2008쓪8퓂,횻폐뛌뛌뗄뛠냫쓪쪱볤,(1)떥튻쪱웚뗄막쾢쳹쿖릫쪽:짏횤횸쫽듓6000뛠뗣뗸떽2000뛠뗣,춬쪱쫜뮪뛻뷖뷰죚P0=D1/(1+KS)+P1/(1+KS)럧놩뗄펰쿬,췢캧뗄놩뗸퓙뛈붫A막췏죫짮풨,컞쫽죋웤훐,P0캪막욱뗄떱잰볛룱;P1캪1쓪뫳풤웚뗄막뗄닆뢻쏎쿫뮯캪엝펰ꆣ막욱볛룱뗄듳럹뛈뇤뮯룸춶헟욱볛룱;D1캪1쓪뫳풤웚쎿막막쾢;KS캪룃막튪쟳뗄믘쳡돶쇋퇏뻾뗄컊쳢,헢킩컊쳢냼삨:막욱뗄볛룱쫇퓵퇹놨싊ꆣ좷뚨뗄?뷱뫳막볛붫죧뫎랢햹?떽뗗룃퓵퇹살럖컶뫍에(2)N룶쪱웚뗄막쾢쳹쿖릫쪽:뛏짏쫐릫쮾뗄막욱볛횵?뛔폚춶헟,뿉쓜쪱쪱뚼퓚톰P0=ꇆND1t/(1+KS)+PN/(1+KNS)헒ퟅ헢킩컊쳢뗄듰낸ꆣ웤훐,P0캪막욱뗄떱잰볛룱;PN캪N쓪뫳풤웚뗄막평폚뺭볃믮뚯뗄듭ퟛ뢴퓓,뻶뚨쇋죏쪶뫍움맀막욱욱볛룱;Dt캪퓚쪱웚t풤웚뗄막쾢;KS캪룃막튪쟳뗄믘횤좯뗄볛횵뇤뗃벫웤삧쓑,죧뫎뿆톧ꆢ뿍맛뗄움볛막욱놨싊ꆣ뗄볛횵튻횱쫇죋쏇맘힢뗄컊쳢,죋쏇ퟜ쫇쾣췻쓜릻헒떽(3)컞쿞웚막쾢쳹쿖릫쪽:튻훖폐킧뗄쒣탍좥뫏샭뗄맀볆막욱뗄볛횵,틔뇣쓜릻퓚평폚t-N:P=ꇆꇞ(N[D1+K+1t/S)]춶쪱ퟷ돶헽좷뗄톡퓱ꆣ막욱뗄뚨볛쒣탍폐뫜뛠훖,놾틲듋,뿉틔뗃돶:컄훷튪뷩짜솽훖:막쾢쳹쿖쒣탍뫍쫐펯싊뚨볛쒣탍ꆣ늢P0=틔훐맺쪯뮯막욱볛횵럖컶캪샽,훘뗣럖컶막쾢쳹쿖쒣탍ꇆꇞ[D1t/(1+KS)]짏쪽뿉틔뾴돶,막욱뗄볛룱쪵볊짏쫇막욱캴살쓜횧뫍쫐펯싊쒣탍퓚쪵볊훐뗄펦폃ꆣ뢶뗄쯹폐막쾢쳹쿖횵볓ퟜꆣ1ꆡ막욱뚨볛쿠맘쒣탍(4)펦폃맣랺뗄막쾢쳹쿖쒣탍ꆪꆪꆪ컈뚨퓶뎤쒣탍111ꆡ막쾢쳹쿖뚨볛쒣탍룃쒣탍볙짨막쾢내헕튻룶컈뚨뗄쯙뛈g퓶뎤,벴뗚t11111ꆡ막쾢쳹쿖쒣탍뷩짜웚뗄막쾢Dt=-1(1+gt)D1ꆣ막쾢쳹쿖쒣탍쫇뛔막좨놾뷸탐맀볛뗄믹놾쒣쪽,퓚헢훖쟩뿶쿂,막욱떱잰볛룱펦룃내헕폀탸퓶뎤쓪쯼훷헅막욱뗄볛횵쫇풤웚막쾢뗄쿖횵ꆣ룃쒣탍뗄믹놾풭뷰뗄릫쪽뷸탐볆쯣,벴:샭뻍쫇쿖횵풭샭:닺뗄볛횵뻍쫇풤웚뗄쾵쇐쿖뷰쇷솿P0=D1(KS-g)뗄쿖횵ퟜ뫍,춨뎣룹뻝쿖뷰쇷솿뗄럧쿕돌뛈좷뚨쳹쿖싊룃쒣탍뻍쫇룟뛙퓶뎤쒣탍,웤훐,ks쫇막욱튪쟳뗄뷸탐헛쿖,쯼볙짨웕춨막뗄쎿막볛횵쫇웤캴살막쾢쫕죫믘놨싊,D1캪뗚1웚뗄막쾢,g캪막쾢퓶뎤싊ꆣ뗄쿖횵,막좨춶헟뗄풤웚놨돪쫜떽풤볆돖막웚볤럖뗃11112ꆡ막좨뇘튪쫕틦싊뗄맀볆랽램ꆡ쫕룥죕웚:2008ꆪ12ꆪ30ꆡ믹뷰쿮쒿:뫾쓏쪡훘뗣톧뿆붨짨쿮쒿훺ꆪ144ꆪ' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
뗚28뻭ꆡ뗚8웚2009쓪8퓂릤튵벼쫵뺭볃Vol128,No18ퟜ뗚190웚퓚죎뫎튻룶뻸뛔볛횵움맀쒣탍훐,쯹톡좡뗄쳹쿖싊릹뫍릫쮾뺺헹솦뗄뇤뮯ꆣ틲듋퓚뛔막쾢쫕틦싊뗄맀볆쪱볈튪랴펳춶럧쿕,튲튪랴펳쪱볤볛횵ꆣ퓚헢샯샻폃뮹탨튪춨맽듳솿뗄믹놾쏦뗄뚨탔럖컶살ퟶ뗷헻ꆣ듋췢,놾닺뚨볛쒣탍(CAPM)살볆쯣막좨뇘튪놨돪싊ꆣ뮹폐튻훖살풴폚닆컱샭싛뗄퓶뎤싊맀볆,쿂쏦뛔듋ퟶ볲놾닺뚨볛쒣탍,춶헟튪쟳뗄쫕틦싊늻뷶뷶좡떥뷩짜ꆣ뻶폚쫐뎡럧쿕,뛸쟒뮹좡뻶폚컞럧쿕샻싊뫍쫐뎡럧쿕늹(2)폃닆컱쫽뻝뛔막쾢퓶뎤싊뷸탐맀볆뎥돌뛈,룹뻝CAPM샭싛폐:듓웳튵뗄뷇뛈뾴,웳튵퓶뎤좡뻶폚솽룶틲쯘:ꋙ웳E(r)i=rf+ꛂi[E(rM)-rF]튵뗄쇴듦쫕틦늢폃폚퓙춶뗄쫽솿;ꋚ퓙춶쫕틦싊ꆣ평듋뾴살,펦폃CAPM탨튪횪뗀3룶쫽뻝:컞럧쿕쯹틔,릫쮾퓙춶풽뛠,웤퓶뎤잱솦뻍풽듳;퓚튻뚨뗄샻싊ꆢ막욱뗄ꛂ횵뫍쫐뎡럧쿕틧볛ꆣ퓙춶쮮욽쿂,죧맻릫쮾퓙춶쫕틦쮮욽풽룟,릫쮾뗄맀쯣컞럧쿕샻싊ꆣ튻냣죏캪맺햮쫇쎻폐럧쿕뗄,훁퓶뎤쯙뛈뻍믡풽뿬ꆣ틲듋,막좨샻죳뗄퓶뎤싊쫇솽룶뇤짙듓탅폃뷇뛈뾴쫇헢퇹뗄ꆣ튲폐죋톡퓱3ꆫ5쓪뛌웚틸탐솿뗄랽돌,벴웳튵뗄쇴듦쫕틦싊뫍웳튵뗄막좨쫕틦싊볤햮좯쫐뎡샻싊ퟷ캪컞럧쿕샻싊ꆣ폫뛌웚맺햮샻싊쿠뇈,(샻죳놻쇴듦뻍돉캪웳튵좨틦뗄튻늿럖)ꆣ폃쿂쏦뗄릫쪽뎤웚맺햮뗄웚쿞폫듽헛쿖뗄막좨춶뗄웚쿞룼캪튻훂,살뇭쪾헢훖맘쾵:떫뎤웚맺햮뗄샻싊쫐뎡늻믮풾,늻쓜랴펳쫐뎡뇤뚯쟩뿶ꆣg=RRꇁROE뛸컒맺틸탐볤햮좯쫐뎡샻싊돤럖랴펳뫍뷢쫍쇋햮좯쫐뎡쪽훐RR쫇쇴듦쫕틦싊,ROE쫇막좨쫕틦싊ꆣ쯻쏇퓋탐뫍랢햹뗄ퟜ쳥쳘헷,랴펳쫐뎡쾸럖ힴ뿶,쳥쿖쇋쫐뗄볆쯣릫쪽죧쿂:뎡폐킧풭퓲ꆣ틲듋컒쏇죏캪,톡퓱뛌웚틸탐볤햮좯쫐뎡샻싊뿉쓜쫇뇈뷏잡떱뗄막좨뇘튪놨돪싊ꆣRR탻룦랢럅뗄막쾢=1-쮰뫳뺭펪샻죳맀쯣막욱뗄ꛂ쾵쫽ꆣꛂ쾵쫽쫇뫢솿닺뗄쫕틦싊폫ROE뺻샻죳=웕춨막좨틦쫐뎡ퟩ뫏놨돪싊횮볤뗄쿠맘탔뗄횸뇪ꆣꛂ쾵쫽뗄볆쯣랽퓚쪵볊퓋폃훐,뿉틔듓릫뾪뗄웳튵닆컱놨뇭훐랽뇣램폐솽훖:튻훖랽램쫇쪹폃믘맩횱쿟램볆쯣,벴:춨맽뗄닩떽헢솽룶쫽뻝,듓뛸볆쯣돶웳튵뗄잱퓚뿉돖탸퓶뎤춬튻쪱웚쓚뗄닺쫕틦싊뫍쫐뎡ퟩ뫏쫕틦싊뗄샺쪷쫽뻝,싊ꆣ쪹폃믘맩쿟풤닢돶살,ꛂ쾵쫽뻍쫇룃믘맩쿟뗄킱싊;쇭떫쫇,탨튪쏷냗,듓룅쓮짏붲랽램튻뫍랽램뛾뗄퓶튻훖랽램쫇룹뻝닺폫쫐뎡횸쫽쫕틦싊뗄쿠맘쾵쫽ꆢ쫐뎤싊뿉쓜늢늻췪좫춳튻,랽램튻살풴폚샺쪷쫽뻝뛔캴살뎡횸쫽뗄뇪ힼ닮뫍룃닺쫕틦싊뗄뇪ힼ닮횱뷓볆쯣ꛂ쾵뗄맀볆,랽램뛾살풴폚퓙춶뛔캴살뗄펰쿬ꆣ퓚쪵볊퓋쫽ꆣꛂ쾵쫽뺭볃틢틥퓚폚,쯼쫇뛈솿쳘뚨닺뗄쾵춳럧폃훐뿉틔붫솽훖랽램쿠뷡뫏,쿠뮥탞헽,듓뛸뿉틔맀볆쿕뗄횸뇪ꆣ쯼룦쯟컒쏇,쿠뛔폚쫐뎡ퟩ뫏뛸퇔,쳘뚨돶룼캪폐킧뗄웳튵막쾢캴살퓶뎤싊ꆣ닺뗄쾵춳럧쿕쫇뛠짙ꆣ늻맜퓵퇹,평폚막쾢쳹쿖쒣탍볲떥틗폃,뿉틔룹뻝맀쯣쫐뎡럧쿕틧볛ꆣ룹뻝CAPM,쫐뎡럧쿕틧볛뚨쪵볊쟩뿶랽뇣뗄ퟶ돶뗷헻,튲쫊폃폚룷룶탐튵,틲듋뗃틥캪쫐뎡뗄풤웚쫕틦싊폫컞럧쿕샻싊횮볤뗄닮뇰ꆣ춨뎣떽쇋맣랺뗄펦폃ꆣ쪹폃쫐뎡욽뻹풤웚놨돪싊폫컞럧쿕샻싊횮볤뗄닮뛮살맀112ꆡ쫐펯싊뚨볛쒣탍볆쫐뎡럧쿕틧볛,퓚쪹폃헢훖랽램볆쯣쫐뎡럧쿕틧볛쪱,쫐펯싊쫇춶헟쯹뇘탫헆컕뗄튻룶훘튪닆컱횸뇪,죔좻폐솽훖늻춬뗄맛뗣:쯣쫵욽뻹쫽뫍벸뫎욽뻹쫽ꆣ틠돆놾틦뇈,쫇막욱볛룱돽틔쎿막펯샻뗄뇈싊ꆣ쫐펯싊CAPM쫇룶떥튻웚쿞쒣탍,헢튻쳘뗣퓊탭쯼쪹폃쯣쫵욽랴펳쇋퓚쎿막펯샻늻뇤뗄쟩뿶쿂,떱엉쾢싊캪100%쪱뻹횵,떫막욱춶춨뎣쫇뎤웚춶,헢쪱폃벸뫎욽뻹램벰쯹뗃막쾢쎻폐뷸탐퓙춶뗄쳵볾쿂,뺭맽뛠짙쓪컒쏇룼뫃ꆣ뗄춶뿉틔춨맽막쾢좫늿쫕믘ꆣ튻냣쟩뿶쿂,튻횻막욱11113ꆡ막쾢퓶뎤싊맀볆랽램쫐펯싊풽뗍,쫐볛쿠뛔폚막욱뗄펯샻쓜솦풽뗍,뇭쏷춶(1)폃샺쪷쫽뻝뛔막쾢퓶뎤싊뷸탐맀볆믘쫕웚풽뛌,춶럧쿕뻍풽킡,막욱뗄춶볛횵뻍풽죧맻릫쮾퓚맽좥뗄뫜뎤튻뛎쪱볤,막쾢폐쿠떱컈뚨듳;랴횮퓲뷡싛쿠랴ꆣ뗄퓶뎤싊,쓇쎴뫣뚨퓶뎤싊뗄맀볆,뿉틔폃헢뛎쪱볤쪵틔쿂쫇쫐펯싊뗄믹놾릫쪽:볊퓶뎤싊뗄벸뫎욽뻹횵살뇭쪾:쫐펯싊막욱볛룱=쎿막쫕틦막쾢뗄욽뻹퓶뎤싊Dn=nD-1폃쫐펯싊뛔막욱맀볛:0쿔좻,퓚짏쫶릫쪽훐쎤쒿뗄쪹폃샺쪷퓶뎤싊쫇늻뫏막욱볛룱=쫐펯싊ꇁ쎿막쫕틦쫊뗄,풤웚퓶뎤싊뗄뇤뮯쫇풴폚뫪맛뺭볃뮷뺳ꆢ탐튵뷡쫐펯싊폐솽훖볆쯣랽램:(1)막볛춬맽좥튻쓪쎿막ꆪ145ꆪ' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
뗚28뻭ꆡ뗚8웚2009쓪8퓂릤튵벼쫵뺭볃Vol128,No18ퟜ뗚190웚펯샻뗄뇈싊;(2)막볛춬놾쓪뛈쎿막펯샻뗄뇈싊ꆣ잰헟틔짏쓪뛈뗄쎿막쫕틦ퟷ캪볆쯣뇪ힼ,쯼늻쓜랴펳막욱틲뇭2ꆡ훐맺쪯뮯막욱쫕틦뇪ힼ닮놾쓪뛈벰캴살쎿막쫕틦뗄뇤뮯뛸쪹막욱춶볛횵랢짺뇤뮯헢튻쟩뿶,틲뛸뻟폐튻뚨훍뫳탔ꆣ싲막욱쫇싲캴살,쪱볤(06쓪훐맺쪯뮯)퓂쫕엌볛쿂퓂-짏퓂퓂쫕틦싊%틲듋짏쫐릫쮾떱쓪뗄펯샻쮮욽뻟폐뷏듳뗄닎뾼볛횵,뗚뛾훖쫐펯싊벴랴펳쇋막욱쿖쪵뗄춶볛횵ꆣ틲듋4퓂517,죧뫎ힼ좷맀쯣짏쫐릫쮾떱쓪뗄쎿막펯샻쮮욽,뻍돉캪냑컕막5퓂6120158177욱춶볛횵뗄맘볼ꆣ짏쫐릫쮾떱쓪뗄쎿막펯샻쮮욽늻뷶6퓂519-013-4184뫍웳튵뗄펯샻쮮욽폐맘,뛸쟒뫍웳튵뗄막놾뇤뚯폫럱튲7퓂517-012-3139폐ퟅ쏜쟐뗄맘쾵ꆣ퓚짏쫐릫쮾막놾삩헅뫳,첯떽쎿막샯8퓂5180111175뗄쫕틦뻍믡복짙,웳튵뗄쫐펯싊믡쿠펦쳡룟ꆣ틲듋퓚짏9퓂6140161103쫐릫쮾랢탐탂막ꆢ쯍뫬막ꆢ릫믽뷰쯍뫬막뫍엤막뫳,뇘탫벰쪱첯놡쎿막쫕틦,볆쯣돶헽좷뗄폐횸떼볛횵뗄쫐욽뻹횵3132펯싊ꆣ2ꆡ막쾢쳹쿖쒣탍뫍쫐펯싊쒣탍뗄펦폃훐맺쪯뮯뫍짏횤횸쫽킭랽닮볆쯣:틔2006쓪훐맺쪯뮯막욱캪샽,샻폃막쾢쳹쿖쒣탍뫍쫐펯싊쒣탍뛔훐맺쪯뮯막욱ퟶ막욱맀볛뇭3ꆡ훐맺쪯뮯뫍짏횤ퟛ횸뗄킭랽닮,늢뛔뷡맻뫍쫐뎡볛룱뷸탐쇋쪵횤뛔뇈,틔좷뚨쯹쳖싛뗄쒣탍뫍랽램뗄킧맻ꆣ06쓪퓂럝짏횸퓂쫕틦-훐쪯뮯퓂쫕틦-웚췻쫕틦3ba웚췻쫕틦ab211ꆡ퓋폃룟뛙퓶뎤쒣탍좷뚨훐맺쪯뮯막욱볛횵5퓂1018151455819145룹뻝잰쫶뗄막욱뚨볛쒣탍,샻폃룟뛙퓶뎤쒣탍맀볆막욱볛룱훷튪쫇튪맀볆솽룶뇤솿:뇘튪쫕틦싊K;막쾢6퓂-3163-81162916208퓶뎤싊7퓂-7122-61174415474gꆣ21111ꆡ폃놾닺뚨볛쒣탍맀볆뇘튪쫕틦싊8퓂-1145-1157212765평놾닺뚨볛쒣탍폐:9퓂1148-2129-313892E(r)i=rf+ꛂi[E(rM)-rf]킭랽닮36129틲듋,튪맀볆돶뇘튪쫕틦싊E(r)i,탨튪좷뚨훐맺쪯뮯막욱뗄ꛂ횵뫍쫐뎡컞럧쿕샻싊rfꆣ쫗쿈폃쫐뎡쫽뻝맀쯣ꛂ횵ꆣ훐맺쪯뮯뗄ꛂ쾵쫽볆쯣:짏횤횸쫽뇪ힼ닮볆쯣ꛂ훐맺쪯뮯뫍짏횤횸쫽킭랽닮36129s,z=짏횤횸쫽랽닮==1137:26139쫐뎡쫕틦싊맀볆:뇭1ꆡ짏횤ퟛ뫏횸쫽뗄랽닮평폚쫐뎡쫕틦싊듓뎤웚뾴붫뫍맺쏱뺭볃튻훂,뾼싇쪱볤(06쓪)짏횤횸쫽쿂퓂-짏퓂퓂쫕틦싊%볛룱틲쯘,좡훐맺쪮튻컥웚볤뗄뺭볃퓶뎤싊캪쓪돖탸퓶뎤싊캪10%,뛸컞럧쿕샻싊좡틸탐튻쓪웚햮좯샻싊캪4퓂15302194%ꆣ5퓂1660130815룹뻝놾닺뚨볛쒣탍폐:6퓂167010016E(r)i=rf+ꛂi[E(rM)-rf]=2194%+1137(10%-7퓂1620-50-21992194%)=1216%8퓂1665452178튲뻍쫇퓋폃놾닺쒣탍맀볆돶,평쫐뎡쿠맘럧쿕9퓂1760955171좷뚨뗄훐쪯뮯막욱뗄뇘튪쫕틦싊캪1216%ꆣ욽뻹횵21112ꆡ폃벸뫎욽뻹램맀볆막쾢퓶뎤싊4123랽닮퓚헢샯폃잰쏦뷩짜뗄벸뫎욽뻹램볆쯣:26139막쾢뗄욽뻹퓶뎤싊Dn=nD-10훐맺쪯뮯막욱뇪ힼ닮볆쯣:훐맺쪯뮯막욱듓2004쓪틔살뗄쓪훐쎿막쫕틦싊쫽뻝ꆪ146ꆪ' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
뗚28뻭ꆡ뗚8웚2009쓪8퓂릤튵벼쫵뺭볃Vol128,No18ퟜ뗚190웚죧뇭4:폫2005쓪믹놾돖욽,놣돖퓚55쏀풪/춰ퟳ폒ꆣ퓚탂뗄돉욷폍뚨볛믺훆뿲볜쓚,2006쓪훐쪯뮯솶폍냥뿩붫훰늽얤뇭뿷,폍웸뾪닉냥뿩볌탸놣돖룟펯샻ꆣ4ꆡ쎿막쫕틦쫽뻝떱쓪,훐맺쪯뮯랢늼릫룦돆,퓚뒨뚫놱뗘쟸랢쿖쇋쓪럝200420052006샛볆첽쏷뿉닉뒢솿캪2510175틚m3ꆢ벼쫵뿉닉뒢솿캪쎿막쫕틦0137201456015741883104틚m3뗄듳웸쳯,쯤좻룃웸쳯짐늻쓜뛔2006쓪ꆢ2007쓪뗄튵벨릹돉쿔훸펰쿬,떫뛔뷢뻶훐쪯뮯짏폎폍웸횮쯹틔톡퓱헢3쓪뗄막쾢캪뫋쯣틀뻝,쫇틲캪룟뛙풴쿠뛔뷏짙뗄컊쳢쪮럖폐틦,뿉쪹웤ퟛ뫏뺺헹솦뷸튻퓶뎤쒣탍쫇튻훖뫣뚨막쾢퓶뎤쒣탍,뾼달훐쪯뮯뗄샺쪷늽쳡짽ꆣ쫕틦쫽뻝,믡랢쿖훐맺쪯뮯뗄쫕틦쫜헾닟펰쿬늨뚯뫜듳ퟔ2006쓪3퓂26죕웰,맺볒틑뾪쪼뛔쪯폍뾪닉웳튵,뛸뷼쓪,쯦ퟅ맺볒뛔훐쪯뮯릫쮾뗄쫐뎡뮯룄룯풽살풽췪쿺쫛맺닺풭폍틲볛룱뎬맽튻뚨쮮욽(40쏀풪/춰)쯹믱짆뗃뗄뎬뛮쫕죫내뇈샽헷쫕쪯폍쳘뇰쫕틦뷰ꆣ쪯폍쳘뇰쫕,훐맺쪯뮯뗄쫕틦쮮욽돊쿖돶컈뚨퓶뎤뗄첬쫆,맊헢틦뷰쪵탐5벶뎬뛮샛뷸듓볛뚨싊볆헷,내퓂볆쯣ꆢ내벾벸쓪뗄쫽뻝룼볓럻뫏쒣탍뗄볙짨쳵볾ꆣ뷉쓉ꆣ헷쫕뇈싊내쪯폍뾪닉웳튵쿺쫛풭폍뗄퓂볓좨욽뻹룹뻝짏쪽,뿉틔볆쯣막쾢퓶뎤싊g캪1214%ꆣ21113ꆡ폃룟뛙퓶뎤쒣탍좷뚨뗄막욱볛횵볛룱좷뚨ꆣ볙짨2006쓪풭폍뻹볛55쏀풪/춰,퓲헷쫕쳘룹뻝룟뛙퓶뎤쒣탍,볙짨캴살훐맺쪯뮯막쾢뻟폐컈뚨뇰쫕틦뷰뛔훐쪯뮯뫍쮰뫳샻죳뗄펰쿬럖뇰캪-41틚풪뫍뗄-128틚풪,뺭닢쯣쎿막쫕틦붫틲듋풼럖뇰복짙0105풪1214%뗄쓪퓶뎤싊ꆣ훐쪯뮯막욱2006쓪뗄떱웚볛횵캪:뫍0107풪ퟳ폒ꆣVD10117(1+01124)j=K==9156(풪)놾듎풭폍쿺쫛헷쫕쳘뇰쫕틦뷰쫇떱쓪3퓂26죕돉욷-g01126-01124벴평룟뛙퓶뎤쒣탍,훐맺쪯뮯막욱2006쓪떱웚볛횵폍뗷볛뗄엤쳗듫쪩,평폚훐쪯뮯돉욷폍닺솿벰쿺솿뷏듳,캪쎿막웻폍ꆢ닱폍볛룱짏뗷뺭맽쿠맘닢쯣뿉퓶볓웤쮰뫳샻죳풼9156풪ꆣ212ꆡ폃쫐펯싊맀볛쒣탍좷뚨훐맺쪯뮯막욱볛횵70틚풪ퟳ폒,틲듋돉욷폍볛룱짏뗷뗄헽쏦펰쿬듳폚듋듎훐맺쪯뮯헷쫕쳘뇰쫕틦뷰뗄뢺쏦펰쿬,떫헽뢺쿠뗖뫳,헽쏦펰쿬2005쓪쪵쿖훷펪튵컱쫕죫7991틚풪,뺻샻죳396틚풪,럖뇰춬뇈퓶뎤35%뫍23%,뺻닺쫕틦싊뷏캪폐쿞ꆣ틲듋퓚2005쓪EPS캪0146풪뗄믹뒡짏,훐쪯뮯2006쓪뗄EPS캪0157풪/막ꆣ떱쪱웤뚯첬쫐펯싊101813%,쎿막쫕틦0146풪ꆣ2005쓪훐맺쪯뮯폍웸뾪닉ꆢ솶폍ꆢ쿺쫛ꆢ뮯릤냥뿩EBIT럖뇰캪놶,ퟷ캪튻볒펵폐풴슢뛏ꆢ쿺쫛쟾뗀슢뛏뗈훚뛠뺺헹469틚풪ꆢ-35틚풪ꆢ104틚풪뫍143틚풪,쯹햼뇈훘럖뇰캪70%ꆢ-5%ꆢ폅쫆뗄맺볊뮯릫쮾,웤떱쪱뗄맀횵쮮욽죔좻욫뗍,웤쫐펯싊퓚2006쓪듯떽12놶틔짏ꆣ16%뫍21%,쯤좻폍웸뾪닉냥뿩쿺쫛쫕죫햼뇈뷶3167%,좴릱쿗쇋뷼70%뗄샻죳ꆣ훐맺쪯뮯2006떱쪱막욱볛룱=맀볆쫐펯싊ꇁ맀볆쎿막쫕틦=12ꇁ0157=6184(풪/막)2005쓪훐맺쪯뮯솶폍벰돉욷폍쿺쫛솽룶냥뿩쿺쫛뛮룟듯5582틚풪,떫뷶쪵쿖EBIT69틚풪ꆣ쯤좻쫕떽213ꆡ막욱볛횵쒣탍맀볛뫍쫐뎡볛룱뗄쪵횤뛔뇈럖컶94틚풪늹쳹,떫솶폍냥뿩죔좻뿷쯰훐맺쪯뮯막욱떱쪱막볛늨뚯뿕볤캪6ꆫ8풪/막,듓35틚풪ꆣ놾펦ퟮ잮뗄튵컱돶쿖쇋ꆰ헾닟탔ꆱ샻죳쯵쮮ꆣ틔짏맀횵뿉틔뾴돶,훐맺쪯뮯막욱뮹폐짏짽뿕볤ꆣ쿂춼캪훐맺쪯뮯막욱2006쓪4퓂28죕뗄퓂K쿟춼ꆣ2006쓪맺볊폍볛죔캬돖룟캻,늼싗쳘풭폍좫쓪뻹볛춼1ꆡ훐맺쪯뮯막욱퓂K쿟춼ꆪ147ꆪ' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
뗚28뻭ꆡ뗚8웚2009쓪8퓂릤튵벼쫵뺭볃Vol128,No18ퟜ뗚190웚ꆡꆡ듓잰컄뛔폚훐맺쪯뮯룷룶랽쏦뗄볛횵럖컶,퓚듋뿉퓬돉춶뗄컳떼ꆣ틔뗃돶죧쿂뗄튻킩뷡싛:(5)틔짏뗄막욱맀볛뫍훐쪯뮯뗄쫐뎡뇭쿖쫇듳훂컇(1)떱쪱뮦짮솽쫐ퟜ쫐횵35000틚,훐쪯뮯튻볒릫뫏뗄ꆣ헢룶뷡싛듓튻뚨뗄뷇뛈쮵쏷훐맺막욱쫐뎡뗄폐킧쮾뗄ퟜ쫐횵뻍룟듯4800틚,햼뇈1315%,뎬맽쒳킩탐튵탔쫇듦퓚뗄,쯦ퟅ훐맺막욱쫐뎡룄룯뗄늻뛏짮죫,쿠탅좫탐튵뗄ퟜ쫐횵,뛔뮦짮횸쫽뗄펰쿬뻞듳,쫇맺쓚놾훐맺막쫐뗄탐헾뮯즫닊붫복짙,뛸쫐뎡뮯쳘헷붫볓잿,쫐뎡짏늻뿉뛠뗃뗄햽싔욷훖ꆣ쇭췢,훐쪯폍ꆢ훐몣폍떱튲뻍쫇쮵,훐맺막쫐붫훰붥췊좥헾닟쫐뗄췢틂,붫뷸튻쪱짐캴믘맩A막쫐뎡늽퓶잿웤ퟷ캪춶릤뻟뗄뿉럖컶탔뫍뿉에뛏탔ꆣ틲캪튻,뛸훐쪯뮯뛔웬쿂릫쮾뗄헻뫏쿂쫐폖퓚볓쯙뷸탐ꆣ뿉볻,폅훊쪯뮯짏쫐릫쮾뗄쫽쒿듳럹복룶폐킧탔쮮욽룟뗄쫐뎡,막욱뗄볛횵붫룼뛠뗄틀삵웤쯹짙듺뇭뗄릫쮾펯샻쓜솦뫍돉뎤쳘탔ꆣ쿖뷗뛎,춶헟헽퓚,훐맺쪯뮯뗄탐튵햽싔엤훃뗘캻폺랢춻돶ꆣ훐맺쪯뮯2006쓪뗄EPS캪0157풪/막,뾼싇떽릫쮾펵폐풴슢뛏ꆢ쏜쟐맘힢쏀맺뗄뺭볃잰뺰뫍뷰죚쫐뎡뚯쿲,틔벰훐맺뺭쿺쫛쟾뗀슢뛏뗈훚뛠뺺헹폅쫆,쟒퓚맺쓚놾쫐뎡짏햽볃뗄듳쟷쫆ꆣ쿠탅훐맺뗄막쫐뇭쿖붫풽살풽쓜릻헦헽돉싔뗘캻춻돶캪훐맺뺭볃뗄쟧폪뇭ꆣ,죧맻뾼싇막룄틲쯘,웤막볛퓚떱쪱볛룱쮮욽짏펦룃뮹폐튻뚨뗄짏짽뿕볤ꆣ닎ꆡ뾼ꆡ컄ꆡ쿗(2)룹뻝맀볛쒣탍볆쯣뗄막욱볛룱,훐쪯뮯막욱쫐,[J].Journalof뎡볛룱죧맻퓚쎿막7ꆫ10풪ퟳ폒뗄쮮욽짏,틑뺭뷏뫃뗄PortfolioManagement,1993,20(1)랴펳쇋웤헦쪵뗄쓚퓚볛횵,듓떱쪱뗄쫐뎡뇭쿖뾴,EugeneF.,..Multifactor,룃막틑뺭뷓뷼놻쫐뎡뫏샭뚨볛,뛌웚춶볛횵헽퓚훰붥즥쪧ExplanationsofAssetPricingAnomalies[J].JournalofFi2,죧맻막볛짏헇맽뿬nance,1996,51(1),춶헟펦룃뺯쳨춶럧쿕ꆣ(3)평폚잰컄퓋폃뗄룟뛙퓶뎤막욱쒣탍틀삵폚릫쮾,John..TheValuationofRiskAssetsandtheꛂ횵뫍퓶뎤싊뗄맀볆SelectionofRiskyInvestmentsinStockPortfoliosandCapital,헢솽룶횵뗄뇤뮯붫떼훂뷡맻뗄쿔훸뇤뮯,놾컄퓚맀볆막쾢퓶뎤싊쪱,닉폃뗄쫽뻝뷶뷶쫇Budgets[J].TheReviewofEconomicsandStatistics,1965,3쓪뗄쫽뻝47(1),웤듺뇭탔쯆뫵늻릻,떫듓놾컄잰쏦뗄뷩짜횪뗀,횻폐헢3쓪뗄쫽뻝쓜릻뾴돶막쾢퓶뎤뗄쟷쫆4.훓떤탄.막욱뚨볛샭싛뗄랢햹벰웤뛔컒맺뗄쪵폃,헢듓튻룶닠쏦랴펳쇋룃쒣탍맀볛뗄뻖쿞탔ꆣ떫듓맀볆볛룱탔[J].쫀뷧뺭볃컄믣,2001쟸볤뫍쪵볊볛룱쟸볤뗄뷏뫃컇뫏,쮵쏷뺡맜쒣탍럇뎣볲5.쇵틣.닺뚨볛랢햹뗄샭싛믹뒡쯝풴[J].놱랽떥뺭쎳,2001,(200),떫죧맻뫏샭뗄맀볆쿠맘뇤솿,룃쒣탍뛔춶헟럖컶막욱볛룱폐튻뚨뗄닎뾼볛횵ꆣ6.헅맣풣.쿖듺막욱뚨볛샭싛뗄랢햹벰웤뛔컒맺뗄(4)놾컄폃막쾢쳹쿖쒣탍뗄맀볛뫍쫐펯싊맀볛폐뷏쫊폃탔퇐뺿[J].뫾놱짧믡뿆톧,2005,(2)듳닮뇰7.탭뗓쇺.놾닺뚨볛쒣탍폫짏몣막욱쫐뎡뗄쪵,랴펳쇋룷훖막욱뚨볛쒣탍평폚맀볛뗄샭싛랽램뫍쟐죫뗄뷇뛈뗄늻춬,붫믡폐늻춬짵훁쿠랴뗄뷡싛ꆣ퓚횤럖컶[J].쓏닽듳톧톧놨(샭뿆냦),2005,(2)놾컄훐8.헅횾잿.쫐펯싊폫퓶뎤싊맘쾵뗄첽쳖ꆪꆪꆪ볦싛막,폃쳹쿖쒣탍뗄맀볛풶룟폚폃쫐펯싊맀볛,뻍웤풭틲,펦룃쫇뛔훐맺쪯뮯뗄ꛂ쾵쫽맀볆횵뷏룟욱뚨볛뗄폐맘컊쳢[J].닆뺭컊쳢퇐뺿,2008,(1),횮쯹틔폐듋에뛏,쫇틲캪훐맺쪯뮯쫇뎬맽10%뗄좨훘막,내헕9.쇖틣럲.뺭볃랢햹햽싔폫훐맺뗄릤튵뮯[J].뺭뎣샭췆뛏웤ꛂ쾵쫽펦룃뫍쫐뎡횸쫽뗄ꛂ쾵쫽뷓뷼볃퇐뺿,2004,(7),튲뻍쫇펦룃뷓뷼1뗄쮮욽룼볓뫏샭ꆣ첽쳖놾컄쾵쫽횵뷓뷼10.훐맺춳볆햪튪,200611411.쏏컀뚫,헅컀맺,쇺폂.웳튵햽싔맜샭[M].,컒죏캪쫇퓚좡퇹쪱퇹놾첫킡뗄풭틲ꆣ헢쳡탑컒쏇퓚뷱뫳뗄퓋폃훐탨튪뺡솿뗄삩듳퇹놾,헢퇹맀볆횵닅믡룼뿆톧돶냦짧,2004볓뷓뷼쪵볊ꆣ헢솽룶횵뗄뷏듳욫닮,튲쮵쏷퓚쪵볊퓋폃ퟷ헟볲뷩ꆡ헔톩횦,뫾쓏뿆벼듳톧짌톧풺뢱뷌쫚ꆣ퇐뺿훐,뚨솿뗄럖컶튻뚨튪뷡뫏뚨탔뗄볛횵럖컶,닅쓜릻뛔랽쿲:믡볆톧ꆢ닆컱맜샭퇐뺿ꆣ막욱볛횵폐룼뫃뗄냑컕ꆣ떥뒿틔쒳튻훖쒣탍뚨볛뿉쓜믡ꆡꆪ148ꆪ' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
