华中科技大学博士学位论文剩余收益模型及其在中国的应用姓名：马维胜申请学位级别：博士专业：数量经济学指导教师：唐齐鸣20070601
햪 튪 좨틦맀횵쫇튻룶훘듳뗄샭싛컊쳢ꆣ좫쟲막쫐뗄량쯙랢햹뫍벱뻧엲헍쪹뗃닺엝쒭뮯쟷쫆볓뻧ꎬ뛔폚엝쒭뗄뷢쫍뫍퇐뺿돉캪탂쫀볍뷰죚샭싛퇐뺿뗄웈쟐죎컱ꆣ좨틦맀횵쫇막쫐엝쒭퇐뺿뗄뾪뛋뫍훘튪ퟩ돉늿럖ꆣ횻폐ힼ좷뛈솿쇋좨틦뗄볛횵ꎬ엝쒭퇐뺿닅쓜뢶훮쪵쪩ꆣ 좨틦맀횵퇐뺿뿉틔복짙막쫐늨뚯ꎬ붵뗍뷰죚럧쿕ꆣ뺭볃맜샭헟훆뚨뷰죚헾닟쪱ꎬ뇘탫쇋뷢막쫐뗄맀횵쮮욽ꎬ뇜쏢훆뚨쇋듭컳뗄헾닟ꎬ췆늨훺삽ꎬ볓뻧뷰죚럧쿕ꆣ좨틦맀횵쫇춶헟듲뾪돉릦횮쏅뗄풿돗ꆣ첰삷뫍뿖뻥쫇막쫐춶뗄쳬뗐ꆣ믺릹춶헟뗄퇲좺킧펦ꆢ룶죋춶헟뗄ힷ헇즱뗸뚼쫇첰삷뫍뿖뻥뗄횱뷓쳥쿖ꆣ룦뇰첰삷뫍뿖뻥뗄ퟮ뫃냬램쫇횱뷓볆쯣돶막욱뗄볛횵ꎬ볡돖볛횵춶ꎬ퓚쫐뎡볛룱룟폚볛횵쪱싴돶막욱ꎬ퓚쫐뎡볛룱뗍폚볛횵쪱싲죫막욱ꆣ좨틦맀횵쫇막쫐춶돉릦뗄뗚튻늽ꎬ튲쫇ퟮ맘볼뗄튻늽ꆣ 뒫춳뗄좨틦맀횵랽램폐뫬샻쳹쿖쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍뗈ꆣ헢솽룶맀횵쒣탍듦퓚ퟅ죽룶훂쏼뗄좱쿝ꆣ뗚튻ꎬ헢솽룶맀횵쒣탍쪹폃뗄쫽뻝뚼쫇캴살횵ꎬ죋쏇쪵볊맀횵쪱탨튪풤닢웳튵캴살뗄뺭펪ힴ뿶뫍뺭펪쫽뻝ꆣ퓚늻좷뚨탔쳵볾쿂ꎬ컒쏇뫜쓑ힼ좷맀볆돶웳튵캴살뗄뺭펪쟩뿶ꎬ맀횵컳닮춨뎣뫜듳ꆣ뗚뛾ꎬ헢솽룶맀횵쒣탍훐뚼듦퓚컞쟮쟳뫍릫쪽ꆣ컞쟮쟳뫍릫쪽뗄듦퓚쪹뗃뺭뗤뗄볆솿뺭볃톧랽램늻쓜횱뷓폃살볬퇩쒣탍뗄헦캱ꎻ춬쪱ꎬ죋쏇볆쯣막욱볛횵쪱뇘탫톡퓱튻룶뷘뛏쏦ꎬ탎돉뷘뛏컳닮ꆣ뗚죽ꎬ헢솽룶맀횵쒣탍쪹폃뗄맀횵탅쾢첫짙ꎬ쎻폐돤럖샻폃믡볆놨뇭훐뗄쫽뻝ꆣ쿖듺믡볆탅쾢맛퇐뺿랢쿖ꎬ뺻닺ꆢ쎿막펯폠ꆢ믡볆펦볆쿮뗈뚼몬폐듳솿폐폃뗄맀횵탅쾢ꆣ죧뫎붫헢킩믡볆쫽뻝헻뫏떽좨틦맀횵쒣탍훐ꎿ 믡볆톧볒Ohlson쳡돶뗄쿖듺쪣폠쫕틦쒣탍뿋럾쇋뫬샻쳹쿖쒣탍뫍쿖뷰쇷쳹쿖쒣탍뗄짏쫶죽룶좱쿝ꆣ쪣폠쫕틦ꎬ펢컄쏻돆캪Residual Income(볲돆RIꎬ쿂컄쯹폐뗄볲킴RI뚼뇭쪾쪣폠쫕틦),횸뗄쫇웳튵펯폠복좥헽뎣뗄놾돉놾뫳뗄쪣폠횵ꆣ쪣폠쫕틦ꎽ웳튵펯폠ꎭ웳튵뗄놾돉놾ꆣ쪣폠쫕틦쒣탍횸뗄쫇춨맽믡볆뺻닺뫍쪣폠쫕틦살뛈솿막욱볛횵뗄좨틦맀횵쒣탍ꆣ쪣폠쫕틦쒣탍뿉틔뇭쪾돉ꎺ막욱볛횵ꎽ믡볆뺻닺ꎫ쪣폠쫕틦뗄쿖횵뫍ꆣOhlson죏캪ꎬ쪵볊뺭볃믮뚯훐ꎬ평폚쫐뎡뺺헹뗄듦퓚ꎬ웳튵뗄쪣폠쫕틦ퟱ톭뻹횵믘뢴맽돌ꎬ웳튵늻뿉쓜뎤뻃뗘믱뗃뎬맽쫐뎡욽뻹쮮욽뗄쫕틦ꆣOhlson붫헢룶쮼쿫뇭쫶돉쿟탔탅쾢뚯첬뮯볙뚨ꎬ벴쪣폠쫕틦뗈폚ퟔ짭훍뫳쿮뫍웤쯻럇믡볆탅쾢뇤솿v뗄뫍ꆣ춨맽쫽톧뇤뮻ꎬ막욱볛횵ퟮ훕뿉틔뇭쪾돉믡볆뺻닺ꆢ떱웚쪣폠쫕틦뫍럇믡볆탅쾢뇤솿v뗄듺쫽뫍ꆣ 놾컄쪹폃컒맺뗄쫽뻝볬퇩쇋Ohlson쳡돶뗄쿟탔탅쾢뚯첬뮯볙뚨뫍쿖듺쪣폠쫕틦쒣탍ꆣ컒쏇뇈뷏쇋컥훖쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨뗄쟸뇰ꎬ퇐뺿쇋놾돉놾뗄늻춬 I
뛔쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨뗄펰쿬ꎻ뇈뷏쇋컥훖쿖듺쪣폠쫕틦쒣탍뛔막욱볛룱뷢쫍쓜솦뗄닮틬틔벰쿖듺쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꎻ퇐뺿쇋쿖듺쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍뛔막욱캴살쫕틦풤닢쓜솦뗄닮틬뫍쿖듺쪣폠쫕틦쒣탍폫쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊뗈쿠뛔볛횵횸뇪뛔막욱캴살쫕틦풤닢쓜솦뗄늻춬ꆣ 쪵횤퇐뺿랢쿖ꎬ쪣폠쫕틦돽쇋뫍ퟔ벺뗄훍뫳쿮폐맘췢ꎬ뮹뫍뺻닺뗄훍뫳쿮폐맘ꎻ헢뇭쏷컒맺뗄믡볆헾닟헻쳥짏럻뫏Ohlson뗄컈붡탔볙뚨ꆣ떫쫇쪣폠쫕틦럾듓AR2맽돌뗄볙뚨캴춨맽쪵횤볬퇩ꎬAR2맽돌훐뗄뛾뷗훍뫳쿮믘맩쾵쫽춳볆짏늻쿔훸ꆣ럖컶뇭쏷ꎬ놾돉놾뛔쪣폠쫕틦쒣탍폐뫜듳펰쿬ꎬ퓚볬퇩쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨쪱ꎬ뇘탫뾼싇룷룶릫쮾놾돉놾뗄닮틬ꆣ 쪵볊볬퇩랢쿖ꎬ냼몬뺻닺뗄쿟탔탅쾢뚯첬뮯볙뚨췆떼돶뗄쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦뎬맽늻냼몬뺻닺뗄쿟탔탅쾢뚯첬뮯볙뚨췆떼돶뗄쪣폠쫕틦쒣탍ꎻ춨맽AR2맽돌췆떼돶뗄쿖듺쪣폠쫕틦쒣탍웤뛔막욱볛룱뗄뷢쫍쓜솦럇뎣닮ꎬ맀횵컳닮뫜듳ꆣ춬쪱ꎬ쿖듺쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦뎬맽펯폠놾뮯쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍ꎻ떱컒쏇퇓뎤쿖뷰쇷퓶뎤뗄돖탸쪱볤쪱ꎬ쿖뷰쇷쳹쿖쒣탍뗄맀횵컳닮믡복킡ꆣ 훐맺쫐뎡쫽뻝뗄쪵횤뷡맻뇭쏷ꎬ쿖듺쪣폠쫕틦쒣탍뗄풤닢쟸럖뛈ꆢ풤닢컈뚨탔풶룟폚펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쳹쿖쒣탍ꆣ쿠뛔폚쿖듺쪣폠쫕틦쒣탍살쮵ꎬ쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊뗈쿠뛔볛횵횸뇪뗄풤닢쓜솦죝틗쫜떽벫뛋횵뗄펰쿬ꆣ퓚탐튵쓚ꎬ쫐펯싊횸뇪룼쿳쫇튻룶랴쿲횸뇪ꎬ쿖퓚쫐펯싊룟뗄막욱욽뻹틢틥짏캴살쫕틦뗍ꎬ쿖퓚쫐펯싊뗍뗄막욱캴살욽뻹쫕틦룟ꆣ쫐쿺싊쓜릻쳴톡돶벫뛋폅탣뫍벫뛋쇓훊뗄릫쮾ꎬ떫쫇풤닢뗄컈뚨탔뫍쟸럖뛈뚼뫜뗍ꎬ늻쫊틋폚떥뛀ퟷ캪막욱캴살쫕틦뗄풤닢횸뇪ꆣ쫐뺻싊횸뇪풤닢컈뚨탔뷏룟ꎬ떫쫇풤닢쟸럖뛈뗍ꎬ춨맽쫐뺻싊햽싔믱뗃뗄쳗샻쫕틦뷏쪣폠쫕틦쒣탍뗍ꆣ 맘볼듊ꎺ좨틦맀횵 쓚퓚볛횵 쿟탔탅쾢뚯첬뮯 쪣폠쫕틦쒣탍 II
Abstract Equity Valuation is a major theoretical issue. Global stock markets’ rapid development and expansion intensified the asset bubble. The explanation and research for the bubble is an urgent task. Equity valuation is the beginning and major component of stock’s bubble research. After accurately measuring the equity value, bubble research could be implemented. Equity valuation is the stock market’s micro-foundation, which could reduce the stock market’s fluctuations and the financial risk. The economic managers may execute appropriate policy to screed the stock market’s fluctuations after measuring the stock’s value correctly. Otherwise, the managers would execute the inappropriate policy, and which would intensify the stock market’s fluctuation, strengthen the financial risk, and lead to a financial crisis and an economic recession. Equity valuation is the investor’s key to open the door of success. Greed and fear is the natural enemy of the stock market investment. Institutional investors’ herding, individual investors’ buying rising and selling falling is the most direct embodiment of greed and fear. The best way to overcome greed and fear is to calculate the value of the stock, persist on value investment, and sell when the market price is higher than the value of the stock, buy at prices below market value. Equity valuation is the first step to successful investment, is also the most crucial step. There are two traditional equity valuation methods, dividend discount model and cash flow discount model. They have three fatal flaws. First, they use the future data, which need the forecast. In conditions of uncertainty, we can not accurately estimate the future operation of the enterprise, usually a wide valuation error. Secondly, there are sum formula for endless peace in the two valuation models, which lead us can’t directly testing the model by econometrics, meanwhile, would form truncation error. Thirdly, the two models fail to make full use of accounting data and enough information. Modern Accounting Information View found that the net assets per share, accounting surplus and count items contain a wealth of useful information. How do we have these accounting data to integrate equity valuation? Ohlson, accountant scientist, had the residual income model, and overcame the defects of dividend discount model and cash flow model. Residual income refers to the difference accounting earning and normal cost of capital. Residual Income = Earnings-the cost of capital. Residual income model refers to measuring the equity value by adding up the net assets and residual income. Ohlson thought that residual income was mean return, and enterprise couldn’t make excess profit for ever because of the market competition. Ohlson had the idea into the hypothesis of linear information dynamic, and the residual income is the sum of its lag items and non-accounting information variable. Through mathematical transform, stock values could be expressed as a sum of accounting net assets, the remaining residual income and non-accounting information variable v. III
The dissertation tested the Ohlson’s linear information dynamics and residual income model by our national data. We tested the five remaining proceeds of linear information dynamics, and studied the cost of capital’s effect to linear information dynamics. We compared the explaining ability of five residual income models and the difference of between residual income model and earning capitalization model, cash flow model, and compared the difference of residual income model and the rate of price-earning, price-book value and price-sale. Our empirical results showed that the residual income was affected by the book value’s lag items except for its lag items and that our accounting policies are stable as to Ohlson’s hypothesis. And our data didn’t support the assumption that residual income proceeds AR2 process. It, AR2 items’ regression coefficient, is statistically insignificant. Our analysis showed that the cost of capital has a great impact on the residual income model. So we must consider the cost of capital’s difference when we test the linear information dynamics. We found that the residual income model derived from linear information dynamics including net assets exceed the residual income model derived from linear information dynamics including no net assets on the explaining stock price’s ability. And the error is great, the explaining ability is poor when we get the residual income model through the residual income’s AR2 process. Meanwhile, we found that the residual income model exceed the earning capitalization model and cash flow model on the explaining ability to stock price, and the error would reduce when we lengthen the duration of cash flow growth. Our data results showed that the distinction ability and stability of residual income model was far higher than earnings capitalization model and cash flow model. The predicting stability would be vulnerable to extreme values for the rate of price- earning, price-book value and price-sale comparative to residual income model. In industry, the rate of price-earning looked more like a reverse indicator, the income was low when the nowadays average price-earnings ratio was high and the income was high when nowadays low. The rate of price-sale quantity could find out the extremist outstanding and poor company, but the rate was not stable and useful, so it was not appropriate that using the rate lonely. The rate of price-book vale could forecast the future income stably, but the distinction was low, we could get less arbitrage through the price-book rate than through the residual income model. Keywords: equity valuation intrinsic value linear information dynamics residual income model IV
뛀뒴탔짹쏷 놾죋짹쏷쯹돊붻뗄톧캻싛컄쫇컒룶죋퓚떼쪦횸떼쿂뷸탐뗄퇐뺿릤ퟷ벰좡뗃뗄퇐뺿돉맻ꆣ뺡컒쯹횪ꎬ돽컄훐틑뺭뇪쏷틽폃뗄쓚죝췢ꎬ놾싛컄늻냼몬죎뫎웤쯻룶죋믲벯쳥틑뺭랢뇭믲킴맽뗄퇐뺿돉맻ꆣ뛔놾컄뗄퇐뺿ퟶ돶릱쿗뗄룶죋뫍벯쳥ꎬ뻹틑퓚컄훐틔쏷좷랽쪽뇪쏷ꆣ놾죋췪좫틢쪶떽놾짹쏷뗄램싉뷡맻평놾죋돐떣ꆣ 톧캻싛컄ퟷ헟잩쏻ꎺ십캬쪤 죕웚ꎺ2007쓪 6퓂 8 죕 톧캻싛컄냦좨쪹폃쫚좨쫩 놾톧캻싛컄ퟷ헟췪좫쇋뷢톧킣폐맘놣쇴ꆢ쪹폃톧캻싛컄뗄맦뚨ꎬ벴ꎺ톧킣폐좨놣쇴늢쿲맺볒폐맘늿쏅믲믺릹쯍붻싛컄뗄뢴펡볾뫍뗧ퟓ냦ꎬ퓊탭싛컄놻닩퓄뫍뷨퓄ꆣ놾죋쫚좨뮪훐뿆벼듳톧뿉틔붫놾톧캻싛컄뗄좫늿믲늿럖쓚죝뇠죫폐맘쫽뻝뿢뷸탐볬쯷ꎬ뿉틔닉폃펰펡ꆢ쯵펡믲즨쏨뗈뢴훆쫖뛎놣듦뫍믣뇠놾톧캻싛컄ꆣ 놣쏜ꇵꎬ퓚 쓪뷢쏜뫳쫊폃놾쫚좨쫩ꆣ 놾싛컄쫴폚 늻놣쏜ꇵꆣ ꎨ쟫퓚틔짏랽뿲쓚듲ꆰꇌꆱꎩ 톧캻싛컄ퟷ헟잩쏻ꎺ 십캬쪤 횸떼뷌쪦잩쏻ꎺ 죕웚ꎺ 2007쓪 6 퓂 8 죕 죕웚ꎺ 쓪 퓂 죕
1 탷 싛 퇐뺿쒿뗄ꆢ틢틥 좨틦맀횵쫇룶훘듳뗄샭싛컊쳢ꆣ뷼20쓪살ꎬ쫀뷧뺭볃량쯙랢햹ꎬ뺭볃뷰죚뮯쯙뛈볓뿬ꎬ좫쟲놾쫐뎡죝솿벱뻧삩듳ꆣ냩쯦ퟅ쫀뷧랶캧쓚뗄뷰죚삩헅뫍쇷뚯탔맽쪣ꎬ뷰죚쫐뎡럧쿕뚸좻퓶볓ꆣ닺엝쒭컊쳢돉캪쫀뷧뛠맺뗄뷰죚쓑쳢ꆣ닺헦뗄폐엝쒭싰ꎿ닺엝쒭폐뛠듳ꎿ헢룶컊쳢뗄듰낸뻶뚨ퟅ쫀뷧탔뗄뺭볃ꆢ뷰죚헾닟ꎬퟳ폒ퟅ쫀뷧캴살뺭볃랢햹뗄쟷쿲ꆣ닺엝쒭퇐뺿돉캪탂쫀볍뷰죚퇐뺿뗄훐탄뿎쳢ꆣ튪퇐뺿닺엝쒭컊쳢ꎬ쫗쿈뇘탫횪뗀닺뗄헦쪵볛횵ꆣ닺뗄헦쪵볛횵뿉틔뛈솿싰ꎿ죧뫎뛈솿닺뗄헦쪵볛횵ꎿ헢룶컊쳢쫇놾컄솢싛뗄믹뒡ꆣ 좨틦맀횵늻떫쫇놾쫐뎡엝쒭퇐뺿뗄믹뒡ꎬ튲쫇놾쫐뎡붨짨ꆢ춶헟뻶닟뗄믹뒡ꆣ뷰죚맜샭떱뻖퓚훆뚨뫪맛뺭볃헾닟ꆢ믵뇒헾닟횮잰ꎬ뇘탫쇋뷢막욱볛횵놻룟맀뮹쫇뗍맀ꎻ맜샭헟죧맻늻쓜뛔헢룶컊쳢ퟶ돶듳훂뗄에뛏ꎬ돶첨뗄믵뇒헾닟ꆢ뷰죚헾닟뻍믡쓏풯놱헞ꎬ늻떫컞램컈뚨쫐뎡ꎬ랴뛸믡뷸튻늽샛믽뷰죚럧쿕ꎬ쓰돉뷰죚캣믺ꎬ떼훂뺭볃쮥췋ꆣ좨틦맀횵쫇막쫐춶헟훕짺쾣췻웆뷢뗄쓑쳢ꆣ죧맻쓜릻ힼ좷뗘뛈솿돶막욱뗄볛횵ꎬ룶죋춶헟뻍뿉틔뿋럾춶맽돌훐뗄뿖뻥탄샭ꎬ냚췑ힷ헇즱뗸뗄쯞쏼ꎬ첹좻쏦뛔막욱볛룱뗄늨뚯ꎻ믺릹춶헟뻍뿉틔늻쫜퇲좺킧펦뗄룉죅ꎬ헦헽뗘볡돖볛횵춶ꎬ퓚볛룱뗍폚볛횵쪱릺싲ꎬ퓚볛룱룟폚볛횵쪱쫛싴ꆣ뿉틔쮵ꎬ죧맻뷢뻶쇋좨틦맀횵컊쳢ꎬ막쫐럧쿕뻍뿉틔듓쓚늿뷢뻶ꎬ막퓖붫늻퓙쫇막욱쫐뎡뗄싏짺탖뗜ꆣ막욱맀횵컊쳢쫇놾쫐뎡맜샭뫍춶뻶닟뗄풿돗ꎬ볈뿉틔듲뾪뗘폼횮쏅ꎬ튲뿉틔헒떽춨쿲쳬쳃횮슷ꆣ 듓쪮웟쫀볍쒩막욱닺짺뾪쪼ꎬ컞쫽뗄쫐뎡닎폫헟쏇캪쇋헒떽헢냑췲쓜풿돗뢶돶쇋늻뺡뗄몹쮮뫍훇믛ꆣ떫쫇ꎬ퓚ퟮ돵뗄솽냙뛠쓪샯ꎬ막쫐훐돽쇋떮짺쇋룷훖짱웦뗄맊쫂ꎬ죋쏇늢쎻폐뗃떽뛠짙헦횪ퟆ볻ꆣ횱떽20쫀볍돵ꎬ죋쏇닅뾪쪼죏쪶떽막욱뗄볛횵뿉틔쫂쿈볆쯣돶살ꆣ뮪뛻뷖춶듳쪦룱싞뛲쒷죏캪ꎬ죋쏇뿉틔춨맽짏쫐릫쮾뗄쫕죫ꆢ횧돶뗈닆컱쫽뻝톰헒떽막욱뗄쓚퓚볛횵ꆣGrabam뗄쓚퓚볛횵쮼쿫쫇좨틦맀횵퇐뺿뗄믹뒡ꆣ 뛾쪮쫀볍20쓪듺ꎬ춶톧볒Fisher붫닺볛횵룅삨캪룃쿮닺캴살닺짺뗄쫕틦쿖횵뫍ꆣ룹뻝Fisher뗄샭싛ꎬ짏룶쫀볍30쓪듺Williamson뗈죋횸돶막욱뗄쫕틦쇷뻍쫇룃막욱캴살횧뢶룸막뚫뗄쿖뷰막샻ꋙꎬ춶막욱뗄쫕틦뻍뗈폚돖폐룃막욱캴살쓜릻믱뗃뗄쿖뷰막샻뫍ꆣFisher뫍Williamson뗄쮼쿫ퟮ훕놻룅삨돉막욱맀횵쇬폲ퟮ믹놾뗄뚨 ꋙ 막욱뗄막샻폐쿖뷰막샻ꎬ막욱막샻ꎬ쪵컯막샻뗈ꆣ듓Williamson뗈죋뗄뇭쫶훐뿉틔뾴돶ꎬ쯻쏇쯹횸뗄막샻쫇횸쿖뷰막샻ꆣ캪쇋늻틽웰믬쿽ꎬ컒쏇붫막샻헛쿟쒣탍킴돉뫬샻쳹쿖쒣탍ꆣ쇭췢ꎬ놾컄훐돶쿖뗄막샻뻹뇭쪾쿖뷰막샻ꎨ룐킻쓤쏻짳룥샏쪦뛔헢룶컊쳢뗄뻀헽ꎩꆣ 1
볛쒣탍ꎭ뫬샻쳹쿖쒣탍ꆣ뫬샻쳹쿖쒣탍붫막욱볛횵뇭쪾돉캴살룷웚쿖뷰막샻뗄헛쿖뫍ꆣ 뫬샻쳹쿖쒣탍뗄떮짺쪹뗃퓚컷랽듦퓚쇋벸냙쓪뗄막욱뗚튻듎뿉틔춨맽샭싛릫쪽볆쯣웤볛횵ꆣ죋쏇쯆뫵헒떽쇋듲뾪헦샭횮쏅뗄풿돗ꆣ틅몶뗄쫇ꎬ뫬샻쳹쿖쒣탍훐ꎬ쿖뷰막샻뫍막샻뗄쳹쿖싊뚼쫇붫살횵ꎬ죋쏇탨튪ퟶ돶풤닢ꆣ캴살쫇늻좷뚨뗄ꎬ죧뫎ퟶ돶풤닢쓘ꎿ뫬샻쳹쿖쒣탍뗄돶쿖붫죋쏇뗄쮼뾼듓풤닢캴살막욱볛룱쿲쇋풤닢막욱캴살뗄막샻뫍쳹쿖싊ꎬ죋쏇쎻폐믱뗃죎뫎뇣틋ꎬ횻늻맽쫇듓풭쿈뗄톰헒A,뇤돉쇋쿖퓚뗄톰헒B뫍Cꆣ죋쏇늢쎻폐헒떽헦샭횮쏅뗄풿돗ꆣ 짏룶쫀볍60쓪듺ꎬ퇘쾮놾뷡릹컞맘탔뚨샭ꎬMiller뫍Modigliani쳡돶쇋훸쏻뗄막샻컞맘탔뚨샭ꆣ막샻컞맘탔뚨샭죏캪ꎺ릫쮾쫇럱랢럅쿖뷰막샻늢늻펰쿬릫쮾뗄볛횵ꎬ쿖뷰막샻뫍릫쮾뗄볛횵컞맘ꎻ릫쮾뗄볛횵훷튪평릫쮾뗄춶뻶닟뫍캴살뗄춶믺믡뻶뚨ꆣ막샻컞맘탔뚨샭뎹뗗럱뚨쇋뫬샻쳹쿖쒣탍뗄믹뒡ꎬ볈좻막샻뫍릫쮾볛횵컞맘ꎬ쓇쎴샻폃막샻볆쯣릫쮾볛횵뮹폐쪲쎴틢틥쓘ꎿ 뫬샻쳹쿖쒣탍뗄샭싛삧뺳쪹뗃샭싛릤ퟷ헟틆쇋퇐뺿랽쿲ꆣ짏룶쫀볍70ꆢ80쓪듺훚뛠톧헟뾪쪼붫퇐뺿훘뗣쿲쿖뷰쇷쳹쿖쒣탍ꆣ쿖뷰쇷쳹쿖쒣탍죏캪ꎬ막욱뗄볛횵뗈폚룃막욱캴살쓜릻뒴퓬뗄쯹폐쿖뷰쇷뗄쿖횵뫍ꆣ쿖뷰쇷쳹쿖쒣탍횱뷓붫릫쮾볛횵뇭쪾돉믡볆쿖뷰쇷믲헟웤쯻탎쪽쿖뷰쇷뗄쿖횵뫍ꆣ쿖뷰쇷쳹쿖쒣탍뗄돶쿖퓝쪱뮺뷢쇋막욱맀횵쇬폲뗄샭싛캣믺ꆣ 벬쫖뗄쫇ꎬ쿖뷰쇷쳹쿖쒣탍뫍뫬샻쳹쿖쒣탍튻퇹ꎬ뚼듦퓚ퟅ죽룶룹놾뗄샭싛좱쿝ꆣ 뗚튻ꎬ쿖뷰쇷쳹쿖쒣탍뫍뫬샻쳹쿖쒣탍튻퇹ꎬ쪹폃뗄쫽뻝뚼쫇릫쮾캴살뗄뺭펪쫽뻝ꎬ쪵볊맀횵쪱탨튪춶헟쳡잰뛔릫쮾캴살뗄뺭펪쟩뿶ퟶ돶풤닢ꆣ쿖듺짧믡쮲쾢췲뇤ꎬ뺭볃믮뚯뇤뮯쯙뛈럇뎣뿬ꎬ맀횵헟튪쿫췪좫ힼ좷뗘풤닢돶릫쮾캴살뗄쿖뷰쇷믲헟막샻볲횱쫇쳬랽특첷ꆣ헢퇹ꎬ풤웚횵뗄늻ힼ좷쪹뗃쿖뷰쇷뫍뫬샻쳹쿖쒣탍맀횵컳닮럇뎣듳ꆣ헢룶좱쿝룹놾짏훆풼쇋헢솽룶맀횵쒣탍뗄쪹폃뿕볤ꆣ 뗚뛾ꎬ쿖뷰쇷쒣탍뫍뫬샻쳹쿖쒣탍튻퇹ꎬ웤맀횵랽돌뚼쫇컞쟮쟳뫍뗄탎쪽ꎻ맀횵헟춨맽쫽뻝뗄컞쟮쟳뫍뗃떽막욱뗄볛횵ꆣ쪵볊쪹폃쪱ꎬ죋쏇뚼쫇춨맽뷘뛏뗄랽램살뒦샭쿖뷰쇷뫍뫬샻쳹쿖쒣탍ꆣ뷘뛏램뗄쪹폃뫁컞틉컊믡듸살맀횵컳닮ꆣ돽쇋뷘뛏컳닮췢ꎬ컞쟮쟳뫍탎쪽뮹쪹뗃뺭뗤뗄볆솿뺭볃톧랽램컞램횱뷓폃살뒦샭쿖뷰쇷뫍뫬샻쳹쿖쒣탍ꎨ뺭뗤뗄볆솿랽램횻쓜횱뷓펦폃떽랽돌쪽짭짏ꎬ뛸컞쟮쟳뫍쪵볊쫇튻룶컞쟮탲쇐ꎬ컞램횱뷓쪹폃믘맩럖컶뗈뺭뗤볆솿랽램ꎩꎬ뺭볃톧훐“쪵횤볬퇩샭싛”뗄쮼쿫컞램쪵쿖ꎬ쒣탍뗄헦캱컞램럖뇦ꆣ 2
뗚죽ꎬ쿖뷰쇷뫍뫬샻쳹쿖쒣탍튻퇹ꎬ뚼쎻폐횱뷓쪹폃믡볆쫽뻝ꆣ쿖듺탅쾢엻슶훆뛈뗄췪짆ꎬ쪹뗃듳솿믡볆쫽뻝돉캪릫폃탅쾢ꆣ막샻뫍쿖뷰쇷뚼늻쫇횱뷓뗄믡볆쫽뻝ꎬ뚼쫇춨맽믡볆뫍쫽톧뇤뮻뗃떽뗄ꎻ퓚믡볆뫍쫽톧뇤뮻맽돌훐ꎬ쫽뻝뗄싟벭맘쾵뫍헦쪵탔뿉쓜믡붵뗍ꆣ믡볆탅쾢맛퇐뺿랢쿖ꎬ쎿막펯폠ꆢ뺻닺ꆢ믡볆펦볆쿮뗈믡볆쫽뻝뚼몬폐듳솿뗄폐폃맀횵탅쾢ꎬ쓜릻뷢쫍늿럖막욱볛횵ꆣ죧뫎횱뷓쪹폃헢킩믡볆쫽뻝살볆쯣막욱볛횵쓘ꎿ톰헒탂뗄냼몬믡볆쫽뻝뗄맀횵쒣탍돉캪샭싛퇐뺿뗄웈쟐죎컱ꆣ 틔짏죽뗣뚼쪹뗃퓚샭싛짏펦룃훘탂짳쫓막욱맀횵퇐뺿ꎬ첽쯷탂뗄막욱맀횵랽램ꎬ냚췑컞쟮쟳뫍ꆢ풤웚붫살횵뗄쫸뢿ꎬ톰헒탂뗄쓜릻춨맽볆솿랽램횱뷓횤캱뗄막욱맀횵쒣탍ꆣ ퟛ짏쯹쫶ꎬ막욱맀횵퇐뺿쫇쒿잰놾쫐뎡퇐뺿뗄튻룶훘튪릹돉늿럖ꎬ튲쫇쒿잰뷰죚샭싛훐웈쟐탨튪뒴탂뫍훘탂짳쫓뗄쇬폲횮튻ꆣ 막욱맀횵퇐뺿돽쇋퓚뺭볃톧샭싛쳥쾵훐폐ퟅ훘튪뗘캻췢ꎬ퓚컒맺ꎬ막욱맀횵퇐뺿뮹폐ퟅ쳘쫢뗄쿖쪵틢틥ꆣ컒맺막욱쫐뎡떮짺폚짏룶쫀볍90쓪듺돵ꆣ16쓪살ꎬ막욱쫐뎡듓컞떽폐ꎬ늻뛏랢햹ힳ듳ꎬ캪컒맺뗄맺쏱뺭볃랢햹ퟶ돶쇋훘튪릱쿗ꆣ뷘횹떽2006쓪12퓂뗗ꎬ컒맺뮦짮막욱쫐뎡막욱쫐횵틑뺭듯떽컒맺쓪GDPퟜ솿뗄50%ꎬ막욱쫐뎡틑뺭돉캪컒맺훘튪뗄뷰죚쫐뎡횮튻ꆣ 2005쓪막좨럖훃룄룯좫쏦돉릦틔뫳ꎬ쒿잰삧죅컒맺막욱쫐뎡뗄쓑쳢폐솽룶ꆣ뗚튻룶쓑쳢쫇맀횵컊쳢ꆣ2001쓪떽2005쓪ꎬ컒맺막욱쫐뎡튻욬뗍쏔ꎬ막욱붻틗쟥떭ꎬ막욱쫐뎡믹놾즥쪧쇋죚릦쓜ꆣ컒맺막욱쫐뎡뗄맀횵뇪ힼ돉캪죋쏇헹싛뗄붹뗣ꆣ2005쓪웴뚯막좨럖훃룄룯틔뫳ꎬ뛔볛뗄횧뢶퓙듎돉캪죋쏇맘힢뗄붹뗣ꆣ죧뫎횧뢶뛔볛ꎬ횧뢶뛠짙뛔볛돉캪쪵볹뫍샭싛퇐뺿뗄훐탄컊쳢ꆣ뛔볛횧뢶컊쳢쪵훊틀좻쫇막욱맀횵컊쳢ꆣ막욱맀횵컊쳢돉캪죋쏇늩?뛔볛뇪ힼ뗄훷튪릤뻟ꆣ2006쓪틔뫳ꎬ컒맺막쫐탂튻싖얣쫐좫쏦웴뚯ꎬ막볛뷚뷚엊짽ꎬ죋쏇닺짺쇋막쫐엝쒭뗄떣폇ꆣ컒맺막쫐돶쿖엝쒭쇋싰ꎿ엝쒭듳킡쫇뛠짙쓘ꎿ헢쪵훊뮹쫇튻룶막욱맀횵컊쳢ꆣ막욱맀횵ퟷ캪컒맺닺쫐뎡랢햹뗄튻룶훘튪훆뛈붨짨ꎬ쪼훕쎻폐뗃떽튻룶좨췾튻훂뗄뷢쫍ꎬ삧죅ퟅ컒맺놾쫐뎡뗄캴살랢햹ꆣ 컒맺놾쫐뎡뗄뗚뛾룶쓑쳢쫇춶헟뗄뷡릹뫍럧쿕틢쪶컊쳢ꆣ컒맺막욱쫐뎡듓떮짺떽쿖퓚ꎬ쫐뎡훐뗄춶훷쳥쪼훕쫇즢뮧ꆣ2000쓪틔잰ꎬ컒맺막욱쫐뎡춶뷰뛮훐90%틔짏뚼쫇즢뮧ꎻ2006쓪12퓂뗗ꎬ컒맺막욱쫐뎡훐즢뮧틀좻햼뻝춶뷰뛮70%ퟳ폒ꆣ즢뮧춶헟럧쿕맜샭벼쫵닮ꎬ뛔막욱뗄볛횵죏쪶늻ퟣꎬힷ헇즱뗸쫇쯻쏇훷튪뗄춶랽쪽ꆣ훷쇷춶좺쳥뛔막욱볛횵뗄쒮쫓쪹뗃컒맺막욱쫐뎡믹놾짏쫇튻룶떥뇟쫐ꎬ놩 3
헇놩뗸ꎬ뛌쿟춶믺돉캪막쫐뗄뎣첬ꆣ2001쓪ꎬ컒맺막쫐뗄쓪뮻쫖싊듯떽200%뛠ꎬ뛸춬웚쫀뷧훷튪막욱쫐뎡뗄쓪뮻쫖싊횻폐50%뛠ꋙꆣ엠퇸춶컄뮯돉캪컒맺막욱쫐뎡랢햹뗄웈쟐죎컱ꆣ엠퇸춶컄뮯뗄맘볼튻늽뻍쫇튪탻퇯막욱볛횵ꎬ쟸럖춶뫍춶믺뗄쟸뇰ꆣ뫢솿막욱볛횵돉캪막쫐춶뗄잰쳡ꆣ헢룶컊쳢ퟮ훕뗄실뷅뗣틀좻쫇막욱맀횵ꆣ 막욱맀횵틑뺭돉캪ퟳ폒컒맺막쫐랢햹뗄뫋탄컊쳢횮튻ꎬ폐맘막욱맀횵뗄헹싛뫍퇐뺿붫믡ퟳ폒캴살컒맺막쫐랢햹뗄랽쿲ꆣ믹폚틔짏뾼싇ꎬퟷ헟톡퓱막욱맀횵ퟷ캪헢듎늩쪿싛컄뗄훐탄틩쳢ꎬ틔웚엗틽폱ꎬ듙뷸막욱맀횵샭싛랢햹ꎬ쪹컒맺막욱쫐뎡퓧죕랢햹돉튻룶붡뾵ꆢ낲좫ꆢ룟킧뗄놾쫐뎡ꆣ 컄쿗ퟛ쫶 짏룶쫀볍90쓪듺ꎬ쏀맺톧헟Ohlson춨맽튻쾵쇐뗄컄헂ꎬ쳡돶쇋쿖듺쪣폠쫕틦쒣탍ꎬ뾪뒴쇋좨틦맀횵쒣탍퇐뺿뗄탂뻖쏦ꆣ 쪣폠쫕틦ꎬ펢컄쏻돆캪Residual Income(볲돆RIꎬ쿂컄쯹폐뗄볲킴RI뚼뇭쪾쪣폠쫕틦),횸뗄쫇웳튵펯폠복좥헽뎣뗄놾돉놾뫳뗄쪣폠횵ꆣ쪣폠쫕틦ꎽ웳튵펯폠ꎭ웳튵뗄놾돉놾ꆣ볙짨튻볒웳튵쫇짏쫐릫쮾ꆣ쪣폠쫕틦RI뿉틔뇭쪾돉ꎺ RI=EPSꎭr×bv ꎨꎩ ꎨꎩ쪽훐ꎬEPS뇭쪾쎿막쫕틦ꎬr쫇막좨놾돉놾ꎬbv뇭쪾쎿막뺻닺ꆣ 쪣폠쫕틦쒣탍횸뗄쫇춨맽믡볆뺻닺뫍쪣폠쫕틦살뛈솿막욱뗄볛횵ꆣ쪣폠쫕틦쒣탍뿉틔뇭쪾돉ꎺ막욱볛횵ꎽ믡볆뺻닺ꎫ쪣폠쫕틦뗄쿖횵뫍ꆣ룹뻝쪣폠쫕틦쒣탍뗄늻춬쳘뗣ꎬ뿉틔붫쪣폠쫕틦쒣탍뮮럖캪맅뗤쒣탍뫍쿖듺쒣탍ꆣ맅뗤쒣탍훐ꎬ맀횵쒣탍훐몬폐쪣폠쫕틦뗄컞쟮쟳뫍ꎻ쿖듺쒣탍훐ꎬ컞쟮쟳뫍탎쪽늻퓙듦퓚ꎬ맀횵쒣탍췪좫퇝뇤돉튻룶폐쿞쿮믡볆쫽뻝뗄뫍ꆣ Ohlson쯤좻쫇쿖듺쪣폠쫕틦쒣탍퇐뺿뗄뾪뒴헟ꎬ떫쫇Ohlson늢늻쫇뗚튻룶쳡돶쪣폠쫕틦룅쓮뗄죋ꆣ쪣폠쫕틦뗄쮼쿫퓧퓚19쫀볍쒩웚뻍틑뺭퓚뺭볃톧뷧듦퓚ꆣ듓짏쫶쪣폠쫕틦뗄뇭듯쪽훐뿉틔뾴돶ꎬ쪣폠쫕틦쪵볊뫍뺭볃톧훐뗄뺭볃샻죳룅쓮쫇튻훂뗄ꆣ퓚1890쓪십킪뛻뗄뻞훸ꆶ뺭볃톧ꆷ훐ꎬ십킪뛻쳡돶쇋뺭볃샻죳뗄쮼쿫ꆣ뺭볃샻죳횸뗄쫇뿛돽쯹폐헟ퟔ벺뗄뫏샭믘놨틔뫳웳튵쯹펵폐뗄샻죳ꆣ쪣폠쫕틦룅쓮뫍뺭볃샻죳뗄룅쓮놾훊짏쫇튻훂뗄ꎻ쯹틔ꎬ쪣폠쫕틦쮼쿫늢늻쫇튻룶탂뚫컷ꎬ쪵훊쫇뺭볃쮼쿫퓚믡볆쇬폲뗄튻룶뒴탂뫍랢햹ꆣ ꋙ 쫽뻝살풴폚짏몣횤좯붻틗쯹ꆢ짮?횤좯붻틗쯹ꆣ 4
뗚튻룶쳡돶쪣폠쫕틦룅쓮뗄톧헟쫇믡볆톧볒PreinreichꆣPreinreich퓚1936ꎭ1938쓪랢뇭뗄벸욪믡볆톧컄헂훐ꎬ싛쫶쇋뎬뛮쫕틦뗄룅쓮ꎬ쳡돶뎬뛮펯폠쫇뻶뚨웳튵볛횵뗄헦헽믡볆뇤솿ꆣPreinreich뮹뻙돶쪵샽쮵쏷헛뻉헾닟뛔뎬뛮펯폠뗄펰쿬ꆣ Preinreich뗄컄헂퓚떱쪱늢쎻폐틽웰샭싛뷧뗄ퟣ릻훘쫓ꆣ죋쏇뗄퇐뺿붹뗣쫇뫬샻쳹쿖쒣탍ꆣ횱떽1962쓪ꎬ믡볆톧볒Edwards뫍Bell랢뇭탂뗄컄헂ꎬ돵늽탎돉쇋맅뗤쪣폠쫕틦쒣탍뗄뿲볜ꆣEdwards뫍Bellꎨ1962ꎩ퓚튻뚨뗄믡볆볙짨쿂ꎨ뫳살뗄믡볆뺻펯폠볙짨ꎩꎬ붫막욱볛횵뇭쪾돉릫쮾뺻닺뫍쪣폠쫕틦뗄쿖횵뫍ꆣ럇뎣뿉쾧뗄쫇ꎬEdwardsꆢBell뗄퇐뺿돶랢뗣쫇캪쇋쳖싛믡볆쫽뻝뗄ퟷ폃ꎬ웤퇐뺿훐쯹냼몬뗄좨틦맀횵쮼쿫쎻폐틽웰떱쪱톧헟뗄힢틢ꆣ EdwardsꆢBell틔뫳ꎬ믡볆톧뷧붫퇐뺿훘뗣쿲쇋믡볆탅쾢맛뗄퇐뺿ꎬ믡볆쫽뻝뗄탅쾢ퟷ폃쫜떽죋쏇뗄훘쫓ꆣPeasnellꎨ1982ꎩ볌돐EdwardsꆢBell뗄퇐뺿랽램ꎬ쏷좷뷧뚨쇋믡볆뺻펯폠맘쾵뫍쪣폠쫕틦쒣탍뗄믹놾탎쪽ꎬ횸돶믡볆뺻펯폠볙짨쿂릫쮾볛횵뿉틔뇭쪾돉릫쮾뺻닺뫍쪣폠쫕틦뗄헛쿖뫍ꎬ믡볆쫽뻝뛔폚릫쮾볛횵퇐뺿뻟폐럇뎣훘튪뗄틢틥ꆣ늻맽ꎬ룺EdwardsꆢBell튻퇹ꎬPeasnell뗄퇐뺿돶랢뗣쫇캪쇋싛횤믡볆쫽뻝뗄뺭볃볛횵ꎬ웤쳡돶뗄쪣폠쫕틦맀횵릫쪽훐듦퓚ퟅ컞램쿻돽ꆢ컞램맀볆뗄컳닮쿮ꎬ샭싛탔첫잿ꎬ쪵폃볛횵늻룟ꆣ 믡볆톧헟Ohlson퓚1982ꎭ1992쓪볌돐쇋EdwardsꆢBellꆢPeasnell뗈죋뗄퇐뺿돉맻ꎬ뮻퇐뺿쫓뷇ꎬ듓막좨맀횵뗄뷇뛈훘탂닻쫍쇋쪣폠쫕틦쒣탍ꎬ쪹뗃쪣폠쫕틦퇐뺿듓볲떥뗄믡볆퇐뺿떽쇋좨틦맀횵퇐뺿ꆣOhlsonꎨ1989ꎩ붫쪣폠쫕틦쒣탍내헕믡볆쫽뻝뷸탐룷훖뇤뮻ꎬퟮ훕붫맅샏뗄쪣폠쫕틦쮼쿫쏷좷뇭쪾돉쇋볆쯣쒣탍ꎬ헦헽뾪웴쇋쪣폠쫕틦맀횵쒣탍퇐뺿뗄듳쏅ꆣ Ohlson붫쪣폠쫕틦쒣탍뇭쪾캪ꎺ ∞P=+∑−tbvRE(ROE+−r)×bvttftt+ ꎨꎩ t=1ꎨꎩ쪽훐ꎬbv뇭쪾뺻닺ꎬROE뇭쪾뺻닺쫕틦싊ꎬr캪막좨놾돉놾ꎬR−tf캪룷웚헛쿖싊ꆣ헢룶쒣탍놻뫳살톧헟돆횮캪EBO쒣탍ꆣ놾컄붫EBO쒣탍돆횮캪맅뗤쪣폠쫕틦쒣탍ꆣ횮쯹틔돆횮캪맅뗤쪣폠쫕틦쒣탍ꎬ쫇틲캪룃쒣탍뗄쳡돶헟샭싛짏췆돧폐킧쫐뎡샭싛ꎬ볙짨쫐뎡훷쳥샭탔ꎬ탅쾢췪좫뛔돆ꎬ막욱볛룱쫇막욱쓚퓚볛횵뗄췪헻랴펳ꆣ Ohlson쳡돶맅뗤쪣폠쫕틦쒣탍뫳ꎬ뷸튻늽볲뮯퇐뺿ꎬ뷡뫏볆솿뺭볃톧뗄ퟔ믘맩샭 5
싛ꎬퟮ훕쳡돶쇋쿖듺쪣폠쫕틦쒣탍ꆣ쿖듺쪣폠쫕틦쒣탍볙짨쪣폠쫕틦ퟱ톭쒳훖쯦믺맽돌ꎬ붫맅뗤쪣폠쫕틦쒣탍훐뗄컞쟮쟳뫍뇭쪾돉쒳킩믡볆쫽뻝뗄벴쪱횵뫍ꆣ헢퇹ꎬ막욱뗄볛횵뻍뿉틔쪹폃쿖퓚뗄믡볆쫽뻝뇭쪾ꎬ뒫춳짏볆쯣막욱볛횵쪱뇘탫뛔캴살믡볆쫽뻝뷸탐룷훖볙짨뫍풤닢뗄랱쯶늽훨놻쟉쏮룯돽ꎬ막욱맀횵쒣탍훐뗄컞쟮쟳뫍릫쪽쿻쪧ꎬ뺭뗤뗄볆솿뺭볃톧랽램뿉틔횱뷓펦폃살볬퇩맀횵랽돌쪽ꆣ쿖듺쪣폠쫕틦쒣탍돉캪뗚튻룶쓜릻횱뷓놻횤캱뗄맀횵쒣탍ꆣOhlson쳡돶뗄쿖듺쪣폠쫕틦맀횵쒣탍쫇좨틦맀횵톧퇐뺿뗄룯쏼ꆣ 쿖듺쪣폠쫕틦쒣탍샭싛쳥쾵럇뎣럡뢻ꎬ냼몬ퟅ벸룶뮥캪늹돤뗄쒣탍ꆣOhlson퓚쳡돶쿖듺쪣폠쫕틦쒣탍쪱ꎬ룹뻝늻춬뗄샭싛탨튪쳡돶쇋벸룶늻춬뗄볙짨쳵볾ꎬ뒴퓬쇋벸훖탎쪽늻춬뗄쿖듺쪣폠쫕틦쒣탍ꎬ탎돉쇋튻룶쿖듺쪣폠쫕틦쒣탍쫸ꆣ퓚헢킩쿖듺쪣폠쫕틦쒣탍쫸훐ꎬ뇈뷏훘튪뗄폐Ohlson(1995)쒣탍ꆢFeltham-Ohlson(1995)쒣탍ꆢFelthamꎭOhlson(1996)쒣탍ꆢOhlson(2001)쒣탍ꆣ 1995쓪ꎬOhlson쳡돶쇋죽룶볙짨ꆣ뗚튻ꎬ막욱볛횵평뫬샻쳹쿖쒣탍뻶뚨ꎻ뗚뛾ꎬ믡볆뺻펯폠맘쾵퓚쪵볊쪵볹훐돉솢ꎻ뗚죽ꎬ쪣폠쫕틦ퟱ톭튻뷗ퟔ믘맩맽돌ꆣ춨맽헢죽룶볙짨ꎬOhlson붫막욱볛횵뇭쪾돉쿖퓚믡볆쫽뻝뗄뫍ꆣ헢욪컄헂쫇쿖듺쪣폠쫕틦쒣탍뗄뗬믹횮ퟷꎬ컄헂뗄ퟮ듳샭싛춻웆쫇볙짨쪣폠쫕틦ퟱ톭AR1맽돌ꆣOhlson죏캪ꎬ췪좫뺺헹뺭볃쳵볾쿂ꎬ웳튵늻뿉쓜뎤웚믱뗃뎬뛮쫕틦ꎬ벤쇒뗄쫐뎡뺺헹뇘좻믡떼훂웳튵뗄쪣폠쫕틦쟷쿲폚0ꎬ쪣폠쫕틦뻹횵믘뢴ꆣ 퓚Ohlsonꎨ1995ꎩ뗄쒣탍듦퓚튻룶쓚퓚볙짨ꎺ믡볆쫇컞욫뗄ꎬ릫쮾뗄쯹폐볛횵뚼쫇릫퓊볛횵ꎬ늻듦퓚믡볆뗍맀뫍룟맀ꆣ헢룶볙짨뫍쪵볊믡볆쪵볹늢늻쿠럻ꎬ쪵볊쪵볹훐ꎬ컈붡탔쫇믹놾뗄믡볆ힼ퓲횮튻ꆣ캪쇋뿌뮭믡볆컈붡탔뛔쪣폠쫕틦쿟탔탅쾢뚯첬뮯맽돌뫍맀횵쒣탍뗄펰쿬ꎬOhlson뫍Felthamꎨ1995ꎩ쳡돶쇋탂뗄뷢쫍ꆣFeltham뫍Ohlson붫믡볆뺻닺뮮럖캪펪튵닺뫍닆컱닺ꆣ믡볆컈붡탔풭퓲쿂ꎬ펪튵닺믡뗍폚릫퓊볛횵ꎬ닆컱닺늻쫜펰쿬ꎬ뗈폚릫퓊볛횵ꆣ펪튵닺뗄뗍맀믡펰쿬쿂웚쪣폠쫕틦뗄횵ꆣ톧쫵뷧붫Ohlson뫍Felthamꎨ1995ꎩ쳡돶뗄헢룶뾼싇믡볆컈붡탔뗄쪣폠쫕틦쒣탍돆캪Feltham-Ohlson(1995)쒣탍ꆣFeltham-Ohlson(1995)쒣탍쫇뛔Ohlson(1995)쒣탍뗄췘햹ꎬ쪹뗃쪣폠쫕틦쒣탍퇐뺿룼볓럻뫏쪵볊쟩뿶ꆣ Ohlson뫍Felthamꎨ1996ꎩ뷸튻늽뛔믡볆컈붡탔ퟶ쇋쟸럖ꆣOhlsonꆢFeltham죏캪ꎬ쪵볊믡볆쪵볹훐ꎬ믡볆컈붡탔살ퟔ폚솽룶랽쏦ꎬ튻쫇헛뻉헾닟ꎬ뛾쫇뺻쿖횵늻캪쇣뗄춶믺믡ꆣ춨뎣쟩뿶쿂ꎬ믡볆헛뻉늻뿉쓜뗈폚뺭볃헛뻉ꎬ뺻닺늻쫇놻쳡잰헛뻉ꎬ뻍쫇놻췆동헛뻉ꎻ뺻닺뗄헋쏦횵늢늻뗈폚릫퓊횵ꆣ쇭췢ꎬ뺭볃톧짏뚼볙짨춶뗄뺻쿖 6
횵캪0ꎬ쪵볊짏ꎬ춶뗄뺻쿖횵늻뿉쓜캪0ꆣ틲듋ꎬ좨틦맀횵쪱펦룃뾼싇헛뻉헾닟뫍럇0뺻쿖횵춶뛔볛횵뗄펰쿬ꆣ Ohlsonꎨ2001ꎩ컼좡잰벸쓪샭싛톧뷧뛔쪣폠쫕틦쒣탍뗄퇐뺿돉맻ꎬ쳡돶쇋Ohlson(2001)쒣탍ꆣ룃쒣탍샻폃럖컶쪦뛔웳튵캴살펯폠뗄풤닢쳦듺Ohlson(1995)쒣탍훐뗄럇믡볆탅쾢쿮vꎬ쪹뗃Ohlson(1995)쒣탍훐뗄쎿튻룶뇤솿뚼쓜릻춨맽뻟쳥뗄쫽뻝뇭쪾ꆣ컞싛쫇Ohlson(1995)쒣탍ꎬ뮹쫇Feltham-Ohlson(1995)ꆢFeltham-Ohlson(1996)쒣탍ꎬ쒣탍훐뚼듦퓚ퟅ튻룶컞램솿뮯뗄럇믡볆탅쾢뇤솿vꎬ쒣탍컞램헦헽횤캱ꆣOhlson(2001)쒣탍뗄돶쿖쿻돽쇋컞램뛈솿뗄럇믡볆탅쾢뇤솿vꎬ쪹뗃쿖듺쪣폠쫕틦쒣탍뇤뗃뿉틔횤캱ꆣ 쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨뫍쿖듺쪣폠쫕틦쒣탍쳡돶뫳ꎬ틽웰쇋샭싛뷧뗄뻞듳탋좤ꆣ폈웤쫇쿖듺쪣폠쫕틦쒣탍늻탨튪컞쟮쟳뫍ꎬ볲떥쏷쇋뗄맀횵탎쪽쪹뗃샭싛퇐뺿헟뿉틔횱뷓펦폃뺭뗤볆솿뺭볃톧랽램볬퇩Ohlson뗄쪣폠쫕틦쾵쇐쒣탍ꆣ FrankelꆢLeeꎨ1998ꎩ럖컶쇋샻폃럖컶쪦뗄풤닢ퟷ캪캴살믡볆쫽뻝뗄풤닢쪱ꎬ맅뗤쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦ꆣFrankel-Lee샻폃럖컶쪦풤닢듺쳦쫐뎡뛔붫살펯폠뗄풤웚ꎬ룹뻝맅뗤쪣폠쫕틦쒣탍볆쯣막욱뗄볛횵Vꎬ늢뇈뷏 V횵뫍막욱볛룱P뗄맘쾵ꆣFrankel-Lee랢쿖V횵뷢쫍쇋70%ퟳ폒뗄막욱볛룱뇤뮯ꎬV/P쫇막욱믘놨뗄뷏뫃풤닢틲ퟓꎬ뾼달뗄쪱볤풽뎤ꎬV/P햽싔뗄쫕틦풽룟ꆣ Penman뫍Sougiannis(1998)뇈뷏쇋죽훖맀횵쒣탍ꎺ뫬샻헛쿖DDMꆢ쿖뷰쇷쳹쿖DCF뫍맅뗤쪣폠쫕틦RI쒣탍뗄닮뇰ꆣPenman-Sougiannis죏캪ꎬ죧맻맀횵뗄쪱볤웚쿞컞쟮ꎬ죋쏇쓜릻싞쇐돶쯹폐쪱볤뛎뗄쿖뷰쇷뫍막샻쟩뿶ꎬ퓲죽훖맀횵쒣탍뗄맀횵뷡맻쫇튻훂뗄ꆣ떫쫇쪵볊짏ꎬ죋쏇늻뿉쓜풤웚떽쯹폐쪱볤뗄쿖뷰쇷ꎬ죋쏇뗄풤닢웚쿞ퟜ쫇폐쿞뗄ꆣ퓚폐쿞뗄풤닢웚쿞쳵볾쿂ꎬ죋쏇믡뛔훕뛋횵ퟶ돶룷훖볙짨ꎬ룷룶쒣탍믡돶쿖맀횵컳닮ꆣPenman-Sougiannis뇈뷏쇋룷룶맀횵쒣탍퓚풤닢웚쿞럖뇰쫇1ꆢ2ꆢ5ꆢ8쓪뗄쟩뿶쿂ꎬ풤닢컳닮뗄쟩뿶ꎻ뷡맻랢쿖ꎬ퓚쎻폐볆쯣훕뛋횵쪱ꎬ뛌웚쓚ꎬDDM쒣탍뗄컳닮뫜듳ꎬ듯떽90%틔짏ꎻ쯦ퟅ풤닢웚쿞뗄퇓뎤ꎬ풤닢컳닮훰붥쿂붵ꎻ떱풤닢웚쿞캪10쓪쪱ꎬ욽뻹풤닢컳닮붵떽%ꆣ폫DDM쒣탍쿠뇈ꎬDCF쒣탍뗄뇭쿖룼닮ꆣDCF쒣탍뗄욽뻹풤닢컳닮쯦ퟅ풤닢웚쿞뇤뮯늢늻쏷쿔ꎬ웤풤닢컳닮튻횱럇뎣듳ꎬ뚼퓚150%틔짏ꆣ헢쮵쏷DCF쒣탍뗄풤닢쓜솦럇뎣닮ꆣ폫DDMꆢDCF쒣탍늻춬뗄쫇ꎬ맅뗤쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍뗄ꎨ룹뻝GAAP뗷헻뗄펯폠놾뮯맀횵쒣탍ꎬCapitalization modelꎬ볲킴캪CM쒣탍ꎩ욽뻹풤닢컳닮럇뎣킡ꎬ뚼늻떽20%ꎻ늢쟒컳닮쯦ퟅ풤닢쪱볤뗄퇓뎤뛸쿂붵ꆣ죧맻퓚볆쯣샭싛볛횵쪱뾼싇훕뛋횵ꎬ퓲룷룶쒣탍뗄풤닢컳닮뚼믡쿂 7
붵ꎻ떫쫇DCF쒣탍뗄풤닢컳닮틀좻럇뎣듳ꎬ퓚100%틔짏ꆣ DechowꆢHuttonꆢSloanꎨ1998ꎩꎨ쿂컄볲돆DHSꎩ퓋폃쏀맺뗄쫽뻝뛔Ohlson쳡돶뗄쿟탔탅쾢뚯첬뮯볙뚨뷸탐쇋볬퇩ꆣ헢쫇샭싛뷧뗚튻듎뛔Ohlson쳡돶뗄쪣폠쫕틦ퟔ믘맩볙뚨뷸탐볬퇩ꆣDHS뗄볬퇩뷡맻뇭쏷ꎬ쏀맺뗄쫽뻝횧돖Ohlson뗄볙뚨ꎬ쪣폠쫕틦ퟱ톭뻹횵믘뢴맽돌ꎬ쪣폠쫕틦뗄튻뷗ퟔ믘맩쾵쫽듳풼캪ꎬ실퓚Ohlson죏뚨뗄[0,1]쟸볤쓚ꆣ퓚볬퇩쇋Ohlson뗄탅쾢뚯첬뮯볙뚨틔뫳ꎬDHS뮹쪵횤럖컶쇋쿖듺쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦뫍풤닢쓜솦ꆣ뷡맻랢쿖ꎬ쿖듺쪣폠쫕틦쒣탍퓚뷢쫍뫍풤닢막욱뗄쿠뛔볛횵쪱럇뎣폐킧ꎬ떫쫇퓚뷢쫍뫍풤닢막욱뗄뻟쳥볛횵쪱폅풽탔늢늻춻돶ꆣ쯹캽막욱뗄쿠뛔볛횵ꎬ쫇횸쟸럖룟볛횵막욱뫍뗍볛횵막욱뗄쓜솦ꎻ쿖듺쪣폠쫕틦쒣탍튻냣쓜릻쟥돾뗘뇦뇰돶뫃릫쮾뫍닮릫쮾ꆣ떫쫇ꎬ쪣폠쫕틦쒣탍믡뗍맀막욱볛횵ꆣ쇭췢ꎬ퓚붫쪣폠쫕틦쒣탍뫍웤쯻쒣탍뷸탐뛔뇈쪱ꎬDHS랢쿖볲떥뗄펯폠놾뮯쒣탍뛔막욱볛룱뗄뷢쫍쓜솦뫍풤닢쓜솦뇈쿖듺쪣폠쫕틦쒣탍룼뫃ꆣ DHS볬퇩뾪웴쇋쿖듺쪣폠쫕틦쒣탍퇐뺿뗄탂뻖쏦ꎬ헫뛔Ohlson쒣탍뗄쪵횤퇐뺿룼볓럡뢻웰살ꎬ폈웤쫇쿟탔탅쾢뚯첬뮯볙뚨뫍럇믡볆탅쾢뇤솿v뗄뛈솿컊쳢룼쫇틽웰쇋퇐뺿헟뗄뻞듳탋좤ꆣ Myersꎨ1999ꎩ뛔맽좥뗄쪣폠쫕틦쒣탍퇐뺿뷸탐쇋ퟜ뷡ꎬ쳡돶쇋탂뗄맛뗣ꆣMyers죏캪ꎬ맽좥뫜뛠뗄쪣폠쫕틦퇐뺿ꎬ냼삨Frankel-LeeꆢDHS뗈뗄퇐뺿ꎬ퓚쪹폃쪣폠쫕틦쪱ꎬ캪쇋쪹뗃퇐뺿랽뇣ꎬ뚼뛔쿟탔탅쾢뚯첬뮯볙뚨뷸탐쇋볲뮯ꆣ떫쫇쯻쏇뗄볲뮯쎻폐ퟱ톭튻뚨뗄늽훨ꎬ듲뛏쇋Ohlson쒣탍훐룷룶맀횵랽돌볤닎쫽뗄튻훂탔짨뚨ꆣ떱쒣탍닎쫽볤뗄쓚퓚튻훂탔놻웆뮵쪱ꎬ샭탔풤웚쿂죋쏇뻍뿉틔춨맽닎쫽볤뗄뇤뮯뷸탐쳗샻ꎬ듓뛸Ohlson쒣탍뗄믹뒡——컞쳗샻볙짨놻웆뮵ꆣ틲듋ꎬ퓚쪹폃Ohlson쒣탍쪱ꎬ뇘탫힢틢놣돖쒣탍쓚퓚닎쫽뗄튻훂탔ꆣMyers퓚컄훐쳡돶쇋쯄훖쿟탔탅쾢뚯첬뮯쒣쪽ꎬ늢럖뇰뛔헢쯄훖쿟탔탅쾢뚯첬뮯뷸탐쇋믘맩볬퇩ꆣ뷡맻랢쿖춨맽LID믘맩뗃떽닎쫽ꎬ좻뫳샻폃헢킩닎쫽볆쯣맀횵랽돌뗄쾵쫽폫횱뷓뛔맀횵랽돌뷸탐믘맩뗃떽뗄닎쫽쫇늻튻훂뗄ꎬ솽헟듦퓚ퟅ뫜듳뗄쟸뇰ꆣ춨맽LID믘맩볆쯣뗃떽뗄쾵쫽룟맀쇋헋쏦닺뛔볛횵뗄펰쿬ꎬ쪵볊쪵볹훐죋쏇훷튪뮹쫇뾼싇쪣폠쫕틦뗄맀횵ퟷ폃ꆣ쇭췢ꎬ퓚볓죫웤쯻탅쾢틔뫳ꎬ웤쯻탅쾢뛔쪣폠쫕틦뗄뷢쫍쓜솦럇뎣죵ꎬ쒣탍뛔막욱볛룱뗄뷢쫍쓜솦튲듳럹쿂붵ꆣMyers췆닢죏캪ꎬ헢쫇평폚볓죫웤쯻탅쾢뫳ꎬ쒣탍뗄뢴퓓탔퓶볓ꎬ쒣탍쓚닎쫽볤뗄맘쾵룼볓쓑틔쏨쫶뗄뷡맻ꆣ퓚뾼달믡볆컈붡탔뛔쪣폠쫕틦뗄펰쿬쪱ꎬMyers랢쿖ꎬ폫Ohlson(1995)쒣탍뗄췆닢쿠랴ꎬ헋쏦닺퓚쪣폠쫕틦훐뗄믘맩횵캪뢺쫽ꎬ헢뇭쏷쿟탔탅쾢뚯첬뮯늢쎻폐뫜뫃뗘뿌뮭믡볆뗄컈붡탔ꆣ떫쫇ꎬ퓚뾼싇뺻닺뗄컈붡탔틲쯘뫳ꎬ 8
춨맽쿟탔탅쾢뚯첬뮯뗃떽뗄막욱볛횵폫막욱볛룱뗄닮뻠복킡ꆣ CallenꆢMorel(2001)뾼달쇋Ohlson(1995)쒣탍훐탅쾢뚯첬뮯볙짨룄캪AR(2)뗄쟩뿶ꆣCallenꎭMorel샻폃쪣폠쫕틦뗄AR2맽돌뾼달쇋쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦뫍풤닢쓜솦ꆣ뷡맻랢쿖ꎬ뫍AR1맽돌튻퇹ꎬAR2맽돌췆떼뗄쪣폠쫕틦쒣탍튲뗍맀쇋막욱볛횵ꆣ늻맽쿠뛔AR1맽돌살쮵ꎬAR2맽돌뗄럖컶뷡맻짔캢뫃튻킩ꆣ평폚횤쏷AR2맽돌튲늻쓜뫜뫃뗄쓢뫏막욱볛횵ꎬCallen-Morel럖컶죏캪뿉쓜폐쯄룶풭틲ꎺ뗚튻뿉쓜AR2뫍AR1튻퇹ꎬ뚼늻쓜뫜뫃뗄쓢뫏뺻닺ꆢ믡볆펯폠ꆢ막샻볤뗄뇤뮯ꎻ뗚뛾뿉쓜쫇룷룶릫쮾쟩뿶늻춬ꎬ늻뿉쓜폐튻룶춳튻뗄쒣탍살뫢솿쯹폐릫쮾뗄볛횵ꎻ뗚죽뿉쓜Ohlson쒣탍놾짭듦퓚컊쳢ꎬ폐쒣탍짨뚨듭컳뗄뿉쓜ꎻ뗚쯄뿉쓜쫇평폚Ohlson쒣탍쫇붨솢퓚MM뚨샭믹뒡짏뗄ꎬ쪵볊횤쏷MM뚨샭듦퓚ퟅ훮뛠뗄컊쳢ꆣ틲듋ꎬ붨솢퓚듋믹뒡짏뗄Ohlson쒣탍튲듦퓚ퟅ컊쳢ꆣCallen-Morel죏캪ꎬ쪵볊짏ꎬ맀횵랽돌뿉쓜쫇럇쿟탔뗄ꆣ Morel(2003)뛔Ohlsonꎨ1995ꎩ뗄쒣탍뷸탐쇋볬퇩ꆣMorel죏캪ꎬOhlson짨뚨뗄쪣폠쫕틦쿟탔탅쾢뮯볙뚨훐ꎬ쒣탍뗄룷룶닎쫽펦룃쫇쓚짺뗄ꎻ릫쮾뗄놾돉놾뫍릫쮾뗄볛횵펦룃춬쪱뻶뚨ꎬDHS뫍Myers뗈죋퓚볬퇩Ohlson쒣탍쪱쫗쿈좷뚨릫쮾놾돉놾ꎬ퓙볆쯣릫쮾볛횵뗄랽램쫇듭컳뗄ꆣ헽좷뗄랽램펦룃쫇춬쪱좷뚨릫쮾뗄놾돉놾뫍릫쮾볛횵ꆣ쇭췢ꎬ평폚릫쮾뗄놾돉놾뫍릫쮾뗄볛횵쫇쓚짺뗄ꎬ닎쫽듳킡뿏뚨듦퓚ퟅ닮틬ꎬ쪹폃ퟝ쇐쫽뻝뗄랽램쫇듭컳뗄ꎬ펦룃쪹폃쪱볤탲쇐랽램떥뛀뛔쎿룶짏쫐릫쮾뷸탐럖컶ꆣMorel뺭맽쫽샭럖컶뫳랢쿖ꎬ떱놾돉놾뫍릫쮾볛횵춬쪱좷뚨쪱ꎬ탅쾢뚯첬뮯볙뚨훐닎쫽볤뗄맘쾵쫇럇쿟탔뗄ꎬ뇘탫쪹폃럇쿟탔뗄랽램뷸탐믘맩ꆣMorel쪹폃럇쿟탔뫍쪱볤탲쇐랽램믘맩뫳랢쿖ꎬOhlson쒣탍닎쫽폐ퟅ쓚퓚늻튻훂탔ꎬ룹뻝쿟탔탅쾢뚯첬뮯볙뚨볆쯣뗄맀횵쒣탍뫍룹뻝쫽뻝횱뷓믘맩뗃떽뗄맀횵쒣탍듦퓚ퟅ닮틬ꆣ헢뇭쏷Ohlson쒣탍뮹듦퓚ퟅ샭싛짏뗄컊쳢ꆣLID뗄탎쪽뿉쓜늻쫇AR1뗄ꎬ뛸쫇뛠뷗훍뫳뗄ꆣ GregoryꆢSaleh뫍Tuckerꎨ2005ꎩ샻폃펢맺뗄쫽뻝뛔Ohlson쒣탍뷸탐쇋볬퇩ꆣ맽좥퓚쪹폃뫍쪵횤Ohlson쒣탍쪱ꎬ뚼쎻폐뾼싇춨믵엲헍뗄펰쿬ꎻ쪵볊짏ꎬ평폚춨믵엲헍뗄듦퓚ꎬ쪣폠쫕틦폐뿉쓜늻쫇뻹횵믘뢴뗄ꆣ틲듋ꎬ탨튪뛔믡볆쫽뻝뷸탐춨믵엲헍뗷헻살볬퇩Ohlson쒣탍ꆣGregory뗈퇐뺿랢쿖ꎬ뷸탐춨믵엲헍뗷헻뫳ꎬ쪣폠쫕틦틀좻ퟱ쫘Ohlson뗄쿟탔탅쾢뚯첬뮯볙뚨ꎬ믘맩쾵쫽뷩폚[0,1]횮볤ꆣ떫쫇ꎬ뷸탐춨헍뗷헻뫳ꎬ쪣폠쫕틦쒣탍뛔쿖퓚막볛뗄뷢쫍쓜솦늻뷶쎻폐쳡룟ꎬ뷢쫍컳닮랴뛸삩듳ꆣ O’hanlonꎨ2005ꎩ퓚Gregory-Saleh-Tucker뗄컄헂랢뇭뫳랢뇭움싛죏캪ꎬ뛔믡볆쫽뻝뷸탐춨헍뗷헻쫇튻룶뻞듳ꆢ쾵춳뗄맽돌ꎬ웤뢴퓓탔쓑틔퇔뇭ꎬ죧맻캪쇋퇐뺿랽뇣ꎬ 9
횻뷸탐볲떥뗄뗷헻믡틽죫듳솿뗄컳닮ꎬ뗷헻뗄뫃뒦믡놻뗷헻듸살뗄컳닮뗖쿻ꆣ틲듋ꎬퟮ훕뗷헻쫇럱쓜릻듸살뫃뒦뫜쓑쮵ꆣ쇭췢ꎬ춨헍뗷헻쳡룟쇋믡볆뺻닺ꎬ믡쪹뗃쒣탍맀볆볛횵쳡룟ꆣ헢틑퓚Gregory-Saleh-Tucker뗄싛컄훐횤쪵ꎬ뺭맽춨헍뗷헻뫳쪣폠쫕틦쒣탍웕뇩룟맀쇋막욱볛횵ꆣO’hanlon죏캪ꎬ샭싛짏늢쎻폐뇘튪뛔춨믵엲헍뷸탐뗷헻ꎬ틲캪춨헍뗷헻믡춬쪱뗷헻맀횵쒣탍훐뗄럖ퟓ뫍럖쒸ꎬ뷡맻믡뗖쿻ꎻ뛸쟒쪵볊닙ퟷ쪱믡듸살듳솿컳닮ꎬ틲듋룹놾쎻뇘튪뷸탐춨헍뗷헻ꆣO’hanlon뎹뗗럱뚨쇋춨헍뗷헻뗄뇘튪탔ꆣ 돽쇋샻폃쏀맺뗄쫽뻝뷸탐쪵횤틔췢ꎬ샭싛톧뷧뮹샻폃쫀뷧짏웤쯻맺볒뗄막쫐쫽뻝뛔Ohlson뗄쿖듺쪣폠쫕틦쒣탍뷸탐쇋쪵횤ꆣ Otaꎨ2002ꎩ샻폃죕놾뗄쫽뻝볬퇩쇋Ohlsonꎨ1995ꎩ쒣탍틔벰웤쯻룷훖쳘쫢탎쪽뗄쿖듺쪣폠쫕틦쒣탍ꆣOta횸돶Ohlson(1995)쒣탍뗄맘볼늿럖쫇쿟탔탅쾢뚯첬뮯볙뚨ꎬ쿟탔탅쾢뚯첬뮯볙뚨뗄맘볼폖쫇웤쯻럇믡볆탅쾢v뗄좷뚨ꆣ풭쿈뗄퇐뺿뚼춨맽룷훖샭싛톰헒튻룶뇤솿살듺쳦vꎬ뷡맻뚼늻샭쿫ꎬ틲듋펦룃뎢쫔웤쯻랽램살뷢뻶v뗄뛈솿컊쳢ꆣOta럅웺쇋톰헒튻룶뇤솿살듺쳦v뗄랽램ꎬ뛸쫇춨맽볬퇩LID볙짨훐컳닮쿮뗄탲쇐쿠맘살뷢뻶v뗄컊쳢ꆣ죧맻퓚뷸탐LID볙짨볬퇩쪱쪡싔뗴럇믡볆탅쾢쿮vꎬ퓲컳닮쿮뇘좻폐탲쇐쿠맘맘쾵ꆣ죧맻쓜릻붫헢룶탲쇐쿠맘뾼싇떽ퟮ훕뗄믘맩쒣탍훐ꎬ퓲v뗄컊쳢뻍뿉틔춨맽쟉쏮뗄볆솿퓋쯣뷢뻶ꎬ뇜쏢톰헒웤쯻쳦듺뇤솿닺짺뗄퓋쯣욫닮ꆣOta닉폃1964-1998쓪죕놾막욱쫐뎡뗄쫽뻝ꎬ뛔ퟜ릲674볒릫쮾뷸탐쇋럖컶ꆣ볬퇩뷡맻랢쿖죕놾뗄쫽뻝뫍쏀맺뗄쫽뻝튻퇹ꎬ믹놾횧돖Ohlson뗄쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙짨ꆣ퓚죕놾ꎬ쪣폠쫕틦뗄ퟔ믘맩쾵쫽듳풼퓚ꎭ횮볤ꎬ뻟쳥룷룶쒣탍뗄ퟔ믘맩쾵쫽뻹듳폚쏀맺쿠맘쫽뻝뗄뒦샭뷡맻ꆣ춬쪱ꎬOta튲횤쏷춨맽볙짨컳닮쿮탲쇐쿠맘뫳ꎬ맀횵쒣탍뷢쫍쓜솦폐쯹쳡룟ꆣ LeeꆢParkꆢSeo뫍Kimꎨ2000ꎩ샻폃몫맺1981-1996쓪뗄쫽뻝럖뇰뛔Ohlson(1995)ꆢFeltham-Ohlson(1995)뫍Feltham-Ohlson(1996)뷸탐쇋볬퇩ꆣLee뗈훷튪볬퇩쇋죽훖늻춬탎쪽뗄LID볙뚨ꆣ볬퇩뷡맻랢쿖ꎬ퓚죽룶LID볙뚨훐ꎬ쪣폠쫕틦돖탸탔닎쫽뗄쾵쫽뇤뮯늻듳ꎬ떫쫇몫맺뗄쪣폠쫕틦돖탸탔듳폚쏀맺뗄쪣폠쫕틦돖탸탔ꎬLee뗈췆뛏죏캪헢뿉쓜쫇평폚쏀맺쫐뎡뺺헹룼돤럖ꎬ슢뛏ퟢ뷰쿻쪧뗄룼뿬ꆣ쇭췢ꎬ듳뛠쫽릫쮾뗄뺻닺믘맩쾵쫽캪뢺횵ꎬ헢뫍쏀맺뗄볬퇩뷡맻튻훂ꎬ폫쪣폠쫕틦쒣탍놾짭뗄쓚몭뷡맻쿠ꆣLee뗈샻폃짏쫶믘맩뗃떽뗄닎쫽볆쯣룷룶릫쮾퓚1996쓪뗗뗄볛횵ꎬ늢붫쪵볊볛룱뛔볆쯣볛횵믘맩ꎬ뷡맻랢쿖ꎬFeltham-Ohlsonꎨ1996ꎩ쒣탍뗄ퟔ뇤솿믘맩쾵쫽횵ퟮ뗍ꎬ뛸Ohlsonꎨ1995ꎩ쒣탍ퟔ뇤솿뗄믘맩쾵쫽횵뷏룟ꆣLee뗈죏캪ꎬ떼훂Feltham-Ohlsonꎨ1996ꎩ 10
쒣탍ퟔ뇤솿믘맩쾵쫽뷏뗍뗄풭틲펦룃쫇Feltham-Ohlsonꎨ1996ꎩ쒣탍뗄LID볙짨훐뺻닺뫍놾춶듦퓚쿠맘맘쾵ꎬ듓뛸쪹뗃믘맩돶쿖뛠훘릲쿟탔ꆣ틲듋ꎬLee뗈췆뛏ꎬ퓚퓋폃Ohlson쾵쇐쒣탍쪱ꎬ튻뚨튪죏헦본뇰룷룶릫쮾뗄쪵볊쟩뿶ꎬ풽쫇뢴퓓뗄쒣탍뿉쓜떼훂뗄컊쳢풽뛠ꎬ풤닢뗄컳닮튲믡풽듳ꆣ틲듋ꎬ뛔뢴퓓뗄쒣탍튪룹뻝룷룶릫쮾쪵볊쟩뿶뷸탐뗷헻ꆣ 컒맺뛔쪣폠쫕틦쒣탍뗄퇐뺿뮹뒦퓚웰늽뷗뛎ꆣ 쳯횾쇺뫍샮폱쟥ꎨ1997ꎩ뷩짜쇋볛횵퓶볓횵쒣탍ꆢEBO쒣탍ꎬ쮵쏷쇋헢솽훖쒣탍퓚볛횵움맀훐뗄폅쫆ꎬ늢뷡뫏컒맺뗄쪵볊쟩뿶쮵쏷쇋헢솽룶쒣탍퓚컒맺뗄쪵볊쪹폃볛횵ꆣ헢욪컄헂쫇컒맺릫뾪컄쿗훐ퟮ쿈뷩짜쪣폠쫕틦쒣탍뗄컄헂ꆣ 쳀퓆캪ꆢ슽붨쟅ꎨ1998ꎩ듖싔뗘뷩짜쇋맺췢믡볆탅쾢맛ꆢ볆볛쒣탍맛뗄퇐뺿쓚죝ꎬ퇐뺿뷡맻틔벰쿠맘뗄웴쪾뫍럖웧ꆣ쳀퓆캪뗈뗄헢욪컄헂뛔맺쓚뗄믡볆탅쾢맛퇐뺿폐럇뎣훘튪뗄뾪뒴탔틢틥ꆣ퓚컄헂훐ꎬ쳀퓆캪뗈붫믡볆볆볛쒣탍맛뗄퇐뺿맩릦폚Ohlson뫍Feltham뗄쪣폠쫕틦쒣탍퇐뺿ꎬ틅몶뗄쫇ꎬ쳀퓆캪뗈늢쎻폐뻟쳥짮죫뗘뷩짜쪣폠쫕틦쒣탍ꆣ 돂탅풪ꆢ돂뚬뮪ꆢ훬뫬뻼ꎨ2002ꎩ샻폃Ohlson쿖듺쪣폠쫕틦쒣탍뗄뿲볜ꎬ릹퓬쇋믘맩랽돌쪽ꎬ늢닉폃컒맺막욱쫐뎡1995ꆢ1996뫍1997쓪죽쓪뗄쫽뻝볬퇩쇋룷훖믘맩쒣탍ꆣ볬퇩뷡맻랢쿖ꎺꎨ1ꎩ훐맺횤좯쫐뎡뗄훖훖쳘쫢틲쯘늢쎻폐펰쿬믡볆탅쾢뛔막욱볛룱쿔훸뗄뷢쫍쓜솦ꎬ쫕틦ꆢ뺻닺ꆢ쪣폠쫕틦ꆢ쇷춨막뇈샽뫍맦쒣뚼뻟폐볛횵쿠맘탔ꎬ늢쟒ꎬ쯼쏇횮볤뮹뮥쿠뻟폐퓶솿볛횵쿠맘탔ꎻꎨ2ꎩ막욱볛룱폫쫕틦(뺻닺뫍쪣폠쫕틦)돊헽쿠맘ꎻꎨ3ꎩ쫐뎡뛔쪣폠쫕틦뗄뚨볛돋쫽늻죧뛔쫕틦뗄뚨볛돋쫽룟ꎬ뇭쏷쫐뎡뿉쓜죏쪶떽쪣폠쫕틦ퟷ캪럇헽뎣쫕틦ꎬ돖탸탔뷏닮ꎻꎨ4ꎩ폫횻뾼싇뺻닺뫍쫕틦뗄쒣탍쿠뇈ꎬ떱쒣탍훐춬쪱뾼싇쪣폠쫕틦ꆢ맦쒣폫쇷춨막뇈샽쪱ꎬ쫐뎡뛔뺻닺뗄뚨볛돋쫽믡폐쯹쳡룟ꆣ헢뇭쏷ꎬ쿠뛔폚늻뾼싇헢킩뇤솿뗄쒣탍뛸퇔ꎬ퓚쒣탍훐뾼싇짏쫶뇤솿ꎬ뿉틔룼ힼ좷뗘랴펦뺻닺퓚쫐뎡뚨볛훐뗄ퟷ폃ꎻꎨ5ꎩ쫐뎡퓚뚨볛쪱붫쇷춨막뇈샽뫍맦쒣쫓ퟷ늻샻뗄틲쯘ꎬ쇷춨막뇈샽풽룟ꎬ맦쒣풽듳ꎬ쫐뎡뚨볛풽뗍ꎻꎨ6ꎩ폫웤쯻튻킩퇐뺿뗄뷡맻쿠쯆ꎬ볙짨쯹폐뗄럇쇷춨막좫늿짏쫐쇷춨ꎬ쓇쎴ꎬ쫐뎡볛룱욽뻹믡폐튻뚨뗄붵럹ꎻ늢쟒ꎬ쇷춨막뇈샽뛔막욱볛룱뗄펰쿬돌뛈훰쓪붵뗍ꎻꎨ7ꎩ럖쓪뛈믘맩랢쿖ꎬ믡볆탅쾢뛔막볛뗄뷢쫍쓜솦퓚1996쓪ퟮ잿ꎬ1995쓪듎횮ꎬ1997쓪ퟮ뗍ꎬ돂탅풪뗈죏캪헢뿉쓜폫컒맺횤좯쫐뎡뗄뷗뛎탔쳘헷폐맘ꎨ1996쓪쫐뎡쫇짏짽쟷쫆ꎩꎬ뮹뿉쓜폫1997쓪뗄퇇훞뷰죚캣믺폐맘ꆣ 돂탅풪뗈뗄컄헂쪵훊늢늻쫇볬퇩Ohlson쿖듺쪣폠쫕틦쒣탍ꆣ돂탅풪뗈뗄퇐뺿쪵 11
훊쫴폚믡볆탅쾢맛퇐뺿랶돫ꆣ듓컄헂뾴ꎬ돂탅풪뗈뗄컄헂쪵훊쫇뷢쫍막욱뗄볛룱ꎬ뷒쪾룷룶믡볆뇤솿뗄탅쾢ퟷ폃ꎻ떫쫇떽뗗룷룶믡볆뇤솿죧뫎펰쿬볛횵ꎬ듓돂탅풪뗈뗄싛컄샯헒늻떽듰낸ꆣ쇭췢ꎬ헽틲캪돂탅풪싛컄뗄헦헽쒿뗄쫇뷢쫍막욱볛룱ꎬ쯹틔쯻쏇뗄믘맩랽돌쪽튲늻쫇헦헽뗄Ohlson쿖듺쪣폠쫕틦쒣탍ꎬ뛸쫇룹뻝쯻쏇ퟔ벺뗄샭뷢릹퓬뗄튻룶랽돌쪽ꆣ 쇵믍쯉ꆢ퇮틧ꎨ2003ꎩ뛔막욱쓚퓚볛횵움맀뗄뒫춳쳹쿖쒣탍ꎨ냼삨뫬샻쳹쿖뫍쿖뷰쇷쳹쿖ꎩꆢGrabam뗄“쓚퓚볛횵”쮼쿫뫍쪣폠쫕틦쒣탍죽훖쒣탍뷸탐쇋움쫶ꆣ퓚ퟛ쫶쪣폠쫕틦쒣탍쪱ꎬ쇵믍쯉횻쫇볲떥뷩짜쇋쪣폠쫕틦쒣탍뗄뿲볜ꎬ늢쎻폐뛔룷훖쿖듺쪣폠쫕틦쒣탍뷸탐쟸럖ꎬ튲쎻폐뛔Ohlson쿖듺쪣폠쫕틦쒣탍뫍맅뗤쒣탍뷸탐쟸럖ꎬ룼쎻폐쳡떽쿟탔탅쾢뚯첬뮯볙뚨뫍웤쯻럇믡볆탅쾢v뗄컊쳢ꆣ 헔횾뻽ꎨ2003ꎩ샻폃Ohlson맅뗤쪣폠쫕틦쒣탍퓚쳘쫢뗄믡볆볙짨쿂볆쯣쇋쫐뺻싊ꆢ쓚뺻싊뗄믡볆뇭듯쪽ꆣ헔횾뻽붫릫쮾쟸럖돉짺쏼웚폐쿞뫍짺쏼웚컞쿞솽훖쟩뿶ꆣ룹뻝췆떼돶뗄믡볆뇭듯쪽ꎬ헔횾뻽죏캪쫐뺻싊뫍쓚뺻싊평릫쮾뗄막샻헾닟ꆢ놾돉놾뫍뺻닺쫕틦싊뻶뚨ꆣ헔횾뻽룹뻝뇭듯쪽ퟶ쇋벸훖볙짨ퟩ뫏ꎬ볆쯣쇋룷훖볙짨ퟩ뫏뗄쫐뺻싊뫍쓚뺻싊ꎬ뇭쏷쇋럖뫬맦퓲ꆢ놾돉놾ꆢ뺻닺쫕틦싊뛔쫐뺻싊뫍쓚뺻싊뗄펰쿬ꆣ좻뫳ꎬ헔횾뻽춳볆쇋2002쓪컒맺짮뮦막쫐짏쫐릫쮾뗄쫐뺻싊쟩뿶ꎬ늢룹뻝쓚뺻싊뗄볆쯣릫쪽ꎬ톡퓱쿠맘뗄쫽뻝볆쯣쇋2002쓪뗄쓚뺻싊ꆣ헔횾뻽랢쿖ꎬ2002쓪컒맺막쫐뗄쫐뺻싊듳듳룟폚쓚뺻싊ꎬ틲듋ꎬ컒맺막쫐듦퓚ퟅ뻞듳뗄엝쒭ꆣ 헔횾뻽뗄퇐뺿좱쿝쫇쎻폐뾼싇웤쯻럇믡볆탅쾢뛔막욱볛횵뗄펰쿬ꆣ틲듋ꎬ웤퇐뺿뷡맻횻쫇튻훖쳘쫢뗄Ohlson볛횵뫢솿랽쪽ꎬ쎻폐웕뇩탔틢틥ꆣ헔횾뻽뗄쫐뺻싊뫍쓚뺻싊뗄뇭듯쪽쫇퓚쳘쫢볙짨쿂뗃돶살뗄ꎨ헔횾뻽붫뺻닺쫕틦싊럖캪솽룶뷗뛎ꎬ뗚튻룶뷗뛎뺻닺쫕틦싊늻뇤ꎬ떫쫇룟폚놾돉놾ꎬ뗚뛾룶뷗뛎뺻닺쫕틦싊뗈폚놾돉놾ꎬ헢훖볙짨쿔좻뫍쿖쪵폐ퟅ뫜듳뗄뻠샫ꎩꎬ웤쪵볊뷡맻뫍Ohlson쿖듺쪣폠쫕틦쒣탍쫇쿠ퟳ뗄ꆣ틲캪퓚Ohlson뗄싛컄훐ꎬOhlson틑뺭쪮럖쟥돾뗘쮵쏷쇋막샻헾닟늻믡펰쿬막욱볛횵ꎻ떫쫇퓚헔횾뻽뗄싛컄훐ꎬ막샻헾닟ퟮ훕믡뻶뚨쓚뺻싊뗄듳킡ꎬ헢룶쿠뗄뷡맻뇭쏷헔횾뻽뗄퇐뺿퓚샭싛싟벭짏폐킩컊쳢ꆣ 쇵믍쯉(2005)폃Ohlson맅뗤쪣폠쫕틦쒣탍뛈솿쇋컒맺막쫐뗄엝쒭듳킡ꆣ쇵믍쯉룹뻝맅뗤쪣폠쫕틦쒣탍뗄돵벶뇭듯쪽췆떼돶샻폃뺻닺쫕틦싊뫍컞럧쿕놾돉놾뇭쪾뗄볛횵랽돌ꆣ컄헂훐ꎬ쇵믍쯉볙짨캴살15쓪쓚컒맺짏쫐릫쮾뗄뺻닺쫕틦싊뗈폚1994-2003쓪볤컒맺짏쫐릫쮾뺻닺쫕틦싊뗄욽뻹횵%ꎬ캴살뗄컞럧쿕쫕틦싊볙짨캪5%ꆣ룹뻝헢솽룶볙짨ꎬ쇵믍쯉샻폃듓Ohlson맅뗤쪣폠쫕틦쒣탍훐퇝뮯돶살뗄릫 12
쪽볆쯣쇋컒맺짏쫐릫쮾뗄ퟜ볛횵ꆣ뷡맻랢쿖ꎬ2004쓪ꎬ컒맺막쫐룶막뻸뛔엝쒭뗄욽뻹횵캪풪ꎻ뛸퓚막쫐룟럥뗄2001쓪ꎬ막쫐뗄엝쒭뛈캪%ꎬ룶막욽뻹엝쒭캪풪ꆣ 쇵믍쯉뗄럖컶쫇튻훖뫪맛럖컶ꎬ컳닮럇뎣듳ꆣ틲캪쎿횻막욱캴살뗄뺻닺쫕틦싊늻뿉쓜쿠춬ꆣ쇭췢ꎬ뫍헔횾뻽쿠춬ꎬ쇵믍쯉튲붫뺻닺쫕틦싊럖돉솽뛎ꎬ뗚튻룶뷗뛎놣돖늻뇤ꎬ뗚뛾룶뷗뛎뫍놾돉놾쿠춬ꆣ헢훖볙짨웆뮵쇋쒣탍뗄쓚퓚튻훂탔ꎬ웤싟벭믹뒡횵뗃첽쳖ꆣ춬쪱ꎬ쇵믍쯉쎻폐뾼싇떽웤쯻럇믡볆탅쾢뗄ퟷ폃ꎬ웤쪵훊폃떽뗄쫇맅뗤쪣폠쫕틦쒣탍ꆣ 풬쏷헜ꎨ2005ꎩ샻폃“짺돉몯쫽”뗄룅쓮붫샫즢뗄쪣폠쫕틦쒣탍뮻돉솬탸뗄쪣폠쫕틦쒣탍ꆣ샭싛뷧뺭뎣퇐뺿뗄룷훖막욱맀횵쒣탍냼삨뫬샻쳹쿖쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍ꆢ쪣폠쫕틦쒣탍쪹폃뗄뚼쫇샫즢뇤솿ꎬ풬쏷헜죏캪ꎬ평폚죋쏇풤닢웚쿞늻뿉쓜듯떽컞쟮풶ꎬ틲듋샻폃헢킩샫즢뇤솿볆쯣뗄볛횵듦퓚뫜듳컳닮ꆣ풬쏷헜붫웳튵뗄뺻닺ꆢ돉놾ꆢ쫕틦뚼폃튻룶솬탸뗄몯쫽뷸탐쓢뫏ꎬ좻뫳룹뻝쪣폠쫕틦쒣탍ꎬ붫쓢뫏몯쫽뇭쪾돉볛횵랽돌ꆣ쪵횤뇭쏷ꎬ헢훖룹뻝“짺돉몯쫽”쓢뫏뗄볛횵뇈샫즢쒣탍뛔웳튵볛횵폐룼잿뗄뷢쫍쓜솦ꆣ 풬쏷헜뗄퇐뺿쪵볊쫇솬탸믡볆릹쿫뫍쪣폠볛횵쒣탍뗄뷡뫏ꆣ헢훖샭싛짏뗄첽쳖럇뎣폐틢틥ꆣ늻ퟣ뗄쫇ꎬ웳튵뗄쿖뷰쇷늻쫇욽컈뗄ꎬ떽뗗죧뫎릹퓬뺻닺ꆢ쫕틦ꆢ돉놾몯쫽쫇튻룶쓑쳢ꆣ풬쏷헜뗄퇐뺿쫇튻룶웰뗣ꎬ튲쳡릩쇋튻훖랶샽ꎻ뫜쿔좻ꎬ붫살폐맘솬탸믡볆뇤솿뗄퇐뺿펦룃믡룼볓럡뢻ꆣ 듓틔짏뗄컄쿗ퟛ쫶훐컒쏇뿉틔랢쿖벸룶훘듳컊쳢뮹폐듽뷸튻늽뗄퇐뺿ꆣ뗚튻ꎬ쿖듺쪣폠쫕틦쒣탍뮹듦퓚ퟅ뿉듽짌좶뗄뗘랽ꆣ쫗쿈ꎬ쿖듺쪣폠쫕틦쒣탍쫇룹뻝쪣폠쫕틦뗄AR1볙뚨췆떼돶뗄맀횵쒣탍ꆣ퓚쪣폠쫕틦뗄쿟탔탅쾢뚯첬뮯볙뚨훐ꎬ듦퓚ퟅ튻룶럇믡볆탅쾢뇤솿vꎬ죧뫎뛈솿헢룶럇믡볆탅쾢뇤솿vꎿ샭싛퇐뺿헟쳡돶쇋룷훖룷퇹뗄볙짨ꎬ떫쫇쪵횤뷡맻뚼늻쫇럇뎣췪쏀ꎬ럇믡볆탅쾢뇤솿v뗄뛈솿컊쳢뮹쫇쿖듺쪣폠쫕틦쒣탍퇐뺿뗄튻룶탼낸ꆣ웤듎ꎬ폐킩쪵횤퇐뺿랢쿖ꎬ쪣폠쫕틦쒣탍쪵볊뇭쿖늢쎻폐죋쏇쿫쿳훐뗄쓇쎴뫃ꎬ웤뛔막욱볛룱뗄뷢쫍쓜솦뫍뛔막욱캴살쫕틦뗄풤닢쓜솦짵훁폚뇈볲떥뗄쿠뛔볛횵횸뇪뮹튪닮ꆣ죋쏇랢돶쇋헢퇹뗄틉컊ꎬ쪣폠쫕틦쒣탍헦뗄뻟폐뎬풽웤쯻맀횵쒣탍뗄폅쫆싰ꎿ 뗚뛾ꎬ듓짏쫶탰쫶뿉틔뾴돶ꎬ맺쓚뛔쪣폠쫕틦쒣탍뗄퇐뺿뮹쫇뒦폚샭싛뷩짜뷗뛎ꆣ퓚헢킩샭싛뷩짜훐ꎬ늢쎻폐뻟쳥쟸럖맅뗤쪣폠쫕틦쒣탍뫍쿖듺쪣폠쫕틦쒣탍ꎬ퓬돉듳솿뗄룅쓮믬쿽ꆣ폈웤훘튪뗄쫇ꎬ맺쓚컄쿗쎻폐힢틢떽쿖듺쪣폠쫕틦쒣탍뗄쿟탔탅쾢뚯 13
첬뮯볙뚨ꎬ쎻폐듓샭싛짏헦헽죏쪶떽헢룶볙뚨뛔맀횵쒣탍퇐뺿뗄훘튪탔ꆣ쒿잰맺쓚뮹쎻폐췪헻뗄쿖듺쪣폠쫕틦쒣탍뗄쪵횤퇐뺿ꆣ쪣폠쫕틦쒣탍쫇럱뿉틔퓚컒맺쪹폃ꎿ컒맺뗄쫽뻝쫇럱횧돖쪣폠쫕틦쒣탍ꎿ헢쫇튻룶훘듳뗄샭싛뫍쪵횤컊쳢ꎬ헢룶컊쳢늻뷢뻶ꎬ뻍컞램붫쪣폠쫕틦쒣탍펦폃떽컒맺뗄샭싛퇐뺿훐ꆣ 놾컄뗄퇐뺿뻍쫇캪쇋짮죫첽쳖틔짏솽룶컊쳢ꎬ톰헒뛈솿럇믡볆탅쾢뇤솿v뗄랽램ꎻ뇈뷏쿖듺쪣폠쫕틦쒣탍뫍웤쯻맀횵쒣탍뗄폅쇓ꎻ볬퇩쿖듺쪣폠쫕틦쒣탍퓚컒맺뗄쫊폃탔ꎬ쳡룟컒맺쪣폠쫕틦쒣탍뗄퇐뺿쮮ힼꆣ 퇐뺿쓚죝ꆢ퇐뺿랽램 퇐뺿쓚죝 놾컄룅쫶쇋룷훖좨틦맀횵랽램뗄쳘뗣ꆢ쫊폃랶캧뫍폅쇓쫆ꎻ쿪쾸탰쫶쇋쪣폠쫕틦쒣탍뗄랢햹퇝뇤샺쪷ꆢ퇐뺿쿖ힴ뫍쪵횤퇐뺿뷡맻ꎻ쪹폃컒맺뗄막쫐쫽뻝볬퇩쇋맺췢퇐뺿헟쳡돶뗄컥훖쿟탔탅쾢뚯첬뮯볙뚨ꎬ뇈뷏쇋놾돉놾늻춬뛔쿟탔탅쾢뚯첬뮯볙뚨뗄펰쿬ꎻ뇈뷏쇋Ohlson쳡돶뗄룷훖쪣폠쫕틦쒣탍뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꎬ뇈뷏쇋쿖듺쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍틔벰쿠뛔볛횵횸뇪믘맩램뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꎻ퇐뺿쇋쳹쿖쓪쿞뗄뎤뛌뛔쿖뷰쇷쳹쿖쒣탍뗄펰쿬ꎻ샻폃컒맺뗄막쫐쫽뻝뇈뷏쇋쿖듺쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍뛔막욱캴살쫕틦풤닢쓜솦뗄닮틬ꎬ퇐뺿쇋헛쿖쓪쿞뛔쿖뷰쇷쳹쿖쒣탍풤닢쓜솦뗄펰쿬ꎻ뇈뷏쇋쿖듺쪣폠쫕틦쒣탍뫍쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊죽룶쿠뛔볛횵횸뇪뛔막욱캴살쫕틦풤닢쓜솦뗄닮틬ꆣ 퇐뺿랽램 ꎨ1ꎩ샭싛폫쪵볊쿠뷡뫏ꆣ놾컄샻폃훐맺뗄막쫐쫽뻝볬퇩Ohlson쳡돶뗄쪣폠쫕틦쒣탍ꎬ뇈뷏Ohlson쒣탍뫍웤쯻좨틦맀횵쒣탍뗄폅쇓ꆣ ꎨ2ꎩ쫐뎡폐킧뗄럖컶랽램ꆣ폐킧쫐뎡샭싛쫇뺭볃톧퇐뺿뗄튻룶훘듳뿎쳢ꆣ훘듳뗄뺭볃샭싛뚼쫇춨맽폐킧쫐뎡볙짨뗃돶뷡싛ꎬ좻뫳퓙퇐뺿쫐뎡늿럖쪧킧쪱뗄쟩뿶ꆣퟜ쳥살뾴ꎬ듓뎤웚뫍“욽뻹”틢틥짏쮵ꎬ놾컄죏캪쫐뎡쫇폐킧뗄ꆣ쯹캽뎤웚뫍욽뻹틢틥짏ꎬ쫇횸쯤좻쫐뎡폐킧ꎬ떫쫇늢늻뇭쪾쫐뎡훐쎿쪱쎿뿌닺뗄볛룱뚼쫇뻹뫢볛룱ꎻ퓚쒳튻룶뻟쳥뗄쪱뗣ꎬ쫐뎡볛룱늻듳뿉쓜쫇뎤웚뻹뫢볛룱ꎬ뛸쫇뒦퓚쿲뎤웚뻹뫢볛룱믘뢴뗄맽돌훐ꆣ듓쪵볹살뾴ꎬ쫐뎡ퟜ쳥쫇폐킧뗄ꎬ뺡맜쫐뎡훐듦퓚욫닮ꎬ떫쫇춨맽볛룱늨뚯ꎬ쫐뎡ퟜ쫇퓚늻뛏탞헽ퟔ벺뗄욫닮ꆣ놾컄퓚퇐뺿쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦뫍 14
막욱캴살쫕틦뗄풤닢쓜솦쪱ꎬ뚼횱뷓닉폃막욱뗄쫐뎡볛룱ퟷ캪뫢솿뇪ힼꎬ헽쫇샻폃쇋뎤웚틢틥짏쫐뎡쫇폐킧뗄맛뗣ꆣ ꎨ3ꎩ뚨탔퇐뺿폫뚨솿럖컶쿠뷡뫏ꆣ놾컄퓚뚨탔럖컶룷훖샭싛쒣탍뗄믹뒡짏ꎬ샻폃뚨솿랽램볬퇩쇋Ohlson쾵쇐쒣탍뗄볙짨잰쳡ꎬ뇈뷏쇋Ohlson쒣탍뫍웤쯻좨틦맀횵쒣탍뗄쿠뛔폅쇓ꆣ 놾컄뗄뒴탂횮뒦 ꎨ1ꎩ쪹폃훐맺뗄쫽뻝볬퇩쇋쪣폠쫕틦뗄쿟탔탅쾢뚯첬뮯볙뚨ꎻ퓚볬퇩쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨쪱ꎬ놾컄뾼달쇋쪹폃잰쪮듳막뚫돖막뫍ꆢPEG횵ꎨ쫐펯싊뫍뺻닺퓶뎤싊뇈횵ꎩꆢ잰쪮듳막뚫폫잰컥듳막뚫돖막뫍횮닮ퟷ캪럇믡볆탅쾢뇤솿v뗄쳦듺횵뗄뿉쓜탔ꎬ뗃돶쇋튻킩폐틦뗄뷡싛ꎻ ꎨ2ꎩ샻폃컒맺뫚즫뷰쫴튱솶튵뗄쫽뻝뇈뷏쇋늻춬탎쪽뗄쿖듺쪣폠쫕틦쒣탍뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꎻ뇈뷏쇋쿖듺쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꎻ ꎨ3ꎩ샻폃컒맺뗄쫽뻝뇈뷏쇋쿖듺쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꎻ뇈뷏쇋쿖듺쪣폠쫕틦쒣탍뫍쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊죽룶쿠뛔볛횵횸뇪뛔막욱캴살쫕틦풤닢쓜솦뗄닮틬ꆣ ꎨ4ꎩ룅삨돶풤닢컈뚨탔뫍풤닢쟸럖뛈솽룶횸뇪살뛈솿좨틦맀횵쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ 15
2 쪣폠쫕틦쒣탍뗄웰풴ꆢ랢햹뫍쪵횤퇐뺿 쪣폠쫕틦쒣탍쫇짏룶쫀볍90쓪듺훐웚퓚컷랽믡볆뷧탋웰뗄튻룶탂뗄퇐뺿쇬폲ꆣ쪣폠쫕틦쒣탍뗄돶쿖뗃틦폚죽룶틲쯘ꎺ뗚튻ꎬ믡볆퇐뺿쇬폲뗄췘햹ꆣ튻횱틔살ꎬ믡볆쫽뻝탅쾢맛쫇컷랽믡볆퇐뺿뗄훷쇷랽쿲ꎬ춨맽퇐뺿막욱볛룱뫍믡볆쫽뻝뗄쫽솿맘쾵ꎬ퇩횤믡볆쫽뻝뗄맀볛ퟷ폃ꆣ떫쫇ꎬ탅쾢맛퇐뺿쪼훕폐튻룶좱쿝ꎬ뻍쫇컞램쏷좷뷧뚨믡볆쫽뻝뫍막욱볛횵횮볤좷쟐뗄몯쫽맘쾵ꎬ컞램듓샭싛짏횤쏷믡볆쫽뻝펰쿬막욱볛룱뗄춾뺶ꆣ탅쾢맛뗄좱쿝쪹뗃믡볆퇐뺿죋풱늻뛏뎢쫔웤쯻뗄퇐뺿랽쿲ꎬ쪣폠쫕틦쒣탍뻍쫇웤훐뇈뷏돉릦뗄뎢쫔횮튻ꆣ 뗚뛾룶틲쯘쫇샻폃쿖뷰쇷ꆢ릫쮾펯폠뗈뷸탐맀횵뗄뒫춳좨틦맀횵랽램쫜떽쇋탂뗄쪵횤쫽뻝뗄쳴햽ꆣ짏룶쫀볍80쓪듺쒩웚죋쏇랢쿖ꎬ쿖뷰쇷뫍릫쮾펯폠뛔릫쮾볛횵뗄뷢쫍솦늢쎻폐죋쏇쿫쿳뗄쓇쎴듳ꆣ틲듋ꎬ죋쏇뾪쪼훘탂짳쫓뒫춳뗄맀횵랽램ꎬ쳡돶쇋룷훖탂뗄맀횵쮼쿫ꎬ죧쪣폠쫕틦샭싛뫍쪵컯웚좨샭싛뗈ꆣ 뗚죽룶틲쯘쫇뛔믡볆퇐뺿뒫춳뗄볌돐ꆣ쪣폠쫕틦쮼쿫퓚믡볆뷧평살틑뻃ꎬ떫쫇튻횱쫜쿞폚춳볆랽램ꆢ쫽뻝살풴뗄훆풼ꎬ쎻폐뗃떽폐솦랢햹ꆣ짏룶쫀볍90쓪듺ꎬOhlson뫍Feltham훘탂쳡돶쪣폠쫕틦샭싛ꎬ퓚볌돐쇋잰죋퇐뺿쮼쿫뗄잰쳡쿂ꎬ틽죫쇋탂뗄샭싛볙짨ꎬ듓뛸쪹뗃뒫춳뗄맅뗤쪣폠쫕틦쮼쿫뗃떽쇋탂짺ꆣ 놾헂훷튪뷩짜좨틦맀횵쒣탍뗄훖샠ꆢ쪣폠쫕틦쮼쿫뗄떮짺ꆢ쪣폠쫕틦쒣탍뗄랢햹퇝뇤샺쪷ꎬ틔벰맺쓚췢뛔쪣폠쫕틦쒣탍뗄쪵횤퇐뺿돉맻ꆣ 좨틦맀횵랽램룅쫶 놾쫐뎡뗄룹놾컊쳢쫇닺뚨볛컊쳢ꆣ막욱떽뗗쫇럱폐볛횵ꎿ웤볛횵듳킡죧뫎ꎿ헢킩컊쳢튻횱쫇쪵볹뫍샭싛퇐뺿뗄붹뗣컊쳢ꆣ퓚폐맘막욱볛횵뗄컊쳢짏ꎬ샭싛짏폐솽훖듺뇭탔뗄맛뗣ꎺ튻훖맛뗣죏캪ꎬ막욱쎻폐쓚퓚볛횵ꎬ막쫐춶뻍죧춬톡쏀뇈주ꎬ닎폫헟캪쇋펮뗃춶ꎬ횻탨튪횪뗀웤쯻죋뗄뾴램ꎬ톡퓱웤쯻죋뚼톡퓱뗄막욱ꎬ춶뻍뿉틔돉릦ꆣ헢훖맛뗣ퟮ돵뗄뇭쫶살풴폚Kenyes뗄“톡쏀싛”ꆣ뫳살ꎬ쯦ퟅ쿖듺뷰죚샭싛뗄췪짆ꎬ폐킧쫐뎡뫍CAPM샭싛쿠볌탎돉ꎬ맅뗤뫍탂맅뗤뺭볃톧볒붫막욱쫐뎡뾴돉쫇튻룶췪짆ꆢ돤럖뺺헹뗄쫐뎡ꎬ막욱뗄볛룱쫇평쫕틦ꎭ럧쿕쒣탍뻶뚨뗄ꆣ튻훖럧쿕쮮욽뛔펦ퟅ튻훖쫕틦ꎬ쫕틦쫇뛔럧쿕뗄늹뎥ꆣ막욱쎻폐쯹캽뗄볛횵컊쳢ꎬ뛸쫇듦퓚ퟅ뻹뫢볛룱ꆣ헢룶뻹뫢볛룱캨튻뗘평쫐뎡릩쟳ힴ뿶뫍막욱ퟔ짭뗄럧쿕쮮욽뻶뚨ꆣ평폚막욱쎻폐튻룶쓚퓚뗄볛횵ꎬ뛸횻쫇듦퓚ퟅ튻룶평쫐뎡뫍막욱ퟔ짭럧쿕쮮욽뻶뚨뗄뻹뫢볛룱ꎬ 16
틲듋막욱볛룱뗄퓋뚯쫇늻뿉풤닢뗄ꎬ막욱볛룱ퟱ톭쯦믺폎ퟟ쒣탍ꎬ죋쏇컞램춨맽풤닢쒣탍햽쪤쫐뎡ꆣ 폫폐킧쫐뎡뫍CAPM쒣탍쿠랴ꎬ맘폚막욱뗄볛룱뮹폐쇭췢튻훖훷쇷맛뗣ꎬ죋쏇돆횮캪믹놾럖컶톧엉ꎬ믲헟쮵볛횵톧엉ꆣ볛횵톧엉죏캪ꎬ막욱ퟔ짭폐쓚퓚볛횵ꆣ막욱뗄볛횵쫇평막욱돖폐죋캴살뿉쓜펵폐뗄쿖뷰쇷솿뗄쿖횵뻶뚨ꆣ막욱뗄볛룱쫇막욱퓚붻틗쫐뎡짏뗄뇭쿖탎쪽ꆣ놾쫐뎡늻쫇튻횱뚼폐킧ꎬ볛횵뫍볛룱뎣뎣믡돶쿖욫닮ꎻ춨맽볆쯣막욱뗄쓚퓚볛횵ꎬ죋쏇쓜릻믱뗃뎬뛮쫕틦ꆣ 퓚쪵볊쪵볹훐ꎬ쫐뎡톧엉훷튪룹뻝훮죧쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊뗈쿠뛔볛횵횸뇪뫢솿막욱뻹뫢볛룱ꆣ쓚퓚볛횵톧엉퓲랢햹돶쇋뫜뛠쓚퓚볛횵쒣탍살뫢솿막욱볛횵ꎬ펰쿬뇈뷏듳뗄쓚퓚볛횵맀횵쒣탍폐뫬샻쳹쿖쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍ꆢ펯폠놾뮯쒣탍ꆢ쪣폠쫕틦쒣탍뗈ꆣ놾뷚붫볲떥뷩짜헢킩좨틦맀횵쒣탍ꆣ 뫬샻쳹쿖쒣탍 뫬샻쳹쿖쒣탍ꎬ펢컄뇭쫶캪Dividends Discount Modelꎬ볲킴캪DDM쒣탍ꆣ헢룶쒣탍쫇튻쟐쓚퓚볛횵맀횵쒣탍뗄믹뒡ꆣ뫬샻쳹쿖쒣탍틢캶ퟅ릫쮾좨틦놾볛횵(웕춨막막욱볛횵)뗈폚풤웚캴살릫쮾룷웚쿖뷰막샻뗄쿖횵횮뫍ꆣ춶헟릺싲막욱풤웚뿉틔믱뗃솽늿럖쫕죫ꎺ튻쫇막욱돖폐웚쓚뗄럖뫬ꎬ튻쫇돖폐웚쒩돶쫛막욱뗄쫕죫ꆣ내헕뫬샻쳹쿖뗄풭샭ꎬ돖폐웚쒩돶쫛막욱뗄볛룱죔평듋뫳룷웚풤웚쿖뷰막샻뗄쿖횵뻶뚨ꎻ틲듋ꎬ퓚죎튻쪱뗣t움볛막욱뗄볛횵뻹뿉붫막욱쫓캪폀뻃돖폐ꎬ막욱뗄볛횵뗈폚t쪱뗣횮뫳룷웚풤웚쿖뷰막샻뗄쿖횵횮뫍ꆣ 룹뻝뫬샻쳹쿖쒣탍ꎬ막욱볛횵뗈폚릫쮾캴살룷웚쿖뷰막샻뗄쿖횵뫍ꎺ ∞∑DV=t ꎨꎩ =1(1+r)ttt웤훐ꎺD캪릫쮾캴살룷웚뗄쿖뷰막샻ꎻ t r캪t웚춶헟튪쟳뗄좨틦놾쫕틦싊ꎻ t V캪막욱뗄쓚퓚볛횵ꆣ DDM훐ꎬD뫍r뚼쫇캴살뗄뇤솿ꎬ죋쏇퓚쪵볊맀횵쪱ꎬ탨튪뛔캴살룷웚뗄뻟쳥tt횵뷸탐풤닢ꆣ쪵볊쪹폃쪱ꎬ죋쏇폖붫DDM볲뮯캪쇣막샻퓶뎤쒣탍ꆢ막샻폀탸퓶뎤쒣탍ꆢ솽뷗뛎쒣탍ꆢ죽뷗뛎쒣탍뗈ꆣ 뫬샻쳹쿖쒣탍폐ퟅ뫜뫃뗄샭싛믹뒡ꆣ떫쫇ꎬMiller-Modiglianiꎨ1961ꎩ쳡돶막샻컞 17
맘탔뚨샭뫳ꎬ뫬샻쳹쿖쒣탍쫜떽쇋죋쏇뗄퇏훘훊틉ꋙꆣMiller-Modigliani퓚췪좫놾쫐뎡ꆢ컞붻틗돉놾ꆢ춶헟뛔막샻뫍놾샻뗃컞욫뫃뗄볙짨쿂ꎬ췆떼뗃돶웳튵뗄볛횵횻뫍웳튵캴살뗄춶믺믡뫍춶뻶닟폐맘ꎬ뫍웳튵뗄막샻헾닟쎻폐죎뫎맘쾵ꆣ막샻컞맘탔뚨샭뗄컊쫀뛔횱뷓틔쿖뷰막샻ퟷ캪쫤죫뇤솿뗄뫬샻쳹쿖쒣탍닺짺쇋뻞듳뗄돥믷ꆣ죧맻막샻컞맘탔뚨샭돉솢뗄뮰ꎬ뫬샻쳹쿖쒣탍붫뇤뗃뫁컞틢틥ꆣ 돽쇋쫜떽막샻컞맘탔뚨샭뗄삧죅틔췢ꎬ뫬샻쳹쿖쒣탍퓚쪵볊춶훐튲듦퓚ퟅ뫜뛠뿍맛삧쓑ꆣ훷튪뇭쿖퓚ꎺ1ꆢ탭뛠릫쮾늻횧뢶막샻ꎬ뫬샻쳹쿖쒣탍뗄펦폃쫜떽쿞훆ꎻ2ꆢ막샻횧뢶죝틗쫜떽죋캪펰쿬ꎬ풤닢막샻뇈뷏삧쓑ꎻ3ꆢ뎤웚쓚ꎬ막샻쫽뻝훍뫳폚쫕틦쫽뻝ꋚꎨFamaꆢBabiakꎬ1968쓪뗄쪵횤퇐뺿뷡맻ꋛꆳꎬ틲뛸뫬샻쳹쿖쒣탍뗄맀볛뷡맻“맽폚놣쫘”ꆣ쇭췢ꎬ뫬샻쳹쿖쒣탍쫇햾퓚짙쫽막뚫뗄솢뎡짏뷸탐맀쯣ꎻ뿘막막뚫튻냣닉폃ퟔ평쿖뷰쇷솿헛쿖랽램맀쯣릫쮾좨틦볛횵ꆣ 쿖뷰쇷쳹쿖쒣탍 쿖뷰쇷솿쳹쿖쒣탍뗄쮼쿫뿉틔폃튻뻤뮰볓틔룅삨ꎬ튻룶웳튵믲헟쿮쒿뗄볛횵평룃웳튵믲헟쿮쒿캴살쓜릻펵폐뗄룷웚쿖뷰쇷솿뗄쿖횵뻶뚨ꆣ쿖뷰쇷솿쳹쿖램뗄튻냣쒣탍뿉틔뇭쪾캪ꎺ ∞CFV=∑t ꎨꎩ =1(1+r)ttt웤훐ꎺCF캪t웚뗄쿖뷰쇷솿ꎻ t r 캪헛쿖싊ꆣ t 룹뻝룷훖늻춬볙짨ꎬ쿖뷰쇷솿쒣탍튲뿉틔볲뮯캪솽뷗뛎쿖뷰쇷솿쒣탍ꆢ죽뷗뛎쿖뷰쇷솿쒣탍ꆢ뛠뷗뛎쿖뷰쇷솿쒣탍뗈ꆣ퓚듋늻퓙ힸ쫶ꆣ 평폚쿖뷰쇷솿쫇쪵볊쫕횧뗄닮뛮ꎬ늻죝틗놻맜샭닣닙ퟝꎬ틲듋ꎬ쿖뷰쇷솿쒣탍돉캪맣랺펦폃뗄릫쮾맀볛랽램ꆣ듳솿쪵횤퇐뺿뗄뷡싛튲횤쪵쇋쿖뷰쇷솿폫릫쮾볛횵뗄쏜쟐맘쾵ꆣ죧HongꆢKaplan뫍Mandelker(1978)뛔릫쮾늢릺뗄믡볆뒦샭랽램뗄퇐뺿ꋜꎻ ꋙ Merton H. Miller and Franco Modigliani, "Dividend Policy, Growth, and the Valuation of Shares", The Journal of Business, XXXIV, , October 1961. ꋚ 낢쮹췟쮹ꆤ듯쒦듯삼ꎬꆶ펦폃릫쮾샭닆ꆷꎬ횣헱쇺틫.믺킵릤튵돶냦짧ꎺ2000쓪ꎬp482. ꋛ Fama,. and Harvey Babiak, "Dividend Policy: An Empirical Analysis" Journal of the American Statistical Association ,P1132-1161. ꋜ H. HongꎬR .S. Kaplan and G. Mandelker. "Pooling Versus Purchase: The Effects of Accounting for Mergers on Stock Prices", Accounting Review 53, January 1978,PP31-74. 18
McConnell뫍Muscarella (1985)뛔릫쮾뎤웚햽싔춶뗄퇐뺿뗈ꋙꆣ 쿖뷰쇷솿맀횵쒣탍뗄쓑뗣쫇죧뫎ힼ좷뗘뛈솿쿖뷰쇷솿횵ꆣ쿖뷰쇷솿쫇튻룶샭싛짏뗄룅쓮ꎬ쪵볊믡볆놨뇭훐늢쎻폐헢룶쿮쒿ꆣ틲듋ꎬ죧뫎춨맽릫쮾뗄닆컱놨뇭뗃떽ힼ좷뗄쿖뷰쇷솿횵돉캪샭싛퇐뺿뗄튻룶훘뗣ꆣ1987쓪11퓂ꎬ쏀맺닆컱믡볆ힼ퓲캯풱믡(FASB)랢늼뗚95뫅릫룦ꎬ춳튻맦뚨쇋쿖뷰쇷솿벰웤ퟩ돉늿럖ꎬ퓚탎쪽짏춳튻쇋쿖뷰쇷솿뗄볆쯣랽램ꆣ떫쫇퓚쪵볊볆쯣쪱ꎬ평폚퇐뺿죋풱뗄죏쪶늻춬돶쿖쇋룷훖늻춬뗄쿖뷰쇷솿볆쯣랽램ꆣ 1986쓪Jensen쳡돶쇋ퟔ평쿖뷰쇷솿뗄룅쓮ꎬ죆뾪쇋볆쯣쿖뷰쇷솿횵쪱뒦샭릫쮾믡볆놨뇭훐뺭펪쿖뷰쇷솿뫍춶쿖뷰쇷솿뗄럖웧ꆣJensen붫ퟔ평쿖뷰쇷솿뚨틥캪“싺ퟣ쯹폐틔쿠맘뗄뷰돉놾헛쿖뫳뺻쿖횵캪헽뗄쿮쒿탨튪뗄뷰뫳쪣폠뗄쿖뷰쇷솿”ꋚꆣ몺뿋뛻뫍샮랲쳘붫ퟔ평쿖뷰쇷솿뚨틥캪“돽쇋퓚뿢듦ꆢ뎧랿ꆢ짨놸ꆢ뎤웚막좨뗈샠쯆닺쯹탨뗄춶죫췢ꎬ웳튵쓜릻닺짺뗄뛮췢쿖뷰쇷솿”ꆢ “ퟔ평쿖뷰쇷솿쫇릫쮾늻뇘뷸탐퓙춶틔캬돖떱잰퓶뎤쯙뛈뗄뺭펪쿖뷰쇷솿ꎬ틲듋ꎬퟔ평쿖뷰쇷솿뿉틔좫늿횧뢶룸막뚫믲헟폃틔뎥뮹캴떽웚뗄햮컱뛸늻펰쿬릫쮾캴살뗄쿖뷰쇷솿ꋛ”ꆣ Willianson붫ퟔ평쿖뷰쇷솿뚨틥캪“쓉쮰뫳(벴늻볆뗝퇓쯹뗃쮰)뗄펪튵뺻샻죳ꆲ늻냼삨돯돉놾)ꎬ복좥탂퓶놾뺻춶ꆣ놾뺻춶캪만뚨닺뗄놾횧돶ꎬ볓짏웤쯼뎤웚춶ꎬ복좥헛뻉뫍웤쯼럇쿖뷰럑폃ꎺ죧헛뫄뫍첯쿺ꎬ……ꆣ쒳킩닆컱뺭샭뮹복좥막욱뗄쿖뷰막샻닅뗃떽ퟔ평쿖뷰쇷솿ꋜ”ꆣ뇪ힼ웕뛻횱뷓붫ퟔ평쿖뷰쇷솿뚨틥캪쮰잰샻죳뫍놾탔횧돶뗄닮ꆣ Damodaran퓚1999쓪뛔ퟔ평쿖뷰쇷솿뷸탐쇋ퟜ뷡쪽뗄퇐뺿ꋝꆣDamodaran붫ퟔ평쿖뷰쇷솿쟸럖캪막좨ퟔ평쿖뷰쇷솿뫍릫쮾ퟔ평쿖뷰쇷솿ꎺ“릫쮾막좨놾춶헟펵폐뗄쫇룃릫쮾뗄쪣폠튪쟳좨ꎬ벴쯻쏇펵폐릫쮾퓚싄탐쇋냼삨뎥뮹햮컱퓚쓚뗄쯹폐닆컱틥컱뫍싺ퟣ쇋퓙춶탨튪횮뫳뗄좫늿쪣폠쿖뷰쇷ꆣ쯹틔ꎬ막좨ퟔ평쿖뷰쇷뻍쫇퓚돽좥뺭펪럑폃ꆢ놾쾢뎥뮹뫍캪놣돖풤뚨쿖뷰쇷퓶뎤싊쯹탨뗄좫늿놾탔횧돶횮뫳뗄쿖뷰쇷……”ꆣ막좨ퟔ평쿖뷰쇷솿(FCFE )뗄볆쯣릫쪽캪ꎺ FCFEꎽ뺻쫕틦ꎫ헛뻉ꎭ놾탔횧돶ꎭ펪퓋놾ힷ볓뛮ꎭ햮컱놾뷰뎥뮹ꎫ탂랢탐햮컱 “릫쮾ퟔ평쿖뷰쇷솿쫇웳튵쯹폐좨샻튪쟳헟ꎬ냼삨웕춨막막뚫ꆢ폅쿈막막뚫뫍햮 ꋙ . McConnell and Muscarella, “Corporate Capital Expenditure Decisions abd Market Value of the Firm" ,Journal of Financial Economics 14,March 1985,-422. ꋚMichael C. Jensen, "Agency Cost of Free Cash Flow, Corporate Finance and Takeover", American Economic Review,1986. ꋛ뿏쓡쮹ꆤ몺뿋뛻ꆢ폈컷.샮랲쳘ꎬꆶ쿖뷰쇷솿폫횤좯럖컶)ꎬ헅뾭ꆢ쇵펢뗈틫ꎬ뮪쿄돶냦짧ꎬ2001쓪. ꋜ J. d. Willianson, "Controllership, the Work of the Managerial Accounting", John Viley & Sons, lnc, 1995. ꋝ Aswath Damodaran,ꆶ춶맀볛ꆷ훬커퇹ꆢ뗋몣럥틫ꎬ쟥뮪듳톧돶냦짧,1999쓪ꆣ 19
좨죋뗄쿖뷰쇷ퟜ뫍……”ꆣ릫쮾ퟔ평쿖뷰쇷(FCFF)뗄볆쯣쪽캪 FCFFꎽ막좨쿖뷰쇷ꎫ샻쾢럑폃ꆲ1ꎭ쮰싊)ꎫ놾뷰맩뮹ꎭ랢탐뗄탂햮ꎫ폅쿈막샻ꎽEBIT(1ꎭ쮰싊)ꎫ헛뻉ꎭ놾탔횧돶ꎭힷ볓펪퓋놾 폃ퟔ평쿖뷰쇷솿헛쿖램뛔웳튵볛횵뷸탐움볛뫜뫃뗄쳥쿖쇋웳튵볛횵뗄놾훊ꆣ룃랽램쫇쒿잰좨틦맀횵쇬폲훷튪뗄펦폃릤뻟ꆣ춬쪱ꎬ펦폃쿖뷰쇷솿헛쿖램ꎬ쓜릻쳥쿖릫쮾맜샭닣뗄뺭펪돉맻뫍뺭펪쓜솦ꎬ뻟폐튻뚨뗄벨킧움맀쓜솦ꆣ 뺡맜죧듋ꎬ쿖뷰쇷솿헛쿖램튲듦퓚ퟅ튻킩늻ퟣꆣꆶ춶맀볛ꆷ튻쫩뗄ퟷ헟Damondaran죏캪틔쿂웟샠릫쮾늻쫊틋닉폃쿖뷰쇷솿헛쿖램뷸탐볛횵움맀ꎬ믲펦폃쿖뷰쇷솿램쪱탨튪ퟶ튻뚨돌뛈뗄뗷헻ꋙꆣ헢웟샠릫쮾쫇ꎺ(1)쿝죫닆컱?뻝ힴ첬뗄릫쮾ꎻ(2)쫕틦돊훜웚탔늨뚯뗄릫쮾ꎻ(3)펵폐캴놻샻폃닺뗄릫쮾ꎻ(4)폐샻좨믲닺욷톡퓱좨뗄릫쮾ꎻ(5)헽퓚뷸탐훘ퟩ뗄릫쮾ꎻ(6)짦벰릺늢쫂쿮뗄릫쮾ꎻ(7)럇짏쫐릫쮾ꆣ잰쇹샠릫쮾늻쫊폃쿖뷰쇷솿헛쿖램뗄풭틲쫇맀볆웤캴살뗄쿖뷰쇷솿뷏삧쓑ꎬ뛸뗚웟샠릫쮾퓲쫇평폚럧쿕쓑틔맀솿ꎬ늻쓜ힼ좷맀볆웤놾돉놾ꆣ쇭췢ꎬ펦폃쿖뷰쇷솿헛쿖쒣탍뗄맘볼쫇죋쏇쓜릻ힼ좷풤닢돶웳튵캴살뗄쿖뷰쇷솿ꎬ헢쿮죎컱퓚쪵볊릤ퟷ훐뫜쓑췪돉ꆣ 펯폠놾뮯쒣탍 펯폠놾뮯쒣탍튲쫇튻룶럇뎣볲떥뗄쓚퓚볛횵맀횵쒣탍ꆣ펯폠놾뮯쒣탍ퟮ퓧놻1990쓪억놴뛻뺭볃톧붱뗃훷MillerꆢModigliani ꎨ1966 )ꋚ 폃살맀볆쏀맺뗧솦탐튵뗄놾돉놾ꆣMM쪹폃뗄펯폠놾뮯쒣탍럇뎣볲떥ꎺ P=Ε∗r ꎨꎩ t 웤훐ꎬΕ∗쫇릫쮾뗄폀뻃펯폠ꋛꎻr쫇펯폠놾뮯싊ꆣ MillerꆢModigliani냑믡볆펯폠횱뷓ퟷ캪폀뻃펯폠뗄쳦듺뇤솿( Proxy Variable )ꎺΕ∗=E+eꎻ볙짨솽헟횮볤뗄닮틬쫇튻룶럾듓N0,s2()뗄쯦믺뇤솿ꆣ 펯폠놾뮯쒣탍퓚쪵컱훐뗃떽맣랺펦폃ꆣ죧맻릫쮾샻죳뇭훐믡볆펯폠쫇폀뻃펯폠뗄튻룶탔훊솼뫃뗄쳦듺뇤솿ꎬ쓇쎴룃쒣탍쯹쳥쿖뗄쮼쿫쫇막욱춶훐퓙볲떥늻맽뗄럖컶벼쫵ꎬ벴ꎺ ꋙ 낢쮹컖쮼.듯쏉뗂샭훸ꎬꆶ볛횵움맀ꆪ횤좯럖컶ꆢ춶움맀폫릫쮾샭닆ꆷꎬ헅횾잿뗈틫ꎬ놱뺩듳톧돶냦짧ꎬ2003 쓪 1 퓂ꎬ129~133. ꋚ Miller, M. H., and F. Modigliani. 1966. Some Estimates of the Cost of Capital to the Electric Utility Industry, 1954-57. The American Economic Review. ꋛ믡볆톧헟붲뗄폀뻃펯폠(permanent earnings)샠쯆폚뢥샯뗂싼뺭볃톧훐뗄뫣뎣쫕죫룅쓮ꆣ쯼춨뎣쫇횸믡볆펯폠훐뿉틔돖뻃랢짺뗄쓇늿럖펯폠ꎬ폫퓝쪱펯폠(transitory earnings)쿠뛔ꆣ 20
P=E×(1r)=E×(PE) ꎨꎩ 믡볆펯폠춨맽쫐펯싊(P/E)폫막볛붨솢웰횱뷓뗄솪쾵ꎬ헢쫇믡볆펯폠폐폃탔퓚죋쏇춷쓔훐ퟮ횱맛뗄랴펳ꆣ쿠뛔폚쿖뷰쇷살쮵ꎬ믡볆펯폠죝틗놻짏쫐릫쮾닙ퟝꎬ틲듋헢듳듳쿞훆쇋펯폠헛쿖쒣탍뗄맀횵ힼ좷탔ꆣ ퟮ뫳튻룶훘튪뗄쓚퓚볛횵쒣탍쫇쪣폠쫕틦맀횵쒣탍ꆣ컒쏇퓚쿂튻뷚붫떥뛀뷩짜헢룶쓚퓚볛횵맀횵쒣탍ꆣ 쿠뛔맀횵램 쓚퓚볛횵램쯤좻퓚샭싛짏폐돤ퟣ뗄틀뻝ꎬ떫쫇펦폃웰살폐뫜뛠뗄싩랳ꆣ죋쏇퓚쪵볊쪹폃쪱볈튪맀쯣릫쮾캴살뗄쿖뷰쇷뫍춶헟뗄좨틦튪쟳싊ꎬ뮹튪뷸탐훕횵볙짨ꎻ뎣뎣믡돶쿖뻞듳뗄맀횵욫닮ꆣ퓚춶헟뗄쪵볹훐ꎬ폃뗄뷏뛠뗄쫇튻킩볲떥뗄쿠뛔볛횵움맀랽램ꆣ 쿠뛔볛횵움맀램ꎬ폐킩톧헟돆횮캪쫐뎡뇈뷏움맀램ꆢ쿠맘움맀램믲횱뷓뇈뷏램ꎬ쫇튻훖믹폚쳦듺탔풭퓲뗄움맀랽램ꆣ쯹캽쳦듺풭퓲ꎬ쫇횸쫂컯뗄볛횵뿉틔룹뻝폫횮쿠뷼뗄웤쯻쫂컯뗄볛횵ퟶ돶에뛏ꆣ쪵볊퓋폃쿠뛔볛횵움맀램쪱ꎬ훷튪쫇붫쒿뇪릫쮾뫍뇪뗄릫쮾뗄튻킩볛횵횸뇪뷸탐뛔뇈ꎬ좷뚨뇪뗄릫쮾쿠펦횸뇪뗄뫏샭횵ꎬ췆쯣뇪뗄릫쮾뗄볛횵ꆣ뺭뎣폃떽뗄쿠뛔볛횵횸뇪폐볛룱/쎿막펯폠ꆢ볛룱/쎿막뺻닺ꆢ볛룱/쿖뷰쇷솿ꆢ볛룱/쎿막쿺쫛뛮ꆢꎨ볛룱볓햮컱ꎩ/EBITDAꆢꎨ볛룱볓햮컱ꎩ/EBIT뗈ꆣ 1ꎩ쫐펯싊 퓋폃ퟮ뛠뗄쿠뛔볛횵횸뇪쫇볛룱/쎿막펯폠ꎬ벴쫐펯싊횸뇪ꆣ룹뻝만뚨쓪뷰쿖뷰뫬샻쳹쿖쒣탍ꎬ릫쮾뗄좨틦볛횵쪵볊짏뗈폚ꎺP=Drꆣ볙짨쎿웚막샻뗈폚뗈폚쎿웚믡볆펯폠ꎬ퓲쪵볊짏ꎺ PE=1r ꎨꎩ 틲듋ꎬ쫐펯싊쪵볊짏뗈폚좨틦춶헟뫏틢놨돪싊뗄떹쫽ꆣ늻춬럧쿕욫뫃뗄춶헟ꎬ웤뛔쫐펯싊뗄뾴램쫇늻춬뗄ꆣ럧쿕욫뫃탍춶헟ꎬ뿉쓜믡욫뫃룟쫐펯싊뗄막욱ꎻ럧쿕맦뇜탍춶헟ꎬ퓲믡맦뇜룟쫐펯싊막욱ꎬ톡퓱뗍쫐펯싊막욱ꆣ 룹뻝Gordon컈뚨퓶뎤쒣탍ꎺ DP=1 ꎨꎩ r-g 21
붫D1=EPS1×(1−b)듺죫ꎨꎩ쪽뿉뗃ꎺ P1−b= ꎨꎩ EPS1r−g웤훐ꎺD1뇭쪾막욱튻쓪뫳믱뗃뗄막샻ꎻ b뇭쪾릫쮾쎿쓪뗄펯폠쇴듦뇈샽ꆣ 듓ꎨꎩ쪽뿉틔뾴돶ꎬ돽쇋랴펳럧쿕돌뛈ꎬ쫐펯싊뮹랴펳막욱뗄캴살뿉쓜돉뎤탔ꆣ돉뎤탔뫃뗄릫쮾웤캴살쫕틦룟ꎬ쫐펯싊튲믡쿠뛔듳폚돉뎤탔뗍뗄막욱ꆣ 쫐펯싊횸뇪틲캪웤폃떽뗄쫽뻝짙——횻탨튪릫쮾쪵쪱막볛뫍쎿막펯폠ꎬ쪹폃웰살랽뇣ꎬ쯹틔놻맣랺뗘펦폃폚쪵볊춶쪵볹훐ꎬ쫇뛌쿟춶믺헟톡퓱막욱뗄튻룶훘튪뇪ힼꆣ 떫쫇쫐펯싊랽램폐ퟅ훘튪뗄좱쿝ꎺ뗚튻ꎬ퓚쪹폃쫐펯싊횸뇪쪱ꎬ릫쮾막볛쫇쪵쪱쫽뻝ꎬ뛸쓃살욥엤뗄쫇릫쮾맽좥뗄쎿막펯폠ꎬ헢퇹뗄엤뇈쪵볊짏늢쎻폐첫듳쿖쪵틢틥ꆣ막욱뗄볛횵좡뻶폚릫쮾캴살뗄뒴샻쓜솦ꆣ쯹틔ꎬ쫐뎡짏뎣뎣돶쿖쫐펯싊룟뗄샫웗뗄막욱ꆣ뗚뛾ꎬ쫐펯싊횸뇪훐폃떽뗄쎿막펯폠쫇릫쮾믡볆쫽뻝ꆣ쪵볊쫐뎡훐ꎬ믡볆쫽뻝ꎬ폈웤쫇펯폠쫽뻝뎣뎣믡틲캪릫쮾맜샭헟뗄믡볆닙ퟝ뛸쪧헦ꎬ쎿막펯폠뗄헦쪵탔컞램뗃떽놣횤ꆣ 뗚죽ꎬ퓚쪹폃쫐펯싊횸뇪쪱ꎬ죋쏇쪵볊짏볙짨쫐뎡쫇폐킧뗄ꆣ룹뻝쫐펯싊뚨볛쪵훊쫇룹뻝쫐뎡뚨볛ꎬ쫐펯싊뚨볛뗃떽뗄쪵볊쫇죋쏇풤웚뗄쫐뎡뻹뫢볛룱ꎬ뛸늻쫇막욱뗄쓚퓚볛횵ꆣ틲듋ꎬ쫐펯싊뚨볛랽램죝틗퓬돉쾵춳탔욫닮ꎬ탎돉쾵춳엝쒭ꆣ떱쫐뎡뒦퓚얣쫐럕캧훐쪱ꎬ볙짨쫐뎡짏놾살듦퓚ퟅ튻뗣캢킡뗄엝쒭ꎬ죋쏇룹뻝헢킩캢킡뗄엝쒭룸쿠샠쯆좨틦뚨볛쪱믡룟맀탂뷸뗄좨틦볛횵ꎬ틲듋뫳살뗄좨틦뇈풭살뗄좨틦뚨볛룼볓룟맀ꆣ죧듋톭뮷췹뢴ꎬퟮ훕믡떼훂엝쒭풽살풽듳ꆣ쯹틔ꎬ쫐펯싊횸뇪믡탎돉뚨볛헽랴삡뫍ퟔ컒볓잿ꎬ떼훂뷰죚엝쒭ꆣ컒맺잰벸쓪막욱IPO쪱룟뗄샫웗뗄쫐펯싊ꎬ웤쪵훊뻍쫇죋쏇ퟱ톭쫐펯싊뚨볛뗄뷡맻ꆣ쯹틔ꎬ쫐펯싊뚨볛늻쓜뻀헽쫐뎡뗄헻쳥듭컳ꎬ죝틗탎돉뷰죚엝쒭ꆣ 뗚쯄ꎬ쫐펯싊뚨볛폐ퟅퟔ짭쓚퓚뗄좱쿝ꆣ쫀뷧짏쎻폐솽욬췪좫쿠춬뗄쫷튶ꎬ룼늻믡폐솽룶췪좫쿠춬뗄릫쮾ꆣ벴쪹쫇퓚춬튻룶탐튵ꎬ늻춬릫쮾뗄뺭펪맜샭쓜솦ꆢ닺욷ퟜ쫇듦퓚ퟅ닮틬ꎬ헢킩닮틬ퟮ훕믡떼훂룷룶웳튵ퟟ쿲늻춬뗄쏼퓋ꆣ뺭펪맜샭쓜솦뫃ꆢ죋솦풴럡뢻뗄릫쮾믡늻뛏랢햹ힳ듳ꎻ뛸쓇킩뺭펪맜샭쓜솦닮뗄릫쮾ꎬ죋솦풴믡훰붥쇷쪧ꎬퟮ훕믡퓚쫐뎡뺺헹훐쪧냜ꆣ쯹틔ꎬ떽뗗쿠샠쯆뗄릫쮾쫐펯싊뗄닮뻠쫇뛠짙ꎬ춬튻룶탐튵뗄늻춬릫쮾죧뫎좷뚨쿠뛔쫐펯싊쫇튻룶뫜쓑뻱퓱뗄컊쳢ꆣ 22
헫뛔쫐펯싊붫볛룱뫍릫쮾맽좥쎿막펯폠엤뇈뗄좱쿝ꎬ폐톧헟쳡돶쇋뚯첬쫐펯싊뗄맛뗣ꎬ벴붫릫쮾볛룱뫍릫쮾뗄풤웚캴살펯폠뷸탐엤뇈ꆣ헢훖룄뇤듳듳룄짆쇋쫐펯싊뗄풤닢쓜솦ꎬ믖뢴쇋쫐펯싊뗄늿럖헦쪵몬틥ꎺ춶놨돪싊뗄떹쫽ꎬ퓶잿쇋쫐펯싊횸뇪뗄컼틽솦ꆣ 2ꎩ쫐뺻싊 돽쇋쫐펯싊횸뇪췢ꎬ쫐뺻싊튲쫇튻룶뺭뎣쪹폃뗄횸뇪ꆣ쫐뺻싊횸뗃쫇볛룱/뺻닺ꎬ벴P/BVꆣ 평Gordon컈뚨퓶뎤쒣탍뿉횪ꎺ DP10= ꎨꎩ r−g평폚ꎺD1=EPS0×(1+g)×(1−b)ꎬb캪펯폠쇴듦싊ꎬg캪펯폠퓶뎤싊ꎬROE=EPS/BVꎻ 쯹틔ꎺ PPD1EPS×(1−b)×(1+g)ROE×1−b×1+g0=0×1=0()()= ꎨꎩ BV0D1BVr−gEPSROErg듓ꎨꎩ쪽뿉틔뾴돶ꎬ튻룶웳튵뗄P/BV뇈싊듓룹놾짏살쮵쫇평웤뺻닺쫕틦싊ꆢ풤웚막샻횧뢶싊ꆢ풤웚쫕틦퓶뎤싊뫍럧쿕뗈틲쯘뻶뚨뗄ꆣ뻶뚨P/BV뇈싊ퟮ맘볼뗄틲쯘쫇뺻닺쫕틦싊ꎬ웤룟뗍횱뷓펰쿬떽P/BV뇈싊ꆣ떱뺻닺쫕틦싊뫍P/BV뇈싊늻욥엤쪱춨뎣풤쪾ퟅ릫쮾볛횵놻룟맀믲헟뗍맀ꎬ룟P/BV뇈싊ꆢ뗍뺻닺쫕틦싊뇭쏷웳튵볛횵놻룟맀ꎬ뛸뗍P/BV뇈싊ꆢ룟뺻닺쫕틦싊퓲뇭쏷웳튵볛횵놻뗍맀ꆣ 쫐뺻싊횸뇪쫊폃폚쓇킩닺햼훘튪뗘캻벰듳늿럖닺뫍뢺햮뻟폐쇷뚯탔쳘뗣뗄릫쮾ꎬ죧틸탐ꆢ놣쿕ꆢ횤좯튵뗈ꆣ퓚헢킩탐튵훐ꎬ닺뗄헋쏦볛횵뺭뎣쫇웤쫐뎡볛횵뗄놣쫘맀쯣ꆣ뛔폚튻킩뒫춳닺튵뗄릫쮾ꎬ뇈죧뿳님ꆢ룖쳺뗈릫쮾ꎬ웤컞탎닺뷏짙ꎬ릫쮾볛횵훷튪평릫쮾컯훊닺릹돉ꎬ헢샠릫쮾쪹폃쫐뺻싊횸뇪튲뷏뫃ꆣ쇭췢ꎬ뛔폚믡볆쫕틦캪뢺뗄릫쮾ꎬ닉폃쫐뺻싊횸뇪튲뷏뫃ꆣ뛔폚쓇킩펵폐듳솿컞탎닺뗄룟뿆벼릫쮾ꎬ쫐뺻싊퓲늻쫇튻룶뫜뫃뗄톡퓱ꆣ틲캪룟뿆벼릫쮾훷튪평죋솦풴볛횵릹돉ꎬ헋쏦닺뫜짙ꎬ룹뻝헋쏦닺룹놾컞램움맀릫쮾볛횵ꆣ 쫐뺻싊횸뇪뗄폅뗣쫇컈뚨ꎬ틲캪쎿막헋쏦볛횵뇈쎿막펯폠룼컈뚨ꎬ떱쎿막펯폠맽룟ꆢ맽뗍믲뇤뚯탔뷏듳쪱ꎬP/B뇈P/E룼폐쿖쪵틢틥ꆣ 쫐뺻싊횸뇪뗄좱쿝훷튪폐틔쿂벸뗣ꎺ뗚튻ꎬ헋쏦볛횵믡쫜떽헛뻉랽램뫍웤쯻믡볆 23
헾닟뗄펰쿬ꆣ떱웳튵횮볤닉폃늻춬뗄믡볆헾닟쪱ꎬ붫쓑틔쪹폃P/BV뇈싊뛔늻춬뗄웳튵뷸탐뇈뷏ꆣ춬퇹ꎬ떱늻춬맺볒닉폃뗄믡볆훆뛈믲ힼ퓲듦퓚훘듳닮틬쪱ꎬ샻폃P/BV뇈싊뷸탐뿧맺볤뗄웳튵볛횵움맀붫쪧좥틢틥ꎻ뗚뛾ꎬ죧맻웳튵솬탸뛠쓪뿷쯰ꎬ쓇쎴웳튵좨틦뗄헋쏦볛횵뿉쓜캪뢺ꎬ쿠펦뗘ꎬP/BV뇈싊튲믡뇤캪뢺횵ꎻ뗚죽ꎬ헋쏦볛횵랴펳뗄쫇돵쪼돉놾ꎬ죧맻퓚믱뗃튻쿮닺뫳ꎬ웤펯샻쓜솦쿔훸퓶볓믲붵뗍ꎬ쓇쎴ꎬ웤헋쏦볛횵뻍믡폫쫐뎡볛횵닺짺쿔훸닮틬ꎻ뗚쯄ꎬ평폚믡볆볆솿뗄뻖쿞ꎬ튻킩뛔웳튵뗄짺닺뺭펪살쮵럇뎣훘튪뗄닺쎻폐좷죏죫헋ꎬ뇈죧쮵짌폾ꆢ죋솦풴뗈ꆣ 3ꎩ쫐쿺싊 돽쇋쫐펯싊(P/E)뫍쫐뺻싊(P/B)횸뇪췢ꎬ뷼벸쓪쫐쿺싊(P/S)횸뇪튲놻럖컶쪦듳솿쪹폃ꆣ 쫐쿺싊횸뗄쫇막욱볛룱뫍릫쮾쎿쓪쿺쫛뛮뗄뇈횵ꆣ헢룶횸뇪뗄폅뗣쫇ꎺ쫗쿈ꎬ쯼늻쿱PE뫍P/BV쓇퇹뿉쓜믡쫇뢺횵뛸뇤뗃뫁컞틢틥ꎬP/S퓚죎뫎쟩뿶쿂뚼뿉틔쪹폃ꎬ짵훁뛔폚ퟮ삧쓑뗄릫쮾튲뿉쪹폃ꎻ웤듎ꎬ폫샻죳뫍헋쏦볛횵늻춬ꎬ쿺쫛쫕죫늻쫜헛뻉ꆢ듦믵뗈믡볆헾닟뗄펰쿬ꎬ틲뛸튲쓑틔놻죋캪뿘훆ꎻ퓙듎ꎬP/S늢늻쿱P/E쓇퇹틗뇤ꆣ틲듋ꎬ폃P/S뷸탐볛횵움맀룼캪뿉뾿ꆣ샽죧ꎬ뛔폚튻볒훜웚탔릫쮾ꎬ웤P/E횵뇤뮯튪뇈P/S뇤뮯욵랱뗃뛠ꎬ헢쫇틲캪샻죳뇈쿺쫛쫕죫뛔뺭볃ힴ뿶룼캪쏴룐ꎻퟮ뫳ꎬ퓚볬퇩릫쮾뚨볛헾닟뫍웤쯻튻킩햽싔뻶닟뗄뇤뮯쯹듸살뗄펰쿬랽쏦ꎬP/S쫇튻룶쪮럖뇣샻뗄릤뻟ꆣ 떱좻ꎬ닉폃P/S뇈싊튲폐킩뇗뛋ꆣ폃쿺쫛쫕죫살듺쳦헋쏦횵믲샻죳뗄뫃뒦쫇쯼뗄컈뚨탔ꆣ떫쫇ꎬ떱릫쮾뗄돉놾뿘훆돶쿖컊쳢쪱ꎬ쿺쫛뛮횸뇪뻍쪧좥쇋믹놾뗄뺭볃톧틢틥ꆣ퓚헢훖쟩뿶쿂ꎬ뺡맜릫쮾샻죳뫍헋쏦볛횵듳럹쿂붵ꎬ떫쫇쿺쫛쫕죫뿉쓜늻믡쿔훸쿂붵ꆣ틲듋ꎬ떥뒿뗄P/S뇈싊컞램본뇰룷룶릫쮾뗄맜샭쓜솦닮틬ꆣ 4ꎩ쿠뛔볛횵횸뇪뗄폅쫆뫍좱쿝 쿠뛔볛횵횸뇪퓚쪵볊춶믺쪵볹훐놻듳솿쪹폃ꎬ훷튪폐틔쿂솽뗣풭틲ꎺ ꎨ1ꎩ헢훖틔돋쫽뫍뿉뇈릫쮾캪믹뒡뗄맀볛랽램ꎬ폫쓚퓚볛횵램쿠뇈ꎬ탨튪췚뻲뗄탅쾢룼짙ꎬ쯙뛈룼뿬ꎬ룼쫊뫏폚뛌쿟춶믺탨튪톸쯙ퟷ돶뻶닟뗄쳘뗣ꎻ ꎨ2ꎩ폫쓚퓚볛횵램쿠뇈ꎬ쿠뛔볛횵램룼볓죝틗놻샭뷢뫍햹쪾룸춶헟ꎻ 쿠뛔볛횵횸뇪맀횵뗄좱뗣쫇쫇붫듭ퟛ뢴퓓뗄좨틦볛횵컊쳢볲떥뮯캪튻룶뇈싊ꎬ쫇튻훖쿠뛔뺲첬뗄쮼캬랽쪽ꎬ듦퓚ퟅ솽룶룹놾탔뗄쇓쫆ꆣ ꎨ1ꎩ룷돋쫽랴펳쇋쫐뎡뛔폚쒳샠닺뗄욫뫃ꎬ떫쫇ꎬ헢튻쫂쪵튲틢캶ퟅ떱쫐뎡헽퓚룟맀뿉뇈릫쮾쪱ꎬ퓋폃쿠뛔볛횵램맀볆닺볛횵믡떼훂쒿뇪닺놻룟맀ꎻ믲헟떱 24
쫐뎡헽퓚뗍맀뿉뇈릫쮾쪱ꎬ쒿뇪릫쮾볛횵튲믡놻뗍맀ꆣ퓋폃쿠뛔볛횵횸뇪램죝틗틽웰쾵춳탔뗄닺엝쒭믲뗍맀ꆣ ꎨ2ꎩ쿠뛔볛횵램좱랦춳튻뗄샭싛믹뒡뫍쪹폃맦퓲ꎬ헢훖좱쿝쪹뗃럖컶쪦캪쇋듯떽ퟔ벺뗄쒿뗄뛸폐톡퓱탔뗘쪹폃튻킩횸뇪ꎻ짵훁폚쒳킩뇰폐폃탄뗄럖컶쪦벸뫵쓜릻놣횤죎뫎튻훖볛횵뚼쓜릻춨맽쿠뛔볛횵램뗃떽싛횤ꆣ 킡뷡 ퟛ짏쯹쫶ꎬ쫐뎡볛횵램죏캪막욱뗄쓚퓚볛횵쫇듎튪뗄ꎬ막욱뗄뻹뫢볛룱닅쫇훘튪뗄ꎬ막욱뗄뚨볛컊쳢맘볼쫇튪헒돶막욱뗄뻹뫢볛룱ꆣ쿠뛔볛횵맀횵램훷튪쫇쪹폃쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊뗈횸뇪떥뛀믲헟튻웰맀쯣막욱볛횵ꆣ쿠뛔볛횵횸뇪램뗄좱쿝쫇쎻폐춳튻뗄샭싛믹뒡ꎻ춬쪱횸뇪횵폐훍뫳탔ꎬ뫜쓑뛈솿쓇킩뒦퓚뺭펪헛웚ꆢ닺튵훜웚탔맕뗣뗄릫쮾볛횵ꆣ뛸쟒ꎬ쿠뛔볛횵횸뇪램죝틗탎돉맀횵ퟔ컒잿뮯ꎬ닺짺닺엝쒭ꆣ틲듋ꎬ뛔폚쓇킩ힷ쟳볛횵뗄죋살쮵ꎬ쿠뛔볛횵횸뇪쫇쎻폐죎뫎틢틥뗄ꆣ 쓚퓚볛횵램죏캪막욱듦퓚쓚몭볛횵ꎬ죋쏇뿉틔춨맽믡볆쫽뻝믲헟믹놾쏦럖컶뗈랽램볆쯣돶막욱뗄쓚퓚볛횵ꆣ쓚퓚볛횵램훐ꎬ냼몬뫬샻쳹쿖쒣탍DDFꆢ쿖뷰쇷쳹쿖쒣탍DCFꆢ펯폠놾뮯쒣탍ECMꆣ뫬샻쳹쿖쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍뚼쫇믹폚캴살뗄좨틦맀횵랽램ꎬ뚼쫇춨맽풤닢릫쮾캴살뗄막샻믲헟쿖뷰쇷살맀쯣릫쮾뗄볛횵ꆣ헢훖랽램퓚쪵볊쪹폃쪱탨튪뛔릫쮾캴살뗄막샻믲헟쿖뷰쇷ퟷ돶쒳훖뇣폚볆쯣뗄볙짨ꎻ평폚늻좷뚨탔뗄듦퓚ꎬ죋캪뗄막샻믲헟쿖뷰쇷볙짨뎣뎣췑샫쪵볊ꆣ틲듋ꎬ뫬샻쳹쿖쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍쫜ퟅ캴살쫽뻝풤닢컳닮뗄삧죅ꆣ춬쪱ꎬ헢솽훖맀횵쒣탍훐뚼듦퓚ퟅ컞쟮쟳뫍뗄탎쪽ꎬ쪵볊볆쯣쪱탨튪퇐뺿헟ퟷ돶훕횵볙짨ꎻ평듋듸살쇋듳솿뗄볆쯣컳닮ꆣ펯폠놾뮯쒣탍쯤좻볲떥ꎬ떫쫇쪹폃뗄횸뇪쫇틗폚닙ퟝꆢ쟒늨뚯럹뛈뫜듳뗄쎿막펯폠ꎻ맀횵컈뚨탔닮ꎬ죝틗쫜떽벫뛋횵뗄펰쿬ꆣ틔짏죽훖맀횵쒣탍뚼폐ퟅퟔ벺쳘폐뗄맀횵좱쿝ꎬ퓚쪵볊쪹폃훐쫜떽뫜듳뗄훆풼ꎻ첽쯷탂뗄좨틦맀횵랽램쫇좨틦맀횵퇐뺿뗄튻룶붹뗣컊쳢ꆣ 맅뗤쪣폠쫕틦쒣탍뗄웰풴뫍랢햹 쪣폠쫕틦쒣탍쫇믡볆톧볒퓚컼좡쇋뒫춳맀횵쒣탍뗄좱쿝뫳ꎬ쳡돶뗄샻폃믡볆쫽뻝맀쯣막욱볛횵뗄믡볆맀횵쒣탍ꆣ룹뻝뇭쿖탎쪽늻춬ꎬ쪣폠쫕틦쒣탍뿉틔럖캪맅뗤쒣탍뫍쿖듺쒣탍ꆣ맅뗤쒣탍뗄뇭쿖탎쪽뫍뒫춳뗄뫬샻쳹쿖쒣탍럇뎣쿠쯆ꎬ횻쫇붫뫬샻쳹쿖쒣탍훐뗄막샻뮻돉쇋튻쾵쇐뗄믡볆횸뇪ꎻ쿖듺쒣탍퓲췪좫퇯웺쇋뒫춳맀횵쒣탍뗄뇭쿖 25
탎쪽ꎬ횱뷓샻폃믡볆쫽뻝닉폃볲떥뗄폐쿞쿮뫍탎쪽맀쯣막욱볛횵ꆣ맅뗤쒣탍떮짺폚20쫀볍90쓪듺퓧웚ꎬ쿖듺쪣폠쫕틦쒣탍떮짺폚1995쓪Ohlson뗄싛컄ꎺꆶ막좨맀횵훐뗄펯폠ꆢ뺻닺뫍막샻ꆷꆣ놾뷚훷튪탰쫶쪣폠쫕틦쮼쿫뗄웰풴ꆢ랢햹맽돌틔벰맅뗤쪣폠쫕틦쒣탍뗄훷튪쓚죝ꎻ쿂튻뷚뷩짜쿖듺쪣폠쫕틦뗄훷튪쓚죝ꆣ 쪣폠쫕틦뗄쮼쿫퓧퓚19쫀볍쒩웚뻍틑뺭퓚뺭볃톧뷧듦퓚ꆣ듓쪣폠쫕틦뗄뇭듯쪽훐뿉틔뾴돶ꎬ쪣폠쫕틦쪵볊뫍뺭볃톧훐뗄뺭볃샻죳룅쓮쫇튻훂뗄ꆣ퓚1890쓪십킪뛻뗄뻞훸ꆶ뺭볃톧ꆷ훐ꎬ십킪뛻쳡돶쇋뺭볃샻죳뗄쮼쿫ꆣ뺭볃샻죳횸뗄쫇뿛돽쯹폐헟ퟔ벺뗄뫏샭믘놨틔뫳웳튵쯹펵폐뗄샻죳ꆣ쪣폠쫕틦룅쓮뫍뺭볃샻죳뗄룅쓮놾훊짏쫇튻훂뗄ꆣ쯹틔ꎬ쪣폠쫕틦늢늻쫇튻룶탂뚫컷ꎬ쪵훊쫇뺭볃쮼쿫퓚믡볆쇬폲뗄튻룶뒴탂뫍랢햹ꆣ Bernardꎨ1995ꎩ퓚움싛Ohlson뫍Feltham뗄퇐뺿쪱쳡떽ꎬ쏀맺맺쓚쫕죫쫰(IRS)퓚1920쓪퓸폃샠쯆폚쪣폠쫕틦뗄랽램살움맀뷻뻆쇮뛔쓰뻆뎧볛횵뗄펰쿬ꎬ횻늻맽떱쪱뗄랽램뇈뷏듖싔ꆣSloanꎨ1928ꎩ퓚ퟔ벺뗄믘틤슼훐튲쫶벰춨폃웻뎵퓧퓚20쫀볍뛾쪮쓪듺뻍틑닉폃쇋쿖퓚쯹쮵뗄쪣폠쫕틦움볛랽램ꆣ듓틔짏컄쿗뾴돶ꎬ쪣폠쫕틦뗄쮼쿫떮짺뷏퓧ꆣ 듓믡볆톧퇐뺿뫍맀횵톧퇐뺿살뾴ꎬퟮ퓧붫쪣폠쫕틦쮼쿫틽죫떽믡볆톧뫍좨틦맀횵퇐뺿훐살뗄톧헟쫇PreinreichꆣPreinreich(1938)붫놾볛횵뇭쫶캪믡볆헋쏦볛횵볓짏뎬뛮샻죳(excess profit)뗄쿖횵ꎻ뎬뛮샻죳놻뚨틥캪떥캻놾믱뗃뗄샻죳복좥떥캻놾튪쟳뗄샻쾢ꆣPreinreich퓚웤룼퓧뗄튻욪싛컄훐튲뇭쫶맽춬퇹뗄쮼쿫ꎬ죏캪웕춨막뗄쫐뎡볛횵폫믡볆쫽뻝횮볤듦퓚춬퇹뗄맘쾵ꆣPreinreich퓚ퟔ벺뗄싛컄훐늢쎻폐쏷좷뗘쳡돶Residual Income헢룶쏻듊ꎻPreinreich폃뗄쏻듊쫇Excess Profitꆣ Preinreich붫쪣폠쫕틦맀횵쮼쿫틽죫떽믡볆톧퇐뺿훐살틔뫳ꎬHicks(1925)춨맽뺭볃쫕틦(Economic Income)샭싛싛횤쇋쪣폠쫕틦쮼쿫퓚놾맀횵훐뗄ퟷ폃ꆣHicks붫쪣폠쫕틦뚨틥캪믡볆쫕틦뫍뺭볃쫕틦횮닮ꆣHicks죏캪ꎬ퓚뻹뫢쫐뎡훐ꎬ놾웚뺭볃쫕틦뗈폚웚돵릫쮾볛횵돋틔컞럧쿕샻싊ꎬ뺭볃쫕틦폫막샻헾닟컞맘ꆣ뺭볃쫕틦뿉틔뇭쪾캪ꎺ Y=kV−=C−D ꎨꎩ tt1tt웤훐ꎺk캪컞럧쿕샻싊ꎻ Vt−1캪릫쮾웚돵볛횵ꎬ뿉폃캴살뺻쿖뷰쇷솿뗄쿖횵뇭쪾ꎻ C캪놾웚뺻쿖뷰쇷솿ꎻ t 26
D캪놾웚뺭볃헛뻉ꆣ t퓚뺭볃쫕틦뗄뿲볜쓚ꎬ뺭볃헛뻉놻뚨틥캪뺭볃볛횵뗄복쯰ꎬ벴t웚뗄뺭볃헛뻉펦캪웚돵폫웚쒩뺭볃볛횵횮닮ꆣ맊ꎨꎩ쪽뿉틔뇭쪾캪ꎺ Y=kV−1=C−D=C−(V−1V) ꎨꎩ ttttttt폃A뇭쪾릫쮾뗄믡볆헋쏦볛횵ꎬ볙짨릫쮾뗄믡볆헋쏦볛횵뗈폚릫쮾좨틦뗄뺭볃볛횵ꎬ퓲ꎨꎩ쪽뿉틔뇭쪾캪ꎺ Y=kA−1=C−D=C−(A ꎨꎩ tttt−1A)ttt퓚늻좷뚨쳵볾쿂ꎬ죧맻붫믡볆펯폠폫뺭볃쫕틦횮닮뚨틥캪쪣폠쫕틦ꎬ퓲폐ꎺ xa=C−D−kA−=C+A−A−−kAtttt1ttt1t−1 ꎨꎩ 붫쪣폠쫕틦헛쿖쟳뫍뿉뗃ꎺ ∞∑{Ct++A+−(1+k)A+−1(1+k)ttt}t=1∞C=∑t+ttꎭA ꎨꎩ tt=1(1+k)=NPVtꎨꎩ쪽뗄췆떼맽돌뷨폃쇋뺭볃쫕틦뫍뺭볃헛뻉뗄룅쓮ꎬ평폚쿖쪵짺믮훐뺭볃쫕틦컞램ힼ좷뫢솿ꎬ뺭볃헛뻉튲늻뿉쓜뗃떽ꎬ틲듋늢늻뻟폐튻냣탔ꆣHicks뗄샭싛췆떼쪹뗃쪣폠쫕틦맀횵뗄쮼쿫룼잰뷸쇋튻늽ꆣ쿠뛔폚뫳살뗄쪣폠쫕틦맀횵샭싛살쮵ꎬHicks릫쪽뗄늻ퟣ횮뒦쫇쎻폐틽죫믡볆뇤솿ꎬ뛸쫇좫늿쪹폃뗄쿖뷰쇷뇤솿ꆣ틲듋ꎬ죧뫎춨맽믡볆뇤솿살뛈솿쪣폠쫕틦뫍뷸탐쪣폠쫕틦맀볛쓘ꎿ헢룶쓑쳢놻EdwardsꆢBell춨맽믡볆뮻쮳샻뷢뻶ꆣ EdwardsꆢBellꎨ1961ꎩ춨맽믡볆뺻쪣폠맘쾵볙짨ꎬ못쪵쇋쪣폠쫕틦쒣탍뗄샭싛믹뒡ꆣ평폚컄쿗닩헒뗄맘쾵ꎬ컒쏇늢쎻폐헒떽Edwards뫍Bell뗄풭컄ꎬ떫쫇듓웤쯻컄쿗뛔쯼뗄뷩짜살뾴ꎬEdwards뫍Bell틑뺭럇뎣쏷좷뗘붫릫쮾볛횵뇭쪾돉릫쮾헋쏦볛횵뫍릫쮾캴살쪣폠쫕틦뗄쿖횵뫍ꆣ틅몶뗄쫇ꎬ죋쏇퓚퇐뛁EdwardsꆢBell뗄싛컄쪱ꎬ맘힢뗄붹뗣늢늻쫇EdwardsꆢBell싛컄훐쳡떽뗄좨틦맀볛릫쪽ꎬ뛸쫇EdwardsꆢBell싛컄훐뛔믡볆쫽뻝탅쾢볛횵뗄횤쏷ꆣ쇭췢ꎬ퓚20쫀볍60쓪듺ꎬ놾돉놾뗄뛈솿뗈컊쳢늢쎻폐뷢뻶ꎬEdwardsꆢBell쳡돶뗄쪣폠쫕틦맀횵뿲볜늢늻뇈떱쪱훷쇷뗄뫬샻쳹쿖쒣탍폅풽뛠짙ꆣ 27
쪣폠쫕틦랱쯶뗄볆쯣맽돌쪹뗃죋쏇쎻폐뛔웤랢짺첫듳뗄탋좤ꎬ횱떽Peasnellꎨ1982ꎩ랢뇭컄헂퓙듎폃떽쇋헢룶샭싛ꆣ Peasnell 퓚ퟔ벺뗄컄헂훐뾪ퟚ쏷틥뗘쳡돶쯻뗄퇐뺿횤쏷쇋샻폃믡볆쫽뻝뿉틔췆떼돶릫쮾뗄뺭볃볛횵뫍뺭볃쫕틦ꎬ랴늵쇋죏캪믡볆펯폠늻뻟폐뺭볃몬틥ꆢ늻쓜평믡볆펯폠떼돶릫쮾볛횵뗄뒫춳맛뗣ꆣ죋쏇튻냣뷓쫜닉폃뺭볃헛뻉랽램볆쯣뗄믡볆쫕틦쇷뗄쿖횵뗈볛폚쿖뷰쇷쿖횵뗄맛뗣ꎬ떫쯻쏇뿉쓜뚼쎻폐죏쪶떽짏쫶랽램횻쫇튻룶쳘샽ꆣ쪵볊짏ꎬ컞싛닉폃쪲쎴헛뻉랽램ꎬ믡볆쫕틦쇷뗄헛쿖횵폫쿖뷰쇷뗄헛쿖횵퓚쫽솿짏뚼쫇쿠뗈뗄ꆣ Peasnell죏캪쯻뗄쒣탍뻟폐맣랺뗄쫊폃탔ꎬ맀볛뗄뛔쿳뿉틔쫇튻룶릫쮾ꎬ튲뿉틔쫇튻룶뿉틔쟥돾뇦쪶뗄쿮쒿ꎬ믲쒳룶뻟폐볛횵퓶솿킧맻뗄믮뚯ꎬ틲듋ꎬ쯻붫맀볛뛔쿳랺돆캪닺ꆣ Peasnell듓뒫춳뗄탂맅뗤훷틥뗄닺맀볛랽램돶랢ꎬ붫닺뗄뺭볃볛횵뇭쪾캪ꎺ ΝV ꎨꎩ 0∑nC+nNRN ttt=1웤훐ꎺ1n=——캪t웚뗄쿖횵쾵쫽ꎻ t(1+i1)(1+i2)......(1+i)t1 nN=——캪웚쒩N뗄쿖횵쾵쫽ꎻ (1+i1)(1+i2)......(1+iN)i캪뾼싇쇋럧쿕쮮욽뗄헛쿖싊ꎬ죧C췪좫좷뚨ꎬ퓲i캪컞럧쿕샻싊ꎻ tttC캪t웚뗄풤웚막샻ꎻ tRN캪웚쒩N쪱뗄볛횵믲쟥쯣쫕죫ꆣ Peasnell듓춶뻶닟뗄뷇뛈평짏쪽룸돶쇋NPV뗄뇭듯쪽ꆣ죧맻짏쪽볆쯣뗄볛횵듳폚뒦훃(뇤싴)볛횵C0ꎬ벴NPV> 0ꎬ춶죋믡톡퓱돖폐닺ꎬ맊NPV뿉틔뇭쪾캪ꎺ ΝNPV=V0−C∑nC+nR−CttNN ꎨꎩ 0t=1퓚듋믹뒡짏ꎬPeasnell쳡돶쇋뺻쪣폠맘쾵ꎺ P=C+(A−A t−1) ꎨꎩ ttt 28
웤훐ꎺP캪t웚믡볆펯폠ꎻ tC캪t웚뺻막샻ꎻ tAꆢAtt−1럖뇰캪t웚웚돵뫍웚쒩릫쮾헋쏦볛횵ꆣ 붫믡볆뺻쪣폠맘쾵뇤뮻뿉틔뗃떽C=P+A−−Aꎬ붫듋쪽듺죫NPV쪽뿉뗃ꎺ ttt1tΝNPV∑n(P−iA)() ꎨ−1+ΕΝ−Ε018ꎩ t=1웤훐ꎺΕΝ=nN(RN−AN) Ε0=C0−A0 ΕΝ−Ε0돆ퟷ컳닮쿮ꆣ듓뇭듯쪽뿉볻ꎬ컳닮쿮쫇평웰뗣뫍훕뗣솽룶쪱뗣짏뗄믡볆볆솿컳닮퓬돉뗄ꎻ컳닮쿮웰떽쇋튻훖“죻ퟓ”(plug)뗄ퟷ폃ꎬ쯤좻룃쿮늢늻쫇쏅짨볆살캬돖헢훖맘쾵뗄ꎬ떫쫇죧맻좱짙쇋헢룶컳닮쿮ꎬ믡볆쫽뻝폫뺭볃볛횵횮볤뗄맘쾵뻍늻쓜돉솢ꆣ튲뻍쫇쮵ꎬ컳닮쿮웰떽쇋놣횤NPV쪽튻냣뮯뗄ퟷ폃ꆣ틲캪ꎬ죋쏇퓧뻍횪뗀ꎬ퓚닉폃“뺭볃볛횵”뛔닺뷸탐믡볆볆솿(쿠펦뗄헛뻉랽램퓲뇘좻쫇“뺭볃헛뻉”)뗄쳵볾쿂믱뗃뗄쫕틦쫽뻝뿉틔늻뺭뗷헻벴뿉춨맽헛쿖뗃떽쯹캽“샭싛짏헽좷뗄볛횵”(벴“뺭볃볛횵”)ꎬ폫헛쿖쿖뷰쇷솿뗈볛ꆣ떫듓틔짏뗄췆떼맽돌뿉볻ꎬNPV쪽뗄돉솢늢늻탨튪헢킩볙짨쳵볾ꎬ틲듋ꎬ뿉틔쮵컳닮쿮쯹랢믓뗄“죻ퟓ”ퟷ폃뻍쫇튻훖뛔믡볆볆솿컳닮뗄탞헽ퟷ폃ꆣ 닉폃뺭볃쫕틦뫍뺭볃헛뻉랽램쪱ꎬ뇘좻폐ꎺRN=ANꎬA0=C0ꎬ듋쪱ΕΝ=Ε0ꎬNPV쪽뇤캪ꎺ ΝNPV∑n(P−iA− ꎨꎩ 1) ttttt=1NPV뇤돉틔뎬뛮쫕틦(Excess Income)캪뇤솿뗄떥쿮몯쫽ꆣ Peasnell(1982)뗄퇐뺿횤쏷쇋믡볆쫽뻝뻟폐뫜뫃뗄릫쮾볛횵볆솿쫴탔ꆣ퓚튻뚨쳵볾쿂ꎬ믡볆쫕틦싊폫뺭볃쫕틦싊뿉틔쿠뮥쳦듺ꎻ믡볆쫽뻝폫뺭볃볛횵횮볤뻟폐쏷좷뗄쫽솿맘쾵ꎬ믡볆풭퓲뫍믡볆돌탲뗄뇤뮯늢늻릹돉닉폃믡볆쫽뻝뷸탐맀볛뗄헏낭ꆣ Peasnell뗄싛컄쪵훊짏틑뺭뇈뷏좫쏦뗘랴펳쇋쪣폠쫕틦맀횵쒣탍뗄뺫짱ꎬ떫쫇 29
Peasnell싛컄뗄돵훔늢늻쫇맀횵컊쳢ꎬ뛸쫇뷢뻶믡볆쫽뻝탅쾢맛뗄샭싛횤쏷컊쳢ꎻ횤쏷믡볆펯폠뫍릫쮾볛횵볤폐쏷좷뗄쫽솿맘쾵ꎻPeasnell뗄뷡싛훐몬폐컳닮쿮ꎬ헢룶쒣탍룼뛠뗄쫇폐샭싛짏뗄틢틥ꎬ퓚쪵볹훐뫜쓑쪹폃ꆣ퓚쿖쪵훐믡볆쫕틦늻뿉쓜뗈폚뺭볃쫕틦ꎬ컳닮쿮쫇컞램쿻돽뗄ꆣ컳닮쿮뗄듦퓚쪹뗃Peasnell뗄쪣폠쫕틦쒣탍컞램횱뷓쪹폃ꆣ첽쯷탂뗄쪣폠쫕틦맀횵쒣탍돉캪뷴튪뗄믡볆퇐뺿뿎쳢횮튻ꆣ믡볆톧볒Ohlson냧퇝쇋헢룶ퟮ훕뗄벯듳돉헟ꆣ 듓20쫀볍80쓪듺뾪쪼ꎬOhlson뻍뾪쪼맘힢믡볆쫽뻝뗄맀횵컊쳢ꆣGarman 뫍Ohlsonꎨ1980ꎩ랢뇭컄헂엺움쇋틔잰뗄맀횵쒣탍맽폚퇏룱뛸늻뺡뫏샭뗄볙짨쳵볾ꎬ늢쟒죏캪틔쫐뎡뻹뫢캪쳵볾뗄놾닺뚨볛쒣탍(CAPM)뛔퇐뺿믡볆쫽뻝폫막볛뗄맘쾵쎻폐쪲쎴훺틦ꆣ퓚헢욪싛컄훐Garman 뫍 Ohlson쳡돶쇋튻냣맀횵퇐뺿펦룃싺ퟣ뗄웟룶쳵볾ꎬ웤훐틔ꆰ럇쳗샻뺭볃볙짨ꆱퟮ캪훘튪(헢튻볙짨폫뫳살뗄Feltham-Ohlson쒣탍폐ퟅ횱뷓뗄솪쾵)ꆣ평ꆰ럇쳗샻뺭볃볙짨ꆱ뿉틔췆떼돶닺뗄볛횵좡뻶폚닺캴살쫕틦뗄뷡싛ꎬ퓚돖탸뺭펪뗄볙짨쳵볾쿂ꎬ좨틦놾뗄볛횵펦평캴살막샻뗄헛쿖횵뻶뚨ꆣ Ohlsonꎨ1990ꎩ럖컶쇋믡볆ꆰ탅쾢맛ꆱ뗄샭싛믹뒡ꎬ죏캪헢훖맛뗣퓚샭싛짏폐뫜듳뻖쿞탔ꆣ튻킩쒣탍틔펯폠ퟷ캪놾뮯뗄뇤솿ꎬ튻킩쒣탍폖틔쿖뷰쇷솿ퟷ캪놾뮯뗄뇤솿ꎬ쪵훊헢킩쒣탍뚼쫇틔펯폠믲쿖뷰쇷솿쳦듺막샻ퟷ캪놾뮯뗄뇤솿ꎻ뮹폐튻킩맀볛쒣탍퓲캴뢳폨막샻죎뫎뷇즫ꆣ뻍틔펯폠캪믹뒡뗄맀횵쒣탍뛸퇔ꎬ헢킩쒣탍퓚뒦샭펯폠폫막샻횮볤뗄맘쾵쪱뎣뎣뺭맽탞쫎ꎬ쪵볊쟩뿶폫횮쿠닮뫜풶ꎻ뮹폐튻킩쒣탍쪹폃튻킩컞램맛달뗄볆솿뇤솿ꎬ죧ꆰ뺭볃쫕틦ꆱ뫍ꆰ폀뻃쫕틦ꆱ살뛈솿좨틦뗄볛횵ꆣ헢킩랽램쪵폃탔럇뎣닮ꆣ틔쿖뷰쇷솿캪믹뒡뗄쒣탍ꎬ쯤좻쫂잰쿖뷰쇷솿뗄놾뮯뛔놾풤쯣폐폃ꎬ떫늻쓜쮵헢쫇맀횵샭싛뗄뫋탄ꎬ풭틲퓚폚춶헟컞램퓚쫂잰맛달캴살뗄쿖뷰쇷솿ꆣOhlson뛏퇔ꎬ퓚샭싛짏폐킧뗄맀횵쒣탍뇘탫붫맀볛뗄솽룶맘볼튪쯘솪쾵웰살ꎬ헢솽룶튪쯘쫇ꎺ1ꆢ막볛평막샻뗄쿖횵뻶뚨ꎻ2ꆢ쯹폐맀볛뚼펦싺ퟣ쪱볤짏뗄솬탸탔틔업돽쳗샻믺믡ꆣ쿖폐뗄맀횵쒣탍뚼늻뻟놸헢튻쳘뗣ꆣ퓚헢욪싛컄훐ꎬOhlson쏷좷쳡돶쇋횻폐믹폚캴살막샻헛쿖뗄믡볆맀횵쒣탍닅쫇뫏샭뗄ꎬ닅뿉틔ퟷ캪뺭퇩퇐뺿뗄믹뒡ꆣ Ohlsonꎨ1991ꎩ틔Ball뫍Brown (1968)뗄싛컄캪샽움싛쇋쫐뎡쫕틦——럇풤웚펯폠퇐뺿뗄좱쿝ꎬ럖컶쇋믡볆펯폠뛔막볛뗄뺭볃몬틥ꆣOhlson듓뫬샻쳹쿖쒣탍돶랢ꎬ퓋폃쾣뿋쮹뺭볃펯폠샭싛——퓚뻹뫢쫐뎡샯뗄놾웚뺭볃펯폠펦뗈폚웚돵릫쮾볛횵돋틔컞럧쿕샻싊——췆떼돶쫐펯싊뗄샭싛뻹뫢횵펦뗈폚컞럧쿕샻싊뗄떹쫽볓1ꆣ틲듋ꎬOhlson죏캪릫쮾맀볛쒣탍펦뾼싇펯폠뗄놾뮯뫍헋쏦볛횵솽룶늿럖ꆣ 뺭맽잰쫶헢킩싛컄뗄워뗦ꎬOhlson훰붥탎돉쇋ퟔ벺뗄맀횵쮼쿫ꎺ퓚좨틦맀횵훐ꎬ 30
펦쏷좷붫믡볆펯폠ꆢ막샻ꆢ뺻닺쓉죫떽맀횵쒣탍훐ꎻ춬쪱ꎬ맀횵쒣탍펦싺ퟣ쪱볤컞쳗샻볙뚨ꆣOhlson뗄쯹폐퇐뺿훘뗣뚼캧죆ퟅ헢룶훐탄햹뾪ꆣ 컷랽샭싛뷧붫Ohlson퓚1994쓪틔잰쳡돶뗄헢킩맀횵쮼쿫춳돆캪EBO쒣탍ꆣEBO쒣탍쪵훊쫇뛔Ohlson솽욪릤ퟷ싛컄ꆶAccounting Earnings, Book Value and Dividends: The Theory of the Clean Surplus EquationꆷꆢꆶEarningsꎬBook Value and Dividends in Security Valuationꆷ뗄ퟜ뷡ꋙꆣ퓚헢솽욪컄헂훐ꎬOhlson쏷좷뗘틽죫쇋EdwardsꆢBellꆢPeasnell뗄믡볆뺻펯폠맘쾵ꎬ붫막욱볛횵뇭쪾돉헋쏦뺻닺뫍쪣폠쫕틦뗄쿖횵뫍탎쪽ꆣ 룹뻝뫬샻쳹쿖뚨샭ꎬ막욱볛횵뿉틔뇭쪾돉ꎺ ∞P=∑R−tE[d]tft+ ꎨꎩ tt=1틽죫믡볆뺻펯폠맘쾵ꎬ벴릫쮾뗄뺻닺뇤뮯뗈폚펯폠복좥막샻ꎺ bv=bvtt−1+x−dtt ꎨꎩ 웤훐ꎺbv캪t쪱뗄릫쮾좨틦놾헋쏦횵ꎻx캪t웚뗄펯폠ꎻd캪t웚뗄막샻ꎻ ttt붫짏쫶믡볆뺻펯폠맘쾵듺죫뫬샻쳹쿖쒣탍뿉틔뗃떽ꎺ ∞P=+∑−tExabvR ꎨꎩ ttft+tt=1헢뻍쫇튻룶췪헻뗄맅뗤쪣폠쫕틦쒣탍ꆣ Ohlson쳡돶쇋맅뗤쪣폠쫕틦쒣탍뫳ꎬ뫜뛠톧헟뛔웤ퟷ돶쇋룷훖룄뇤틔랽뇣펦폃ꆣBernard(1994)붫쪣폠쫕틦뇤돉뻟쳥뗄믡볆뇈싊뗄탎쪽ꆣ 짨릫쮾뗄뺻닺쫕틦싊캪ROEꎬROE=xbvꆣ퓲쪣폠쫕틦뗈폚ꎺ xa=x−r×bv=ROE×bv−r×bv=(ROE−r)×bv ꎨꎩ 쯹틔ꎬ∞P=+∑−tbvRE(ROE+−r)×bvttftt+ ꎨꎩ t=1헢퇹ꎬ죋쏇횻탨튪춨맽캴살뗄뺻닺쫕틦싊ꆢ뺻닺횵뗈믡볆쫽뻝뻍뿉틔볆쯣돶막욱볛횵ꆣ헢룶탎쪽놻뫜뛠쪵횤헟쯹닉폃ꆣ샭싛뷧붫헢룶춨맽좨틦닺쫕틦싊ꆢ뺻 ꋙ 헢솽욪컄헂쫇Ohlson1995쓪컄헂뗄믹뒡ꆣ웤쮼쿫퓚Ohlson(1995)뗄컄헂틑뺭췪좫쳥쿖돶살ꆣ컒쏇쫇듓샭싛췪놸탔뗄뷇뛈틽죫헢솽욪컄헂ꆣ듓쪹폃뗄뷇뛈살쮵ꎬ헆컕Ohlson(1995)뗄컄헂뻍ퟣ릻쇋ꆣ 31
닺횵볆쯣막욱볛횵뗄쒣탍튲돆캪EBO쒣탍ꆣ EBO쒣탍뗄쳡램ퟮ돵돶쿖폚Bernard(1994)뗄릤ퟷ싛컄ꋙꆣ퓚헢욪컄헂훐ꎬBernard뛔뷼벸쓪뗄믡볆맀횵퇐뺿ퟶ쇋튻룶ퟜ뷡ꎬ붫EdwardsꆢBell뫍Ohlson퓚1994쓪틔잰컄헂훐쳡돶뗄맀횵쒣탍춳돆캪EBO쒣탍ꆣBernard죏캪ꎬ믡볆맀횵쒣탍뿉틔닉폃쪣폠쫕틦뗄룅쓮ꎬ벴막욱볛횵뗈폚릫쮾헋쏦뺻닺볓짏쪣폠쫕틦뗄쿖횵뫍ꎻ뛸헢룶쒣탍샺뺭쇋PreinreichꆢEdwards뫍BellꆢPeasnellꎬ퓙떽Ohlsonꎬ웤훐틔EdwardsꆢBell뫍Ohlson뗄릱쿗ퟮ듳ꎬ틲듋돆캪EBO쒣탍ꆣ놾컄붫EBO쒣탍돆캪맅뗤쪣폠쫕틦쒣탍ꆣ쯹캽맅뗤쪣폠쫕틦쒣탍ꎬ쫇횸헢킩퓧웚뗄쪣폠쫕틦쒣탍퇐뺿헟ꎬ볡돖쫐뎡폐킧뗄맛뗣ꎬ럮탐쪱볤컞쳗샻볙뚨ꆣ Ohlson쳡돶뗄맅뗤쪣폠쫕틦쒣탍쿠뛔폚Peasnellꎨ1982ꎩ뗄싛쫶폐튻룶뫜듳뗄룄뷸ꎺOhlson뗄돶랢뗣쫇막욱볛횵볆쯣컊쳢ꎬ횱뷓듓뫬샻쳹쿖쒣탍돶랢ꎬ췆떼돶쪣폠쫕틦맀횵쒣탍뗄뇭듯탎쪽ꎻ헢뫍PensnellꆢPreinreich뗄퇐뺿폐뫜듳늻춬ꎻPeasnell뗈뗄퇐뺿횱뷓춨맽볙짨짨뚨릫쮾볛횵뗈폚뺻닺볓짏캴살뗄쫕틦쿖횵ꎬ웤샭싛믹뒡잷좱ꆣ뛸Ohlson춨맽뫬샻쳹쿖쒣탍ꎬ쪹뗃쪣폠쫕틦퓚싟벭짏ꆢ샭싛짏뚼뗃떽쇋펡횤ꆣ쇭췢ꎬPeasnell뗄퇐뺿훐쪼훕듦퓚ퟅ튻룶컞램뫢솿뗄컳닮쿮ꎬ웤쪵폃탔뫜뗍ꎻ뛸퓚Ohlson뗄퇐뺿훐ꎬ컳닮쿮놻컞쿞쿮뗄쪣폠쫕틦쟳뫍쯹좡듺ꎬ듓뛸쪹뗃쿂튻늽뗄샭싛랢햹돉캪뿉쓜ꆣ뿉틔쮵ꎬOhlson뗄쪵훊릱쿗퓚폚룸쪣폠쫕틦쒣탍헒떽쇋샭싛믹뒡ꆣ 쿖듺쪣폠쫕틦쒣탍ꎺOhlsonꎨ1995ꎩꆢFelthamꎭOhlsonꎨ1995/1996ꎩ쒣탍 쿖듺쪣폠쫕틦쒣탍쫇Ohlson퓚1995쓪틔뫳쳡돶뗄룷훖쪣폠쫕틦쒣탍뗄ퟜ돆ꆣ1995쓪ꎬOhlson퓚싛컄훐쳡돶쇋튻룶훘듳뗄믡볆볙짨ꎬ쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙짨ꎨLinear Information Dynamics--LIDꎩꎬ벴믡볆쪣폠쫕틦ퟱ톭AR1맽돌ꆣ춨맽헢룶쿟탔탅쾢뚯첬뮯볙뚨ꎬOhlson붫맅뗤쪣폠쫕틦쒣탍훐뗄컞쟮쿮쟳뫍뇤캪쇋폐쿞쿮믡볆쫽뻝뗄쿖횵뫍ꎬ쪹뗃쪣폠쫕틦쒣탍뗄쪹폃놻듳듳볲뮯ꆣ컒쏇붫헢킩냼몬쿟탔탅쾢뚯첬뮯볙짨뗄쪣폠쫕틦쒣탍뷐쿖듺쪣폠쫕틦쒣탍ꆣ 쿟탔탅쾢뚯첬뮯쫇쿖듺쪣폠쫕틦쒣탍뗄뫋탄ꆣ캪쇋샭싛퇐뺿뗄랽뇣ꎬOhlson쳡돶쇋벸훖탎쪽늻춬뗄쿟탔탅쾢뚯첬뮯볙뚨ꎬ쿠펦뗄맀횵쒣탍튲폐뫜듳뗄닮뇰ꆣ뇈뷏뗤탍 ꋙ Bernard뗄릤ퟷ싛컄ꆶAccounting-Based Valuation Methods, Determinants of Market-to-Book Ratios, and Implications Feltham-Ohlsonr financial statement analysisꆷ 32
뗄쿖듺쪣폠쫕틦쒣탍폐Ohlson(1995)쒣탍ꆢFeltham-Ohlson(1995)쒣탍ꆢFelthamꎭOhlson(1996)쒣탍ꆣ쿂쏦컒쏇럖뇰햹뾪싛쫶ꆣ Ohlson(1995)쒣탍 1995쓪ꎬOhlson뛔쪣폠쫕틦쒣탍뷸탐쇋탂뗄닻쫍ꎬ쳡돶쇋탂뗄볙짨ꎺ쿟탔탅쾢뚯첬뮯볙짨ꆣ춨맽틽죫탂뗄볙짨ꎬOhlson쳡돶쇋쪣폠쫕틦쒣탍뗄뺭퇩볬퇩랽돌ꎬ붫쪣폠쫕틦쒣탍뗄펦폃췆쿲쇋탂뗄뿕볤ꆣ Ohlson쳡돶쇋죽룶볙짨ꎨ웤훐잰솽룶볙짨쫇틔잰틑뺭쳡돶맽뗄ꎩꎺ 뗚튻ꎬ풤웚막샻뗄쿖횵뻶뚨막욱볛횵ꆣ헢튻볙짨돉캪Ohlson쒣탍췆떼뗄웰뗣ꆣ헽쫇평폚듋튻볙짨ꎬOhlson죏캪ퟔ벺뗄퇐뺿뮹쫇퓚탂맅뗤훷틥뗄뿲볜횮쓚ꆣ 뗚뛾ꎬ믡볆쫽뻝ퟱ쫘뺻쪣폠맘쾵(Clean Surplus Relation---CSR)ꆣ헢튻볙짨죏캪좨틦헋쏦횵뗄뇤뮯뗈폚펯폠복좥막샻ꆣ헢틢캶ퟅ돽폫막뚫뗄붻틗췢ꎬ쯹폐닺폫뢺햮뗄뇤뮯뚼붫춨맽쯰틦뇭랴펳돶살ꆣ뮻퇔횮ꎬ믡볆펯폠냼삨쇋돽막샻뫍뷉죫놾(뿉쫓캪뢺막샻)횮췢뗄웕춨막좨틦뗄쯹폐뇤뮯ꆣOhlson퓚싛컄뗄뢽힢훐뷸튻늽뷢쫍쮵뺡맜헢튻볙짨폫쿖탐릫죏믡볆ힼ퓲폐쯹돥춻(훷튪뇭쿖퓚춶폚뿉돶쫛횤좯짏뗄쯰틦뫍췢뇒헛쯣쯰틦ꎬ헢킩쯰틦뿉횱뷓볆죫막뚫좨틦)ꎬ떫튻냣쳵볾쿂뺻쪣폠맘쾵BV=BVtt−1+X−dtt죔쫇쿖쪵쟩뿶뿉뷓쫜뗄뫏샭뷼쯆ꆣOhlson죏캪ꎬ퓚돤럖엻슶뗄쳵볾쿂ꎬ퇐뺿죋풱뿉틔붫폫뺻쪣폠맘쾵돥춻뗄쿮쒿뾼싇뷸살훘탂릹퓬믡볆펯폠ꆣ 뗚죽ꎬ뎬뛮펯폠(Abnormal Earningꎬ폐쪱튲돆ퟷResidual Incomeꎬ쪣폠쫕틦)뗄쯦믺탲쇐맽돌ퟱ톭쿟탔맘쾵ꆣ헢튻볙짨뗄쳡돶퓚떱웚탅쾢(냼삨웤쯻탅쾢)폫캴살뎬뛮펯폠횮볤붨솢쇋솪쾵ꎬꆰ틔놣횤붫쯹폐폫볛횵폐맘뗄쫂쿮뚼컼쫕떽떱웚벰틔뫳룷웚뗄펯폠폫뺻닺헋쏦횵훐ꆱꆣ헢튻볙짨쪵훊짏쫇캪뎬뛮펯폠뗄쪱볤탲쇐탐캪붨쒣ꆣ 평볙짨튻뫍볙짨뛾뿉틔뗃돶ꎺ ∞P=∑R−tE[d]tft+ PVED ꎨꎩ tt=1bv=bvt−1+x−d CSR ꎨꎩ ttt웤훐ꎺP캪t쪱뗄릫쮾샭싛볛룱ꎬ벴좨틦놾볛횵ꎻR=1+rꎬ벴컞럧쿕샻싊볓tf1ꎻbv캪t쪱뗄릫쮾좨틦놾헋쏦횵ꎻx캪t웚뗄펯폠ꎻd캪t웚뗄막샻ꎻE캪t쪱탅tttt쾢쳵볾쿂뗄웚췻쯣ퟓꆣ 33
춬쪱Ohlson볙짨∂bv∂d=−1ꎬ∂x∂d=0ꆣ벴떱웚막샻복짙떱웚뺻닺ꎬ떫쫇tttt늻펰쿬떱웚펯폠ꆣ횻튪CSR돉솢ꎬ헢룶볙뚨ퟜ쓜뗃떽놣횤ꆣꎨꎩ쪽뿉틔뇤탎캪ꎺ d=bv1 tt−−bv+x ꎨꎩ tt붫ꎨꎩ쪽듺죫ꎨꎩ쪽ꎬ평폚떱t→∞쪱ꎬR−tFE(bvt+t)→0ꎬ맊듋뿉뗃ꎺ ∞P=+∑−tabvREx ꎨꎩ ttft+tt=1웤훐ꎺxa=x−(R−1)bv폠쫕틦ꆣ ttft−뇭쪾뎬뛮펯폠ꎬ믲쪣1ꎨꎩ쪽쟥돾뗘뇭쏷ꎬ튪맀볆릫쮾볛횵뇘탫붫캴살뎬뛮펯폠헛쿖ꆣ뎬뛮펯폠쫇튻룶틔믡볆쫽뻝캪믹뒡뗄뛔릫쮾튵벨뗄뛈솿ꎬ뗈폚떱웚펯폠복좥쪹폃놾뗄럑폃ꎨ웚돵헋쏦횵폫놾돉놾횮믽ꎩꆣOhlson죏캪ꎬꎨꎩ쪽틢캶ퟅ횻탫볙뚨뎬뛮펯폠맽돌벴뿉뗃떽릫쮾뗄볛횵ꎬ좨틦볛횵뫍막욱맽좥막샻뫍캴살웚췻막샻뚼쎻폐맘쾵ꆣ틲듋ꎬꎨꎩ쪽쯤쫇평막샻쿖횵쒣탍캪웰뗣췆떼뛸살ꎬ떫늢캴뛔막샻ퟷ돶죎뫎볙짨ꎬ뛔릫쮾뷸탐맀볛늢늻탨튪뛔캴살막샻뷸탐풤닢뫍맀볆ꆣ뿉볻ꎬ뷨훺뺻쪣폠맘쾵볙짨ꎬ쪣폠쫕틦쿖횵쒣탍죆뾪쇋“막샻횮쏕”ꆣ 볙짨죽뿉틔뇭쪾캪ꎺ xa=a++t+1wxnett1t+1 ꎨꎩ nt+1=gn+et2t+1 ꎨꎩ 웤훐ꎺxa캪뎬뛮펯폠ꎻn캪돽뎬뛮펯폠횮췢뗄웤쯻탅쾢ꎻee캪죅뚯뇤솿ꎬ웤tt1,t2t뻹횵캪0ꎻw,g캪만뚨뎣쫽ꎬ쟒0≤w,g<1ꆣ 볙짨죽뗄쿟탔쪱볤탲쇐뗈쪽놻돆캪쿟탔탅쾢뚯첬뮯(Linear Information Dynamics--LID)볙뚨ꆣ평볙짨죽뿉볻ꎬ0≤w,g<1ꎬxa뫍n뻹럾듓ퟔ믘맩맽돌ꆣ떱w=0tt쪱ꎬ릫쮾뒦폚컞돉뎤뷗뛎ꎻ떱0<w<1쪱ꎬ릫쮾뗄ROE붫훰붥쟷뷼폚릫쮾놾뗄돉놾rꎬ헢폫Beaver (1970)ꆢFreemanꆢOhlson and Penman (1982)틔벰Beaver (1994)뗄퇐뺿뷡맻쫇튻훂뗄ꎬ벴ROE쫇쿲뻹횵믘뢴뗄(Mean-reverting)ꆣ 볙짨죽뮹폐튻뗣럇뎣훘튪ꎬ뻍쫇Ohlson뾼싇쇋ꆰ웤쯼탅쾢ꆱn뛔볛횵뿉쓜닺짺t 34
뗄펰쿬ꆣ듓ꎨꎩ쪽뿉볻ꎬꆰ웤쯼탅쾢ꆱ듦퓚튻룶훍뫳웚ꎬ벴n퓚t+1웚닅랴펳떽t뎬뛮펯폠훐좥ꎬOhlson죏캪헢쫇틲캪믡볆뛔튻킩뛔볛횵닺짺펰쿬뗄쫂쿮뗄볆솿(좷죏)듦퓚ퟅ튻룶쪱훍ꆣꆰ웤쯼탅쾢ꆱ뗄틽죫캪쪣폠쫕틦맀볛샭싛듸살쇋탭뛠탂뗄뿎쳢ꎬ헢퓚쿂쏦뗄럖컶훐컒쏇뿉틔룼쟥돾뗘뾴떽ꆣ춨맽ꎨꎩꆢꎨꎩ쪽ꎬퟮ훕쪣폠쫕틦뗄캴살웚췻횵뿉틔폃쪣폠쫕틦뗄놾웚횵살뇭쪾ꎻ헢퇹ꎬ쪣폠쫕틦맀횵쒣탍뗄컞쟮뫍뻍볲뮯캪볲떥뗄쿖횵뫍탎쪽ꎬ헢캪뺭퇩볬퇩듸살쇋랽뇣ꆣ춨맽튻뚨뗄쫽샭뇤뮯ꎬOhlson룸돶쇋죧쿂뗄뺭퇩볬퇩랽돌ꎺ P=bv+axa+an ꎨꎩ tt1t2t웤훐ꎺa=w(R−w≥ꎬaRRwR01)0=−−g> f2()()fffOhlson쯹췆떼돶뗄맀볛쒣탍늢쎻폐틔Miller-Modigliani뗄막샻컞맘탔뚨샭ퟷ캪볙짨ꎬ웤볙짨쳵볾튲풶쎻폐MM뚨샭뢴퓓뫍퇏룱ꎬ떫평Ohlson뗄볙짨좴뿉틔횱뷓췆떼돶솽룶MM맦퓲ꎬ벴ꎺt쪱뛠횧뢶튻풪막샻ꎬt쪱릫쮾뗄쫐뎡볛횵횻쿠펦복짙튻풪ꎬ뿉맛달뗄막샻뛔릫쮾볛횵늻뻟탅쾢몬솿——막샻컞맘탔ꎻ떱웚막샻폫캴살펯폠뢺쿠맘——막샻쳦듺싛ꆣ헢뇭쏷Ohlson쒣탍췆떼쯹쳡돶뗄볙짨뫏뫵뺭볃톧뗄싟벭ꎬ폐웤뿍맛뫏샭탔ꆣLundholm (1995)뛔듋쏅뷸탐쇋쳖싛ꆣ Ohlson(1995)쒣탍뗄훘듳춻웆쫇쿟탔탅쾢뮯볙뚨ꎬ춨맽쿟탔탅쾢뮯볙뚨ꎬOhlson붫맅뗤쪣폠쫕틦쒣탍훐뗄컞쟮쿮쟳뫍뇭쪾돉쇋볲떥뗄쿖횵뫍ꎬ듓뛸쪹뗃볆솿볬퇩뗈뫳탸퇐뺿돉캪뿉쓜ꆣ쿟탔탅쾢뚯첬뮯볙짨쫇쿖듺쪣폠쫕틦쒣탍뗄뫋탄ꎬOhlson(1995)쒣탍쳡돶뫳ꎬ쪣폠쫕틦쒣탍헦헽뾪쪼ퟟ쿲쪵폃ꎬ돉캪샭싛퇐뺿뗄튻룶죈뗣ꆣ Ohlson(1995)쳡돶뗄쿟탔탅쾢뚯첬뮯LID볙짨놳뫳틾님ퟅ튻룶럇뎣훘튪뗄볙뚨ꎬ벴컞욫믡볆(Unbiased Accounting)볙짨ꆣ퓚헢튻볙짨쳵볾쿂ꎬ욽뻹뎬뛮펯폠뗈폚0ꎬ벴ꎺ 떱at→∞쪱ꎬx→0,n→0,E(P+−bv)0ttttt+→ 헢틢캶ퟅ뺭맽튻뛎쪱볤ꎬ캴죫헋짌폾붫훰붥쟷폚0ꎬ릫쮾뗄헋쏦볛횵폫웤쫐뎡볛횵붫훰붥뇆뷼ꆣOhlson(1995)쪵볊짏쫇붫릫쮾헋쏦볛횵쫓ퟷ뛔릫쮾볛횵뗄ꆰ듖싔볆솿ꆱ믲ꆰ듖싔맀볆ꆱꎬ뛸뎬뛮쫕틦xa뫍웤쯻탅쾢nꎬ퓲놻쫓ퟷ탞헽탅쾢늹돤헋쏦볛횵ꆣ죧tt맻믡볆쾵춳쫇폐욫뗄(샽죧믡볆쾵춳쫇놣쫘뗄)ꎬ쓇쎴욽뻹뎬뛮펯폠뻍늻뿉쓜뗈폚0ꎬ헢퇹ꎬ캴살좨틦놾헋쏦횵뗄퓶뎤뻍돉캪튻룶훘튪뗄늹돤틲쯘ꆣ쿂쏦뗄Feltham-Ohlsonꎨ1995ꎩ쒣탍뾼싇뗄뻍쫇헢훖쟩뿶ꆣ 35
Feltham-Ohlson(1995)쒣탍 Ohlson퓚1995쓪뗄컄헂훐ꎬ볙짨믡볆쫇컞욫뗄ꎬ벴릫쮾뗄헋쏦볛횵붫훰붥쟷춬폚릫퓊볛횵ꆣ쪵볊짏ꎬ쫀뷧짏룷맺쿖탐뗄믡볆ힼ퓲뚼늻쫇컞욫뗄ꎬ컈붡탔쫇믹놾뗄믡볆ힼ퓲횮튻ꆣ캪쇋뷢뻶믡볆컈붡탔떼훂뗄쪣폠쫕틦늻쟷쿲폚쇣뗄컊쳢ꎬFelthamꆢ Ohlson(1995, 1996)뛔풭살뗄쿟탔탅쾢뚯첬뮯LID볙뚨뷸탐쇋탞헽ꎬ퓊탭놾웚헋쏦볛횵쳡릩캴살뎬뛮펯폠뗄탅쾢ꆣ헢퇹ꎬOhlson(1995)쒣탍뻍퇝뇤캪FelthamꎭOhlson(1995)쒣탍ꆣFeltham-Ohlson(1995)쒣탍쫇뛔Ohlson(1995)쒣탍뗄랢햹뫍탞헽ꎬ훷튪쫇뛔Ohlson(1995)쒣탍훐컞욫믡볆ힼ퓲뗄탞헽ꆣ 퓚Feltham-Ohlson(1995)쒣탍훐ꎬFeltham뫍Ohlson붫릫쮾뗄믮뚯쟸럖캪닆컱믮뚯뫍뺭펪믮뚯ꎬ붫릫쮾닺쟸럖캪닆컱닺뫍뺭펪닺ꆣFeltham뫍Ohlson죏캪뛔릫쮾닆컱믮뚯뗄믡볆볆솿쫇컞욫뗄(쫐뎡볛횵뗈폚헋쏦볛횵)ꎬ뛸뛔릫쮾뺭펪믮뚯뗄믡볆볆솿좴쫇폐욫뗄(쫐뎡볛횵늻뗈폚헋쏦볛횵)ꎻ퓚놣쫘뗄믡볆헾닟쿂ꎬ릫쮾펪튵닺쫐뎡볛횵룟폚헋쏦볛횵ꆣ퓚듋믹뒡짏ꎬFeltham뫍Ohlson뗃돶죧쿂뷡싛ꎺ ꎨ1ꎩ릫쮾뗄캴죫헋짌폾(벴릫쮾쫐뎡볛횵폫헋쏦볛횵횮닮ꎬ폃뎬뛮펯폠뗄쿖횵뫍살볆솿)췪좫살ퟔ릫쮾뗄뺭펪닺ꎬ뺭펪믮뚯뎬뛮펯폠뗄쿖횵뫍뿉볆솿릫쮾캴죫헋짌폾ꎻ ꎨ2ꎩ죧맻붫쿖뷰쇷솿뚨틥캪뺭펪샻죳복좥뺻뺭펪닺춶뗄뮰ꎬ쓇쎴릫쮾쫐뎡볛횵뻍뗈폚풤웚쿖뷰쇷솿뗄쿖횵볓짏닆컱닺뗄볛횵ꆣ 폫Ohlson (1995)쒣탍튻퇹ꎬFelthamꎭOhlson (1995)쒣탍췆떼뗄웰뗣튲쫇풤웚막샻뗄쿖횵뻶뚨릫쮾뗄쫐뎡볛횵뫍뺻쪣폠맘쾵(CSR)볙짨ꆣ ∞P=∑R−tE[d]tFt+ PVR ꎨꎩ tt=1bv=bvtt−1+x−d CSR ꎨꎩ tt웤훐ꎺP캪t쪱릫쮾뗄샭싛볛룱믲볛횵ꎻRtF=1+rꎬ벴컞럧쿕샻싊볓1ꎻbv캪tt쪱릫쮾좨틦놾헋쏦볛횵ꎻx캪t웚펯폠ꎻd캪t웚막샻ꎻE캪t쪱탅쾢쳵볾쿂뗄웚ttt췻쯣ퟓꆣ 퓚듋믹뒡짏ꎬFelthamꎭOhlson뚨틥쇋죽룶맘쾵ꎺ 1)뺻샻쾢맘쾵(NIR) i=(R−1)fatFt−1 NIR ꎨꎩ 36
웤훐ꎺi캪t웚뺻샻쾢쫕죫ꎻfat웚웚돵닆컱닺뺻횵ꆣ tt−1캪2)닆컱닺맘쾵(FAR) fa=fat−1+i−(d−c) FAR ꎨꎩ tttt웤훐ꎺc캪뺭펪믮뚯쿖뷰쇷솿복좥뛔뺭펪믮뚯뗄춶ꆣ t3)뺭펪닺맘쾵(OAR ) oa=oatt−1+ox−c OAR ꎨꎩ tt웤훐ꎺoa캪t웚웚쒩뗄뺭펪닺ꎻox캪t웚뺭펪샻죳ꆣ tt평뚨틥뿉횪ꎬ뺭펪쿖뷰쇷솿퓶볓닆컱닺ꎬ막샻복짙닆컱닺ꎬ샻쾢뺻쫕죫퓶볓닆컱닺ꎬ평듋뿉뗃ꎺ fa=c+(R−1)fa−+ ꎨꎩ ttFt−1dfatt−1뇤탎헻샭뫳뗃떽ꎺ d=c+Rfa-fa ꎨꎩ ttFt-1t붫ꎨꎩ쪽듺죫ꎨꎩ쪽ꎬ틲캪떱ꎺ∞−tt→,RFE(fa)0tt+t→ꎬ쯹틔ꎺ ∞P=-tfa+∑RE(c) ꎨꎩ ttFtt+tt=1평ꎨꎩ뿉볻ꎬ릫쮾볛횵평솽늿럖릹돉ꎺ튻쫇릫쮾닆컱닺ꎬ웤볛횵뗈폚웤헋쏦횵ꎻ뛾쫇릫쮾뗄뺭펪닺ꎬ웤볛횵뗈폚뺭펪믮뚯쿖뷰쇷솿뗄쿖횵ꆣ 평쪣폠쫕틦뗄뚨틥뿉횪ꎺ xa≡x−(R−1)bvttFt−1 ꎨꎩ 듺죫CSR볙짨맘쾵쪽뗃ꎺ d=xa+RbvttFt−1bv ꎨꎩ t붫ꎨꎩ쪽듺죫ꎨꎩ쪽ꎬ틲캪떱ꎺt→∞쪱ꎬR-tFΕ(bv)0tt+t→ꎬ맊ꎺ ∞P=+∑−tExabvR ꎨꎩ ttFt+tt=1 37
평폚oxa=ox−(R−1)oattFt−1ꎬ듺죫OAR뿉뗃ꎺ c=oxa+Roa−oa ttF ꎨꎩ t1t붫ꎨꎩ쪽듺죫ꎨꎩ쪽ꎬ틲캪떱t→∞쪱ꎬR−tFE(oa+t)→0ꎬ맊ꎺ tt∞P=+∑−tfaRFE(c) tttt+tt=1∞−ta =fa+oa+∑RE(ox+t) ꎨꎩ ttFttt=1평폚fa+oa=bvꎬ맊ꎨꎩ쪽뿉킴캪ꎺ ttt∞P=+∑−tabvRE(ox) ꎨꎩ ttFtt+ tt=1ퟛ뫏틔짏췆떼맽돌ꎬ뮹뿉틔킴돶솽룶뗈쪽ꎺ oxa=xa ꎨꎩ ttx=i+ox ꎨꎩ tttFeltham뫍Ohlson죏캪ꎬ뗈쪽ꎨꎩ쫇평쪽ꎨꎩ뫍ꎨꎩ췆떼뛸살ꎬ뫳헟쫇틀뻝CSR맘쾵퇝뇤뛸살뗄ꆣ뗈쪽ꎨꎩ늢늻쟸럖닆컱닺뫍뺭펪닺ꎬ췆떼맽돌튲폫Ohlson (1995)췪좫쿠춬ꆣFeltham뫍Ohlson퓙튻듎잿뗷쇋룃쒣탍횻튪쟳믡볆쾵춳싺ퟣ뺻쪣폠맘쾵ꎬ돽듋횮췢뛔믡볆풭퓲쎻폐죎뫎튪쟳ꆣ죧맻놣쫘뗄믡볆뗍맀쇋뺻닺헋쏦볛횵ꎬ쓇쎴뎬뛮펯폠믡놻쿠펦뗘췆룟ꎻ믡볆풭퓲늻춬횻믡쪹뺻닺헋쏦볛횵뫍뎬뛮펯폠뎯ퟅ쿠랴뗄랽쿲뇤뮯ꎬ솽헟뗄뇤뮯뛔맀볛퓬돉뗄펰쿬쫇쿠뮥뗖쿻뗄ꆣ 뗈쪽ꎨꎩ뗄췆떼샻폃쇋NIR뫍FAR볙짨ꎬ튪쟳쯰틦뇭뫍닺뢺햮뇭쟸럖닆컱믮뚯뫍뺭펪믮뚯ꆣ헋쏦볛횵폫쫐뎡볛횵쿠춬뗄닆컱닺춨맽bv놻쓉죫맀볛쒣탍ꎬ뛸t헋쏦볛횵폫쫐뎡볛횵늻춬뗄뺭펪닺퓲춨맽헋쏦볛횵볓짏랴펳쿠펦뎬뛮펯폠뗄뗷헻쿮살맀볛ꆣFeltham뫍Ohlson뷸튻늽럖컶쇋ꎨꎩ쪽폫ꎨꎩ쪽뗄맘쾵ꎺ평폚ꎨꎩ쪽뛔뺭펪닺뗄믡볆볆솿쎻폐죎뫎튪쟳ꎬ죧맻볙짨oa= 0,쓇쎴bv=faꎬoxa=οx=cꎬtttttꎨꎩ쪽뗄탎쪽뻍폫ꎨꎩ쪽췪좫쿠춬ꎬ맊듋ꎨꎩ쪽쫇ꎨꎩ쪽뗄튻룶쳘샽ꆣ Feltham뫍Ohlson죏캪ꎬ죧맻닉폃쿖뷰쇷믡볆ꎬ쓇쎴평쪽ꎨꎩ뿉틔췆떼돶쪽 38
ꎨꎩꆣ뿉볻ꎬ뻍맀볛뛸퇔ꎬ펦볆믡볆뫍뛔풤웚캴살뎬뛮펯폠헛쿖뇈쿖뷰쇷솿헛쿖쳡릩쇋룼캪뿭랺뗄뿲볜ꆣ뛔펦볆믡볆뿉쓜퓬돉맀볛얤쟺룐떽떣탄쫇췪좫쎻폐뇘튪뗄ꆣ 듓 Feltham뫍Ohlson뗄뇈뷏뿉틔뾴돶ꎬꎨꎩ쪽쫇뛔ꎨꎩ쪽뗄튻냣뮯ꎬFeltham-Ohlsonꎨ1995ꎩ쒣탍뷏Ohlson(1995)맀볛쒣탍폖쿲잰싵뷸쇋튻늽ꆣFeltham뫍Ohlson죏캪쯻쏇뗄믡볆믹뒡맀볛샭싛좷솢쇋릫쮾볛횵폫믡볆쫽뻝횮볤뗄튻냣맘쾵ꎬ늻맜춶헟쫇럱붫믡볆쫽뻝ퟷ캪웤맀볛탅쾢뗄튻늿럖ꎬ뚼늻펰쿬쒣탍뗄돉솢ꆣ헢틢캶ퟅ샻폃Feltham-Ohlson쒣탍뛔좨틦뷸탐맀볛컞탨뛔춶헟뗄탅쾢럖늼ힴ뿶ퟶ돶죎뫎튪쟳ꆣ죧맻튻룶춳볆솿쫇쿖폐탅쾢뗄몯쫽ꎬ뛸춶헟뗄탅쓮폖뿉틔뇭쪾캪헢룶춳볆솿뗄몯쫽ꎬ쓇쎴ꎬ헢룶춳볆솿뻍ퟣ틔ퟳ폒춶헟뗄탅쓮ꆣ믡볆쫽뻝돉캪ퟳ폒춶헟볛횵탅쓮뗄춳볆솿뗄튻늿럖ꎬ뿉쓜쫇평폚춶헟탅쓮뗄탎돉횱뷓쪹폃쇋믡볆쫽뻝ꎬ튲뿉쓜쫇평폚춶헟붫믡볆쫽뻝떱ퟷ쇋웤쯹탨탅쾢뗄몯쫽ꆣ틲듋ꎬ믡볆돌탲뗄룄뇤폐뿉쓜펰쿬춶헟쯹쓜믱뗃뗄탅쾢ꎬ튲폐뿉쓜횻쫇펰쿬믡볆쫽뻝폫춶헟쯹탨탅쾢횮볤뗄몯쫽맘쾵ꆣFeltham뫍Ohlson죏캪ꎬ뷶뾿믡볆쫽뻝늻뿉쓜릹퓬돶ퟳ폒춶헟탅쓮뗄춳볆솿ꎬ틲듋뇘탫쓉죫ꆰ웤쯼탅쾢ꆱꆣ믡볆돌탲뗄닮틬뛔릹돉ퟳ폒춶헟탅쓮뗄춳볆솿쯹탨뗄ꆰ웤쯼탅쾢ꆱ붫닺짺펰쿬ꆣ Feltham뫍Ohlson (1995)뛔Ohlson (1995)쿟탔탅쾢뚯첬뮯뗄탞헽쫇붨솢퓚쟸럖닆컱믮뚯뫍뺭펪믮뚯뗄믹뒡짏ꆣ탞헽뫳뗄쿟탔탅쾢뚯첬뮯뿉틔뇭쪾캪ꎺ oxa+1=w1oxa+w12oa+n+e+ ꎨꎩ ttt1t1t1oa=wοa+n+e t12t2t2t1 ꎨꎩ n1t+1=g1n1+et3t+1 ꎨꎩ n2+1=gn+et22t4t+1 ꎨꎩ 웤훐ꎺoxa캪t웚뺭펪믮뚯뎬뛮펯폠ꎻoa캪t웚웚쒩뺭펪닺헋쏦횵ꎻn1캪폫ttttꎫ1웚뺭펪믮뚯뎬뛮펯폠폐맘뗄웤쯻탅쾢ꎻn2캪폫t+1웚웚쒩뺭펪닺헋쏦볛횵폐맘t뗄웤쯻탅쾢ꎻe1ꆢet2ꆢeꆢe캪0뗄쯦믺죅뚯쿮ꆣ t3t4뻹캪뻹횵t캪놣횤LID볙뚨뗄쫕솲탔훊ꎬ룷뇤솿쾵쫽펦싺ퟣꎺ0≤w11<ꆢw12≥0ꆢ1≤w22≤RFꆢg1<1ꆢg2<1ꆣ 39
듓뛔ꎨꎩ쪽뗄럖컶뿉볻ꎬ뺭펪믮뚯뎬뛮펯폠뫍뺭펪닺헋쏦횵헢솽룶뇤솿펰쿬릫쮾뗄캴죫헋짌폾뫍춶헟뗄뻶닟ꎬ헢솽룶뇤솿쫇ퟳ폒춶헟탅쓮뗄훘튪춳볆솿ꆣ평폚잰컄쯹쳖싛뗄닆컱믮뚯폫뺭펪믮뚯뗄늻춬볆솿쳘훊ꎬFeltham뫍Ohlson(1995)뗄쿟탔탅쾢쒣탍럖뇰짨뚨쇋뺭펪믮뚯뎬뛮펯폠뫍뺭펪닺헋쏦횵뗄쪱볤탲쇐쳘탔ꆣ 듓ꎨꎩ쪽뿉볻ꎬw11듺뇭ퟅ뺭펪믮뚯뎬뛮펯폠뗄돖탸쓜솦ꎬw11풽듳ꎬ뺭펪믮뚯뎬뛮펯폠뗄돖탸쪱볤풽뎤ꎻ평폚w11뗄짏뇟뷧킡폚1ꎬ틲듋ꎬ뺭펪믮뚯뎬뛮펯폠쯦ퟅa쪱볤뗄퇓뎤뇭쿖돶쮥복뗄탔훊ꎬ벴t→∞ꎬ∂E(oxt+t)→0ꆣ헢튻탔훊랴펳쇋뺺헹탔뺭∂oxat펪뮷뺳뗄뇘좻뷡맻ꆣw12뿉틔쫓ퟷ뺭펪닺믡볆볆솿욫닮돌뛈뗄뇭헷ꎬ떱w12=0쪱ꎬ뛔뺭펪닺뗄믡볆볆솿쫇컞욫뗄ꎻ떱w12>0쪱ꎬ뛔뺭펪닺뗄믡볆볆솿쫇놣쫘뗄ꆣ틲듋ꎬ캴살뺭펪닺뎬뛮펯폠돉캪뺭펪뎬뛮펯폠돖탸탔뫍뺭펪닺믡볆볆솿욫닮돌뛈벰웤쯻탅쾢뗄몯쫽ꆣ듓ꎨꎩ쪽뿉볻ꎬw22듺뇭ퟅ뺭펪닺뗄퓶뎤싊ꎬw22놻쿞뚨퓚1뫍RF횮볤ꎬ놣횤쇋뺭펪닺뗄퓶뎤늻믡펰쿬떽뺭펪뎬뛮펯폠쿖횵뗄쫕솲탔훊ꆣ캴살뺭펪닺쫇뺭펪닺퓶뎤싊벰웤쯻탅쾢뗄몯쫽ꆣw22듳폚1놣횤쇋캴살뗄뺭펪닺늻믡뗈폚0ꎬ쪵볊쫇웳튵돖탸뺭펪볙뚨뗄쫽ퟖ뇭쪾ꆣ죧맻w22킡폚1ꎬ퓲t→∞쪱ꎬEao=E[ox+]=E[c+]=0ꆣ쯹틔ꎬwtttttt22뗄쿂쿞쫇1ꆣw22뗄짏쿞쫇캪쇋놣횤샭싛뫍쪵볊쿠럻ꎬ춨맽쿞뚨헢룶짏쿞쪹뗃캴살뗄막샻믲헟쿖뷰쇷쓜릻헛쿖떽쿖퓚ꎬ뗃떽좨틦뗄쿖퓚볛횵ꆣ럱퓲ꎬ웳튵뗄좨틦믡돶쿖컞쿞퓶뎤ꎬ헢폫쪵볊쟩뿶쫇늻럻뗄ꆣ쪽ꎨꎩꆢꎨꎩ뇭쏷쇋웤쯼탅쾢뗄ퟔ믘맩탔훊ꆣ평폚g1<1ꆢg2<1ꎬ틲듋ꎬ웤쯼탅쾢뗄쪱볤탲쇐쳘탔튲쫇쯦ퟅ쪱볤뗄퇓뎤뛸훰붥쮥복ꎬ벴ꎺt→∞ꎬE(n1+t)→0ꎬE(nt1)0t+t→ꆣ 틔막샻쿖횵쒣탍캪웰뗣ꎬ뷡뫏CSR, NIR, FAR, OAR뫍LIDꎬ뿉틔췆떼돶튻룶쿟탔뗄맀볛쒣탍폃폚뺭퇩볬퇩ꎺ P=bv+aatt1ox+at2oa+bn ꎨꎩ tt 40
웤훐ꎺaw11aw12RF1=ꎬR2=ꎬRb=FꎬR1F−w11(F−w2)(RF−w11)(RF−w1)(RF−g1)ab2=2 RF−g2짏쫶볬퇩랽돌쟥돾뗘뇭쏷ꎬ릫쮾볛횵쫇떱웚좨틦놾헋쏦볛횵bvꆢ뎬뛮뺭펪펯t폠oxaꆢ뺭펪닺oaꎬ벰웤쯼탅쾢n뗄쿟탔몯쫽ꆣ릫쮾맀볛뗄맘볼퓚폚럖컶뎬뛮펯폠ttt뗄돖탸쓜솦뫍뺭펪닺뗄퓶뎤싊틔벰펰쿬릫쮾볛횵뗄웤쯼탅쾢ꎬ헢폫믡볆볆솿뗄놣쫘돌뛈(믲컞욫돌뛈)폐ퟅ쏜쟐뗄맘쾵ꆣ ퟮ뫳ꎬFelthamꆢOhlson횤쏷ꎬ떱믡볆헾닟컞욫쪱ꎬa2=w12=0ꎻ떱믡볆헾닟컈붡쪱ꎬa2,w12>0ꆣ틲듋ꎬ뛔ꎨꎩ쪽뷸탐뷸튻늽퇝뇤ꎬ뿉틔뗃떽ꎺ P=k(fx−d)+(1−k)bv+bn ꎨꎩ ttt11t웤훐ꎺRf≡FꎬRk=wF−1R11∈[0,1) F−1RF−w11떱믡볆헾닟쫇컈붡쪱ꎬ뿉틔뗃떽ꎺ P=k(fx−d)+(1−k)bv+a ꎨꎩ tttt2oa+bn ttFelthamꎭOhlson (1995)쯹붨솢뗄쿟탔탅쾢볙뚨퓚뺻쪣폠맘쾵뗄뿲볜쓚ꎬ틔뛔닆컱믮뚯뫍뺭펪믮뚯뗄쟸럖캪믹뒡ꎬ좷솢쇋캴살믡볆쫽뻝폫놾웚믡볆쫽뻝뗄맘쾵ꎬ듓뛸캪닉폃틑쪵쿖믡볆쫽뻝맀볆릫쮾볛횵뗬뚨쇋믹뒡ꆣ떫쫇ꎬ쪵볊닙ퟷ쪱ꎬ컒쏇뫜쓑쟸럖닆컱닺뫍뺭펪닺ꎬ틲듋FelthamꎭOhlson(1995)쒣탍쪵볊짏뫜쓑펦폃ꎻ튲틲캪헢룶풭틲ꎬ뫳살톧헟뛔FelthamꎭOhlson(1995)쒣탍뷸탐퇐뺿쪱뚼늻닉폃쒣탍뗄풭쎲ꎬ뛸쫇뛔풭쒣탍뷸탐쇋늿럖탞룄닅볓틔쪹폃ꆣ Feltham-Ohlson(1996)쒣탍 1996쓪ꎬFeltham뫍Ohlson훘탂뛔Feltham-Ohlson(1995)쒣탍뷸탐쇋닻쫶ꎬퟅ훘닻쫶쇋쪵볹쇬폲펰쿬믡볆컈붡탔뗄믡볆헛뻉헾닟뫍춶쫕틦컊쳢뛔좨틦맀횵뗄펰쿬ꎬ듓쿖뷰쇷헛쿖뗄뷇뛈뇭쫶쇋웳튵볛횵뫍웳튵믡볆쫽뻝뗄맘쾵ꆣ Feltham-Ohlson죏캪ꎬ뒫춳뗄닆컱샭싛볙짨헛뻉헾닟쫇튻훖돉놾럖엤랽램ꆣ닆컱 41
톧볒튻냣볙짨쿮쒿뗄뺻쿖횵캪0ꎬ늢쟒죋쏇쓜릻ힼ좷뗘풤닢캴살뗄쿖뷰쇷럖늼ꆣ헢퇹ꎬ죋쏇춨맽뛔쿮쒿뗄쫕틦뫍돉놾뷸탐욥엤뗃떽헛뻉헾닟ꆣ헛뻉헾닟쪵훊쫇쓚뚨뗄ꆣ헢룶쪱뫲ꎬ웳튵뗄헋쏦볛횵뗈폚웤쓚퓚볛횵ꎬ헋쏦쫕틦뗈폚웤뺭볃쫕틦ꆣ헛뻉헾닟뛔웳튵헋쏦볛횵쎻폐펰쿬ꆣ떫쫇ꎬ쿖쪵훐듦퓚ퟅ늻좷뚨탔ꎬ룷룶쿮쒿뗄뺻쿖횵늻튻뚨캪0ꆣ헢룶쪱뫲ꎬ헛뻉헾닟뗄늻춬뻍믡떼훂웳튵뗄헋쏦볛횵뫍쓚퓚볛횵돶쿖욫닮ꆣ퓚듦퓚늻좷뚨탔뫍쿮쒿뗄뺻쿖횵늻캪0쪱ꎬ죧뫎뫢솿웳튵뗄볛횵ꎿ Feltham-Ohlson쫗쿈볙뚨웳튵뗄쿂웚쿖뷰쫕틦뗈폚놾웚쿖뷰쫕틦뫍놾웚놾춶뗄볓좨ꎬ늢쟒룷웚놾춶ퟱ톭탅쾢뚯첬뮯ꎬ벴CFD맘쾵ꎺ cr%t+1=gcr+kci+e1t+1 ꎨꎩ ttc%it+1=wci+e2t+1 CFD ꎨꎩ t웤훐ꎺcr캪뗚t웚쿖뷰쫕틦ꎻci캪뗚t웚쿖뷰춶ꎻe%kt+t캪0뻹횵뗄뗄죅뚯쿮ꎻttk>0ꎬ뇭쪾t웚뗄쿖뷰춶뛔t+1웚쿖뷰쫕틦뗄펰쿬ꎻg∈[0,1ꎩꎬ뇭쪾쿖뷰쫕죫뗄돖탸탔ꎻw∈[0,R)ꎬw뇭쪾풤웚쿖뷰춶뗄퓶뎤싊볓1ꎬR=1+컞럧쿕샻싊ꎬw=1뇭쪾쿖뷰춶쎻폐퓶뎤ꎬw>1뇭쪾쿖뷰춶폐헽뗄퓶뎤싊ꎬw<1뇭쪾쿖뷰춶돶쿖쿂붵ꆣ 폃c뇭쪾룷웚뗄뺻쿖뷰쇷ꆣ퓲ꎺc=crꎭciꆣ tttt틲캪릫쮾뗄좨틦볛횵뗈폚캴살룷웚쿖뷰쇷뗄헛쿖횵ꎬ벴ꎺ ∞V=∑R−tEc%t+t PVCF ꎨꎩ tt=1평CFD뫍PVCF뿉뗃ꎺ V(cr,ci)=ΦEcr+1bEci+1tt=Φ[gcr+kci]+b[wci] ꎨꎩ tttttt웤훐ꎺΦ−1=[R−gꎬ1]b=[Φk−1] R−w퓚ꎨꎩ쪽훐ꎬ뗚튻쿮뇭쪾평폚틔잰뫍쿖퓚뗄춶쯹탎돉뗄풤웚쫕틦뗄쿖횵ꎬ뗚뛾쿮뇭쪾풤웚붫살춶뗄뺻쿖횵ꆣ죧맻풤웚붫살뗄춶캪쇣ꎬ벴w=0ꎬ퓲좨틦볛횵횻평뗚튻쿮뻶뚨ꆣ 쇭췢ꎬ죧맻릫쮾붫살뗄춶뺻쿖횵캪쇣ꎬ벴NPV=0ꎬ퓲Φk=1ꎬV=Φgcr+ciꎨ횤tt쏷볻Feltham-Ohlson뗄풭컄ꎬ놾컄싔ꎩꆣ 42
틔짏Feltham-Ohlson럖컶뗄쫇NPV늻캪0쪱릫쮾뗄볛횵ꆣ뷓ퟅꎬFeltham-Ohlson폖럖컶쇋헛뻉헾닟뛔릫쮾볛횵뗄펰쿬ꆣ 쫗쿈볙짨헛뻉싺ퟣ뺻쪣폠맘쾵ꎬ벴ꎺ oat+1=oa+ci−tt+1dept+1 CSR ꎨꎩ 웤훐ꎺoa뇭쪾뿛돽쎿웚헛뻉뫳t웚뗄뺻펪퓋닺ꎻdep뇭쪾t웚뗄헛뻉럑폃ꆣ tt짨ox뇭쪾릫쮾t웚뗄펪퓋펯폠ꎬ퓲ox≡cr−depꆣ tttt캪쇋쪹뗃럖컶볲뮯ꎬFeltham-Ohlson볙뚨릫쮾뗄헛뻉헾닟캪욽뫢쿂붵헛뻉램ꎬ벴ꎺdep+1=(1−d)oaꎬoat+1=doa+ci+ꆣd캪뻶tt1뚨헛뻉싊1ꎭd뗄헾닟닎쫽ꎬd∈[0,1)ꆣ tt컒쏇볙짨좷뚨탔(e=0,i=1,2)ꎬ춶뺻쿖횵캪0(NPVꎽ0ꎬΦk=1)ꎬ헛뻉헾닟캪itd=gꆣ퓲컒쏇뿉틔뗃떽틔쿂뷡맻ꎺ V=oa 좨틦뗄쫐뎡볛횵뗈폚헋쏦볛횵 ttV+c=fox 쫐뎡볛횵볓짏쿖뷰쇷뗈폚f=Rttt(R돋틔쿖뷰쇷 −1)∆V+c=ox 뺭볃펯폠뗈폚믡볆펯폠ꎬ웤훐∆V=V−Vtttttt−1ꆣ oax=ox−(R−1)oatt−1=0 뎬뛮펯폠뗈폚0 t떱좷뚨탔ꆢ0뺻쿖횵늻쓜싺ퟣ쪱ꎬ웳튵뗄좨틦볛횵죧뫎뫢솿쓘ꎿFeltham-Ohlson춨맽횤쏷뗃떽ꎬ퓚늻좷뚨탔ꆢ럇0뺻쿖횵춶ꎬ틔벰d≠g쪱ꎬ좨틦볛횵뫍믡볆쫽뻝뗄맘쾵ꆣ볙짨믡볆쫽뻝싺ퟣCSRꆢCFDꆢPVCFꎬ퓲ꎺ V=oa+aoxa+oa+ ꎨꎩ tt1t2t−1a3cit웤훐ꎺa1=Φgꎬa2=ΦR(g−d)ꎬaR3=[Φk−1] R−wV=k[fox−c]+(1−k)oa+aoa−+aci ꎨꎩ ttt2t13t웤훐ꎺk=a1(R−1) 틔짏뷡싛쫇볙짨믡볆쫽뻝췪좫룅삨쇋릫쮾뗄뺭펪쟩뿶ꆣ떫쫇ꎬ평폚듦퓚ퟅ늻좷뚨탔ꎬ믡볆쾵춳틔췢뗄웤쯻탅쾢튲믡펰쿬웳튵뗄볛횵ꆣFeltham-Ohlson틲듋폖뾼싇쇋뢽 43
볓웤쯻탅쾢뗄탂쿖뷰쇷맀횵쒣탍ꆣ 뾼싇웤쯻탅쾢쪱ꎬ탂뗄쿖뷰쇷쒣탍뇤캪ꎺ cr=+++%t+1gcrkcin1e1t+1 ꎨꎩ tttc%it+1=wci+n+e2+ CFD-E ꎨꎩ t2t1t평폚t웚뗄n2횻쓜펰쿬t+1웚뗄ciꎬ좻뫳퓙펰쿬t+2웚뗄crꎬ틲듋ꎬt+1웚뗄t뺻펪퓋닺펦캪ꎺoat+1=d1oa+ci+dntt121+1d3et1t+1ꎬ쿠펦뗄헛뻉캪ꎺ dep1=(1−d)oa−dn+−det1t21t131t+1 ꎨꎩ 듓뛸뫏늢PVCFꆢCFDꎭEꎬ뿉뗃떽ꎺ V=Φ[gcr+kci+n1]+b[wci+n] ꎨꎩ ttttt2t뷸튻늽뫏늢PVCFꆢCFD-EꆢCSRꎬ틔벰헛뻉헾닟닎쫽(d1,d2,d3)ꎬ뿉뗃ꎺ V=oa+aoxa+oa−+aci+bn+bn+be ꎨꎩ tt1t2t13t11t22t31t웤훐ꎺa1=Φgꎬa2=ΦR(g−d1)ꎬaR3=bR=[Φk−1]ꎬbR1=Φ(1−Rd2)ꎬ−w1b2=b=[Φk−1]ꎬbRw3=−ΦRd3 −춨맽쫽톧뇤뮻ꎬ튲뿉틔붫좨틦볛횵뇭쪾돉펯폠쿮뫍뺻닺쿮뫍뗄탎쪽ꎺ V=k[fox−c]+(1−k)oa+aoattt2t−1+a3ci+bn+bn+be ꎨꎩ t1t22t31t웤훐ꎺk=a1(R−1) 퓚쳘뚨쳵볾쿂ꎬ죧Φk=1ꎬ틔벰헛뻉헾닟캪dd1(,,d=g−,R,0쪱ꎬꎨ2123)().64ꎩ쪽뿉틔볲뮯캪ꎺV=oa+aoa1x=k[fox−c]+(1−k)oa ttttt훁듋ꎬFeltham-Ohlson(1996)춨맽뾼싇늻좷뚨탔ꆢ헽뺻쿖횵뗄쟩뿶ꎬ싛횤쇋춨맽믡볆쫽뻝쓜릻뇭듯웳튵뗄좨틦볛횵ꆣ헢룶쒣탍뫍FelthamꎭOhlson(1995)쒣탍뗄쟸뇰쫇FelthamꎭOhlson(1996)쒣탍듓쿖뷰쇷쳹쿖쒣탍돶랢ꎬ싛횤뗄쒿뗄쫇뾼달헽뺻쿖횵뫍헛뻉헾닟뛔좨틦볛횵뗄펰쿬ꆣ뛸FelthamꎭOhlson(1995)쒣탍쪵훊쫇싛쫶믡볆컈붡탔쿂뗄좨틦맀횵컊쳢ꆣ퓚1995뗄쒣탍훐ꎬFeltham-Ohlson훘뗣잿뗷쇋헋쏦닺BV뗄맀횵ퟷ 44
폃ꆣ1996뗄쒣탍쫇1995쒣탍뗄튻룶쾸뮯ꎬ1996쒣탍붫믡볆컈붡탔풭퓲쾸뮯캪평폚붫살춶뿉쓜뒴퓬뗄헽뗄뺻쿖횵뫍볓쯙헛뻉ꎬ쪹뗃헋쏦닺뫍쫐뎡볛횵늻럻ꎻ늢뎹뗗냚췑막샻뻶뚨릫쮾볛횵뗄쿞훆ꎬ듓쿖뷰쇷맀횵쒣탍돶랢ꎬ췆떼돶웳튵뗄좨틦볛횵뿉틔폃믡볆쫽뻝뇭듯ꆣ Feltham-Ohlson(1995)ꆢFelthamꎭOhlson(1996)뫍Ohlson(1995)쒣탍튻퇹ꎬ뚼쫴폚쿖듺쪣폠쫕틦쒣탍ꆣ쿖듺쪣폠쫕틦쒣탍춨맽틽죫쿟탔탅쾢뚯첬뮯볙뚨ꎬ쿻돽쇋뒫춳좨틦맀횵랽램뗄컞쟮쟳뫍탎쪽ꎬ랽뇣쇋맀횵쒣탍뗄쪵횤퇐뺿ꆣ춬쪱ꎬ쿖듺쪣폠쫕틦쒣탍췪좫샻폃믡볆탅쾢ퟷ캪맀횵쫤죫뇤솿ꎬ쪡좥쇋뒫춳맀횵쒣탍탨튪뛔캴살쫽뻝ퟶ돶풤웚뗄랱쯶맽돌ꆣ 맺췢폐맘쪣폠쫕틦쒣탍뗄쪵횤퇐뺿 맺췢뛔쪣폠쫕틦쒣탍뗄쪵횤퇐뺿ꎬ뺭샺쇋듓맅뗤쪣폠쫕틦쒣탍떽쿖듺쪣폠쫕틦쒣탍뗄뇤ꆣퟮ쿈뗄쪵횤퇐뺿믹놾짏뚼쫇캧죆맅뗤쪣폠쫕틦쒣탍뷸탐ꆣBernard폚1994뫍1995쓪럖뇰랢뇭컄헂ꎬ춨맽쪵샽횤쏷쇋맅뗤쪣폠쫕틦쒣탍뗄폅풽탔ꆣBernardꎨ1995ꎩퟛ뫏뗘움볛쇋Ohlson쳡돶맅뗤쪣폠쫕틦쒣탍뗄릱쿗ꆣBernard죏캪ꎬOhlson쳡돶뗄쪣폠쫕틦쒣탍쫇놾쫐뎡퇐뺿ퟮ뷼쪮벸쓪살뗄훘듳랢햹ꎬ쯼뗬뚨쇋믡볆쫽뻝뫍막욱볛횵볤맘쾵퇐뺿뗄믹뒡ꎻ춬쪱ꎬ쯼캪믡볆쫽뻝뫍막욱볛횵뗄맘쾵붨솢쇋튻룶돵늽뗄쒣탍ꆣOhlson뗄퇐뺿쫇20쫀볍60쓪듺쒩막욱쫐뎡퇐뺿랽쿲뗄퇓짬ꎻOhlson뗄퇐뺿듺뇭쇋놾쫐뎡헦헽뗄퇐뺿랽쿲ꎬ떫쫇샭싛뷧좴뎤웚뫶쫓뫍럅웺쇋헢룶헽좷뗄랽쿲ꆣퟔ듓짏룶쫀볍60쓪듺틔살ꎬ놾쫐뎡퇐뺿튻횱틔탅쾢맛캪횸떼ꎬ늢쎻폐붫퇐뺿훘뗣럅퓚믡볆쫽뻝뫍막욱볛횵볤뗄붨쒣짏ꎻOhlson뗄퇐뺿쪹뗃놾쫐뎡퇐뺿폖믘떽쇋ퟮ돵뗄“뗚튻늽”ꎬ쯼듺뇭쇋놾쫐뎡붫살뗄퇐뺿랽쿲ꆣBernard붫Ohlson뗄릱쿗룅삨캪솽뗣ꆣ뗚튻뗣쫇쪹믡볆톧헟뾪쪼헦헽맘힢놾쫐뎡뗄룹놾퇐뺿쒿뗄ꎭ믡볆쫽뻝뫍막욱볛횵횮볤뗄맘쾵ꎻ쪹뗃놾쫐뎡뗄퇐뺿훘뗣듓떥뒿뗘뷢쫍막욱볛룱쿲풤닢믡볆펯폠뫍뺻닺뗄붫살퓶뎤ꆣ뗚뛾뗣쫇룸돶쇋튻룶뻟쳥뗄믡볆쫽뻝뫍막욱볛횵볤뗄맘쾵쒣탍ꆣ틲듋ꎬOhlson쒣탍쫇튻룶탂뗄퇐뺿웰뗣ꆣ 퓚맽좥퇐뺿릫쮾볛횵쪱ꎬ죋쏇뚼틀뻝뫬샻쳹쿖쒣탍ꆣ룹뻝헢룶쒣탍ꎬ풤닢릫쮾볛횵뇘탫췪헻풤닢릫쮾캴살뗄막샻ꆣ떫쫇ꎬ헢뫍MM뗄막샻컞맘탔뚨샭쫇돥춻뗄ꆣ헢훖샭싛짏뗄삧뺳놻Penmanꎨ1992ꎩ돆캪“막샻쓑쳢”ꆣ쪵볊퇐뺿훐ꎬ죋쏇뚼쫇춨맽뺫쟉뗄랽램죆맽“막샻쓑쳢”ꆣ룹뻝폐킧쫐뎡볙짨ꎬ막욱뗄볛룱쫇막욱캴살쯹폐막샻뗄쿖횵 45
뫍ꆣ헢퇹ꎬ죋쏇뻍붫막샻뗄풤닢컊쳢뮻캪룼죝틗듯떽뫍늻폫MM샭싛랢짺돥춻뗄컊쳢ꎭ막욱볛룱뗄뷢쫍컊쳢ꆣ쯹틔ꎬ퓚맽좥뗄퇐뺿훐ꎬ죋쏇뚼쫇폃막욱볛룱pퟷ캪틲뇤솿ꎬ붫룷훖믡볆쫽뻝ퟷ캪ퟔ뇤솿ꆣ헢훖퇐뺿폐ퟅ뫜듳뗄뻖쿞ꆣ쫗쿈ꎬ죋쏇횻쓜뛔쓇킩쫐뎡틑뺭힢틢떽쇋뗄탅쾢뷸탐럖컶ꎨ튲뻍쫇쮵ꎬ쓇킩쫐뎡틑뺭뾼싇떽쇋뗄ꆢ늢쟒틑뺭랴펳떽볛룱짏뗄탅쾢ꎩꎻ뛔폚쓇킩쫐뎡뮹쎻폐랢쿖뗄틲쯘ꎬ헢훖랽램뻍컞램럖컶ꆣ쇭췢ꎬ헢훖볲떥뗄믘맩랽램쪹뗃쿠춬뗄쫂쿮퓚늻춬뗄쟩뿶쿂폐늻춬뗄뷢쫍ꎨ뷢쫍쯦ퟅ쫐뎡뮷뺳뗄뇤뮯뛸룄뇤ꎩꆣ Bernard퓋폃쯄쓪뗄풤닢쫽뻝럖뇰뇈뷏쇋쪣폠쫕틦쒣탍뫍막샻쒣탍뗄풤닢쓜솦ꎻ뷡맻랢쿖쿠춬풤닢웚쿞쓚맅뗤쪣폠쫕틦쒣탍뗄풤닢쓜솦듳듳뎬맽막샻쒣탍ꆣ퓋폃짏쫶EBO쪣폠쫕틦쒣탍쓜릻뷢쫍막욱볛룱뇤뮯뗄69%ꎻ뛸퓋폃춬웚뗄막샻풤닢랽돌뷸탐춬퇹뗄믘맩ꎬ랢쿖막샻랽돌횻쓜뷢쫍볛룱뇤뮯뗄29%ꆣ Penman뫍Sougiannis(1998)뇈뷏쇋죽훖맀횵쒣탍ꎺ막샻헛쿖DDM쒣탍ꆢ쿖뷰쇷헛쿖DCF쒣탍뫍맅뗤쪣폠쫕틦RI쒣탍뗄닮뇰ꆣPenman-Sougiannis폃쏀맺얦풼막욱붻틗쯹ꆢ쏀맺막욱붻틗쯹뫍NASDAQ붻틗쯹1973ꎭ1990쓪뗄쫽뻝뷸탐럖컶ꆣ쫗쿈ꎬ붫쯹폐뗄릫쮾퓚쎿튻쓪쯦믺럖돉20ퟩꎬ쎿룶ퟩퟷ캪튻룶닺ퟩ뫏ꆣ좻뫳볆쯣룷룶ퟩ퓚쯦뫳룷룶쓪뛈뗄샭싛볛횵ꎬ붫샭싛볛횵뫍쪵볊볛횵뷸탐뛔뇈듓뛸볆쯣돶ퟩ뫏뗄풤닢컳닮ꆣ붫쯹폐뗄컳닮뷸탐ퟛ뫏춳볆ꎬ뗃돶컳닮욽뻹횵뫍랽닮ꆣ퓙룹뻝욽뻹횵뫍랽닮뇈뷏룷룶랽램뗄폅쇓ꆣ컳닮볆쯣쪽캪ꎺ ErroT(•)=(P−Value)/P ꎨꎩ ptpt뺭맽볆쯣랢쿖ꎬ퓚쎻폐볆쯣훕뛋횵쪱ꎬ뛌웚쓚ꎬDDM쒣탍뗄컳닮뫜듳ꎬ짵훁듯떽90%틔짏ꎻ쯦ퟅ풤닢웚쿞뗄퇓뎤ꎬ풤닢컳닮훰붥쿂붵ꎻ떱풤닢웚쿞캪10쓪ꎬ욽뻹풤닢컳닮붵떽%ꆣ폫DDM쒣탍쿠뇈ꎬDCF쒣탍뗄뇭쿖룼닮ꆣDCF쒣탍뗄욽뻹풤닢컳닮쯦ퟅ풤닢웚쿞뇤뮯늢늻쏷쿔ꎬ웤풤닢컳닮튻횱럇뎣듳ꎬ뚼퓚150%틔짏ꆣ헢쮵쏷DCF쒣탍뗄풤닢쓜솦럇뎣닮ꆣ폫DDMꆢDCF쒣탍늻춬뗄쫇ꎬ맅뗤쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍뗄ꎨ룹뻝GAAP뗷헻뗄펯폠놾뮯맀횵쒣탍ꎬCapitalization Modelꎬ볲킴캪CM쒣탍ꎩ욽뻹풤닢컳닮럇뎣킡ꎬ뚼늻떽20%ꎻ늢쟒컳닮튲쯦ퟅ풤닢쪱볤뗄퇓뎤뛸쿂붵ꆣ죧맻퓚볆쯣샭싛볛횵쪱뾼싇훕뛋횵ꎬ퓲룷룶쒣탍뗄풤닢컳닮뚼믡쿂붵ꆣ떫쫇ꎬDCF쒣탍뗄풤닢컳닮틀좻럇뎣듳ꎬ퓚100%틔짏ꆣ 틔짏쫇컞쳵볾뗄컳닮뇈뷏ꎬ쫇쾵춳탔컳닮뇈뷏ꆣ뷓ퟅPenman-Sougiannis뾼싇쇋쳵볾컳닮뗄닮뇰ꆣPenman-Sougiannis럖뇰쪹폃ꎨdebt+폅쿈막ꎩ/PꆢGAAPB/PꆢFCFePꆢ 46
GAAPE/Pퟷ캪횸뇪ꎬ붫쎿튻쓪뗄릫쮾내횸뇪듳킡럖캪20룶ퟩ뫏ꎬ좻뫳뛔룷룶ퟩ뫏내짏쫶컞쳵볾ퟩ뫏튻퇹볆쯣풤닢컳닮ꆣ떱쪹폃ꎨdebt+폅쿈막ꎩ/Pퟷ캪횸뇪쪱ꎬ쯦ퟅ릫쮾룜룋뇈싊뗄짽룟ꎬDCF뗄풤닢컳닮풽살풽듳ꎬ헢쿔쪾ꎬ뛔폚쓇킩룜룋뇈싊뫜룟뗄릫쮾ꎬ쿖뷰쇷늢늻쓜랴펳릫쮾뗄쪵볊쟩뿶ꎬ뛸RI뫍CM쒣탍퓲쿠뛔살쮵컳닮믡킡튻킩ꆣ떱룹뻝GAAPB/Pퟷ캪업탲횸뇪쪱ꎬ RI뗄맀횵컳닮폫GAAPB/P폫1뗄닮횵뗄뻸뛔횵헽쿠맘ꎬGAAPB/P폫1쿠닮풽풶ꎬ퓲RI뗄맀횵컳닮풽듳ꆣ튲뻍쫇쮵ꎬ뛔폚쓇킩벫뗍뫍벫룟뗄GAAPB/P쾵쇐ꎬRI뗄맀횵컳닮럇뎣듳ꆣ떱GAAPB/P벫킡쪱ꎬRI믡뗍맀웳튵볛횵ꎬ떱GAAPB/P벫듳쪱ꎬRI믡퇏훘룟맀웳튵볛횵ꆣ헢쮵쏷ꎬRI쒣탍늻쫊뫏폚쓇킩GAAPB/P뒦퓚벫뛋횵뗄릫쮾ꆣCM맀횵쒣탍뗄뇭쿖튲뫍RI샠쯆ꆣ퓚뾼싇쇋훕뛋횵틔뫳ꎬ뺡맜컳닮폐쯹쿂붵ꎬ떫쫇벫뛋횵뒦컳닮틀좻뫜뛠ꆣ떱룹뻝FCFeP뛔릫쮾뷸탐업탲럖ퟩ뾼달컳닮쪱ꎬ뛔폚쓇킩쿖뷰쇷캪뢺뗄릫쮾ꎬDCF뗄맀횵컳닮폈웤듳ꆣ틲듋ꎬDCF늢늻쫊폃폚쿖뷰쇷캪뢺뗄릫쮾ꆣ떱룹뻝GAAPE/P뛔릫쮾뷸탐업탲럖ퟩ쪱ꎬ뛔폚쓇킩GAAPE/P뇈횵벫뛋뗍ꆢ캪뢺횵뗄릫쮾ꎬRI뫍CM쒣탍뗄맀횵컳닮뚼럇뎣듳ꆣPenman-Sougiannis뮹뾼싇쇋믡볆펦볆뛔룷룶맀횵쒣탍뗄펰쿬ꎺ쪹폃eGAAPE−FCFퟷ캪믡볆펦볆뗄쳦듺횸뇪ꎬ늢룹뻝e(GAAPE−FCF)P업탲럖ퟩꎬ뷡맻랢쿖ꎬ펦볆풽듳ꎬDCF뗄풤닢컳닮풽듳ꆣ틲듋ꎬ캪쇋복짙뛌웚쓚뗄맀횵컳닮ꎬ펦룃닉폃펦볆믡볆뇤솿ꎬ뛸럅웺쿖뷰쇷뇤솿ꆣ Penman-Sougiannis뗄싛컄쮵쏷떥뒿뗄DCF쒣탍퓚폐쿞풤닢웚볤쓚뷢쫍쓜솦뫜닮ꎬ뛔쿖뷰쇷뷸탐뗷헻쇋뗄믡볆펯폠뫍쪣폠쫕틦퓚뛌웚쓚뻟폐뷏뫃뗄풤닢쓜솦ꆣ퓚뎤웚쓚ꎬ퓚뾼싇쇋훕뛋횵틔뫳ꎬDCF쒣탍뗄풤닢쓜솦폐쯹짏짽ꎬ떫쫇풤닢컳닮틀좻뫜듳ꆣ헢쫇평폚쿖뷰쇷쳞돽쇋춶뛔볛횵뗄ퟷ폃ꎬ쪵볊쟩뿶쫇춶볓잿쇋웳튵뗄캴살펯샻쓜솦ꎻ쇭췢ꎬ펦볆믡볆뛔돉놾뫍쫕틦뷸탐쇋욥엤ꎬ쪵볊짏쫇쳡잰뾼싇쇋붫살뗄틲쯘ꎬ틲뛸뷢쫍쓜솦룼잿ꆣPenman-Sougiannis싛컄쫇뛔ꆰ쿖뷰캪췵ꆱ맛뗣뗄랴늵ꎬ뻟폐뫜잿뗄쿖쪵틢틥ꆣ늻맽ꎬ룃싛컄뗄잰쳡쫇쫐뎡ퟜ쳥폐킧ꆣ틲캪퓚볆쯣볛횵쪱ꎬPenman-Sougiannis쫇쪹폃룷웚틑뺭쪵쿖뗄뇤솿ퟷ캪쿖웚풤닢뇤솿뗄쳦듺횵ꆣ틲듋ꎬ샭싛짏ꎬ싛컄뗄뷡싛횻폐죋쏇풤웚횵폫쿖쪵뗄ퟮ훕쪵쿖횵쿠뗈ꎬ틔벰쫐뎡뚨볛폐킧쪱닅돉솢ꆣ늻맽ꎬ쫐뎡뚨볛컳닮뫍풤웚횵폫쪵쿖횵뗄컳닮뿉틔춨맽ퟩ볤횵뗄욽뻹살뷢뻶ꎬ 47
헢튲쫇Penman-Sougiannis싛컄붫릫쮾뷸탐럖ퟩ퇐뺿뗄쒿뗄횮튻ꆣ ퟜ쳥살쮵ꎬPenman-Sougiannis싛컄쫇뛔맅뗤쪣폠쫕틦쒣탍뗄튻듎돤럖퓋폃ꆣ볬퇩뷡맻뇭쪾ꎬEBO맅뗤쪣폠쫕틦쒣탍ꆢCM쒣탍뛌웚쓚뚼폐뷏뫃뗄풤닢쓜솦ꎬ떫쫇뛔폚쓇킩펯폠벫뛋뗍ꎬ믲헟럧쿕쳘뇰룟뗄릫쮾ꎨB/P횵쳘룟ꎩꎬ맅뗤쪣폠쫕틦쒣탍뗄풤닢컳닮킡폚펯폠놾뮯쒣탍ꆣퟜ쳥짏살쮵ꎬEBO맅뗤쪣폠쫕틦쒣탍뫍CM쒣탍룷폐잧쟯ꎬ떫쫇쯼쏇뚼폅폚DCF뫍DDM쒣탍ꆣ Jiang뫍Leeꎨ2005ꎩ샻폃West늻뗈쪽볬퇩쇋맅뗤쪣폠쫕틦쒣탍ꆣJiang-Lee횸돶ꎬ뒫춳짏ꎬ막욱볛룱뗄맽뛈늨뚯튻횱쎻폐냬램뗃떽뷢쫍ꎬ죋쏇랢쿖막욱볛룱뗄늨뚯럹뛈듳폚막샻뗄늨뚯돌뛈ꎬDDM쒣탍컞램뷢쫍막욱볛룱뗄맽뛈늨뚯ꆣRI쒣탍ퟛ뫏뾼싇쇋헋쏦볛횵bv뫍믡볆펯폠xꎬ헢솽룶뇤솿뗄뇤뚯돌뛈쏷쿔듳폚쎿막막샻뗄뇤뚯돌뛈ꎬ틲캪쎿막펯폠쪵볊쫜떽맜샭닣뗄뗷뿘ꎬ뇈뷏욽컈ꎻ쿠뇈횮쿂ꎬ뺻닺뫍믡볆펯폠퓲뿉쓜듸폐룼뛠뗄쿠맘탅쾢ꎬ웤뛔막볛뗄쒣쓢돌뛈폅폚막샻dꎬ쪣폠쫕틦쒣탍뿉쓜뇈뫬샻쳹쿖쒣탍폐룼뫃뗄뷢쫍솦ꆣJiang-Lee폃West늻뗈쪽볬퇩살뫢솿맅뗤쪣폠쫕틦쒣탍ꆢDDM쒣탍뫍막욱뗄볛룱늨뚯돌뛈쫇럱튻훂ꎻ좻뫳폖폃VAR뫡뷘쏦랽돌램볬퇩맅뗤쪣폠쫕틦뫍DDM쒣탍뛔막욱볛룱뚯첬뇤뮯쳘헷뗄뷢쫍돌뛈ꆣ볬퇩뛔쿳쫇쏀맺1920ꎭ96쓪뗄dow릤튵쓪뛈횸쫽ꆢ1946ꎭ96쓪뗄s&p쓪뛈릤튵횸쫽ꎬ틔벰dow릤튵횸쫽훐뗄퇹놾릫쮾퓚1990ꎺ1떽1999ꎺ4뗄벾뛈쫽뻝ꆣ볬퇩뷡맻랢쿖ꎬ뛔폚솽룶횸쫽살쮵ꎬ맅뗤쪣폠쫕틦쒣탍좫늿춨맽쇋볬퇩ꎬ횤쏷RI뗄늨뚯뫍막욱볛룱늨뚯놣돖튻훂ꎻ뛸DDM쒣탍뗄볬퇩퓲듳늿럖놻뻜뻸ꎬ듓뛸쮵쏷막샻뗄늨뚯뫍막욱볛룱늨뚯늻튻훂ꆣ춼탎뇭쏷ꎬ막샻뗄늨뚯돌뛈럇뎣욽뮺ꎬ뛸횸쫽퓲듳럹늨뚯ꎬ틲듋ꎬ막샻늻뿉쓜뫜뫃뗄쓢뫏막욱볛룱늨뚯ꆣ뛸쪣폠쫕틦훐평폚춬쪱냼몬쇋bv뫍x뗄탅쾢ꎬ틲듋웤늨뚯돌뛈듳폚막샻ꎬ뫍막욱볛룱늨뚯돌뛈뷏캪뷓뷼ꆣ춨맽볬퇩VAR뫡뷘쏦랽돌랢쿖뛔폚듳뛠쫽쓪럝살쮵ꎬ맅뗤쪣폠쫕틦쒣탍춨맽쇋볬퇩ꎬ횤쏷뛠쫽쪱뫲쪣폠쫕틦뿉틔폃살쓢뫏막욱볛룱뗄퇝뇤ꎻ뛸DDM쒣탍퓲듳늿럖놻뻜뻸ꎬ듓뛸쮵쏷DDM쒣탍뛔막욱볛룱뗄쒣쓢돌뛈뷏닮ꆣ Jiang-Lee럖뇰뛔Dow릤튵횸쫽뗄퇹놾릫쮾뷸탐쇋떥뛀뗄볬퇩ꆣ뷡맻듳늿럖릫쮾뚼춨맽쇋쪣폠쫕틦쒣탍뗄볬퇩ꎬ뛸뻜뻸쇋뛔DDM쒣탍뗄볬퇩ꆣJiang-Lee붫맅뗤쪣폠쫕틦쒣탍뗄폅쫆뷢쫍캪맅뗤쪣폠쫕틦쒣탍훐냼몬쇋bv뗄탅쾢뗄풵맊ꆣ쪵볊짏bv쫇쇴뫳펯폠뗄샛믽횵ꎬ쫇붫살뷸탐춶뫍퓶뎤뗄놣횤ꎬ틲듋ꎬbv쪵볊냼몬쇋릫쮾퓶뎤뗄탅쾢ꆣ쇭췢ꎬ춨맽CSR맘쾵ꎬ쪹뗃쪣폠쫕틦RI쾵쇐뫍막샻d쾵쇐쎻폐횱뷓맘쾵ꎬ럻뫏쇋MM뚨샭ꎬ뷢돽쇋막샻싛ꆣ틔짏솽룶풭틲쪹뗃RI쒣탍뗄뷢쫍솦뎬맽쇋DDM쒣탍ꆣ 48
Jiang-Lee뗄컄헂쪵볊짏쫇뛔Penman-Sougiannis컄헂뗄랢햹ꎬ웤볬퇩쪣폠쫕틦쒣탍뗄랽램뫍Penman-Sougiannis뗄랽램샠쯆ꎬ뚼쫇닉폃맽좥뗄쫽뻝ꎬ춨맽틑뺭쪵쿖뗄횵살볆쯣쪣폠쫕틦뫍막샻ꎬ뇜쏢쇋퓚볆쯣쪣폠쫕틦쪱튪뾼싇풤웚뗄쟩뿶ꆣ춬쪱ꎬ쯻쏇뚼볙짨쫐뎡뚨볛ퟜ쳥폐킧ꎬ춨맽쫐뎡볛룱살볬퇩샭싛췆뛏ꆣJiang-Lee뫍Penman-Sougiannis튻퇹ꎬ뚼쎻폐퓋폃Ohlson쒣탍뗄탅쾢뚯첬뮯볙짨ꎬ쪵볊볬퇩뗄쫇맅뗤쪣폠쫕틦쒣탍ꆣ LeeꆢMyersꎨ1999ꎩ볬퇩쇋맅뗤쪣폠쫕틦쒣탍뗄볛룱룺ퟙ쓜솦뫍풤닢쓜솦ꆣ훷쇷뺭볃톧볒죏캪막욱볛룱쫇막욱볛횵뗄ퟮ뫃맀볆ꎬ틲뛸퇐뺿훘뗣럅퓚뛔막욱볛룱뗄뷢쫍짏ꎻ뛸쪵볊짏ꎬ볛횵뫍볛룱쫇늻튻퇹뗄ꎬ볛룱훐냼몬ퟅ쫐뎡퓫틴ꎬ볛룱쫇몬폐퓫틴뗄쫐뎡볛횵ꎬ틲듋ꎬ볛룱뫍볛횵쪵볊짏늢늻쿠뗈ꆣ헢쪱뫲ꎬ붫볛룱뫍볛횵럖뾪ꎬ떥뛀퇐뺿볛횵뻍럇뎣뇘튪ꆣLee-Myers뗄퇐뺿튻룄맽좥붫볛룱뗈폚볛횵뗄ퟶ램ꎬ붫볛룱뫍볛횵ퟩ돉튻룶킭헻쾵춳퇐뺿볛횵뗄뻶뚨쟩뿶ꆣLee-Myers퓚컄훐붫맅뗤쪣폠쫕틦쒣탍ퟷ캪맀볆볛횵뗄훷튪쒣탍ꎬ퇩횤헢룶맀횵쒣탍폫웤쯻맀횵쒣탍뗄닮뇰뫍폅쇓ꆣ Lee-Myers볬퇩룷룶맀횵쒣탍폅쇓쪱훷튪닉폃솽룶횸뇪ꎬ튻룶횸뇪쫇쒣탍맀쯣뗄볛횵뛔볛룱뗄룺ퟙ쓜솦ꎬ쇭췢튻룶횸뇪쫇맀쯣뗄볛횵뛔캴살막욱쫕틦뗄풤닢쓜솦ꆣ쯹캽룺ퟙ쓜솦ꎬ쫇횸룷룶맀횵쒣탍볆쯣뗄볛횵뫍볛룱뗄뷓뷼돌뛈ꆣ룺ퟙ쓜솦랴펳쇋튻룶맀횵쒣탍뛔췢늿뺭볃돥믷랴펦뗄쏴룐뛈ꎬ룺ퟙ쓜솦풽잿ꎬ쿔좻쒣탍뗄쏴룐뛈풽룟ꎬ듓뛸풽뻟폐뿉탅탔ꆣ풤닢쓜솦쫇횸룹뻝맀횵쒣탍볆쯣뗃떽뗄볛횵뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ폃V/Pퟷ캪ퟔ뇤솿뛔막욱뗄쫕틦뷸탐믘맩ꎬ룹뻝믘맩쾵쫽뫍에뛏춳볆솿살췆뛏룷룶쒣탍뗄풤닢쓜솦ꆣLee-Myers퓚컄헂훐붫쪣폠쫕틦쒣탍뫍욽쪱뎣폃뗄D/PꆢE/PꆢBV/P횸뇪뷸탐쇋뛔뇈ꆣ뷡맻랢쿖ꎬ맅뗤RI쒣탍볆쯣뗄볛횵뛔볛룱폐룼뫃뗄룺ퟙ쓜솦뫍풤닢쓜솦ꆣ뛔D/PꆢE/PꆢBV/P헢죽룶탲쇐뷸탐춳볆럖컶랢쿖헢죽룶탲쇐뚼쫇럇욽컈뗄ꎬ믲헟뺡맜쫇욽컈탲쇐떫쫇믘뢴떽뻹횵탨튪뫜뎤뗄쪱볤ꆣ떫쫇ꎬ죧맻닉폃맅뗤쪣폠쫕틦랽램볆쯣막욱볛횵Vꎬ늢뛔V/P뷸탐춳볆럖컶퓲뿉틔랢쿖헢룶탲쇐쫇욽컈뗄ꆣ틲듋ꎬ평늻욽컈탲쇐ퟟ쿲욽컈탲쇐ꎬ쿔좻ꎬ맅뗤쪣폠쫕틦랽램볆쯣뗄볛횵뛔볛룱폐룼뫃뗄룺ퟙ쓜솦ꆣ떥뛀붫D/PꆢE/PꆢBV/P뫍V/Pퟷ캪ퟔ뇤솿ꎬ붫막욱뗄뎬뛮믘놨ퟷ캪틲뇤솿뷸탐믘맩ꎬ뷡맻랢쿖V/P뗄쾵쫽쫇쿔훸뗄ꎬ뛸웤쯻벸룶쾵쫽뚼쫇늻쿔훸뗄,V/P뇈웤쯻쾵쫽폐룼뫃뗄풤닢쓜솦ꆣ쇭췢ꎬퟷ헟폖붫D/PꆢE/PꆢBV/P뫍V/P릲춬ퟷ캪ퟔ뇤솿ꎬ럅퓚춬튻룶믘맩쪽훐뷸탐럖컶ꎬ뷡맻랢쿖ꎬV/P뗄쾵쫽틀좻쫇쿔훸뗄ꎬ횤쏷몬폐웤쯻뇤솿쪱V/P틀좻뛔뎬뛮쫕틦폐뷢쫍쓜솦ꆣ FrankelꆢLeeꎨ1998ꎩ럖컶쇋샻폃럖컶쪦뗄풤닢ퟷ캪캴살믡볆쫽뻝뗄풤닢쪱ꎬ맅 49
뗤쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦ꆣFrankel-Lee샻폃럖컶쪦풤닢듺쳦쫐뎡뛔붫살펯폠뗄풤웚ꎬ좻뫳룹뻝맅뗤쪣폠쫕틦쒣탍쯣뗃막욱뗄볛횵Vꆣퟮ뫳볆쯣V횵뫍막욱볛룱뗄맘쾵ꆣ뷡맻랢쿖V횵뷢쫍쇋70%ퟳ폒뗄막욱볛룱뇤뮯ꎬV/P쫇막욱믘놨뗄뷏뫃풤닢틲ퟓꎬ늢쟒쯦ퟅ쪱볤뗄퇓뎤ꎬV/P햽싔뗄쫕틦풽룟ꆣ 맅뗤쪣폠쫕틦쒣탍훐듦퓚ퟅ컞쟮쟳뫍뗄탎쪽ꎬ틲듋쪵볊쪹폃쪱탨튪볆쯣훕횵ꆣFrankel-Lee퓚컄훐춨맽럖뛎볙짨뗄냬램볆쯣훕횵ꆣ뛔폚닉폃맽좥믡볆쫽뻝뗄맀횵쒣탍살쮵ꎬퟷ헟춳튻쪹폃ퟮ뷼쓪뛈뗄ROEퟷ캪캴살쯹폐쓪뛈ROE뗄쳦듺횵ꆣ떱닉폃럖컶쪦풤닢뗄쫽뻝쪱ꎬퟷ헟볙짨뛔폚퓚럖컶쪦풤닢웚쿞쓚뗄ROE횱뷓닉폃럖컶쪦풤닢뗄ROEꎻ퓚뎬맽럖컶쪦풤닢웚쿞뫳ꎬ퓲볙짨캴살쯹폐쓪럝뗄ROE뗈폚ퟮ뫳튻쓪럖컶쪦풤닢뗄ROEꆣ벴뎬맽럖컶쪦풤닢뗄웚쿞뫳ꎬ캴살뗄펯폠놣돖늻뇤ꎬ돉캪튻룶폀뻃쓪뷰ꆣ Frankel-Lee뇈뷏쇋MEꎨ릫쮾맦쒣ꎩꆢB/PꆢV/P죽훖횸뇪뛔막욱쫕틦뗄뷢쫍쓜솦ꆣ쫗쿈룹뻝ME듳킡붫쯹폐뗄firm-years럖돉컥ퟩꎬ볆쯣쎿ퟩ뗄뻹횵ꆣ좻뫳볆쯣헢컥룶ퟩ뫏퓚캴살1쓪ꆢ2쓪ꆢ3쓪뗄쫕틦ꎨ뻹횵ꎩꆣퟷ헟랢쿖ꎬB/PꆢV/P뻹쓜좡뗃뎬뛮쫕틦ꎬ떫쫇MEퟩ뫏뗄뎬뛮쫕틦늻쿔훸ꎻ튲뻍쮵ꎬ맦쒣듳킡뛔캴살쫕틦늢쎻폐쪵훊펰쿬ꆣ떫쫇룟B/P릫쮾ꎬ캴살쫕틦믡풽룟ꎬퟮ룟B/Pퟩ뫏폫ퟮ뗍B/Pퟩ뫏뗄쫕틦닮퓚1쓪캪%ꎬ2쓪캪%ꎬ3쓪캪%ꆣ룟V/P릫쮾ꎬ캴살쫕틦풽룟ꆣퟮ룟V/Pퟩ뫏폫ퟮ뗍V/Pퟩ뫏퓚뗚1쓪ꆢ2쓪ꆢ3쓪뗄쫕틦닮럖뇰캪%ꎬ%ꎬ%ꆣ쿔좻ꎬ쿠뛔폚B/P햽싔살쮵ꎬV/P햽싔퓚뛌웚쓚쫕틦뷏닮ꎬ떫쫇퓚뎤웚쓚ꎬV/P햽싔쓜릻좡뗃쿔훸룟뛮쫕틦ꆣ평폚V/P훐냼몬ퟅB/P뗄펰쿬ꎬ쓇쎴ꎬ쳞돽쇋B/P뫍웤쯻틲쯘뫳ꎬV/P쓜릻닺짺쿔훸뗄뷢쫍솦뛈쓘ꎿ캪쇋볬퇩헢룶틉컊ꎬFrankelꎭLee닉폃쇋쮫횸뇪럖ퟩ램ꎬ춬쪱룹뻝솽룶횸뇪뛔쯹폐뗄firm-years럖ퟩꎬ뾼달만뚨쒳룶킧펦뫳ꎬ웤쯻킧펦쫇럱뛔막욱쫕틦폐뷢쫍쓜솦ꆣퟷ헟럖뇰룹뻝MEꆢV/P뫍B/PꆢV/P뷸탐쇋럖ퟩꆣ뷡맻랢쿖ꎬ퓚뿘훆쇋ME뫍B/P킧펦뫳ꎬV/P뛔막욱쫕틦틀좻폐쿔훸뗄뷢쫍쓜솦ꆣ떫쫇퓚뿘훆쇋V/P뫳ꎬB/P킧펦쏷쿔복죵ꆣ Frankel-Lee럖컶쇋럖컶쪦풤닢컳닮뫍릫쮾쳘헷뇤솿뗄맘쾵ꆣ틔잰뗄퇐뺿랢쿖ꎺ릫쮾뷏룟뗄샺쪷쿺쫛퓶뎤싊믡떼훂럖컶쪦룟맀릫쮾캴살뗄쫕틦쓜솦ꎬ릫쮾캴살쪵볊쫕틦싊뷏뗍ꎻ럖컶쪦풤닢펵폐뷏룟뗄캴살펯폠퓶뎤싊뗄웳튵캴살쫕틦뷏뗍ꎻ럖컶쪦뗄맽럖샖맛믡떼훂캴살뗄뗍쫕틦ꎻB/P믡펰쿬릫쮾캴살쫕틦ꆣퟛ뫏틔짏틲쯘ꎬFrankelꎭLee럖뇰뾼달쇋B/PꆢSGꆢOPꆢLtg폫럖컶쪦풤닢컳닮뗄맘쾵ꆣ쫗쿈룹뻝쎿룶횸뇪붫쯹폐뗄Firm-years럖돉5ퟩꎬ뾼달B/PꆢSG뗈뗄뇤뮯쫇럱믡펰쿬럖컶쪦풤닢컳닮뗄뇤뮯ꆣ뷡맻랢쿖ꎬ펵폐뷏룟뗄SGꆢOPꆢLtgꎬ웤럖컶쪦풤닢컳닮럇뎣듳ꎬ뇭쏷SGꆢLtg뛔 50
럖컶쪦풤닢컳닮폐뷢쫍쓜솦ꆣ떫쫇뛔폚B/P살쮵ꎬ쟩뿶뇈뷏뢴퓓ꆣ룟뗄B/P믡떼훂뛌웚풤닢컳닮뷏룟ꎬ떫쫇뎤웚풤닢컳닮늻튻뚨ꎬB/P룟뗍뫍럖컶쪦풤닢컳닮쎻폐맦퓲뗄떥뗷맘쾵ꆣFrankel-Lee뾼달쇋럖컶쪦풤닢컳닮뛔막욱쫕틦뗄뷢쫍쓜솦뫍풤닢쓜솦ꆣ붫럖컶쪦풤닢컳닮ꎨ룹뻝틔짏럖컶쪦풤닢컳닮뫍쯄룶쳘헷뇤솿믘맩뗃떽뗄믘맩쾵쫽볆쯣뗄쿂튻쓪뛈뗄풤닢컳닮ꎩ뫍B/PꆢMEꆢV/P튻웰뛔릫쮾막욱뗄쿂튻쓪뛈쫕틦뷸탐믘맩ꎬ뷡맻랢쿖ꎬ돽쇋MEꎬ웤쯻쯹폐ퟔ뇤솿뗄닎쫽뚼쫇춳볆쿔훸뗄ꆣ틲듋ꎬ럖컶쪦풤닢컳닮뛔막욱쫕틦폐뛮췢뗄뷢쫍ퟷ폃ꆣ Ohlson(1995)쳡돶쿖듺쪣폠쫕틦쒣탍뫳ꎬ쪣폠쫕틦쒣탍쪵횤퇐뺿뾪쪼쿲뛔쿟탔탅쾢뚯첬뮯ꆢOhlson(1995)/Feltham-Ohlson(1995)뗈쒣탍뗄퇐뺿ꆣ Lundholm(1995)뛔Ohlson(1995)ꆢFeltham-Ohlson(1995)쒣탍뷸탐쇋쿪쾸뗄움싛ꆣLundholm횸돶ꎬOhlson쒣탍훐뗄PVD볙짨쪵볊짏냼몬ꎺ샻싊쫇럇쯦믺뗄ꎬ막욱볛룱퓚쪱볤짏싺ퟣ럇쳗샻탔훊ꎻ춶헟뛔막욱뗄뾴램쿠춬ꎬ늢쟒뚼쫇럧쿕훐탔뗄ꆣ횻폐헢쯄룶볙짨춬쪱돉솢ꎬPVD닅쓜퓚싟벭짏돉솢ꆣ뛸Ohlson(1995)쒣탍뗄맘볼볙짨CSR쪵볊짏폫쏀맺쿖탐뗄믡볆헾닟GAAP쫇늻쿠럻뫏뗄ꆣ틲캪쏀맺뗄쿖탐믡볆헾닟훐닺뢺햮뇭뗄폐킩뇤뮯늢늻춨맽쯰틦뇭햹쪾돶살ꎬ뇈죧샻싊뇤뮯떼훂뗄뺻닺뇤뮯뗈ꆣ떫쫇ꎬCSR쫇뛔GAAP뗄튻룶뷏뫃뗄뷼쯆ꆣ쿠뛔폚풭쿈뗄뫬샻쳹쿖쒣탍뫍쿖뷰쇷쳹쿖쒣탍튪뛔막샻뫍쿖뷰쇷ퟶ돶룷훖만뚨뗄볙짨ꎬCSR쫇튻룶뻞듳뗄뷸늽ꆣLundholm뮹뛔n뫍eퟶ쇋쟸럖ꆣn쫇뿉틔늿럖풤닢뗄ꎬ뛸ett1퓲쫇췪좫늻뿉풤닢뗄ꆣLID쫇t1tOhlson(1995)쒣탍뗄맘볼볙짨ꎬ횻폐퓚헢룶볙짨돉솢뗄쟩뿶쿂ꎬퟮ훕뗄뷡맻닅쫇폅쏀뗄ꆣLID볙짨쪵볊짏쓚퓚냼몬ퟅ릫쮾랢럅막샻믡복짙릫쮾뗄쿂웚펯폠ꎬ복짙뗄쫽솿뗈폚랢럅뗄막샻좡뗄컞럧쿕쫕틦ꎬ벴ꎺ∂E(x+)∂d=−(R−1)ꆣ헢룶뷡맻쪵볊짏쫇췆t1tf떼막샻컞맘탔뗄맘볼볙짨ꆣ쯹틔ꎬLID쫇쿖듺쪣폠쫕틦쒣탍뗄맘볼ꆣ DechowꆢHutton뫍Sloanꎨ1999ꎩ뛔Ohlson(1995)쒣탍쇋뷸탐쇋좫쏦볬퇩ꎬ뫳죋돆횮캪DHS볬퇩ꆣDHS퓚컄헂훐쳡돶ꎬOhlson(1995)쒣탍쳡돶뫳ꎬ틑폐뗄쪵횤볬퇩뚼듦퓚ퟅ훘듳뗄좱쿝ꎬ벴쎻폐뾼싇탅쾢뚯첬뮯뗄ퟷ폃ꆣ쪵볊짏ꎬOhlson(1995)쒣탍ퟮ듳뗄쳘즫뻍쫇탅쾢뚯첬뮯ꎬ죧맻늻뾼싇탅쾢뚯첬뮯ꎬ퓲볬퇩Ohlson(1995)쒣탍뫍볬퇩맅뗤쪣폠쫕틦쒣탍튻퇹ꎬ쎻폐쪲쎴뒴틢ꆣ틲듋ꎬ볬퇩Ohlson(1995)쒣탍맘볼튪뛔탅쾢뚯첬뮯뷸탐볬퇩ꆣDHS퓚컄훐럖뇰볬퇩쇋Ohlson쒣탍뛔막욱볛룱뗄벴쪱뷢쫍쓜솦뫍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ춬쪱ꎬDHS뮹뾼달쇋럖컶쪦풤닢컳닮뛔쪣폠쫕틦쪵볊컳닮뗄펰쿬ꎬ틔벰럖컶쪦뗄쪵볊풤닢컳닮뛔막욱쫕틦뗄펰쿬ꆣDHS랢쿖ꎬ럖컶쪦뗄풤닢컳 51
닮뛔쪣폠쫕틦쪵볊컳닮뫍막욱쫕틦뚼폐튻뚨펰쿬ꎻ춶헟뚨볛늻쫇췪좫샭탔뗄ꎬ뛸쫇볲떥뗘붫듳늿럖힢틢솦럅퓚럖컶쪦뗄풤닢짏ꆣ 퓚볆쯣쪣폠쫕틦쪱ꎬDHS쪹폃뗄쫇늻뇤뗄놾돉놾12%ꆣDHS죏캪ꎬ뎤웚틔살ꎬ쏀맺막욱춶뗄뎤웚쫕틦싊듳룅뻍쫇12%ꆣDHS폃럖컶쪦뗄풤닢살뛈솿Ohlson(1995)쒣탍훐뗄웤쯻탅쾢nꆣ룹뻝Ohlsona(1995)쒣탍훐뗄ꎺax+1=wx+n+e1ꎬ,+1뿉횪ttttn=Ea−axꆣ죧맻컒쏇폃럖컶쪦풤닢뗄뎬뛮펯폠뇭쪾t웚뛔t+1웚뎬뛮펯폠뗄ttt+wx1t풤웚횵뗄뮰ꎬ퓲ꎺEaaxtt+=f=f−r∗bꎻ뷸튻늽뿉뗃떽ꎺ1tttn=aaaf−wx=f−r∗b−wxꆣ웤훐ꎬf뇭쪾럖컶쪦퓚t웚뛔쿂웚펯폠뗄풤닢ꎬb뇭tttttttt쪾t웚쒩뗄뺻닺ꎬr캪컞럧쿕쫕틦싊ꆣDHS춨맽쪣폠쫕틦뗄쪱볤탲쇐맀볆쪣폠쫕틦뗄훍뫳튻뷗뗄쾵쫽wꎬ좻뫳샻폃w뫍짏쫶릫쪽뗃떽nꆣ tDHS붫룷룶릫쮾뗄뎬뛮펯폠뇭쪾돉틔잰쓪뛈뗄펯폠ꆢ짏튻쓪뛈펯폠훐럇뺭뎣쿮쒿뗄듳킡ꆢ펪퓋펦볆뗄듳킡ꆢ막샻횧뢶싊뫍닺튵욽뻹뎬뛮펯폠뗄몯쫽ꎬ벴ꎺ xa=w+wxaaat01t−1+w2(xt−1q1t−1)+w3(xt−1q2t−1) ꎨꎩ +wxa4(t−1q3−1)5(x−1div−1)6(x−1indettttt−1)+twc=w1+w2q1+wq+wq+wdivwindt32t43+ t5t6t웤훐ꎺq1캪뎬뛮펯폠뫍훍뫳1웚헋쏦횵뗄뇈횵ꎻq2캪쳘쫢쿮뫍훍뫳1웚헋쏦횵뗄뇈횵ꎻq3캪펦볆듳킡폫훍뫳1웚헋쏦횵뗄뇈횵ꎻdiv캪ퟮ뷼쓪뛈막샻뫍펯폠뗄뇈횵ꎻind쫇춨맽뛔맽좥룃닺튵쯹폐릫쮾뗄뎬뛮펯폠듓1950쓪떽쯹퇐뺿쓪럝잰뗄쯹폐쫽뻝뷸탐ퟝ쇐믘맩뗃떽뗄펯폠돖탸탔쾵쫽ꆣ뇈죧ꎬ떱퇐뺿뗄쓪럝쫇1976쓪쪱ꎬퟷ헟뛔쒳룶닺튵1950-1975쓪쯹폐릫쮾뗄뎬뛮펯폠뷸탐믘맩뗃떽닺튵뎬뛮펯폠돖탸탔쾵쫽ꆣ쯹폐뗄뇈횵뚼좡뻸뛔횵ꆣ떱막샻횧뢶싊캪뢺쫽쪱ꎬ볙뚨쯼쏇캪ퟮ뷼쓪뛈뗄횧뢶싊ꎻ죧맻막샻횧뢶싊듳폚1ꎬ퓲짨캪1ꆣ 뛔뎬뛮펯폠뷸탐ퟔ믘맩볬퇩랢쿖ꎬ뎬뛮펯폠뗄1뷗ퟔ믘맩쾵쫽쿔훸듳폚0킡폚1ꎬ뻟쳥쫽횵캪,헢폫Ohlson쒣탍뗄풤닢튻훂ꆣ쇭췢ꎬ2뷗ퟔ믘맩쾵쫽튲쿔훸듳폚0ꎬ떫쫇ꎬ쫽횵뫜킡ꆣ퓚붫bv볓죫떽뛔뎬뛮펯폠뷸탐믘맩틔뫳랢쿖ꎬbv뗄쾵쫽캪뢺ꎬ헢뇭쪾믡볆헾닟뇈뷏벤뷸ꆣ쯹폐뗄믘맩뚼폃ퟝ쇐쫽뻝뷸탐ꎬ벴춬쪱쪹폃룷룶릫쮾1976-1995쯹폐쓪뛈뗄쫽뻝뷸탐럖컶ꆣ믘맩쪽캪ꎺ 52
aax ꎨꎩ i,t+1=w0+w1x+e i,ti,t+1붫볆쯣뗄룷쓪뛈뗄w횵ꎬ횱뷓듺죫Ohlson쒣탍볆쯣룷쓪뛈룷룶릫쮾뗄볛횵ꎬ좻뫳붫쪵볊볛룱뫍볛횵쿠복ꎬ춳볆볆쯣컳닮뇈뷏룷쒣탍뗄폅쇓ꆣ뷡맻랢쿖ꎬ퓚뾼싇쇋럖컶쪦뗄풤닢뫳ꎬ볛룱뫍볛횵볤뗄컳닮폐쯹복킡ꆣ떫쫇ꎬ퓚뾼달룷룶쒣탍뛔캴살막욱볛룱뗄풤닢쓜솦쪱ꎬ냼몬쇋럖컶쪦풤닢뗄막욱맀횵쒣탍웤뛔막욱볛룱뗄풤닢쓜솦랴뛸뇈쎻폐냼몬럖컶쪦풤닢뗄맀횵쒣탍뗄풤닢쓜솦닮ꎬ헢폫Ohlson(1995)쒣탍쫇돥춻뗄ꎬ튲폫ퟷ헟퓚컄헂잰늿럖쯹랢쿖뗄냼몬쇋럖컶쪦뗄풤닢쪱맀횵쒣탍뛔떱웚막욱볛룱뗄뷢쫍쓜솦룼뫃쿠돥춻ꆣDHS췆뛏죏캪헢뿉쓜쫇평폚쫐뎡뢳폨쇋럖컶쪦뗄풤닢맽뛈뗄좨훘ꎬ첫맽폚뾼싇럖컶쪦뗄풤닢뗄풵맊ꎬ춶헟쎻폐뛔럖컶쪦뗄풤닢ퟶ돶ퟔ벺뗄에뛏ꆣ틲듋ꎬ쫐뎡늻쫇췪좫샭탔뗄ꆣDHS뛔ퟔ벺뗄췆뛏ퟶ쇋뷸튻늽뗄볬퇩ꆣ볬퇩랢쿖ꎬ뎬뛮펯폠뗄풤닢컳닮훐ꎬ럖컶쪦풤닢컳닮쫇펰쿬틲쯘횮튻ꆣ쇭췢ꎬ퓚붫럖컶쪦풤닢컳닮뛔막욱쫕틦뷸탐믘맩랢쿖ꎬ럖컶쪦풤닢컳닮뛔폚막욱쫕틦폐튻뚨펰쿬ꎬ떫쫇펰쿬늢늻쿔훸ꆣ DHS볬퇩쫇샭싛퇐뺿쇬폲훐뗚튻듎볬퇩Ohlson쳡돶뗄쿟탔탅쾢뚯첬뮯볙뚨ꆣDHS뗄싛컄랢뇭뫳ꎬ쿖듺쪣폠쫕틦쒣탍뗄쪵횤퇐뺿풽살풽맦랶ꎬ룼뛠뗄퇐뺿랽램뫍퇐뺿돉맻쿠볌랢뇭ꆣDHS퓚컄헂훐쳡돶뗄뫜뛠컊쳢뚼돉캪뫳탸쪵횤퇐뺿뗄훘튪쓚죝ꆣ뇈죧DHS퓚컄헂훐쳡떽뗄Ohlson(1995)쒣탍쓚퓚닎쫽늻튻훂뗄컊쳢ꆣDHS퓚싛컄훐뛔뇈쇋횱뷓뛔맀횵랽돌뷸탐믘맩뗃떽뗄쾵쫽뫍춨맽LID믘맩볆쯣뗃떽뗄쾵쫽뗄맘쾵ꎬ랢쿖헢솽훖랽램뗃떽뗄쾵쫽늻튻훂ꎬ듓뛸돶쿖쇋쒣탍닎쫽쓚퓚늻튻훂뗄쟩뿶ꆣDHS퓚컄헂훐늢쎻폐뛔헢룶컊쳢뷸탐짮죫럖컶ꎬ헢룶쿟쯷돉캪뫳살Myers뗈죋퇐뺿뗄훘튪샭싛살풴ꆣ 떱좻ꎬퟷ캪튻욬첽쯷탔뗄컄헂ꎬDHS볬퇩튲듦퓚ퟅ튻킩좱쿝ꆣ뗚튻룶좱쿝쫇DHS뛔헛쿖싊뗄뒦샭랽램ꆣDHS퓚컄헂훐톡뚨12%ퟷ캪튻룶만뚨늻뇤뗄헛쿖싊ꎬ늢쟒쎻폐쮵쏷뫍뇈뷏웤쯻샠탍헛쿖싊뗄뿉쓜떼훂뗄쟩뿶ꎬ헢돉캪DHS볬퇩뗄튻룶좱몶ꆣ웤듎ꎬDHS퓚볬퇩LID쪱ꎬ붫w뫍g럖뾪좷뚨ꎬ헢룶랽램쪵볊짏캥랴쇋Ohlson쒣탍뗄튻훂탔뺫짱ꆣw뫍g펦룃쫇튻웰좷뚨뗄ꎬ틲캪쯼쏇놾짭쫇튻룶헻쳥ꎬ잿탐붫쯼쏇럖뾪믡틽웰뫜뛠컊쳢ꆣ뗚죽ꎬ퓚맀쯣w쪱ꎬDHS쪹폃뗄쫇쏦냥믘맩뗄랽램ꎬ헢훖랽램볙짨룷룶릫쮾퓚쯹폐뗄쪱볤웤w뚼쿠뗈ꎬ헢폫Ohlson쒣탍쫇늻튻훂뗄ꆣ뺡맜DHS틢쪶떽쇋헢룶컊쳢ꎬ닉폃쇋뇤춨뗄랽램쫔춼쏖늹헢룶좱쿝ꎨDHS붫w뇭쪾캪쎿룶릫쮾쳘쫢쳘헷횵뗄몯쫽ꎬ좻뫳뛔헢킩쳘헷횵뷸탐쏦냥믘맩ꎬ붫믘맩뗃떽뗄쳘헷횵쾵쫽볓ퟜ뗃떽w횵ꎩꎻ떫쫇ꎬ헢훖랽램뗃떽뗄w틑뺭췪좫췑샫쇋Ohlson쒣탍ꎬ웤쪵볊짏틑뺭뒴퓬쇋쇭췢튻 53
룶쒣탍ꆣ Morel(2003)볬퇩쇋Ohlson(1995)쒣탍뗄쓚짺탔ꆣMorel죏캪ꎬퟔ듓Ohlson쳡돶쿖듺쪣폠쫕틦쒣탍틔뫳ꎬ웤뛔믡볆샭싛뷧뗄볛횵쿠떱폚CAPM쒣탍뗄볛횵ꎬ떫쫇웦맖뗄쫇ꎬ뛔Ohlson쿖듺쪣폠쫕틦쒣탍뗄쪵횤좴첫짙ꆣ횱떽2003쓪캪횹ꎬ헦헽뛔Ohlson쿖듺쪣폠쫕틦쒣탍뷸탐볬퇩뗄횻폐DHS뫍Myers솽욪컄헂ꆣDHS뫍Myers뗄쪵횤뷡맻뚼쟣쿲폚늻횧돖Ohlson쾵쇐쒣탍ꆣ틲듋폐뇘튪훘탂퇐뺿ꆣ Morel퓚뛔LID볙뚨뷸탐맀볆쪱ꎬ뛔폚LID훐뗄웤쯻탅쾢뇤솿닉폃쇋볲떥뗄뒦샭랽램ꆣMorel죏캪ힼ좷뗄맀볆펰쿬룷룶릫쮾뗄웤쯻틲쯘럇뎣삧쓑ꎬ틲듋캪쇋볲뮯볆쯣ꎬMorel횱뷓붫웤쯻탅쾢볲뮯캪튻룶뎣쫽쿮럅퓚믘맩쪽훐ꆣ헢퇹ꎬOhlson(1995)뗄볬퇩쪽뻍뇤캪ꎺ wP=h+y+xa ꎨꎩ ttRtc−w풭쿈뗄n평뎣쫽쿮h듺쳦ꆣ 떫쫇ꎬ평폚놾돉놾쫇쓚짺뗄ꎬ쪣폠쫕틦xa쫇컞램떥뛀볆쯣뗄ꎬ뇘탫뫍볛횵춬쪱t좷뚨ꆣ틲듋ꎬxa늻쓜돶쿖퓚믘맩쪽훐ꆣ캪듋ꎬ룹뻝쪣폠쫕틦뗄뚨틥ꎺ tax=x−(R−1)yttct−1 ꎨꎩ 붫헢룶뚨틥듺죫떽LID뫍볛횵믘맩쪽훐ꎬ뻍뿉틔뗃떽ꎺ x=n−1+wx−1+(Rc−)y(−)+ ꎨꎩ t−1wRc1ytttt−2etw(Rc−1)wP=h+x+y−y1 ꎨꎩ tRtt−c−뷸튻늽ꎬMorel붫Rc뇭쪾돉Rc=R+RP뗄탎쪽ꆣ웤훐ꎬR캪1볓컞럧쿕샻싊ꎬtftft뇭쪾헛쿖싊쯦쪱볤뇤뮯뗄솿ꎬ폃튻룶퓂뗄맺뿢좯샻싊뇭쪾컞럧쿕샻싊ꎻRP캪룷룶릫쮾떥뛀뗄럧쿕짽쮮ꎬ뇭쪾룷룶릫쮾쳘폐뗄럧쿕ꎬ헢룶뇤솿쯦릫쮾뛸뇤ꆣ헢훖뇭쪾쪹뗃Rc볈뿉틔뇭쪾뫡뷘쏦뗄샻싊뇤뮯ꎬ튲뿉틔뇭쪾쪱볤탲쇐뗄샻싊뇤뮯ꆣ붫Rc뗄헢훖뇭쪾듺죫ꎨꎩꆢꎨꎩ쪽뿉틔뗃떽ꎺ x′=n−+wx′−+RPy+ ꎨꎩ tt1t1t−1wRPy−et2t 54
wRPwP=h+x′+y−y ꎨꎩ tRttt−1c−tct웤훐ꎬx′=x−(R−1)yttftt−ꆣ 1붫틔짏솽쪽뷸탐볲뮯ꎬ뿉틔뗃떽믘맩쪽ꎺ x′=a0+a′1x−+ay−+aytt12t13t−2+e1 ꎨꎩ tP−y=b0+b′1x+byttt2t−1+e2 ꎨꎩ t붫y틆떽ퟳ뇟뿉틔뇜쏢폒뇟뗄릲쿟탔컊쳢ꆣ룹뻝틔짏솽쪽틔벰Ohlson쒣탍뿉틔t에뛏ꎺ 0<a1<1ꎬa2>0ꎬa3<0ꎬb1>0ꎬb2<0 쿔좻a3=−a1a2ꎬ닎쫽볤폐럇쿟탔맘쾵ꆣ Morel춨맽죽룶늽훨뷸탐ퟔ벺뗄릤ퟷꆣ 뗚튻늽쫇횱뷓뛔틔짏솽쪽뷸탐OLS믘맩ꎬ붫뗃떽뗄닎쫽럻뫅뫍Ohlson(1995)쒣탍풤볆뗄닎쫽럻뫅뇈뷏ꎬ췆뛏Ohlson(1995)쒣탍뗄뫏샭탔ꎻ뛾쫇럖뇰뛔LID뫍맀횵랽돌뷸탐럇쿟탔믘맩ꎬ붫뗃떽뗄닎쫽뷸탐뇈뷏ꎬ볬퇩Ohlson(1995)쒣탍뗄닎쫽쓚퓚튻훂탔ꎻ죽쫇볙짨LID뫍맀횵랽돌뗄닎쫽쿠뗈ꎬ듓뛸맀횵랽돌뇤돉튻룶폐풼쫸뗄믘맩ꎬ뛔헢룶랽돌뷸탐럇쿟탔믘맩ꎬ뗃떽맀횵닎쫽뗄횵ꎬ볬퇩웤쿔훸탔ꆣ Morel쪹폃쏀맺1962-1996쓪뗄쫽뻝ퟷ캪퇐뺿뛔쿳ꎬ늢붫쯹폐뗄쫽뻝폃룷룶릫쮾쓪돵ퟜ닺쿠돽ꎬ틔놣횤쪱볤탲쇐쫽뻝뗄욽컈탔ꆣ볬퇩뷡맻뇭쏷ꎬ퓚뗚튻늽믘맩훐ꎬ늿럖뇤솿뗄닎쫽럻뫅폫Ohlson(1995)쒣탍풤웚뗄쿠랴ꎬ훷튪쫇LID훐뗄훍뫳웚bv뗄럻뫅ꆣ평폚LID훐뇤솿횮볤폐릲쿟탔컊쳢ꎬMorel닉폃쇋훰붥복짙뇤솿쫽쒿뗄냬램룄솼믘맩뷡맻ꎬ뷡맻랢쿖bv뗄쾵쫽횵폐쯹룄짆ꎬ떫쫇틀좻폫샭싛늻럻ꆣ뛸퓚맀횵랽돌뗄믘맩훐ꎬퟷ헟랢쿖bv뗄횵춳볆짏늻쿔훸ꎬ헢폫샭싛쫇늻럻뗄ꆣ틲듋ꎬ뗚튻늽믘맩뗄뷡맻뇭쏷Ohlson쿖듺쪣폠쫕틦쒣탍뷢쫍솦폐쿞ꆣ쓇쎴ꎬ쫇럱쫇틲캪닎쫽볤뗄럇쿟탔떼훂쇋맀횵컳닮쓘ꎿ Morel폖뷸탐쇋뗚뛾늽뗄럇쿟탔믘맩ꎬ뷡맻랢쿖춨맽LID믘맩볆쯣돶살뗄닎쫽뫍맀횵랽돌믘맩뗃떽뗄닎쫽늻쿠뗈ꎬ맘폚쾵쫽쿠뗈뗄솪뫏볬퇩쎻폐춨맽ꆣ틲듋ꎬ쪵볊짏쒣탍쫇쓚퓚늻튻훂뗄ꆣ ퟮ뫳ꎬMorel볙짨솽룶믘맩쪽훐뗄쾵쫽쿠뗈ꎬ뷸탐맀횵랽돌뗄쫜풼쫸믘맩ꎬ랢쿖 55
쿟탔탅쾢뚯첬뮯볙뚨훐뗄돖탸탔쾵쫽틀좻쫇쿔훸뗄ꎬ헢뇭쏷Ohlson쳡돶뗄쿟탔탅쾢뚯첬뮯볙뚨폐샭싛뫏샭탔ꆣ Morel죏캪ퟔ벺뗄볬퇩뷡맻쪵볊짏뛔폚Ohlson쿖듺쪣폠쫕틦쒣탍살쮵쫇뢺쏦뗄ꎻ틲캪ퟔ벺뗄퇐뺿횤쏷쒣탍뗄닎쫽폐쓚퓚늻튻훂탔ꎬ쟒폐킩뷡맻늻쿔훸ꆣ헢킩좱쿝뇭쏷Ohlson쿖듺쪣폠쫕틦쒣탍뮹듦퓚ퟅ샭싛짏뗄컊쳢ꆣ떱좻ꎬ헢킩뷡맻횻쫊폃폚쳘뚨뗄쫽뻝뫍쳘뚨뗄퇹놾웚ꆣ춬쪱ꎬMorel튲죏캪ퟔ벺볲뮯뒦샭쇋웤쯻탅쾢nꎬ뿉쓜믡틽웰튻킩컳닮ꆣ쇭췢ꎬLID뗄탎쪽뿉쓜늻쫇AR1뗄ꎬ뛸쫇뛠뷗훍뫳뗄ꆣ헢킩컊쳢뚼폐듽캴살볌탸뷸탐퇐뺿ꆣ Callen뫍Segalꎨ2002ꎩ뛔Feltham-Ohlson(1995)쒣탍뷸탐쇋볬퇩ꆣ샭싛뷧뛔쿖듺쪣폠쫕틦쒣탍뗄퇐뺿벯훐퓚Ohlson(1995)쒣탍짏ꎬ뛔Feltham-Ohlson(1995)/96쒣탍뗄맘힢돌뛈늻릻ꎬCallen-Segal뗄퇐뺿쳮늹쇋헢룶뿕냗ꆣ뿆톧퇐뺿훐튻룶쒣탍펦룃쫇쓜릻놻횤캱뗄ꎬ튲뻍쫇쮵쓜릻춨맽쪵횤퇐뺿볬퇩쒣탍뗄풤닢쓜솦ꆣ쪵볊짏ퟮ돵뗄Feltham-Ohlson(1995)쫇늻쓜릻놻횤캱뗄ꆣ틲캪ퟮ돵뗄쿖듺쪣폠쫕틦쒣탍훐몬폐쎻폐쏷좷뚨틥뗄웤쯻럇믡볆탅쾢vꆣ평폚헢룶v쎻폐뻟쳥뚨틥ꎬ틲듋쎿룶죋퓚볬퇩뗄쪱뫲뚼뿉틔춨맽쫊떱뗄볙짨붫v뇭쪾돉쒳룶탎쪽ꎻ튻떩볬퇩놻뻜뻸쇋ꎬ죋쏇룹놾컞램에뛏떽뗗쫇쒣탍짨뚨듭컳ꎬ뮹쫇볬퇩헟짨뚨뗄v듭컳ꆣ틲듋ꎬퟮ돵뗄Feltham-Ohlson(1995)컞램횤캱ꆣ횱떽2000쓪Liu뫍Ohlson랢뇭탂뗄싛컄뛔Feltham-Ohlson(1995)ퟶ돶쇋탞룄ꎬFeltham-Ohlson(1995)쒣탍닅뇤뗃뿉틔횤캱ꆣLiu-Ohlson횱뷓뛔Feltham-Ohlson(1995)뗈쪽솽뇟좡풤웚쯣ퟓꎬ좻뫳볙짨쫐뎡뛔캴살펯폠뗄샭탔풤웚횵캪럖컶쪦뗄풤닢ꎻ헢퇹ꎬ춨맽럖컶쪦뗄풤닢뻍뿉틔뇭쪾돶웤쯻탅쾢vꎬ듓뛸뷢뻶쇋Feltham-Ohlson(1995)뗄컞램횤캱컊쳢ꆣ뺭맽Liu-Ohlsonꎨ2000ꎩ뗄뇤뮻뫳ꎬv늻퓙횱뷓돶쿖퓚Feltham-Ohlson(1995)쒣탍훐ꎬ쒣탍뿉틔횤캱ꎬ튲뿉틔쪵횤볬퇩ꆣ Callen-Segal죏캪ꎬ틔잰뗄퇐뺿뚼쫇늿럖뗘횧돖Ohlson(1995)쒣탍ꎬ뛸뛔Feltham-Ohlson(1995)쒣탍퓲쫇쟣쿲폚뻜뻸ꆣ뿉쓜뗄풭틲쫇Ohlson(1995)쒣탍볙짨믡볆컞욫ꎬ떫쫇쪵볊짏쏀맺뗄믡볆쫇폐욫뗄ꎬ틲듋Ohlson(1995)쒣탍뿉쓜닺짺뗍맀컊쳢ꆣ뛸Feltham-Ohlson(1995)쒣탍폅폚Ohlson(1995)쒣탍뗄뗘랽뻍쫇쯼뾼싇쇋믡볆뗄컈붡탔ꎬ붫펪튵닺뗄퓶뎤싊쓉죫떽맀횵쒣탍훐ꆣ떫쫇ꎬ틔잰뛔Feltham-Ohlson(1995)쒣탍뗄볬퇩훐뚼쎻폐뾼싇v뗄펰쿬ꎬ틲듋뷡맻늻뛔ꆣ죧맻럖컶뇭쏷Feltham-Ohlson(1995)쒣탍폅폚Ohlson(1995)쒣탍ꎬ퓲횤쏷믡볆컈붡탔폐훺폚풤닢볛횵ꎻ죧맻Feltham-Ohlson(1995)뫍Ohlson(1995)쒣탍뚼놻뻜뻸ꎬ퓲뇭쏷튪쎴Ohlson뗄쿟탔탅쾢뚯첬뮯볙짨늻헽좷ꎻ튪쎴뇭쏷늻뾼싇웆닺돉놾ꆢ쫐뎡늻췪짆뗄쿟탔맀횵쒣탍듦퓚좱쿝ꎬ 56
늻뿉쓜ힼ좷맀쯣막욱뗄볛횵ꆣ 퓚쪵볊볬퇩훐ꎬCallen-Segal폃떽뗄믘맩랽돌캪ꎺ Poa=l0+l1faoa+2E[∆ox+1]oa+l3E[ox1]+[∆]ttttttttt+oal4Eoa+1oa ꎨꎩ tttt룃랽돌평ꎺ P=l0oa+l1fa+l2E[∆ox+1]l3E[ox]+[∆] ꎨꎩ ttttttt+1l4Eoatt+1퇝뮯뛸살ꆣ 룹뻝Feltham-Ohlson뗄볙뚨ꎬl1펦뗈폚1ꎻl3뫍l4펦룃듳폚0ꆣ캪쇋볬퇩믡볆컈붡탔뗄ퟷ폃ꎬCallen-Segal춬쪱뾼싇쇋Ohlson(1995)쒣탍ꆣOhlson(1995)쒣탍쪵훊쫇Feltham-Ohlson(1995)쿖듺쪣폠쫕틦쒣탍뗄튻룶쳘샽ꆣOhlson(1995)쒣탍쪵훊쫇l4ꎽ0ꎬl3ꎽ1ꎭl2ꎨRꎭ1ꎩꆣCallen-Segal쪹폃쏀맺1989쓪1퓂ꎭ1997쓪12쯹폐9쓪뗄쫽뻝ퟷ캪럖컶뛔쿳ꆣ Feltham-Ohlson(1995)쒣탍볬퇩뗄쓑뗣쫇쟸럖볬퇩쪽훐뗄닆컱닺ꆢ펪튵닺뫍닆컱펯폠ꆢ펪튵펯폠ꆣCallen-Segal죏캪ꎬ샭싛짏뗄헢훖쟸럖쪵볊짏쫇폐컊쳢뗄ꆣ틲캪튻룶웳튵뗄닆컱닺쪵볊짏쫇캪쇋캴살릺싲풭닄쇏ꆢ믲뷸탐춶ꎬ닆컱닺뫍펪튵닺뷧쿞늢늻쟥돾ꎻ쪵볊닆컱놨뇭늢늻뷸탐헢훖쟸럖ꆣCallen-Segal퓋폃쇋뫜뢴퓓뗄돌탲뛔닆컱놨뇭뷸탐쇋뗷헻듓뛸뗃떽닆컱닺ꆢ펪튵닺ꎬ닆컱펯폠뫍펪튵펯폠ꆣ쇭췢ꎬ쒣탍훐폃떽뗄헛쿖싊춨맽맺뿢좯샻싊볓짏닺튵럧쿕짽쮮뗃떽ꎬ웤훐닺튵럧쿕짽쮮닉폃fama1997쓪뗄죽틲쯘램뗃떽ꆣ헢퇹ꎬ헛쿖싊볈뾼싇쇋쪱볤틲쯘ꎨ맺뿢좯샻싊쫇쪱뇤뗄ꎩꎬ폖뾼싇쇋뫡뷘쏦틲쯘ꎨ룷룶닺튵늻춬ꎩꆣ쒣탍훐폃떽뗄샻쾢싊뗈폚샻쾢럑폃돽틔ퟜ햮컱ꎬ떱햮컱캪뢺횵쪱ꎬ닉폃닺튵뗄훐캻샻쾢싊듺쳦ꆣ캴살뗄닺퓶뎤싊폃럖컶쪦풤닢뗄캴살뎤웚펯폠뗄퓶뎤싊듺쳦ꆣ헢쪵볊짏뻍쫇볙짨릫쮾캴살뗄펯샻쓜솦뫍룜룋뇈싊늻뇤ꆣ Callen-Segal럖뇰닉폃룷쓪뛈뫡뷘쏦믘맩뫍ퟜ뗄ퟝ쇐믘맩뗄랽램뛔짏쫶랽돌뷸탐믘맩ꆣ뷡맻랢쿖ꎬ룷룶닎쫽뗄럻뫅럻뫏Feltham-Ohlson뗄볙짨ꎬ늢쟒닎쫽뚼쫇춳볆쿔훸뗄ꆣ떫쫇퓚볬퇩Ohlson(1995)쒣탍쪱ꎬ닎쫽횵춳볆틢틥짏늻쿔훸ꆣCallen-Segal뇈뷏쇋Feltham-Ohlson(1995)ꆢOhlson(1995)뫍쫐뎡쫕틦쒣탍뛔1쓪뫳막욱쫕틦뗄풤닢쓜솦ꆣ뷡맻랢쿖ꎬ헻쳥짏ꎬ볲떥쫐뎡쒣탍뗄풤닢컳닮ퟮ킡ꎬힼ좷탔ퟮ룟ꎻFeltham-Ohlson(1995)쒣탍쯤좻뇈Ohlson(1995)쒣탍뗄풤닢컳닮킡ꎬힼ좷탔룟ꎬ떫쫇뇈볲떥쫐뎡쒣탍컳닮듳ꎬ 57
쟒ힼ좷탔뗍ꆣ쇭췢ꎬFeltham-Ohlson(1995)뫍Ohlson(1995)뚼뗍맀쇋볛횵ꎬ뛸쫐뎡쒣탍퓲룟맀쇋볛횵ꆣ ퟜ횮ꎬCallenꎭSegal랢쿖Feltham-Ohlson(1995)쒣탍늢쎻폐뫜뫃뗄뷢쫍솦ꎬ뛸쟒닆컱닺뗄닎쫽폫샭싛풤닢횵1 늢늻튻훂ꎨ믘맩랽돌훐듳폚1ꎩꆣ뿉쓜뗄풭틲냼삨ꎺ풤웚뇤솿뗄쳦듺횵늻뛔ꎬ닉폃럖컶쪦풤닢뗄횵듺쳦풤웚횵틀좻늻릻ힼ좷ꎻ뛾쫇뷢쫍뇤솿볤듦퓚ퟅ뛠훘릲쿟탔컊쳢ꎻ죽뿉쓜쫇틲캪Feltham-Ohlson(1995)뫍Ohlson(1995)쒣탍뚼쎻폐뾼싇릫쮾뗄웆닺돉놾ꆢ쫐뎡늻췪짆ꆢ탅뫅뒫뗝뗈틲쯘ꎬ틲뛸뷢쫍솦뷏닮ꆣ HandꆢLandsmanꎨ2005ꎩ샻폃Ohlson쿖듺쪣폠쫕틦쒣탍뾼싇쇋막샻헽뚨볛컊쳢ꆣ룹뻝MM뗄막샻컞맘탔뚨샭ꎬ릫쮾랢럅뗄막샻뛔떱웚막욱볛룱믡퓬돉1ꎺ1뇈샽뗄복짙ꆣ떫쫇ꎬ뫜뛠퇐뺿랢쿖ꎬ떱웚막샻뫍볛룱볤늢늻쫇뢺쿠맘뗄맘쾵ꎻ쿠랴ꎬ릫쮾떱웚막샻뎣뎣뫍떱웚볛룱돊쿖돶헽쿠맘뗄맘쾵ꆣ헫뛔헢훖캥놳MM뚨샭뗄쿖쿳ꎬHand-Landsman샻폃Ohlson쿖듺쪣폠쫕틦쒣탍볬퇩쇋샭싛뷧뗄쯄훖뷢쫍ꆣ뗚튻룶훖뷢쫍죏캪막샻쫇Ohlson쿖듺쪣폠쫕틦쒣탍훐웤쯻탅쾢v뗄쳦듺ꎻ뗚뛾훖뷢쫍쫇막샻쫇탅쾢늻뛔돆쟩뿶쿂ꎬ릫쮾맜샭헟쿲췢늿막뚫랢돶뗄릫쮾뺭펪ힴ뿶뗄탅뫅ꆣ폈웤쫇퓚릫쮾쿝죫삧뺳쪱ꎬ릫쮾맜샭헟죧맻뛔릫쮾뗄캴살돤싺탅탄ꎬ퓲믡춨맽랢럅막샻붫ퟔ벺뗄탅탄뒫뗝돶좥ꎻ뗚죽훖뷢쫍쫇탅쾢늻뛔돆쟩뿶쿂ꎬ릫쮾맜샭헟춨맽랢럅막샻살뇭쪾ퟔ벺쫇폅탣뗄맜샭헟ꎬ복짙ퟔ벺쓜릻횧엤뗄쿖뷰쇷ꆣ틲듋ꎬ랢럅막샻쫇맜샭헟쿲췢늿막뚫랢돶ퟔ벺쫇폅탣맜샭헟뗄탅뫅ꎻ릫쮾맜샭헟춨맽랢럅막샻쿲췢늿막뚫뇭쏷릫쮾뗄듺샭돉놾쫇뗍뗄ꎻ뗚쯄훖뷢쫍쫇쫐뎡쫇컞킧뗄ꎬ럖컶쪦뛔붫살펯폠뗄풤닢믡돶쿖욫닮ꎬ춶헟뛔막욱뗄뚨볛튲믡돶쿖욫닮ꎬ틲듋ꎬ막샻쫇뻀헽럖컶쪦풤닢컳닮뫍춶헟뚨볛욫닮뗄뇤솿ꆣ 죧맻막샻쫇Ohlson쿖듺쪣폠쫕틦쒣탍훐웤쯻탅쾢v뗄쳦듺뇤솿뗄뮰ꎬ퓲Ohlson쿖듺쪣폠쫕틦쒣탍훐폐쯄룶볙짨뇘좻돉솢ꎺ뗚튻ꎬ막샻뫍웤쯻탅쾢v헽쿠맘ꎻ뗚뛾ꎬ퓚늻뾼싇웤쯻탅쾢뗄쟩뿶쿂ꎬ막샻폐훺폚풤닢붫살뗄뎬뛮펯폠ꎻ뗚죽ꎬ퓚뾼싇웤쯻탅쾢쪱ꎬ막샻뛔붫살뗄뎬뛮펯폠쎻폐뷢쫍ퟷ폃ꎻ뗚쯄ꎬ퓚Ohlson쿖듺쪣폠쫕틦쒣탍뗄볛횵랽돌훐ꎬ죧맻뾼싇웤쯻탅쾢vꎬ퓲막샻d뗄믘맩쾵쫽펦룃뗈폚Ohlson쿖듺쪣폠쫕틦쒣탍뗄풤닢횵ꆣHand-Landsman닉폃쇋쏀맺막쫐1984-1996쓪쯹폐랢럅쇋막샻뗄릫쮾ퟷ캪퇹놾ꎬ늢뛔룷룶쓪뛈쯹폐뗄릫쮾뷸탐뫡뷘쏦믘맩ꎬ뷡맻랢쿖짏쫶뗚튻ꆢ뗚뛾룶볙쮵뗃떽쇋퇩횤ꎬ떫쫇뗚죽ꆢ뗚쯄룶볙짨쎻폐춨맽볬퇩ꆣ틲듋ꎬ막샻늢늻쫇웤쯻탅쾢뗄뫏쫊쳦듺ꆣ 돽쇋틔짏쪵횤퇐뺿췢ꎬMyers볬퇩쇋쿖듺쪣폠쫕틦쒣탍뗄닎쫽늻튻훂컊쳢ꎬCallenꆢ 58
Morel(2001)뾼달쇋Ohlson(1995)쒣탍훐탅쾢뚯첬뮯볙짨룄캪AR(2)뗄쟩뿶ꎻGregoryꆢSaleh뫍Tucker(2005)뾼달쇋춨믵엲헍쟩뿶쿂뗄쪣폠쫕틦쒣탍ꎻOtaꎨ2005ꎩ샻폃죕놾뗄쫽뻝볬퇩쇋쿖듺쪣폠쫕틦쒣탍뗄쫊폃탔컊쳢ꎻKimꆢLeeꎨ2000ꎩ뗈샻폃몫맺뗄쫽뻝볬퇩쇋쿖듺쪣폠쫕틦쒣탍퓚몫맺뗄쫊폃쟩뿶ꆣ퓚놾컄뗄탷싛훐ꎬ컒쏇틑뺭ퟛ쫶쇋폐맘뷡싛ꎬ퓚듋늻퓙ힸ쫶ꆣ 쪣폠쫕틦쒣탍훐맺퇐뺿룅쫶 듓쿖폐뗄컄쿗살뾴ꎬ퓚컒맺ꎬ뗚튻룶릫뾪뷩짜Ohlson쿖듺쪣폠쫕틦쒣탍뗄쫇쳯횾쇺ꆢ샮폱쟥ꆣ쳯횾쇺뫍샮폱쟥ꎨ1997ꎩ퓚컄헂ꆶ튻훖믹폚헊쏦볛횵뫍캴살쫕틦뗄릫쮾닆뢻움맀랽램ꆷ훐뷩짜쇋볛횵퓶볓횵쒣탍ꆢEBO쒣탍ꎬ쮵쏷쇋헢솽훖쒣탍퓚볛횵움맀훐뗄폅쫆ꎬ늢뷡뫏컒맺뗄쪵볊쟩뿶쮵쏷쇋헢솽룶쒣탍퓚컒맺뗄쪵볊쪹폃볛횵ꆣ헢욪컄헂쫇퓚컒맺릫뾪컄쿗훐ퟮ쿈뷩짜쪣폠쫕틦쿠맘쒣탍뗄ꆣ 쳀퓆캪ꆢ슽붨쟅ꎨ1998ꎩ듖싔뗘뷩짜쇋맺췢믡볆탅쾢맛ꆢ볆볛쒣탍맛뗄퇐뺿쓚죝ꆢ퇐뺿뷡맻틔벰쿠맘뗄웴쪾뫍럖웧ꆣ쳀퓆캪뗄헢욪컄헂뛔맺쓚뗄믡볆탅쾢맛퇐뺿폐ퟅ럇뎣훘튪뗄틢틥ꆣ퓚컄헂훐ꎬ쳀퓆캪뗈붫믡볆볆볛쒣탍맛뗄퇐뺿맩릦폚Ohlson뫍Feltham뗄쿠맘퇐뺿ꎬ폈웤쫇Ohlson뫍Feltham퓚1995쓪쳡돶뗄쿖듺쪣폠쫕틦쒣탍ꆣ 돂탅풪ꆢ돂뚬뮪ꆢ훬뫬뻼ꎨ2002ꎩ샻폃컒맺막욱쫐뎡1995ꆢ1996뫍1997쓪죽쓪뗄쫽뻝볬퇩쇋쪣폠쫕틦뗄탅쾢몬솿ꆣ돂탅풪뗈랢쿖ꎺ1.훐맺횤좯쫐뎡뗄훖훖쳘쫢틲쯘늢쎻폐펰쿬믡볆탅쾢뛔막욱볛룱쿔훸뗄뷢쫍쓜솦ꎬ쫕틦ꆢ뺻닺ꆢ쪣폠쫕틦ꆢ쇷춨막뇈샽뫍맦쒣뚼뻟폐볛횵쿠맘탔ꎬ늢쟒ꎬ쯼쏇횮볤뮹뮥쿠뻟폐퓶솿볛횵쿠맘탔ꎻ2.막욱볛룱폫쫕틦(뺻닺뫍쪣폠쫕틦)돊헽쿠맘ꎻ3.쫐뎡뛔쪣폠쫕틦뗄뚨볛돋쫽늻죧뛔쫕틦뗄뚨볛돋쫽룟ꎬ뇭쏷쫐뎡뿉쓜죏쪶떽쪣폠쫕틦ퟷ캪럇헽뎣쫕틦ꎬ돖탸탔뷏닮ꎻ4.폫횻뾼싇뺻닺뫍쫕틦뗄쒣탍쿠뇈ꎬ떱쒣탍훐춬쪱뾼싇쪣폠쫕틦ꆢ맦쒣폫쇷춨막뇈샽쪱ꎬ쫐뎡뛔뺻닺뗄뚨볛돋쫽믡폐쯹쳡룟ꆣ헢뇭쏷ꎬ쿠뛔폚늻뾼싇헢킩뇤솿뗄쒣탍뛸퇔ꎬ퓚쒣탍훐뾼싇짏쫶뇤솿ꎬ뿉틔룼ힼ좷뗘랴펦뺻닺퓚쫐뎡뚨볛훐뗄ퟷ폃ꎻ5.쫐뎡퓚뚨볛쪱붫쇷춨막뇈샽뫍맦쒣쫓ퟷ늻샻뗄틲쯘ꎬ쇷춨막뇈샽풽룟ꎬ맦쒣풽듳ꎬ쫐뎡뚨볛풽뗍ꎻ6.폫웤쯻튻킩퇐뺿뗄뷡맻쿠쯆ꎬ볙짨쯹폐뗄럇쇷춨막좫늿짏쫐쇷춨ꎬ쓇쎴ꎬ쫐뎡볛룱욽뻹믡폐튻뚨뗄붵럹ꎻ늢쟒ꎬ쇷춨막뇈샽뛔막욱볛룱뗄펰쿬돌뛈훰쓪붵뗍ꎻ7.럖쓪뛈믘맩랢쿖ꎬ믡볆탅쾢뛔막볛뗄뷢쫍쓜솦퓚1996쓪ퟮ잿ꎬ1995쓪듎횮ꎬ1997쓪ퟮ뗍ꎬ돂탅풪뗈죏캪헢뿉쓜폫컒맺횤좯쫐뎡뗄뷗뛎탔쳘헷폐맘ꎨ1996쓪쫐뎡쫇짏짽쟷 59
쫆ꎩꎬ뮹뿉쓜폫1997쓪뗄퇇훞뷰죚캣믺폐맘ꆣ 돂탅풪뗈뗄컄헂쪵훊늢늻쫇볬퇩Ohlson쿖듺쪣폠쫕틦쒣탍ꆣ돂탅풪뗈뗄퇐뺿랽램쫇탅쾢맛뗄퇐뺿랽램ꎬ듓컄헂뾴ꎬ돂탅풪뗈뗄컄헂쪵훊쫇뷢쫍막욱뗄볛룱ꎬ뷒쪾룷룶믡볆뇤솿뗄탅쾢ퟷ폃ꆣ떫쫇떽뗗룷룶믡볆뇤솿죧뫎펰쿬볛횵ꎬ듓돂탅풪뗄싛컄샯늢헒늻떽듰낸ꆣ쇭췢ꎬ헽틲캪돂탅풪싛컄뗄헦헽쒿뗄쫇뷢쫍볛룱ꎬ쯹틔쯻쏇뗄믘맩랽돌쪽튲늻쫇헦헽뗄Ohlson쿖듺쪣폠쫕틦쒣탍ꎬ뛸쫇룹뻝쯻쏇ퟔ벺뗄샭뷢릹퓬뗄튻룶랽돌쪽ꆣ 쇵믍(풭ퟖ캪믰믎)쯉ꆢ퇮틧ꎨ2003ꎩ뛔막욱쓚퓚볛횵움맀쒣탍뷸탐쇋움쫶ꆣ쇵믍쯉움쫶쇋죽훖쓚퓚볛횵움맀쒣탍ꎺ뒫춳뗄쳹쿖쒣탍ꎨ냼삨막샻쳹쿖뫍쿖뷰쇷쳹쿖ꎩꆢGrabam뗄“쓚퓚볛횵”쮼쿫뫍쪣폠쫕틦쒣탍ꆣ쇵믍쯉퓚컄헂훐뛔죽훖맀횵쒣탍ퟶ쇋튻룶볲떥뗄뷩짜ꎬ쎻폐죎뫎뺭퇩럖컶뫍쫽샭췆떼ꎬ웤컄헂쫴폚ퟛ쫶탔훊ꆣ퓚ퟛ쫶쪣폠쫕틦쒣탍쪱ꎬ쇵믍쯉늢쎻폐쟸럖룷훖Ohlson쿖듺쪣폠쫕틦쒣탍뗄닮틬ꎬ튲쎻폐쟸럖쿖듺쒣탍뫍맅뗤쒣탍ꎬ룼쎻폐쳡떽쿟탔탅쾢뚯첬뮯뫍웤쯻럇믡볆탅쾢v뗄뛈솿컊쳢ꆣ 헔횾뻽ꎨ2003ꎩ샻폃Ohlson맅뗤쪣폠쫕틦쒣탍퓚쳘쫢뗄믡볆볙짨쿂볆쯣쇋쫐뺻싊ꆢ쓚뺻싊뗄믡볆뇭듯쪽ꆣ헔횾뻽붫릫쮾쟸럖돉짺쏼웚폐쿞뫍짺쏼웚컞쿞솽훖쟩뿶ꆣ룹뻝췆떼돶뗄믡볆뇭듯쪽ꎬ헔횾뻽죏캪쫐뺻싊뫍쓚뺻싊평릫쮾뗄막샻헾닟ꆢ놾돉놾뫍뺻닺쫕틦싊뻶뚨ꆣ헔횾뻽룹뻝뇭듯쪽ퟶ쇋벸훖볙짨ퟩ뫏ꎬ볆쯣쇋룷훖볙짨ퟩ뫏뗄쫐뺻싊뫍쓚뺻싊ꎬ뇭쏷쇋럖뫬맦퓲ꆢ놾돉놾ꆢ뺻닺쫕틦싊뛔쫐뺻싊뫍쓚뺻싊뗄펰쿬ꆣ좻뫳ꎬ헔횾뻽춳볆쇋2002쓪컒맺짮뮦막쫐짏쫐릫쮾뗄쫐뺻싊쟩뿶ꎬ늢룹뻝쓚뺻싊뗄볆쯣릫쪽ꎬ톡퓱쿠맘뗄쫽뻝볆쯣쇋2002쓪뗄쓚뺻싊ꆣ헔횾뻽랢쿖ꎬ2002쓪컒맺막쫐뗄쫐뺻싊듳듳룟폚쓚뺻싊ꎬ틲듋ꎬ컒맺막쫐듦퓚ퟅ뻞듳뗄엝쒭ꆣ 헔횾뻽뗄퇐뺿좱쿝쫇쎻폐뾼싇웤쯻럇믡볆탅쾢뛔막욱볛횵뗄펰쿬ꆣ틲듋ꎬ웤퇐뺿뷡맻횻쫇튻훖쳘쫢뗄Ohlson볛횵뫢솿쪽ꎬ쎻폐웕뇩탔틢틥ꆣ헔횾뻽뗄쫐뺻싊뫍쓚뺻싊뗄뇭듯랽쪽쫇퓚쳘쫢볙짨쿂뗃돶살뗄ꎨ헔횾뻽붫뺻닺쫕틦싊럖캪솽룶뷗뛎ꎬ뗚튻룶뷗뛎뺻닺쫕틦싊늻뇤ꎬ떫쫇룟폚놾돉놾ꎬ뗚뛾룶뷗뛎뺻닺쫕틦싊뗈폚놾돉놾ꎬ헢훖볙짨쿔좻뫍쿖쪵폐ퟅ뫜듳뗄뻠샫ꎩꎬ웤쪵볊뷡맻뫍Ohlson쿖듺쪣폠쫕틦쒣탍쫇쿠ퟳ뗄ꆣOhlson퓚싛컄훐틑뺭쪮럖쟥돾뗘쮵쏷막샻헾닟늻믡펰쿬막욱볛횵ꎻ떫쫇퓚헔횾뻽뗄싛컄훐ꎬ막샻헾닟ퟮ훕믡뻶뚨쓚뺻싊뗄듳킡ꎬ헢룶쿠뗄뷡맻쪵볊짏뇭쏷헔횾뻽뗄퇐뺿퓚샭싛싟벭짏폐컊쳢ꆣ 쇵믍쯉ꎨ2005ꎩ폃Ohlson맅뗤쪣폠쫕틦쒣탍뛈솿쇋컒맺막쫐뗄엝쒭듳킡ꆣ쇵믍쯉룹뻝맅뗤쪣폠쫕틦쒣탍뗄돵벶뇭듯쪽췆떼돶샻폃뺻닺쫕틦싊뫍컞럧쿕놾돉놾 60
뇭쪾뗄볛횵랽돌ꆣ컄헂훐ꎬ쇵믍쯉볙짨캴살15쓪쓚컒맺짏쫐릫쮾뗄뺻닺쫕틦싊뗈폚1994-2003쓪볤컒맺짏쫐릫쮾뺻닺쫕틦싊뗄욽뻹횵%ꎬ뛸캴살뗄컞럧쿕쫕틦싊볙짨캪5%ꆣ룹뻝헢솽룶볙짨ꎬ쇵믍쯉샻폃듓Ohlson맅뗤쪣폠쫕틦쒣탍훐퇝뮯돶살뗄릫쪽볆쯣쇋컒맺짏쫐릫쮾뗄ퟜ볛횵ꆣ뷡맻랢쿖ꎬ2004쓪ꎬ컒맺막쫐룶막뻸뛔엝쒭뗄욽뻹횵캪풪ꎻ뛸퓚막쫐룟럥뗄2001쓪ꎬ막쫐뗄엝쒭뛈캪%ꎬ룶막욽뻹엝쒭캪풪ꆣ 쇵믍쯉뗄럖컶쫇튻훖뫪맛럖컶ꎬ컳닮럇뎣듳ꆣ틲캪쎿횻막욱캴살뗄뺻닺쫕틦싊늻뿉쓜쿠춬ꆣ쇭췢ꎬ뫍헔횾뻽쿠춬ꎬ쇵믍쯉튲붫뺻닺쫕틦싊럖돉솽뛎ꎬ뗚튻룶뷗뛎놣돖늻뇤ꎬ뗚뛾룶뷗뛎뫍놾돉놾쿠춬ꆣ헢훖볙짨웆뮵쇋쒣탍뗄쓚퓚튻훂탔ꎬ웤싟벭믹뒡횵뗃첽쳖ꆣ쇭췢ꎬ쇵믍쯉쎻폐뾼싇떽웤쯻럇믡볆탅쾢뗄ퟷ폃ꎬ웤쪵훊폃떽뗄쫇맅뗤쪣폠쫕틦쒣탍ꆣ 풬쏷헜ꎨ2005ꎩ샻폃“짺돉몯쫽”뗄룅쓮붫샫즢뗄쪣폠쫕틦쒣탍뮻돉솬탸뗄쪣폠쫕틦쒣탍ꆣ샭싛뷧뺭뎣퇐뺿뗄룷훖막욱맀횵쒣탍냼삨뫬샻쳹쿖쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍ꆢ쪣폠쫕틦쒣탍쪹폃뗄뚼쫇샫즢뇤솿ꎬ풬쏷헜죏캪ꎬ평폚죋쏇풤닢웚쿞늻뿉쓜듯떽컞쟮풶ꎬ틲듋샻폃헢킩샫즢뇤솿볆쯣뗄볛횵듦퓚뫜듳컳닮ꆣ풬쏷헜붫웳튵뗄뺻닺ꆢ돉놾ꆢ쫕틦뚼폃튻룶솬탸뗄몯쫽뷸탐쓢뫏ꎬ좻뫳룹뻝쪣폠쫕틦쒣탍ꎬ붫쓢뫏몯쫽뇭쪾돉볛횵랽돌ꆣ쪵횤뇭쏷ꎬ헢훖룹뻝“짺돉몯쫽”쓢뫏뗄볛횵뇈샫즢쒣탍뛔웳튵볛횵폐룼잿뗄뷢쫍쓜솦ꆣ 풬쏷헜뗄퇐뺿쪵볊쫇솬탸믡볆릹쿫뫍쪣폠볛횵쒣탍뗄뷡뫏ꆣ헢훖샭싛짏뗄첽쳖럇뎣폐틢틥ꆣ늻ퟣ뗄쫇ꎬ웳튵뗄쿖뷰쇷늻쫇욽컈뗄ꎬ떽뗗죧뫎릹퓬뺻닺ꆢ쫕틦ꆢ돉놾몯쫽쫇튻룶쓑쳢ꆣ풬쏷헜뗄퇐뺿쫇튻룶웰뗣ꎬ튲쳡릩쇋튻훖랶샽ꎻ뫜쿔좻ꎬ붫살폐맘솬탸믡볆뇤솿뗄퇐뺿펦룃믡룼볓럡뢻ꆣ 틔짏뗄ퟛ쫶쫇맺쓚틑폐뗄뇈뷏맦랶뗄뛔쪣폠쫕틦쒣탍뗄퇐뺿ꆣ듓짏쫶탰쫶뿉틔뾴돶ꎬ맺쓚뛔쪣폠쫕틦쒣탍뗄퇐뺿뮹뒦폚샭싛뷩짜뷗뛎ꆣ폈웤훘튪뗄쫇ꎬ맺쓚뛔쪣폠쫕틦샭싛뗄뷩짜럇뎣럴잳ꆣ쫗쿈ꎬ맺쓚뗄컄쿗뮹쎻폐힢틢떽Ohlson쿖듺쪣폠쫕틦쒣탍뗄뫋탄ꎺ쿟탔탅쾢뚯첬뮯컊쳢ꎻ웤듎ꎬ맺쓚퇐뺿쎻폐쟸럖맅뗤쒣탍뫍쿖듺쒣탍ꎬ퓬돉쇋샭싛뫍쪵볹짏뗄믬쿽ꆣ룼훷튪뗄쫇ꎬ맺쓚뗄퇐뺿룹놾뮹쎻폐뛔Ohlson쿖듺쪣폠쫕틦쒣탍뷸탐뺭퇩볬퇩ꎬ죋쏇뮹컞램좷뚨Ohlson쿖듺쪣폠쫕틦쒣탍쫇럱쫊폃폚훐맺뗄횤좯쫐뎡ꆣ쯹틔ꎬ Ohlson쿖듺쪣폠쫕틦쒣탍퓚컒맺쪵훊뮹쫇튻룶퇐뺿뿕냗ꆣ 61
킡뷡 놾헂룅쫶쇋맺췢폐맘쪣폠쫕틦쒣탍뗄랢햹퇝뇤샺쪷뫍쪵횤퇐뺿뷡맻ꆣ컒쏇룹뻝쫇럱닉폃탅쾢뚯첬뮯볙뚨붫쪣폠쫕틦쒣탍럖캪맅뗤쒣탍뫍쿖듺쒣탍ꆣ퇐뺿랢쿖ꎬ맅뗤쒣탍틲캪뷏퓧뗘뾼싇쇋헋쏦뺻닺ꎬ뛌웚쓚웤뷢쫍쓜솦잿폚뫬샻쳹쿖쒣탍뫍쿖뷰쇷쒣탍ꆣ떫쫇Ohlson쿖듺쪣폠쫕틦쒣탍쪵횤뷡맻럇뎣뢴퓓ꆣ쪵횤뇭쏷ꎬOhlson쿖듺쪣폠쫕틦쒣탍뇈웰웤쯻뗄맀횵쒣탍짔짔폐킩폅쫆ꎬ떫쫇맀횵쒣탍뗄뇭쿖럇뎣늻컈뚨ꆣ쇭췢ꎬOhlson쿖듺쪣폠쫕틦쒣탍놾짭뮹듦퓚ퟅ훘듳뗄샭싛컊쳢쎻폐뷢뻶ꎬ뇈죧럇믡볆탅쾢v뗄뛈솿ꆢ쪣폠쫕틦쫇럱ퟱ톭AR1맽돌뗈컊쳢ꆣ 퓚맺췢ꎬOhlson쿖듺쪣폠쫕틦쒣탍뗄쪵횤퇐뺿럇뎣뛠ꎬ뷡맻늻뺡튻훂ꆣ훷튪뗄풭틲쫇틲캪Ohlson쿖듺쪣폠쫕틦쒣탍놾짭폐뛠훖탎쪽ꎬ쎿훖탎쪽훐폖폐ퟅ쎻폐쏷좷뚨틥뗄럇믡볆탅쾢뇤솿vꎻ룷퇐뺿헟톡퓱랽램뗄닮틬ꆢ뾼싇훘뗣뗄늻춬뚼믡쪹뗃퇐뺿뷡맻돶쿖룷훖뇤뮯ꆣ 죧맻컒쏇늻뾼싇Ohlson(1995)쳡돶뗄쿟탔탅쾢뚯첬뮯볙뚨ꎬ떥뒿뗘뾼싇맅뗤쪣폠쫕틦쒣탍ꎬ틑폐뗄쪵횤뷡맻뇭쏷룃쒣탍뛔막욱볛룱뗄뷢쫍쓜솦잿폚막샻뫍쿖뷰쇷쳹쿖쒣탍ꆣ틲캪맅뗤쪣폠쫕틦쒣탍횱뷓붫뺻닺쓉죫떽맀횵쒣탍훐ꎬ뇈막샻뫍쿖뷰쇷쳹쿖쒣탍룼퓧뗘좷죏쇋튻늿럖좨틦볛횵ꎬ틲듋뛌웚쓚쪣폠쫕틦쒣탍뷢쫍쓜솦룟폚막샻뫍쿖뷰쇷쳹쿖쒣탍ꆣ뎤웚살뾴ꎬ죧맻뾼싇볆쯣웚웚쒩뗄훕횵ꎬ퓲맅뗤쪣폠쫕틦쒣탍뫍막샻ꆢ쿖뷰쇷쳹쿖쒣탍뗄닮뇰믡쯵킡ꆣ 뛔Ohlson쿖듺쪣폠쫕틦쒣탍살쮵ꎬ뫋탄컊쳢쫇쿟탔탅쾢뚯첬뮯LID볙뚨튪돉솢ꎬ벴쪣폠쫕틦싺ퟣAR1맽돌ꆣ죧맻쪣폠쫕틦늻싺ퟣAR1맽돌ꎬ짵훁늻쫇튻룶쿟탔몯쫽ꎬ퓲Ohlson쿖듺쪣폠쫕틦쒣탍뗄뷢쫍솦뻍믡듳럹쿂붵ꆣ쪵횤뇭쏷ꎬ퓚듳늿럖쟩뿶쿂ꎬAR1쫇돉솢뗄ꎬ떫쫇웤풤닢컳닮뷏듳ꎬ쯹틔AR1맽돌뗄뻟쳥짨뚨탎쪽뮹듦퓚ퟅ뷸튻늽퇐뺿뗄뿕볤ꆣ Ohlson쿖듺쪣폠쫕틦쒣탍뗄뗚뛾룶맘볼뇤솿쫇펰쿬쪣폠쫕틦뗄럇믡볆탅쾢v뗄뛈솿ꆣv쫇Ohlson쿖듺쪣폠쫕틦쒣탍뗄튻룶뒴뻙ꎬ춨맽틽죫웤쯻탅쾢뇤솿vꎬOhlson뗃돶쇋튻룶쿟탔랽돌ꆣ떫쫇ꎬ쪵볊럖컶쪱떽뗗v퓵쎴뇭쪾쓘ꎿ헢퓚샭싛짏늢쎻폐춳튻뗄뚨틥ꆣV뒦샭랽쪽뗄뫃뮵ퟮ훕믡펰쿬떽Ohlson쿖듺쪣폠쫕틦쒣탍뗄헻쳥뷢쫍쓜솦ꆣ떽쒿잰캪횹ꎬ컒쏇늢쎻폐헒떽튻룶릫죏뗄뇤솿살쳦듺vꆣ Ohlson쿖듺쪣폠쫕틦쒣탍쪵횤뗄ퟮ뫳튻룶쓑뗣쫇헛쿖싊뗄좷뚨컊쳢ꆣ퓚Ohlson뗄샭싛훐ꎬ헛쿖싊놾짭쫇늻훘튪뗄ꆣ틲캪죋쏇뿉틔횱뷓뛔뺻닺뫍믡볆쫕틦뷸탐럧쿕 62
뗷헻ꎬ듓뛸뇜뾪헛쿖싊뗄뗷헻컊쳢ꆣ떫쫇헢훖뗷헻퓚쪵볊쪹폃쪱훷맛탔첫잿ꎬ뿉닙ퟷ탔킡ꆣ틲듋ꎬ쪵볊쪹폃쪱ꎬ죋쏇쓑쏢뮹쫇튪닉폃샺쪷믡볆쫽뻝ꎬ붫컞럧쿕헛쿖싊룹뻝럧쿕쟩뿶뗷헻캪뾼싇쇋럧쿕뗄헛쿖싊ꆣ룹뻝Ohlson쿖듺쪣폠쫕틦쒣탍ꎬ헛쿖싊펦룃쫇룶쓚짺뇤솿ꎬ룷룶릫쮾쫇늻춬뗄ꆣ틲듋ꎬ퓚뷸탐뗷헻쪱뇘탫춬쪱뾼싇쪱볤틲쯘ꎨ쾵춳럧쿕ꎩ뫍룷룶릫쮾뗄쪵볊쟩뿶ꎨ럇쾵춳럧쿕ꎩꆣ헢훖랽램뗄뫃뒦쫇샭싛짏탐뗄춨ꎬ좱뗣쫇릤ퟷ솿첫듳ꎬ탨튪뗄쫽뻝첫뛠ꆣ쯹틔ꎬ뫜뛠뗄퇐뺿횱뷓닉폃튻룶만뚨뗄헛쿖싊ꆣ헢훖ퟶ램쯤좻캥놳쇋샭싛볙짨ꎬ떫쫇퇐뺿랢쿖ꎬ쪵볊뷡맻늢늻믡쫜첫듳뗄펰쿬ꆣ 63
3 쿟탔탅쾢뚯첬뮯볙뚨볬퇩 쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙짨ꎨLinear Information Dynamicsꎬ볲킴캪LID볙뚨ꎩ쫇Ohlson쾵쇐쒣탍뗄맘볼ꎬOhlson춨맽볙짨쪣폠쫕틦ퟱ톭튻뷗ퟔ믘맩맽돌ꎬ붫맅뗤쪣폠쫕틦쒣탍훐뗄컞쟮쟳뫍컊쳢뮯캪떥뒿뗄벴웚믡볆쫽뻝뫍ꎬ뇜쏢쇋좨틦맀횵쪱탨튪맀쯣캴살쫽뻝뗄쓑쳢ꆣ DHSꎨ1998ꎩ쫇뛔Ohlson탅쾢뚯첬뮯볙짨뷸탐볬퇩뗄뗚튻죋ꆣDHS춨맽뛔탅쾢뚯첬뮯볙짨뷸탐볬퇩ꎬ횤쏷쇋Ohlson뗄쪣폠쫕틦튻뷗ퟔ믘맩볙뚨믹놾럻뫏쏀맺뗄막쫐쟩뿶ꎻ듓뛸컒쏇뿉틔쪹폃쿖듺쪣폠쫕틦쒣탍살뛈솿막욱볛횵ꆣDHS뗄퇐뺿돉맻랢뇭틔뫳ꎬ톧헟쏇슽탸죏쪶떽쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨뗄훘튪뗘캻ꎬ럗럗듓늻춬뗄뷇뛈ꆢ닉폃늻춬뗄랽램볬퇩쿟탔탅쾢뚯첬뮯볙뚨ꆣ 놾헂컒쏇쪹폃컒맺뫚즫뷰쫴튱솶튵뗄쫽뻝볬퇩쇋Ohlson뗄쿟탔탅쾢뚯첬뮯볙뚨ꆣ퓚Ohlson뗄샭싛쳥쾵훐ꎬ쿟탔탅쾢뚯첬뮯볙뚨폐벸훖늻춬뗄뇭쿖탎쪽ꎬ냼삨뾼싇뺻닺뫍늻뾼싇뺻닺뗄LID볙뚨ꆢ뾼싇럇믡볆탅쾢뇤솿v뫍늻뾼싇럇믡볆탅쾢뇤솿v뗄LID볙뚨ꆢ쪣폠쫕틦뇤뮯탎쪽캪AR1맽돌뫍쪣폠쫕틦뇤뮯탎쪽캪AR2맽돌뗄LID볙뚨ꆣ퓚놾헂뗄퇐뺿훐ꎬ컒쏇룹뻝틔짏죽룶튪쯘붫쿟탔탅쾢뚯첬뮯볙뚨룅삨캪컥훖ꆣ뗚튻훖탎쪽쫇늻뾼싇뺻닺ꆢ냼몬럇믡볆탅쾢뇤솿v뗄LID1쒣탍ꎻ뗚뛾훖탎쪽쫇늻뾼싇뺻닺ꆢ럇믡볆탅쾢뇤솿v만뚨캪뎣쫽뗄LID2쒣탍ꎻ뗚죽훖탎쪽쫇뾼싇뺻닺ꆢ냼몬럇믡볆탅쾢뇤솿v뗄LID3쒣탍ꎻ뗚쯄훖탎쪽쫇뾼싇뺻닺ꆢ럇믡볆탅쾢뇤솿v만뚨캪뎣쫽뗄LID4쒣탍ꎻ뗚컥훖탎쪽쫇늻뾼싇뺻닺ꆢ럇믡볆탅쾢뇤솿v만뚨캪뎣쫽뗄AR2맽돌뗄LID5쒣탍ꆣ 퓚볬퇩쿟탔탅쾢뚯첬뮯볙뚨쪱ꎬ럇믡볆탅쾢뇤솿v뗄뛈솿쫇튻룶훘듳쓑쳢ꆣ맺췢톧헟퓚쪵횤볬퇩쪱ꎬ춨뎣닉좡톰헒쳦듺뇤솿믲헟쪡싔v뗄랽쪽살뷢뻶헢룶컊쳢ꆣ놾헂뇈뷏쇋닉폃쳦듺뇤솿뫍쪡싔v헢솽훖랽쪽뗄쪵횤닮틬ꆣ컒쏇톰헒뗄쳦듺뇤솿폐죽룶ꆣ뗚튻룶쳦듺뇤솿쫇쫐펯싊뫍뺻닺퓶뎤싊뗄뇈횵ꆣ튻냣샭싛죏캪ꎬ쫐펯싊뗄룟뗍훷튪평닺뗄캴살퓶뎤싊뻶뚨ꎬ틲듋ꎬ쫐펯싊뫍뺻닺퓶뎤싊뗄뇈횵뿉틔뛈솿막욱쪵볊놻룟맀믲헟뗍맀뗄돌뛈ꆣ룃뇈횵풽룟ꎬ뇭쪾막욱놻룟맀뗄풽샷몦ꎬ듓뛸웤캴살쫕틦풽뗍ꆣ뗚뛾룶쳦듺뇤솿쫇잰쪮듳막뚫뗄돖막뇈샽뫍ꆣ샭싛퇐뺿죏캪ꎬ믺릹춶헟헆컕뗄탅쾢룼돤럖ꎬ튵횪쪶룼럡뢻ꎬ튻냣쯻쏇뚼믡냧퇝쿈횪쿈뻵뗄뷇즫ꆣ잰쪮듳막뚫뗄돖막뇈샽뫍풽룟ꎬ뇭쪾쫐뎡뛔룃막욱풽뾴뫃ꎬ캴살쫕틦뿉쓜풽룟ꆣ뗚죽룶쳦듺뇤솿쫇잰쪮듳막뚫돖막뇈샽뫍폫잰컥듳막뚫돖막뇈샽뫍뗄닮ꆣ횮쯹틔튪틽죫헢룶뇤솿ꎬ훷튪쫇틲캪컒맺짏쫐릫쮾막좨뷡릹쳘쫢ꎬ맺폐막ꆰ튻막뛀듳ꆱ쿖쿳웕뇩ꆣ캪쇋복짙맺폐막뚫돖막 64
뇈샽맽듳퓬돉뗄쫽뻝쪧헦ꎬ컒쏇닉폃잰쪮듳막뚫돖막뇈샽뫍폫잰컥듳막뚫돖막뇈샽뫍뗄닮ퟷ캪뛈솿믺릹춶헟돖막뇈샽뗄횸뇪ꆣ헢룶닮횵풽듳ꎬ뇭쪾믺릹춶헟돖막뇈샽풽듳ꎬ캴살쫕틦뿉쓜풽룟ꆣ 맺췢톧헟죏캪ꎬ퓚볬퇩쿟탔탅쾢뚯첬뮯볙뚨쪱ꎬ막좨놾돉놾뗄듳킡늢늻훘튪ꆣ놾헂퓋폃컒맺뗄쫽뻝뾼달쇋헢룶뷡싛ꆣ놾헂훐ꎬ컒쏇쪹폃죽훖랽램뛈솿막좨놾돉놾ꆣ뗚튻훖랽램닉폃CAPM쒣탍볆쯣막좨놾돉놾ꎬ럧쿕틧볛만뚨캪2%ꎻ뗚뛾훖랽램튲쫇닉폃CAPM쒣탍볆쯣막좨놾돉놾ꎬ럧쿕틧볛만뚨캪6%ꎻ뗚죽훖랽램닎헕맺췢톧헟뗄퇐뺿ꎬ톡퓱만뚨뗄뎣쫽10%ퟷ캪막좨놾돉놾ꆣ컒쏇럖뇰뇈뷏쇋죽훖늻춬놾돉놾볆쯣뗄쪣폠쫕틦웤탅쾢뚯첬뮯랽쪽뗄닮뇰ꆣ 샭싛뷩짜 탅쾢뚯첬뮯볙짨쫇Ohlson퓚샭싛퇐뺿훐훰붥탎돉뗄튻룶쮼쿫ꆣ퓚Ohlson뗄퓧웚퇐뺿훐ꎬ쪣폠쫕틦쒣탍틀좻놻뇭쪾돉맅뗤뗄컞쟮쟳뫍탎쪽ꆣ ∞P=+∑−txabvRE ꎨꎩ ttft+tt=1캪쇋뷢뻶맅뗤쪣폠쫕틦쒣탍훐뗄컞쟮쟳뫍릫쪽ꎬ냚췑맀횵퇐뺿쪱탨튪풤닢캴살믡볆쫽뻝뗄좱쿝ꎬ Ohlson퓚컼좡쇋춬쪱듺퇐뺿헟뛔쿖뷰쇷쪱볤탲쇐탐캪뗄퇐뺿돉맻뫳ꎬ쳡돶쇋탅쾢뚯첬뮯볙짨ꆣOhlson듳떨뗘볙짨쪣폠쫕틦ퟱ톭튻뷗ퟔ믘맩맽돌ꎬ벴ꎺ xaat+1=w1x+w2n+ettt+1 ꎨꎩ ꎨꎩ쪽훐ꎬn뇭쪾돽믡볆탅쾢틔췢펰쿬쪣폠쫕틦뗄웤쯻쿠맘탅쾢ꆣ0<w<1ꆣtOhlson죏캪ꎬ쪣폠쫕틦쪵훊쫇릫쮾뗄캴죫헊짌폾ꎬ튲쫇릫쮾퓚쒳룶뷗뛎좡뗃뗄뎬뛮쫕틦ꆣ퓚췪좫뺺헹뗄쳵볾쿂ꎬ쯹폐릫쮾뗄펯샻뇘좻믡쟷쿲폚욽뻹샻죳ꎬ뎬뛮펯폠믡쿻쪧ꆣ쯹틔ꎬw횵킡폚1ꎬ릫쮾뗄볛횵쫇쫕솲뗄ꎻ죧맻w뗄횵듳폚1뗄뮰ꎬ쿔좻릫쮾뗄볛횵믡쟷쿲폚컞쟮듳ꎬ헢퓚샭싛짏쫇늻뿉쓜뗄ꆣ틲듋ꎬ컞싛듓샭싛짏ꎬ뮹쫇듓쪵볊뇭쿖살쮵ꎬw뚼킡폚1ꆣ 볬퇩탎쪽 Ohlson쿖듺쪣폠쫕틦쒣탍폐뫜뛠뗄뇭쿖탎쪽ꎬ쎿훖뇭쿖탎쪽뗄샭싛몬틥ꆢ샭싛볙 65
짨뚼폐뫜듳쟸뇰ꆣ룷룶톧헟퓚볬퇩Ohlson쿖듺쪣폠쫕틦쒣탍쪱뚼쫇룹뻝룷ퟔ뗄욫뫃뫍탨쟳볬퇩웤쒳튻훖탎쪽ꆣ 놾컄뷨본맺췢톧헟뗄퇐뺿랽램ꎬ붫Ohlson뗄탅쾢뚯첬뮯볙짨뮮럖캪컥훖탎쪽ꎬ늢럖뇰볬퇩룷훖탎쪽뗄샭싛뫏샭탔뫍쫊폃랶캧ꆣ ꎨ1ꎩLID1쒣탍 xaxat+1=w1+wv+e+ ꎨꎩ t2tt1헢룶쒣탍쫇Ohlson쿖듺쪣폠쫕틦쒣탍ퟮ뇪ힼ뗄탅쾢뚯첬뮯볙짨ꆣ퓚Ohlsoꎨn1995ꎩ뗄컄헂훐ꎬOhlsonퟮ돵쳡돶뗄탅쾢뚯첬뮯볙짨뻍쫇헢훖탎쪽ꆣ뫳살뗄뫜뛠탅쾢뚯첬뮯쒣탍뚼쫇퓚헢룶탎쪽뗄믹뒡짏랢햹웰살뗄ꆣ Ohlson퓚헢룶탅쾢뚯첬뮯볙짨훐ꎬ붫쪣폠쫕틦뇭쪾돉ퟔ벺뗄튻뷗훍뫳쿮뫍웤쯻럇믡볆탅쾢뗄뫍ꎬ웤쯻럇믡볆탅쾢뫍쪣폠쫕틦뚼ퟱ톭ARꎨ1ꎩ맽돌ꎬ웤닎쫽뚼퓚[0,1]횮볤ꆣ 룹뻝헢룶탅쾢뚯첬뮯볙짨ꎬ막욱뗄볛횵랽돌뿉틔뇭쪾돉ꎺ V=bv+axa1+av tt1t2 ꎨꎩ t웤훐ꎺ aw=11 1+r−w11+ra2= (1+r−w1)(+−w2)ꎨ2ꎩLID2쒣탍 xaat+1=w0+w1x+ett+1 ꎨꎩ 퓚LID1쒣탍훐ꎬ듦퓚튻룶럇믡볆탅쾢뇤솿vꎻOhlsonퟔ벺늢쎻폐쏷좷붻듺헢룶럇믡볆탅쾢뇤솿죧뫎뛈솿ꎬ쪵볊ힼ좷뛈솿v폐뫜듳뗄삧쓑ꆣ뫜뛠뗄퇐뺿헟캪쇋뇜뾪헢룶쓑쳢ꎬ횱뷓붫럇믡볆탅쾢뇤솿v만뚨캪뎣쫽쿮ꎻ틲듋ꎬLID2쪵볊쫇LID1뗄볲뮯탎쪽ꆣ 붫LID2듺죫쪣폠쫕틦맀횵쒣탍훐ꎬ뿉틔뗃떽릫쮾뗄볛횵랽돌캪ꎺ V=bv+a+axa2 ꎨꎩ tt01t웤훐ꎺ 66
(1+r)wa=00 (1+r−w1)(+r−w0)aw=11 1+r−w1ꎨ3ꎩ LID3쒣탍 Feltham뫍Ohlson퓚1995쓪랢뇭뗄컄헂훐죏캪ꎬ쿖쪵훐릫쮾횴탐뗄뚼쫇컈붡탍믡볆ꎬ헢훖컈붡믡볆믡쪹뗃릫쮾뗄뺻닺쳡잰헛뻉ꎬ릫쮾뗄볛횵놻뗍맀ꆣ틲듋ꎬ쪣폠쫕틦늻뷶폫웤쯻럇믡볆탅쾢폐맘ꎬ뛸쟒뮹뫍릫쮾뗄뺻닺폐맘ꆣ폚쫇Ohlson붫풭쿈뗄쿟탔탅쾢뚯첬뮯볙뚨룄캪냼몬뺻닺뗄쿟탔탅쾢뚯첬뮯볙짨ꎺ xa11xa+=w+w2bv+w3v+ettttt+1ꋙ ꎨꎩ 룹뻝헢룶탅쾢뚯첬뮯볙짨ꎬ릫쮾뗄볛횵랽돌뿉틔뇭쪾돉ꎺ V=bv+axa3+abv+avtt1t2t3t ꎨꎩ 웤훐ꎺ aw=11 1+r−w1(1+r)wa=22r(1+r−w1) 1+ra3=(1+r−w1)(+r−w3) ꎨ4ꎩLID4쒣탍 퓚LID3쒣탍훐ꎬ럇믡볆탅쾢쿮펦폃웰살폐뫜듳뗄삧쓑ꎬ캪쇋뇜뾪헢쿮삧죅ꎬ럂헕LID2쒣탍뗄뒦샭랽램ꎬ폐톧헟붫럇믡볆탅쾢쿮횱뷓뇭쪾돉뎣쫽쿮ꎬ듓뛸짏쫶탅쾢뚯첬뮯맽돌뮯캪ꎺ xa+1=w+wxa+wbv+et01t2tt+1 ꎨꎩ 붫짏쫶탅쾢뚯첬뮯맽돌듺죫쪣폠쫕틦랽돌뗃떽맀횵랽돌캪ꎺ ꋙ 퓚Feltham뫍Ohlson뗄풭컄훐ꎬퟷ헟뮹붫뺻닺쟸럖캪펪튵닺뫍닆컱닺ꆣ닆컱닺튻냣뿉틔릫퓊볆볛ꎬ틲듋늻닺짺뎬뛮펯폠ꎻ뎬뛮펯폠좫늿평펪튵닺닺짺ꎬ쯹틔릫쪽훐폃떽뗄쫇펪튵닺ꆣ뫳살퇐뺿헟랢쿖ꎬ쪵볊닙ퟷ훐펪튵닺뫍닆컱닺뫜쓑쟸럖ꎬ퓚튻룶릫쮾훐헢솽훖닺쫇쿠뮥뮯뗄ꎬ쯹틔뫳살헟뚼횱뷓쪹폃뺻닺뛸늻퓙쟸럖닆컱닺뫍펪튵닺ꆣ 67
V4=a0+bv+axa+abvtt1t2t ꎨꎩ 웤훐ꎺ (1+r)wa=00(1+r−w1)(+r−w0) aw11=1+r−w1 (1+r)wa22=(1+r−w1)(+r−w2) ꎨ5ꎩLID5쒣탍 CallenꆢMorelꎨ2001ꎩ횸돶ꎬ쪵횤퇐뺿뇭쏷AR1맽돌탎돉뗄쪣폠쫕틦랽돌뎣뎣뗍맀쇋막욱뗄볛횵ꎻ틲듋펦룃톰헒탂뗄탅쾢뚯첬뮯랽쪽ꆣCallen뫍Morel쳡돶폃쪣폠쫕틦뗄뛾뷗ퟔ믘맩맽돌쳦듺쪣폠쫕틦뗄튻뷗ퟔ믘맩맽돌ꆣ쪣폠쫕틦뗄뛾뷗ퟔ믘맩맽돌뿉틔뇭쪾캪ꎺ xa+1=w0+w1xa+wxatt2t−1+et+1 ꎨꎩ 붫헢룶랽돌듺죫맅뗤쪣폠쫕틦맀횵랽돌ꎬ뗃떽ꎺ V=a+bv+axa+axa5t0t1t2t−1 ꎨꎩ 웤훐ꎺ 2(1+r)wa=002(1+r)−w1(+r)−w2r (1+r)wa=212(1+r)−w1(+r)−w2 (1+r)w1+wa=222(1+r)−w1(+r)−w2 놾뷚붫뛔짏쫶컥훖탅쾢뚯첬뮯볙뚨럖뇰뷸탐볬퇩ꎬ늢붫볬퇩뷡맻뫍맺췢뗄쿠펦뷡맻뷸탐뇈뷏ꆣ 68
쫽뻝톡퓱뫍뒦샭 평폚벼쫵뫍쪱볤쿞훆ꎬ놾컄쎻쓜쪹폃쯹폐뮦짮막쫐짏쫐릫쮾뗄쫽뻝ꎬ뛸쫇톡퓱컒맺뫚즫튱솶튵1996ꎭ2006쓪뗄쫽뻝ퟷ캪럖컶뛔쿳ꆣ퓚놾싛컄훐ꎬ컒쏇톡퓱쪹폃믬뫏믘맩뗄랽램볬퇩쿟탔탅쾢뚯첬뮯볙뚨ꆣ횮쯹틔톡퓱쪹폃믬뫏믘맩뗄랽램ꎬ풭틲폐솽룶ꆣ튻쫇놾컄쪹폃뗄쫽뻝쫇탐튵쫽뻝ꎬ룶쳥볤뗄맀횵릲탔듳폚닮뇰ꎬ캪쇋뾼달훷튪뗄쎬뛜ꎬ퓝쪱짡웺쇋룶쳥닮틬럖컶ꎻ뛾쫇퓚놾컄뗄뗚쯄ꆢ뗚컥헂훐ꎬ컒쏇탨튪럖컶쿖듺쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦뫍뛔막욱캴살쫕틦뗄풤닢쓜솦ꎬ헢쫇튻쿮럇뎣뻞듳뗄릤돌ꆣ죧맻컒쏇쪹폃뚯첬쏦냥쫽뻝뗄랽램믘맩쿟탔탅쾢뚯첬뮯볙뚨ꎬ퓲뗚쯄ꆢ뗚컥헂뗄퇐뺿릤ퟷ붫럇뎣삧쓑ꆣ닎뾼맺췢쿠맘럖컶쪹폃뗄랽램ꎬ컒쏇톡퓱믬뫏믘맩뗄랽램볬퇩쿟탔탅쾢뚯첬뮯볙뚨ꆣ 놾헂폃떽뗄쪣폠쫕틦xa=x−r×bvꆣ웤훐ꎬxa캪t웚뗄쪣폠쫕틦ꎬx캪t웚뗄믡ttttt볆뺻샻죳ꆣ평폚Ohlson쿖듺쪣폠쫕틦쒣탍튪쟳믡볆쫽뻝싺ퟣ믡볆뺻펯폠맘쾵ꎬ쯹틔헢샯뗄뺻샻죳횸쎻폐뿛돽럇뺭뎣탔쯰틦뗄좫쏦믡볆뺻샻죳ꆣbv캪t웚뗄뺻닺ꆣr캪t좨틦놾돉놾ꆣ 퓚맺췢뗄쿠맘퇐뺿훐ꎬr튻냣폐죽훖뒦샭랽램ꆣ뗚튻훖랽램쫇볙짨r뗈폚늻뇤뗄뎣쫽ꎬ좡캪10%ꎻퟷ돶헢훖볙짨뗚튻뿉틔쪡좥볆쯣놾돉놾뗄쪱볤ꎬ뗚뛾쫇틲캪퓚Ohlson쿖듺쪣폠쫕틦쒣탍훐ꎬ쒣탍뷡맻뛔놾돉놾늻쏴룐ꆣOhlson죏캪ꎬ놾돉놾뗄룄뇤믡춬쪱쪹뗃맀횵쒣탍훐뗄럖ퟓ뫍럖쒸ꎬ쪵볊뗄볆쯣뷡맻늢늻믡랢짺룄뇤ꎻ놾돉놾룄뇤뗄쫇릫쮾볛횵뗄쪱볤럖늼ꎬ늻룄뇤릫쮾볛횵뗄헻쳥횵ꆣ냼삨DHS볬퇩뗈뗄뫜뛠훸쏻퇐뺿훐ꎬ뚼쫇볙짨놾돉놾뗈폚10%ꆣ 뗚뛾훖랽램쫇룹뻝놾닺뚨볛쒣탍CAPM볆쯣놾돉놾ꎬ벴놾돉놾r=r+b×럧쿕틧볛ꆣ뗚죽훖랽램쫇룹뻝럇쿟탔뗄랽램횱뷓맀볆돶릫쮾뗄쓚몬놾돉f놾ꆣ 놾컄뷨본맺췢뗄퇐뺿랽램ꎬ럖뇰쪹폃죽훖랽램볆쯣놾돉놾ꆣ뗚튻훖랽쪽볙짨놾돉놾뗈폚늻뇤뗄뎣쫽10%ꎻ뗚뛾훖랽쪽쪹폃CAPM볆쯣놾돉놾ꆣ퓚쪹폃CAPM볆쯣놾돉놾쪱ꎬr쪹폃1쓪웚룶죋ꎨ웳튵ꎩ뚨웚듦뿮샻싊ꆣ퓚컒맺ꎬ듓1999쓪11f퓂1죕웰뾪쪼헷쫕듦뿮샻쾢쮰ꎬ쯹틔1999쓪11퓂틔뫳쪵볊뗄컞럧쿕샻싊뮹튪복좥듦뿮샻쾢쮰ꆣb횵횱뷓쪹폃훐맺뺭볃퇐뺿훐탄쫽뻝뿢훐뗄쫽횵ꆣ럧쿕틧볛럖뇰쪹폃2% 69
뫍6%ꆣ죕놾톧헟Ota퓚폃죕놾놾쫐뎡쫽뻝볬퇩Ohlson쿖듺쪣폠쫕틦쒣탍쪱쪹폃뗄막좨놾돉놾럧쿕틧볛쫇2%ꆣOta죏캪탂탋쫐뎡뗄럧쿕틧볛펦뷏돉쫬쫐뎡킡ꆣ죕놾뫍컒맺뗄쪵볊춳볆쫽뻝믹놾횧돖헢룶뷡싛ꋙꆣ6%뗄럧쿕틧볛쫇쏀맺톧헟웕뇩쪹폃뗄쫽뻝ꆣ쏀맺톧헟퓋폃20쫀볍쏀맺막쫐뗄쫽뻝ꎬ쯣뗃쏀맺막욱퓚20쫀볍뗄욽뻹럧쿕틧볛캪6%ퟳ폒ꆣ 맘폚럇믡볆탅쾢vꎬ놾컄럖뇰쪹폃죽훖랽램뷢뻶ꆣ뗚튻훖랽램쫇쪹폃PEG듺쳦럇믡볆탅쾢뇤솿vꆣPEGꎽPE/뺻닺퓶뎤싊ꆣ룹뻝뇋뗃쇖웦뗄샭싛ꎬ룟돉뎤탔뗄릫쮾뇘좻믡폐룟쫐펯싊ꎬ틲듋횻폐춬쪱쪹폃쫐펯싊뫍뺻닺퓶뎤싊닅쓜헽좷뗘뫢솿릫쮾뗄볛횵ꆣ놾컄쪹폃뗄PEG횵좫늿룹뻝훐맺뺭볃퇐뺿훐탄뗄PE횵뫍뺻닺퓶뎤싊볆쯣뛸뗃ꆣ 뗚뛾훖랽램쫇쪹폃cr10횵듺쳦럇믡볆탅쾢뇤솿vꆣCr10쫇릫쮾잰10듳막뚫돖폐릫쮾막욱뗄뇈샽뫍ꎬ룃쿮쫽뻝살풴폚훐맺뺭볃퇐뺿훐탄뗄쫽뻝뿢ꆣ룹뻝탅쾢뺭볃톧뗄샭싛ꎬ믺릹춶헟뛔폚쫐뎡뫍짏쫐릫쮾뗄에뛏룼볓샭탔뫍ힼ좷ꎻ죧맻튻횻막욱뗄cr10풽듳ꎬ뇭쪾믺릹풽뾴뫃룃막욱ꎬ룃막욱뗄풤웚쫕틦튲풽룟ꆣ 뗚죽훖랽램쫇쪹폃crdiff뫢솿럇믡볆탅쾢뇤솿vꆣCrdiffꎽcr10ꎭcr5ꎬ웤훐ꎬcr10캪릫쮾잰10듳막뚫뗄돖막뇈샽뫍ꎬcr5캪릫쮾뗄잰5듳막뚫돖막뇈샽뫍ꆣ횮쯹틔뾼싇쪹폃헢솽룶횸뇪뗄닮뫢솿럇믡볆탅쾢뇤솿vꎬ훷튪쫇틲캪떥뒿뗄cr10ꆢcr5횵뚼쫇뻸뛔횸뇪ꎬ죝틗쫜떽벫뛋횵뗄펰쿬ꆣ컒맺짏쫐릫쮾맺폐막“튻막뛀듳”쿖쿳웕뇩ꎬ뗚튻듳막뚫돖막뇈샽맽듳믡쪹뗃떥뒿뗄cr10ꆢcr5횸뇪쪧좥뺭볃틢틥ꆣ쯹틔ꎬ캪쇋뇜쏢벫뛋횵뗄펰쿬ꎬ쪹폃cr10뫍cr5뗄닮ퟷ캪럇믡볆탅쾢쳦듺뇤솿뿉틔쿻돽뗚튻듳막뚫돖막뇈샽맽듳뗄뇗뛋ꎬ헦쪵뗘랴펳믺릹춶헟뗄돖막쟩뿶ꆣCrdiff풽듳ꎬ뇭쪾믺릹뛔룃막욱뗄뾴램풽튻훂ꎬ룃막욱뗄캴살풤웚쫕틦풽룟ꆣ 랽돌맀볆벰웤뷡맻럖컶 뷘훁떽2006쓪12퓂31죕ꎬ컒맺뫚즫뷰쫴튱솶튵릲폐짏쫐릫쮾30볒ꎬ믹놾쟩뿶볻뇭ꆢ뇭ꆣ ꋙ 컒쏇뿉틔룹뻝쫐펯싊볲떥뗘쯣뗃럧쿕틧볛ꆣ탂탋쫐뎡뗄쫐펯싊튻냣뚼퓚20ꎭ30ꎬ럧쿕틧볛뷏킡ꆣ 70
뇭 1996ꎭ2006쓪뫚즫뷰쫴튱솶튵짏쫐릫쮾믹놾쟩뿶춳볆뇭 막욱듺싫 막욱쏻돆 볆쯣죕웚 탐튵쏻돆 짏쫐죕웚 ퟜ쫐횵 1 000569 뎤돇막럝 20070214 풭닄쇏튵 19940425 +09 2 000629 탂룖랰 20070214 풭닄쇏튵 19961115 +10 3 000708 듳튱쳘룖 20070214 풭닄쇏튵 19970326 +09 4 000709 쳆룖막럝 20070214 풭닄쇏튵 19970416 +10 5 000717 짘룖쯉즽 20070214 풭닄쇏튵 19970508 +09 6 000761 놾룖냥닄 20070214 풭닄쇏튵 19980115 +10 7 000825 첫룖늻탢 20070214 풭닄쇏튵 19981021 +10 8 000898 낰룖막럝 20070214 풭닄쇏튵 19971225 +10 9 000959 쫗룖막럝 20070214 풭닄쇏튵 19991216 +10 10 000961 듳솬뷰얣 20070214 풭닄쇏튵 20000301 +09 11 600001 몪떦룖쳺 20070214 풭닄쇏튵 19980122 +10 12 600005 커룖막럝 20070214 풭닄쇏튵 19990803 +10 13 600010 냼룖막럝 20070214 풭닄쇏튵 20010309 +10 14 600019 놦룖막럝 20070214 풭닄쇏튵 20001212 +11 15 600022 볃쓏룖쳺 20070214 풭닄쇏튵 20040629 +10 16 600102 삳룖막럝 20070214 풭닄쇏튵 19970828 +09 17 600117 컷쓾쳘룖 20070214 풭닄쇏튵 19971015 +09 18 600126 몼룖막럝 20070214 풭닄쇏튵 19980311 +09 19 600231 쇨룖막럝 20070214 풭닄쇏튵 20000511 +09 20 600282 쓏룖막럝 20070214 풭닄쇏튵 20000919 +09 21 600307 뻆룖뫪탋 20070214 풭닄쇏튵 20001220 +09 22 600357 돐랰 20070214 풭닄쇏튵 20020906 +09 23 600399 뢧쮳쳘룖 20070214 풭닄쇏튵 20001229 +09 24 600569 낲퇴룖쳺 20070214 풭닄쇏튵 20010820 +09 25 600581 냋튻룖쳺 20070214 풭닄쇏튵 20020816 +09 26 600691 ST뚫첼 20070118 풭닄쇏튵 19931119 385599750 27 600714 뷰죰뿳튵 20070214 풭닄쇏튵 19960606 +09 28 600804 열늩쪿 20070214 풭닄쇏튵 19940103 +09 29 600808 십룖막럝 20070214 풭닄쇏튵 19940106 +10 30 600894 맣룖막럝 20070214 풭닄쇏튵 19960328 +09 71
죧뇭쯹쪾ꎬ뫚즫튱솶튵훐ꎬ1996쓪틔잰짏쫐뗄웳튵폐7볒ꎬ1997쓪짏쫐뗄폐6볒ꎬ1998쓪짏쫐뗄폐4볒ꎬ1999쓪짏쫐뗄폐2볒ꎬ2000쓪짏쫐뗄폐6볒ꎬ2001쓪짏쫐뗄2볒ꎬ2002쓪짏쫐뗄2볒ꎬ2004쓪짏쫐뗄1볒ꆣ뷘훁떽2007쓪2퓂14죕ꎬ쫐횵맦쒣ퟮ듳뗄릫쮾쫇놦룖막럝ꎬ쫐횵157틚풪죋쏱뇒ꆣ 캪쇋뷸튻늽쇋뷢뫚즫뷰쫴튱솶튵쪣폠쫕틦뗄쟩뿶ꎬ쇮ex1뇭쪾폃CAPM쒣탍볆쯣놾돉놾ꆢ럧쿕틧볛캪2%쪱뫚즫뷰쫴튱솶튵짏쫐릫쮾룷쓪뛈뗄쪣폠쫕틦ꎻex2뇭쪾폃CAPM쒣탍볆쯣놾돉놾ꆢ럧쿕틧볛캪6%쪱뫚즫뷰쫴튱솶튵짏쫐릫쮾룷쓪뛈뗄쪣폠쫕틦ꎻex3뇭쪾떱놾돉놾만뚨캪10%쪱짏쫐릫쮾룷쓪뛈뗄쪣폠쫕틦ꎻBv뇭쪾짏쫐릫쮾뗄뺻닺ꆣ룷쿮횸뇪뗄춳볆쳘헷볻뇭ꆣ 뇭 뫚즫뷰쫴튱솶튵짏쫐릫쮾믹놾횸뇪춳볆뇭 BV EX1 EX2 EX3 Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Jarque-Bera Probability Sum Sum Sq. Dev. Observations 226 226 226 226 듓뇭뿉틔뾴돶ꎬ떱럧쿕틧볛캪2%쪱ꎬ쪣폠쫕틦뻹횵캪ꎬ훐캻횵캪ꎻ떱럧쿕틧볛캪6%쪱ꎬ쪣폠쫕틦뻹횵캪ꎬ훐캻횵캪ꎻ떱놾돉놾만뚨캪10%쪱ꎬ쪣폠쫕틦뻹횵캪ꎬ훐캻횵캪ꆣ듓JB춳볆솿횵뿉틔뾴돶ꎬ죽룶쪣폠쫕틦뇤솿믹놾뷼쯆폚헽첬럖늼ꆣ 72
뇭쫇떱럧쿕틧볛캪2%쪱룷탅쾢뚯첬뮯쒣탍뗄볬퇩뷡맻ꆣ듓뇭뿉틔뾴돶ꎬ훐맺뫚즫뷰쫴튱솶튵뗄쫽뻝럻뫏Ohlson뗄볙뚨ꎬ쯹폐뗄탅쾢뚯첬뮯볙짨뚼춨맽쇋볬퇩ꆣ쪣폠쫕틦뗄ퟔ믘맩쾵쫽춳볆짏쿔훸ꎬ횵뚼퓚[0,1]횮볤ꎬ헢뫍Ohlson뗄짨뚨췪좫튻훂ꆣ 퓚LID1쒣탍훐ꎬ럇믡볆탅쾢뇤솿PEG뫍crdiff춳볆짏늻쿔훸ꎬ뇭쪾쪹폃PEG뫍crdiffퟷ캪럇믡볆탅쾢뇤솿v뗄쳦듺뇤솿늢늻뿉탐ꆣ폈웤쫇PEG횸뇪믘맩뇭쿖럇뎣닮ꆣ뿉쓜뗄풭틲쫇쪹폃뗄쫽뻝쫽솿늻릻ꎬ벫뛋횵첫뛠ꎬ떼훂믘맩뷡맻늻샭쿫ꆣ Cr10ퟷ캪럇믡볆탅쾢뇤솿뇭쿖럇뎣뫃ꎬ퓚1%뗄쮮욽짏춳볆쿔훸ꆣ쇭췢ꎬ틽죫cr10뫳ꎬ쪣폠쫕틦뗄튻뷗훍뫳쿮쾵쫽듳럹쿂붵ꎬ듓쿂붵떽ꎬ헢뇭쏷cr10좷쪵냼몬쇋뛔쪣폠쫕틦폐폃뗄탅쾢ꎻcr10뿉틔ퟷ캪뫜뫃뗄뢨훺탅쾢풤닢막욱캴살뗄쪣폠쫕틦ꎬ잰컄뗄볙짨뗃떽퇩횤ꆣ 퓚LID3쒣탍훐ꎬPEGꆢcrdiffꆢcr10퓚춳볆짏뚼늻쿔훸ꎬ쎻폐춨맽볬퇩ꆣ헢쮵쏷ꎬ틽죫뺻닺뫳ꎬ폐맘쪣폠쫕틦뗄듳늿럖탅쾢틑뺭냼몬뷸살ꎬ춨맽뺻닺뫍ퟔ짭뗄탅쾢ꎬ듳늿럖뗄쪣폠쫕틦횵틑뺭뗃떽뷢쫍ꆣ LID3ꆢLID4쫇틽죫쇋뺻닺뫳뗄믘맩쒣탍ꆣ믘맩뷡맻뇭쏷ꎬ돽쇋LID3훐뗄D쿮췢ꎬ쯹폐뗄뺻닺뚼쫇춳볆짏쿔훸뗄ꎬ헢뇭쏷Ohlson볙짨뗄믡볆컈붡탔럻뫏쪵볊쟩뿶ꎬ쪣폠쫕틦뫍뺻닺폐ퟅ쏜쟐뗄솪쾵ꆣ틽죫뺻닺뫳ꎬ쪣폠쫕틦뗄ퟔ믘맩쿮쾵쫽듳럹쿂붵ꎬ듓쿂붵떽뢽뷼ꎬ헢뇭쏷뺻닺몬폐뷢쫍쪣폠쫕틦뗄폐폃탅쾢ꆣ LID5쫇쪣폠쫕틦뗄AR2볬퇩ꆣ듓믘맩뷡맻뾴ꎬ컒맺쪣폠쫕틦뗄뛾뷗훍뫳쿮쾵쫽퓚춳볆짏늢늻쿔훸ꎬ벴컒맺뫚즫뷰쫴튱솶튵짏쫐릫쮾늢늻횧돖폐맘쪣폠쫕틦AR2맽돌뗄볙짨ꆣ헢뇭쏷컒맺짏쫐릫쮾쪣폠쫕틦퓚쪱볤짏돖탸탔뷏닮ꎬ늨뚯탔뷏듳ꆣ춨맽뷸튻늽믘맩랢쿖ꎬ컒맺쪣폠쫕틦뗄AR3맽돌훐ꎬ죽뷗훍뫳쿮뗄쾵쫽쫇쿔훸뗄ꆣ헢뇭쏷컒맺짏쫐릫쮾쪣폠쫕틦늨뚯탔듳뗄훷튪풭틲뿉쓜쫇평폚탐튵틲쯘ꎬ믲헟쫇뫪맛뺭볃늨뚯틲쯘ꎬ뛸늻쫇릫쮾놾짭뗄틲쯘ꎨ죽뷗훍뫳쿮춳볆틢틥짏쿔훸뇭쏷맽좥폅탣뗄릫쮾캴살죔좻폅탣ꎩꆣ늻맽ꎬAR3맽돌폃떽뗄쫽뻝뷏짙ꎬ뷡맻횵뗃짌좶ꎬ놾컄늢쎻폐붫AR3맽돌뗄믘맩뷡맻쇐쪾돶살ꆣ 횵뗃튻쳡뗄쫇ꎬLID2ꆢLID4ꆢLID5뚼쫇몬폐뷘뻝쿮뗄믘맩ꎬ뷡맻뇭쪾ꎬ쯹폐뗄뷘뻝쿮뚼쫇춳볆짏쿔훸뗄ꆣ헢뇭쏷ꎬ퓚쪣폠쫕틦뗄AR1맽돌훐ꎬ좷쪵뮹폐웤쯻뷢쫍뇤솿캴놻랢쿖ꎬOhlson쯹쮵뗄듦퓚웤쯻럇믡볆탅쾢뇤솿뗄컊쳢놾짭폐뫜듳뗄뫏샭탔ꆣ 73
뇭 럧쿕틧볛캪2%쪱룷LID볙뚨뗄쪵횤볬퇩 (1) LID1ꎺxa+1=w0xa+wv+ett1tt+1 Aꎺn=PEG xa1=wxa+wPEG+e t0t1tt1Variable Coefficient Std. ErrorAdjusted t-Statistic Prob. R-squared w0 w1 -06 -05 Bꎺn=aacrdiff x+1=w0x+w1crdiff+e+ tttt1 w0 w1 Cꎺn=cr10 xa+1=w0xa+w2cr10+etttt+1 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 (2) LID2ꎺxaat+1=w0+w1x+e tt+1Variable Coefficient Std. Error t-Statistic Prob. w0 w1 (3) LID3ꎺxa+1=w1xa+w2bv+w3v+ettttt+1 Aꎺ늻뾼싇럇믡볆탅쾢쿮n Variable Coefficient Std. Error t-Statistic Prob. w1 w2 Bꎺn=PEGa x+1=w1xa+w2bv+w3peg+e+ ttttt1Variable Coefficient Std. Error t-Statistic Prob. w1 w2 w3 -06 -05 Cꎺn=xaacrdiff t+1=w1x+wbv+wcrdiffet+ t2t3t1Variable Coefficient Std. Error t-Statistic Prob. w1 74
w2 w3 Dꎺn=cr10aa x+1=w1x+w2bv+w3cr10+e ttttt+1Variable Coefficient Std. Error t-Statistic Prob. w1 w2 w3 (4) LID4ꎺxa1=0+a1++ t+wwxwbvet2tt+1Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 (5) LID5ꎺxa+=w+wxa+wxat101t2t−1+et+1 Aꎺ늻뾼싇뷘뻝쿮 Variable Coefficient Std. Error t-Statistic Prob. w1 w2 Bꎺ뾼싇뷘뻝쿮 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 뇭쫇럧쿕틧볛캪6%쪱룷쿮탅쾢뚯첬뮯볙짨뗄볬퇩뷡맻ꆣ볬퇩뷡맻뫍뇭믹놾튻훂ꆣCR10퓚춳볆짏쿔훸ꎬ뇭쏷잰10듳막뚫돖막뇈샽뫍폐훺폚뷢쫍쿂튻웚뗄쪣폠볛횵ꆣPEG뫍crdiff퓚춳볆짏뚼늻쿔훸ꆣ뺻닺bv퓚춳볆짏쿔훸ꎬ뇭쏷뺻닺몬폐풤닢쿂웚쪣폠볛횵뗄폐폃탅쾢ꆣ쪣폠쫕틦뗄AR2맽돌볙짨훐ꎬ뛾뷗훍뫳쿮쾵쫽춳볆짏늻쿔훸ꆣ뛔뇈뇭뫍뇭랢쿖ꎬ럧쿕틧볛짨캪2%뫍짨캪6%뛔믘맩뷡맻늢쎻폐죎뫎럇뎣쿔훸뗄펰쿬ꎬ헢뫍쿈잰맺췢톧헟쯹쮵뗄ꎬ퓚쪣폠쫕틦쒣탍훐ꎬ놾돉놾뗄뻟쳥횵뛔쪵볊뷡맻늢쎻폐첫듳펰쿬쿠컇뫏ꆣ 75
뇭 럧쿕틧볛캪6%쪱탅쾢뚯첬뮯쒣탍뗄쪵횤볬퇩뷡맻 (1) LID1ꎺxaat+1=w0x+wv+et1tt+1 Aꎺn=PEG xa1=wxa+wPEG+e t0t1tt1Variable CoefficientAdjusted Std. Error t-Statistic Prob. R-squared w0 w1 -06 -05 Bꎺn=crdiff xa+1=w0xa+wcrdiff+e+ tt1tt1Variable Coefficient Std. Error t-Statistic Prob. w0 w1 Cꎺn=cr10 xaa+1=w0x+w1cr10+e tttt+1Variable Coefficient Std. Error t-Statistic Prob. w0 w1 (2) LID2ꎺxa1wxat+=0+w1+ett+1 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 (3) LID3ꎺxaa+1=w1x+w2bv+w3v+ettttt+1 Aꎺ늻뾼싇럇믡볆탅쾢쿮n Variable Coefficient Std. Error t-Statistic Prob. w1 w2 Bꎺn=PEG xa+1=w1xa+w2bv+wpeg+e ttt3tt+1Variable Coefficient Std. Error t-Statistic Prob. w1 w2 w3 -06 -05 Cꎺn=crdiffaa x+1=w1x+w2bv+w3crdiffe ttttt+1Variable Coefficient Std. Error t-Statistic Prob. w1 76
w2 w3 Dꎺn=cr10 xa+1=w1xa+w2bv+wcr+ettt310tt+1 Variable Coefficient Std. Error t-Statistic Prob. w1 w2 w3 (4) LID4ꎺxaat+1=w0+w1x+wbv+e t2tt+1Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 (5) LID5ꎺxaaat+1=w0+w1x+wxt2t−1+et+1 Aꎺ늻뾼싇뷘뻝쿮 Variable Coefficient Std. Error t-Statistic Prob. w1 w2 Bꎺ뾼싇뷘뻝쿮 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 뇭쫇놾돉놾볙뚨캪늻뇤뗄10%쪱룷훖탅쾢뚯첬뮯쒣탍뗄볬퇩뷡맻ꆣ볬퇩뷡맻뇭쏷ꎬ뇭뫍뇭ꆢ뇭폐뫜듳뗄쟸뇰ꆣ쫗쿈ꎬ컞싛쫇PEGꆢcrdiffꎬ뮹쫇cr10ꎬ퓚볬퇩쪽훐뚼늻퓙쿔훸ꎻ웤듎ꎬ뺻닺쿮퓚룷볬퇩쪽훐튲늻퓙쿔훸ꎻ쇭췢ꎬ룷볬퇩쪽뗄에뚨횵R2쿠뇈폚뇭뫍훐뗄에뚨횵듳럹쿂붵ꎬ헢뇭쏷뷢쫍뇤솿뛔놻뷢쫍뇤솿뗄뷢쫍쓜솦쿂붵ꆣ 틔짏죽쿮뷡맻뇭쏷ꎬ10ꎥ뗄늻뇤놾돉놾볙뚨폫쪵볊쟩뿶늻럻ꆣ뺡맜쪣폠쫕틦쒣탍뛔놾돉놾뗄뻟쳥횵늻쏴룐ꎬ떫쫇룷릫쮾놾짭놾돉놾늢늻쿠춬ꎬ룷릫쮾놾돉놾볤폐쿠뛔만뚨뗄닮뇰ꎻ죧맻볙뚨놾돉놾춳튻캪10%ꎬ췪좫쒨돽룷릫쮾놾짭만폐뗄놾돉놾닮뇰ꎬ헢캥놳쇋뎣샭ꎬ믡떼훂믘맩뷡맻뫍샭싛돶쿖뫜듳랴닮ꆣ틲듋ꎬ늻뾼싇룷 77
릫쮾놾돉놾닮틬퓚샭싛짏쫇늻뿉좡뗄ꆣ 뇭 놾돉놾만뚨캪늻뇤뗄10%쪱룷훖탅쾢뚯첬뮯쒣탍뗄볬퇩뷡맻 (1) LID1ꎺxaat+1=w0x+wv+et1tt+1 Aꎺn=PEG xa=wxa wPEGet10++ t1tt1Variable CoefficientAdjusted Std. Error t-Statistic Prob. R-squared w0 w1 -06 -05 Bꎺn=crdiff xa+1=w0xa+w1crdiff+e tttt+1Variable Coefficient Std. Error t-Statistic Prob. w0 w1 Cꎺn=cr10 xaa+1=w0x+w1cr10+etttt+1 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 (2) LID2ꎺxaat+1=w0+w1x+e tt+1Variable Coefficient Std. Error t-Statistic Prob. w0 w1 (3) LID3ꎺxa+1=w1xa+w2bv+w3v+e ttttt+1Aꎺ늻뾼싇럇믡볆탅쾢쿮n Variable Coefficient Std. Error t-Statistic Prob. w1 w2 Bꎺn=PEG xa+1=w1xa+w2bv+w3peg+e ttttt+1Variable Coefficient Std. Error t-Statistic Prob. w1 w2 w3 -06 -05 78
Cꎺn=crdiff xa+1=w1xa+w2bv+wcrdiffettt3tt+1 Variable Coefficient Std. Error t-Statistic Prob. w1 w2 w3 Dꎺn=cr10xa +1=w1xa+w2bv+w3cr10+e1 ttttt+Variable Coefficient Std. Error t-Statistic Prob. w1 w2 w3 (4) LID4ꎺxa+1=w0+w1xa+w2bv+etttt+1 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 (5) LID5ꎺxaa+1=w0+w1x+wxatt2t−1+et+1 Aꎺ늻뾼싇뷘뻝쿮 Variable Coefficient Std. Error t-Statistic Prob. w1 w2 Bꎺ뾼싇뷘뻝쿮 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 킡뷡 ꎨ1ꎩ놾뷚믘맩뷡맻뇭쏷ꎬ컒맺뫚즫뷰쫴튱솶튵뗄믘맩뷡맻폫Ohlson뗄볙뚨쿠컇뫏ꎬ뫍맺췢뗄퇐뺿뷡맻튲럇뎣뷓뷼ꎬ쪣폠쫕틦뗄ퟔ믘맩쾵쫽실퓚[0,1]횮볤ꆣ 79
ꎨ2ꎩ믘맩뷡맻횤쪵쇋ퟷ헟뗄짨쿫ꎬ벴짏쫐릫쮾잰10듳막뚫뗄돖막뇈샽뫍폫짏쫐릫쮾쿂튻쓪뛈뗄쪣폠쫕틦폐쏜쟐맘쾵ꆣ헢뇭쏷ꎬ퓋폃CR10폐훺폚뷢쫍쪣폠쫕틦뗄룷웚횵ꆣ떫쫇ꎬ쫐펯싊뫍뺻닺퓶뎤싊뗄뇈횵PEG늻쓜ퟶ캪럇믡볆탅쾢쿮뗄쳦듺뇤솿ꆣ헢뿉쓜쫇평폚퇹놾죝솿킡ꎬ퇹놾훐벫뛋횵맽뛠뗄풵맊ꎻ쇭췢ꎬ컒맺짏쫐릫쮾뺭펪튵벨늻컈뚨ꎬ퓬돉PEG뇤뮯첫욵랱튲쫇튻룶뿉쓜풭틲ꆣ쇭췢컒쏇랢쿖ꎬ샻폃잰쪮듳막뚫뗄돖막뇈샽뫍폫잰컥듳막뚫뗄돖막뇈샽뫍뗄닮ퟶ캪럇믡볆탅쾢뇤솿v뗄쳦듺뇤솿웤킧맻늢쎻폐컒쏇풤웚뗄뫃ꆣ뿉쓜뗄풭틲쫇헢룶닮횵늢늻쓜랴펳믺릹춶헟뗄춶틢쿲ꆣ뇈죧ꎬ폐뗄믺릹춶헟쯤좻뒦퓚뗚컥떽뗚쪮듳막뚫뗄캻훃ꎬ떫쫇웤춶뻶닟쫇볌탸복돖룃릫쮾뗄막욱ꆣ쯹틔ꎬ떥욾튻룶막샻뷡릹쫽뻝컞램ힼ좷뛈솿믺릹춶헟뗄춶첬뛈ꎬ뮹뇘탫뷨훺웤쯻횸뇪본쏷믺릹춶헟뗄춶틢쿲ꆣ헢룶컊쳢폐듽뫳탸퇐뺿뗄뷸튻늽첽쳖ꆣ ꎨ3ꎩ떱컒쏇쪹폃CAPM쒣탍볆쯣막좨놾돉놾쪱ꎬ럧쿕틧볛뗄듳킡늢늻펰쿬쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨뗄믘맩뷡맻ꆣ헢뇭쏷ꎬ횻튪뾼싇쇋룷룶릫쮾뗄쿠뛔닮틬ꎬ놾돉놾뗄뻟쳥듳킡늢늻펰쿬쿟탔탅쾢뚯첬뮯볙뚨ꆣ떫쫇ꎬ떱컒쏇닉폃늻뇤뗄10%ퟷ캪쯹폐릫쮾뗄막좨놾돉놾쪱ꎬ쿟탔탅쾢뚯첬뮯볙뚨뗄믘맩뷡맻돶쿖쇋뫜듳뇤뮯ꎬ폐킩뇤뮯뫍샭싛풤닢늻튻훂ꆣ헢뇭쏷ꎬ쯤좻뻟쳥뗄놾돉놾듳킡늢늻펰쿬쿟탔탅쾢뚯첬뮯볙뚨뗄뷡맻ꎬ떫쫇죧맻컒쏇늻뾼싇룷룶릫쮾뗄닮틬ꎬ퓲쒣탍뗄ힼ좷탔믡놻웆뮵ꆣ틲듋ꎬ컒쏇퓚톡퓱놾돉놾쪱ꎬ뇘탫뾼싇룷룶릫쮾뗄놾돉놾닮틬ꆣ ꎨ4ꎩ돽쇋늻뇤놾돉놾볆쯣뗄믘맩쒣탍췢ꎬ웤쯻솽룶믘맩쒣탍훐ꎬ뺻닺쿮뗄믘맩쾵쫽춳볆짏뚼쿔훸ꆣ헢뇭쏷ꎬ뫍Ohlson뗄샭싛튻훂ꎬ퓚뷱쳬퇏룱볠맜뗄놾쫐뎡짏ꎬ믡볆ퟜ쳥짏쫇컈붡뗄ꎬ뺻닺몬폐뷢쫍쪣폠쫕틦뗄폐폃탅쾢ꆣ컒쏇퓚쪹폃쪣폠쫕틦쒣탍쪱ꎬ뇘탫뾼싇뺻닺뛔쪣폠쫕틦뗄펰쿬ꆣ 80
4 쿖듺쪣폠쫕틦쒣탍뛔막욱볛룱뷢쫍쓜솦뗄볬퇩 좨틦맀횵쒣탍뗄뫃뮵탨튪평쒣탍뛔막욱볛룱뗄뷢쫍뫍뛔막욱캴살쫕틦뗄풤닢쓜솦뻶뚨ꆣ춬뗈쳵볾쿂ꎬ뷢쫍쓜솦풽뫃ꎬ풤닢쓜솦풽잿뗄맀횵쒣탍볛횵풽듳ꎬ뫏샭탔풽잿ꆣ FrankelꆢLeeꎨ1998ꎩ퓋폃쏀맺뗄쫽뻝볬퇩쇋맅뗤쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍뫍뛔막욱캴살쫕틦뗄풤닢쓜솦ꎬ뷡맻랢쿖ꎬ뎤웚살뾴ꎬ맅뗤쒣탍폅폚뫬샻쳹쿖쒣탍뫍쿖뷰쇷쳹쿖쒣탍ꆣ뫳살훚뛠뗄톧헟냼삨DHSꆢMyers뗈죋뛔쿖듺쪣폠쫕틦쒣탍뷸탐럖컶랢쿖ꎬ쿖듺쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦늢쎻폐죋쏇쿫쿳뗄쓇쎴잿듳ꎬ쿖듺쪣폠쫕틦쒣탍뗄쪵볊릦쓜뮹탨튪뷸튻늽뗄퇩횤ꆣ 놾헂퓋폃컒맺막쫐뫚즫뷰쫴튱솶튵뗄쫽뻝ꎬ볬퇩쿖듺쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦ꎬ쿂튻헂볬퇩쿖듺쪣폠쫕틦쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ 내헕짏튻헂뗄퇐뺿쮼슷ꎬ컒쏇퓚놾헂룹뻝쫇럱냼몬럇믡볆탅쾢뇤솿vꆢ쫇럱뾼싇뺻닺뗄ퟷ폃뫍쿟탔탅쾢뚯첬뮯탎쪽뗄늻춬붫쪣폠쫕틦쒣탍럖캪컥샠ꎬ럖뇰캪뾼싇럇믡볆탅쾢뇤솿vꆢ늻냼몬뺻닺쿮뗄LID1탎쪽쪣폠쫕틦쒣탍ꎻ만뚨럇믡볆탅쾢뇤솿v캪뎣쫽ꆢ늻냼몬뺻닺쿮뗄LID2탎쪽쪣폠쫕틦쒣탍ꎻ늻뾼싇럇믡볆탅쾢뇤솿vꆢ냼몬뺻닺쿮뗄LID3탎쪽쪣폠쫕틦쒣탍ꎻ만뚨럇믡볆탅쾢뇤솿v캪뎣쫽ꆢ냼몬뺻닺쿮뗄LID4탎쪽쪣폠쫕틦쒣탍ꎻ만뚨럇믡볆탅쾢뇤솿v캪뎣쫽ꆢ쿟탔탅쾢뚯첬뮯캪AR2탎쪽뗄쪣폠쫕틦쒣탍ꆣ컒쏇쪹폃컒맺뫚즫뷰쫴튱솶튵뗄쫽뻝럖뇰뇈뷏쇋헢컥훖쿖듺쪣폠쫕틦쒣탍뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꆣ 퓚놾헂훐ꎬ컒쏇횱뷓쪹폃cr10ퟷ캪럇믡볆탅쾢뇤솿v뗄쳦듺뇤솿ꆣ볆쯣쪣폠쫕틦쪱ꎬ컒쏇쪹폃CAPM쒣탍볆쯣놾돉놾ꆣ퓚짏튻헂뗄럖컶훐컒쏇랢쿖떱놾돉놾만뚨캪10%쪱ꎬ쪣폠쫕틦뗄뇤뮯탎쪽폫Ohlson뗄샭싛늻럻ꆣ헢뇭쪾늻뾼싇룷룶릫쮾뗄놾돉놾닮틬뿉쓜믡틽웰볆쯣컳닮ꆣ놾헂컒쏇쪹폃CAPM쒣탍볆쯣놾돉놾ꎬ럧쿕틧볛럖뇰톡퓱2%뫍6%ꎬ틔뾼싇놾돉놾닮틬뛔쒣탍뗄펰쿬ꆣ 돽쇋뇈뷏룷훖늻춬탎쪽뗄쪣폠쫕틦쒣탍뛔막욱볛룱뷢쫍쓜솦뗄닮틬췢ꎬ컒쏇뮹뇈뷏쇋쿖듺쪣폠쫕틦쒣탍뫍ퟔ평쿖뷰쇷쳹쿖쒣탍ꆢ펯폠놾뮯쒣탍뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꎬ뇈뷏쇋쿖듺쪣폠쫕틦쒣탍뫍쿠뛔맀횵횸뇪뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꆣ 샭싛뷩짜 샭싛짏ꎬ막욱뗄쓚퓚볛횵뿉틔춨맽뫬샻쳹쿖쒣탍DDMꆢ쿖뷰쇷쳹쿖쒣탍DCFꆢ펯폠놾뮯쒣탍ꎬ틔벰쿠뛔볛횵횸뇪믘맩램쯣뗃ꆣ 81
뫬샻쳹쿖쒣탍쫇ퟮ맅샏ꆢ샭싛믹뒡ퟮ샎만뗄맀횵쒣탍ꆣ늻맽ꎬ컒맺놾쫐뎡랢햹쪱볤늻뻃ꎬ짏쫐릫쮾펯샻쓜솦놡죵ꎬ막샻컄뮯퓚컒맺뮹쎻폐붨솢웰살ꆣ듳늿럖짏쫐릫쮾퓚쎿룶믡볆쓪뛈뚼늻뛔막뚫럖뫬ꆣ막샻컄뮯뗄좱쪧쪹뗃뫬샻쳹쿖쒣탍퓚컒맺펦폃뷏짙ꆣ쇭췢ꎬ펦폃뫬샻쳹쿖쒣탍쪱ꎬ막샻쫽횵쿠뛔뷏킡ꎬ튻냣훁짙탨튪쪮쓪틔짏뗄쫽뻝닅쓜ힼ좷볆쯣돶릫쮾뗄볛횵ꆣ컒맺쿖뷗뛎뺭볃랢햹헽뒦폚웰량웚ꎬ탐튵뫍릫쮾뇤뮯럇뎣뿬ꎬ막샻쇷늨뚯럹뛈럇뎣듳ꎬ뫜쓑폐튻룶만뚨뗄쫽솿맘쾵쪽쓜릻뇭듯돶헢훖욵랱뇤뮯뗄막샻맘쾵ꆣퟛ뫏틔짏솽뗣뾼싇ꎬ퓚뫳탸뗄쯹폐럖컶훐ꎬ놾컄늻퓙럖컶뫬샻쳹쿖쒣탍ꆣ 쿖뷰쇷쳹쿖쒣탍쫇뫬샻쳹쿖쒣탍뗄랢햹ꆣ쿖뷰쇷쳹쿖쒣탍훐ꎬ막욱볛횵뗈폚막욱캴살뛔펦룷웚쿖뷰쇷뗄쿖횵뫍ꆣ ∞CFV=∑t ꎨꎩ t=1(1+r)tt놾헂훐ꎬ컒쏇붫뫚즫뷰쫴튱솶튵짏쫐릫쮾캴살뗄쿖뷰쇷럖캪솽룶뷗뛎ꆣ뗚튻룶뷗뛎쿖뷰쇷돖탸퓶뎤ꎬ뗚뛾룶뷗뛎쿖뷰쇷놣돖늻뇤ꆣ컒쏇볙짨뗚튻룶뷗뛎릫쮾쿖뷰쇷쎿쓪퓶뎤5%ꎻ퓶뎤쓪쿞럖캪솽훖쟩뿶ꎬ튻훖쟩뿶쫇퓶뎤5쓪ꎬ쇭췢튻훖쟩뿶쫇퓶뎤10쓪ꆣ횮쯹틔볙뚨쿖뷰쇷퓶뎤싊캪5%ꎬ쫇틲캪룹뻝컒맺헾뢮캴살15쓪뗄랢햹맦뮮ꎬ캴살15쓪컒맺쓪뻹GDP퓶뎤쯙뛈듳룅퓚5-7%ퟳ폒ꆣ뫚즫뷰쫴튱솶튵쫇튻룶뫍뫪맛뺭볃맘솪뛈럇뎣룟뗄훜웚탔탐튵ꎬ틲듋볙뚨뫚즫뷰쫴튱솶튵뫍맺쏱짺닺ퟜ횵폐춬퇹뗄퓶뎤쯙뛈쫇뫏샭뗄ꆣ쇭췢ꎬ쯦ퟅ컒맺맺쏱뺭볃랢햹뗄벯풼뮯뫍뮷뺳놣뮤듫쪩뗄쪵쪩ꎬ뫚즫뷰쫴뗄쿻뫄솿펦룃믡쿂붵ꎬ탐튵퓶뎤쯙뛈믡킡폚GDP퓶뎤쯙뛈ꆣ틲듋ꎬ컒쏇볙짨뫚즫뷰쫴튱솶튵쿖뷰쇷뗄캴살쓪뻹퓶뎤싊캪5%ꎬ싔킡폚캴살GDP뗄쓪뻹퓶뎤쯙뛈ꆣ 뗚튻룶뷗뛎뷡쫸틔뫳ꎬ퓚뗚뛾룶뷗뛎ꎬ컒쏇볙짨뫚즫뷰쫴튱솶튵쎿쓪쿖뷰쇷놣돖늻뇤ꎨ놾컄쪹폃뗄쯹폐쫽뻝뻹쫇쎿막쫽뻝ꎬ헢샯횸뗄쫇쎿막쿖뷰쇷ꎩꎬ듓뛸훕뛋횵탎돉튻룶폀탸쓪뷰ꆣ 쇭췢ꎬ캪쇋볆쯣랽뇣ꎬ컒쏇볙짨캴살룷쓪컒맺좨틦놾돉놾쿠뗈ꎬ춳튻캪rꆣ헢퇹ꎬퟛ뫏틔짏솽뗣ꎬ쿖뷰쇷쳹쿖쒣탍뇭쪾뗄막욱볛횵캪ꎺ CtnnF0(1g)CF0(1g)V∑+++ ꎨꎩ =1(1r)r(1r)tꎨꎩ쪽훐ꎬg뇭쪾뗚튻뷗뛎쿖뷰쇷뗄퓶뎤쯙뛈ꎬCF뇭쪾웚돵뗄쿖뷰쇷ꎬr캪좨틦놾돉놾ꆣ 볙짨g<rꎬꎨꎩ쪽뇤뮻뿉틔뗃떽ꎺ 82
CFnn0(1+g)(1+r)−(1+g)CnF0(1+g)V= ꎨnꎽ5믲10ꎩ ꎨꎩ nn(r−g)(1+r)r(1+r)펯폠놾뮯쒣탍쫇볙짨릫쮾캴살쎿쓪뗄믡볆펯폠놣돖늻뇤ꎬ쫕틦탎돉튻룶쓪뷰ꎬ헢퇹ꎬ막욱뗄볛횵뿉틔뇭쪾돉ꎺ V=eps/r ꎨꎩ 웤훐ꎺeps뇭쪾릫쮾쎿쓪뗄쎿막펯폠ꎬr캪좨틦놾돉놾ꆣ 쿠뛔횸뇪믘맩럖컶랽램쫇횸춨맽쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊살맀볆막욱쓚퓚볛횵뗄랽램ꆣ틔쫐펯싊캪샽ꎬ컒쏇뿉틔붨솢믘맩랽돌ꎺ P=w0+w1PE+e ꎨꎩ ttt웤훐PE캪막욱뗄쫐펯싊ꆣ춨맽믘맩쟳뗃w0ꆢw1뗄횵뫳ꎬ붫탂뗄PE횵듺죫떽짏쪽훐ꎬ쟳뗃막욱뗄쓚퓚볛횵ꆣ헢훖랽램살풴폚Frankel뫍Lee(1998)뗄퇐뺿ꆣ 붫PE쳦뮻캪쫐뺻싊PBVꆢ쫐쿺싊PSꎬ뿉틔럖뇰뗃떽쇭췢솽훖볆쯣막욱볛횵뗄랽램ꆣ 퓚쪹폃쿖듺쪣폠쫕틦쒣탍볆쯣막욱뗄쓚퓚볛횵쪱ꎬ룹뻝Ohlson퓚늻춬쪱웚쳡돶뗄늻춬샭싛볙짨ꎬ놾컄럖뇰쪹폃틔쿂컥훖쿖듺쪣폠쫕틦맀횵쒣탍볆쯣막욱뗄쓚퓚볛횵ꆣ ꎨ1ꎩ LID1ꎺxaat+1=w1x+wcr+e+ t210tt1맀횵랽돌캪ꎺV1=bv+a1xa+acr ꎨꎩ tt210tt웤훐ꎺ aw=111+r−w1 1+ra2=(1+r−w1)(+−w2) ꎨ2ꎩLID2ꎺxaat+1=w0+w1x+e tt+1맀횵랽돌캪ꎺV2=bv+a0+axa ꎨꎩ tt1t웤훐ꎺ 83
(1+r)wa=00(1+r−w0)(1+r−w1) aw=111+r−w1 ꎨ3ꎩLID3ꎺxaat+1=w1x+wbv+et2tt+1 맀횵랽돌캪ꎺV3=bv+axa+abv tt1 ꎨꎩ t2t웤훐ꎺ aw=111+r−w1 (1+r)wa=22(1+r−w1)(+r−w2) ꎨ4ꎩLID4ꎺxaa+1=w0+w1x+w2bv+e tttt1맀횵랽돌캪ꎺV=a+bv+axa4+abv ꎨꎩ t0t1t2t웤훐ꎺ (1+r)wa=00(1+r−w1)(+r−w0) aw=111+r−w1 (1+r)wa=22(1+r−w1)(+r−w2) ꎨ5ꎩLID5ꎺxaaat+1=w0+w1x+w2x1+1 tt−et+맀횵랽돌캪ꎺV=a+bv+axa501+a2xa1 tttt− ꎨꎩ 웤훐ꎺ 2(1+r)wa=002(1+r)−w1(+r)−w2r 84
(1+r)wa=212(1+r)−w1(+r)−w2 (1+r)w1+wa=222(1+r)−w1(+r)−w2 퇹놾톡퓱뫍쫽뻝뒦샭 놾헂컒쏇쪹폃컒맺뫚즫뷰쫴튱솶튵짏쫐릫쮾1996ꎭ2005쓪뗄쫽뻝ꆣ컒쏇쫗쿈샻폃1996ꎭ2003쓪뗄쫽뻝뛔룷훖쿟탔탅쾢뚯첬뮯볙뚨ퟷ믘맩ꎬ맀볆돶믘맩쪽훐뗄닎쫽횵ꎬ좻뫳붫짏쫐릫쮾2004쓪뗄닆컱쫽뻝듺죫떽룷룶맀횵랽돌훐ꎬ볆쯣돶룷룶맀횵쒣탍맀쯣뗄짏쫐릫쮾막욱볛횵ꎻퟮ뫳붫맀쯣뗄볛횵뫍짏쫐릫쮾2005쓪6퓂뗗뗄쪵볊볛룱뷸탐뛔뇈ꎬ볆쯣돶솽헟뗄쿠뛔컳닮ErrꎽꎨVꎭPꎩ/Pꎬ뇈뷏룷룶쒣탍뛔막욱볛룱뷢쫍쓜솦뗄쿠뛔듳킡ꋙꆣ 컒맺쯹폐뫚즫뷰쫴튱솶튵짏쫐릫쮾훐ꎬ볃쓏룖쳺쫇2004쓪짏쫐뗄ꎬ2003쓪뗄닆컱쫽뻝쎻폐ꎬ틲듋붫볃쓏룖쳺듓퇹놾훐쳞돽ꎬퟮ뫳쪣쿂뗄릫쮾릲폐29볒ꆣ뫍뗚죽헂쿠춬ꎬ컒쏇쪹폃믬뫏쫽뻝뗄랽램믘맩쿟탔탅쾢뚯첬뮯볙뚨ꆣ 퓚볆쯣쪣폠쫕틦쪱ꎬ좨틦놾돉놾룹뻝CAPM릫쪽볆쯣뗃돶ꆣ룹뻝CAPM쒣탍ꎬ놾돉놾뿉틔뇭쪾돉ꎺ r=r+b×럧쿕틧볛 ꎨꎩ ifiꎨꎩ쪽훐뗄럧쿕틧볛럖뇰쪹폃2%뫍6%ꆣ컞럧쿕샻싊쪹폃룶죋ꎨ웳튵ꎩ1쓪웚뚨웚듦뿮샻싊ꆣ평폚듓1999쓪11퓂1죕웰컒맺뾪쪼헷쫕샻쾢쮰ꎬ쯹틔1999쓪11퓂틔뫳뗄1쓪웚뚨웚듦뿮뮹튪뾼싇뿛돽20%뗄듦뿮샻쾢쯹뗃쮰ꆣ 짏튻헂쯹쪹폃뗄10%뗄놾돉놾평폚뛔쪣폠쫕틦탲쇐뷢쫍늻뫃ꎬ놾헂늻퓙뾼싇쪹폃헢룶놾돉놾ꆣ 퓚쿖뷰쇷쳹쿖쒣탍훐ꎬ웚돵쿖뷰쇷CF0쪹폃1996ꎭ2003쓪뗄뻹횵ꎻ펯폠놾뮯쒣탍훐ꎬ쎿막펯폠튲쪹폃1996ꎭ2003쓪뗄뻹횵ꆣ퓚쪹폃쿖뷰쇷쳹쿖쒣탍뫍펯폠놾뮯쒣탍쪱ꎬ폃떽뗄놾돉놾쫇캴살뗄풤웚쫕틦싊ꆣ내헕샭싛퇐뺿뗄뎣맦ꎬ컒쏇볙짨쎿룶릫쮾캴살룷쓪뗄풤웚쫕틦싊쿠뗈ꎬ뻟쳥뗄풤웚쫕틦싊평CAPM릫쪽쯣뗃ꆣ ꋙ뾼싇떽짏쫐릫쮾쓪놨뗄랢늼쪱볤튻냣뚼퓚쎿쓪쓪돵뗄?ꎭ?퓂럝ꎬ쇭췢놾쫐뎡듦퓚ퟅ탅쾢쪱훍ꎬ쯹틔헢샯ퟮ훕볆쯣컳닮쪱쪹폃뗄막욱볛룱?쫇㈰〵쓪?퓂뗗뗄막욱볛룱ꆣ 85
룹뻝ꎨꎩ쪽ꎬb좡룷짏쫐릫쮾1996ꎭ2003쓪뗄욽뻹횵ꎬ럧쿕틧볛횱뷓짨캪i6%ꆣ캴살컥쓪뫍쪮쓪뗄컞럧쿕샻싊r좡3%ꆣ횮쯹틔좡3%ꎬ튻랽쏦쫇틲캪캴살컒맺f죋쏱뇒붫쏦쇙뷏뎤쪱볤뗄짽횵톹솦ꎬ쯹틔컞럧쿕샻싊늻뿉쓜뫜룟ꎻ쇭튻랽쏦쫇틲캪쒿잰컒맺샻싊쮮욽뷏뗍ꎬ평폚풴샠닺욷뗄뛌좱ꎬ캴살컒맺랢짺춨믵엲헍뗄뿉쓜탔뷏듳ꆣퟛ뫏뾼싇헢솽랽쏦뗄틲쯘ꎬ퓙닎뾼쏀맺샺쓪뗄맺뿢좯샻싊쮮욽ꎬ톡퓱3%ퟷ캪컞럧쿕샻싊뇈뷏쫊훐ꆣ 쿟탔탅쾢뚯첬뮯볙뚨믘맩럖컶 뇭쫇1996ꎭ2003쓪뫚즫뷰쫴튱솶튵짏쫐릫쮾믹놾믡볆횸뇪쏨쫶탔춳볆뇭ꆣ뇭훐ex1쫇럧쿕틧볛캪2%쪱뗄쪣폠쫕틦ꎬex2쫇럧쿕틧볛캪6%쪱뗄쪣폠쫕틦ꆣBv1쫇뺻닺ꎬcr110쫇잰쪮듳막뚫뗄돖막뇈샽뫍ꎬpbv1쫇쫐뺻싊ꆢps1쫇쫐쿺싊ꆣ 뇭 1996ꎭ2003쓪뫚즫뷰쫴튱솶튵짏쫐릫쮾믹놾믡볆횸뇪춳볆뇭 BV1 CR110 EX1 EX2 PBV1 PS1 PE1 Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Jarque-Bera Probability Sum Sum Sq. Dev. 5690913. Observations 146 146 146 146 146 146 146 86
뇈뷏뇭뫍뇭뿉틔랢쿖ꎬ퓚쎻폐뾼싇2004ꆢ2005뗄쫽뻝뫳ꎬ쪣폠쫕틦뗄욽뻹횵복킡ꆣ뇭훐ꎬ럧쿕틧볛2%쪱쪣폠쫕틦욽뻹횵캪ꎬ럧쿕틧볛6%쪱쪣폠쫕틦뻹횵캪ꎻ뇭훐ꎬ럧쿕틧볛2%쪱쪣폠쫕틦뻹횵캪ꎬ럧쿕틧볛6%쪱쪣폠쫕틦뻹횵캪ꆣ훷튪뗄풭틲쫇2002쓪틔뫳ꎬ컒쏇뫪맛뺭볃뷸죫탂튻싖퓶뎤훜웚ꎬ뫚즫뷰쫴튱솶튵퓚2003ꆢ2004ꆢ2005쓪뷸죫닺튵랱죙웚ꎬ짏쫐릫쮾튵벨듳럹짏짽ꎬ쪹뗃냼몬헢죽쓪뗄럖컶쫽뻝춳볆뻹횵듳럹짏짽ꆣ 뇭쫇1996ꎭ2003쓪럧쿕틧볛캪2%쪱LID1-LID5쒣탍뗄믘맩뷡맻ꆣ뛔헕뇭뫍뇭뿉틔뾴돶ꎬ1996ꎭ2003쓪볤쪣폠쫕틦AR1튻뷗ퟔ믘맩맽돌뗄ퟔ믘맩닎쫽뗄믘맩쾵쫽쏷쿔뇈1996ꎭ2005쓪볤믘맩닎쫽뗄믘맩쾵쫽듳ꆣ헫뛔춬튻룶쪣폠쫕틦탅쾢뚯첬뮯쒣탍ꎬ뇈죧LID1ꎺxaa+1=wx+cr10+etttt+1ꎬ퓚뇭훐믘맩쾵쫽쫇ꎬ퓚뇭훐믘맩쾵쫽쫇ꆣ웤쯻쯄룶탅쾢뚯첬뮯랽쪽LID2-LID5훐뗄튻뷗ퟔ믘맩쾵쫽튲뇈뇭훐뗄쿠펦쾵쫽듳ꆣ뇭훐뗄뻹횵믘뢴쾵쫽뇈뇭훐뗄뻹횵믘뢴쾵쫽듳ꎬ뇭쏷1996ꎭ2003쓪볤뗄쪣폠쫕틦솬탸탔듳폚1996ꎭ2005쓪볤쪣폠쫕틦뗄솬탸탔ꆣ헢샯뗄훷튪풭틲쫇평폚뫚즫뷰쫴튱솶튵짏쫐릫쮾뗄쪣폠쫕틦퓚2003쓪틔뫳랢짺춻뇤ꎬ쯹틔퓚볆쯣쪣폠쫕틦솬탸탔쪱ꎬ죧맻냼몬쇋2003쓪틔뫳뗄쫽뻝ꎬ퓲믡떼훂헻쳥뗄솬탸탔쿂붵ꎻ죧맻늻냼몬2003쓪틔뫳뗄쫽뻝ꎬ퓲헻쳥뗄솬탸탔뻍믡뇈뷏룟ꆣ캪쇋횤쏷뇊헟뗄헢룶췆뛏ꎬ컒쏇볲떥볆쯣1996ꎭ2005쓪룷쓪볤쯹폐짏쫐릫쮾쪣폠쫕틦뗄뫡뷘쏦뻹횵ꆣ뷡맻랢쿖ꎬ쪣폠쫕틦뫡뷘쏦뻹횵퓚2003ꆢ2004쓪랢짺춻뇤ꆣ2001쓪뫡뷘쏦뻹횵캪ꎬ2002쓪캪ꎬ2003쓪뗄뫡뷘쏦뻹횵캪ꎬ2004쓪캪ꎬ2005쓪캪ꆣ2003ꆢ2004쓪뻹횵뗄듳럹룄뇤쪹뗃1996ꎭ2005쓪볤뗄뻹횵믘뢴탔쎻폐1996ꎭ2003쓪볤뗄뻹횵믘뢴탔듳ꆣ 뇭쫇럧쿕틧볛캪6%쪱LID1-LID5쒣탍믘맩뷡맻뇭ꆣ듓뇭뿉틔뾴돶ꎬ퓚붫럧쿕틧볛듓2%룄캪6%뫳ꎬ쪣폠쫕틦뗄튻뷗ퟔ믘맩쾵쫽쏷쿔쿂붵ꆣ듓LID1쒣탍뾴ꎬ튻뷗ퟔ믘맩쾵쫽듓쿂붵떽ꎻLID2뗄튻뷗ퟔ믘맩쾵쫽듓쿂붵떽ꎻLID3쒣탍뗄쪣폠쫕틦튻뷗ퟔ믘맩쾵쫽듓쿂붵떽ꎬ뺻닺믘맩쾵쫽듓쿂붵떽ꎻLID4뗄쪣폠쫕틦쾵쫽듓쿂붵떽ꎬ뺻닺쾵쫽듓쿂붵떽ꎻLID5훐ꎬAR1쾵쫽듓쿂붵떽ꎬAR2믹놾뇤뮯늻듳ꆣ 87
뇭 1996ꎭ2003쓪뫚즫뷰쫴튱솶튵LID1-LID5쒣탍믘맩뷡맻ꎨ놾틧볛2%ꎩ (1) LID1ꎺxaa+1=w1x+w2cr10+etttt+1 Variable CoefficientAdjusted Std. Error t-Statistic Prob. R-squared w1 w2 (2) LID2ꎺxa+1=w0+w1xa+ettt+1 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 (3) LID3ꎺxaat+1=w1x+wbv+e+ t2tt1Variable Coefficient Std. Error t-Statistic Prob. w1 w2 (4) LID4ꎺxa+1=w0+w1xa+w2bv+etttt+1 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 (5) LID5ꎺxaa+1=w0+w1x+wxa+ tt2t−1et+1Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 붫뇭뫍뇭뛔뇈뿉틔랢쿖ꎬ뇭훐룷룶LID볙뚨뗄쿠맘닎쫽뗄믘맩쾵쫽뚼뇈뇭훐뛔펦LID볙뚨닎쫽뗄믘맩쾵쫽듳ꆣ헢뇭쏷ꎬ떱뾼달쪱볤쟸볤캪1996ꎭ2003쓪쪱ꎬ쪣폠쫕틦뗄돖탸탔퓶잿ꆣ훷튪뗄풭틲짏컄틑뺭쮵쏷ꎬ늻퓙ힸ쫶ꆣ 88
뇭 1996ꎭ2003쓪뫚즫뷰쫴튱솶튵LID1-LID5쒣탍믘맩뷡맻ꎨ놾틧볛6%ꎩ (1) LID1ꎺxa+1=w1xa+w2cr10+e tttt+1 Variable Coefficient Std. ErrorAdjusted t-Statistic Prob. R-squared w1 w2 (2) LID2ꎺxa1=0+a1+t+wwxett+1 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 (3) LID3ꎺxaat+1=w1x+wbvet2+ tt+1Variable Coefficient Std. Error t-Statistic Prob. w1 w2 (4) LID4ꎺxa+1=w0+wxa+wbv+e+ t1t2tt1Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 (5) LID5ꎺxaaat+1=w0+w1x+wx−+e t2t1t+1Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 뇭쫇쿠뛔볛횵횸뇪믘맩맀횵릫쪽뗄럖컶뇭ꆣ뇭훐ꎬPBV쫇쫐뺻싊ꎬPS쫇쫐쿺싊ꎬPE쫇쫐펯싊ꆣ듓뇭뿉틔뾴돶ꎬPBVꆢPSꆢPE뛔막욱볛룱뚼폐튻뚨뗄뷢쫍쓜솦ꎬ죽룶닎쫽뗄믘맩쾵쫽퓚5ꎥ쮮욽짏뚼춳볆쿔훸ꆣ쿠뛔살쮵ꎬPBV뫍PS뛔볛룱뗄뷢쫍쓜솦룼잿ꎬPE뷢쫍쓜솦뷏죵ꆣ헢룶뷡맻뿉쓜뗄풭틲쫇평폚뫚즫뷰쫴튱솶튵짏쫐릫쮾PE횵뇤뮯뇈뷏욵랱ꎬ벫뛋횵뷏뛠ꎬ쯹틔PE뛔볛룱뗄뷢쫍쓜솦뷏죵ꆣ컒쏇뿉틔뇭훐쫐펯싊PE뗄믹놾춳볆횵훐랢쿖ꎬ1996ꎭ2003쓪ꎬ쫐펯싊ퟮ듳횵캪1500ꎬퟮ킡횵캪ꎭ111ꎬ뻹횵캪ꎬ뇪ힼ닮캪ꆣ컞싛듓뻹횵뮹쫇듓뇪ힼ닮살쮵ꎬ헢퇹뗄쫐펯싊뚼쫇늻뫏뎣샭뗄ꆣ헢뇭쪾컒맺짏쫐릫쮾튵벨뇤뮯첫욵랱ꎬ벫뛋쟩뿶 89
첫뛠ꎬPE횵뫜쓑폃살ퟷ캪춶횸쪾횸뇪ꆣ 듓뇭훐뿉틔뾴돶ꎬ룷룶믘맩랽돌쪽뗄뗷헻R2뚼럇뎣킡ꎬPBVꆢPS뗄뗷헻R2횻폐ꆢꎬPE뗄R2횻폐ꎬ틲듋횱뷓붫막욱볛룱뛔쫐뺻싊ꆢ쫐펯싊ꆢ쫐쿺싊뷸탐믘맩쫇뇈뷏듖닚뗄뒦샭랽램ꆣ쇭췢ꎬ룷룶믘맩랽돌쪽뚼폐럇뎣쿔훸뗄뎣쫽쿮ꎬ쟒뎣쫽쿮뗄쿠뛔컳닮럇뎣듳ꎬ헢뇭쏷쒣탍짨뚨듦퓚튻뚨뗄컊쳢ꆣ 뇭 쿠뛔볛횵횸뇪믘맩맀횵램럖컶뇭 (1)P1=++ t+w0w1PBVett+1Variable Coefficient Std. Error t-Statistic Prob. w0 w1 (2)P+1=w0+w1PS+ettt+1 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 (3)Pt+1=w0+w1PE+ett+1 Variable Coefficient Std. Error t-Statistic Prob. w0 w1 쿂쏦컒쏇붫룷룶쒣탍믘맩쯹뗃뗄쾵쫽듺죫2004쓪뗄믡볆쫽뻝ꎬ쯣뗃룷룶맀횵랽돌맀쯣뗄짏쫐릫쮾막욱볛횵뫍쿠뛔컳닮ꆣ 룷훖쪣폠쫕틦쒣탍뷢쫍쓜솦뇈뷏 Ohlson룹뻝늻춬뗄샭싛볙짨쳡돶쇋벸훖탎쪽늻춬뗄쿖듺쪣폠쫕틦쒣탍ꆣ놾뷚붫샻폃컒맺뗄쫽뻝럖뇰뇈뷏헢킩늻춬탎쪽뗄쪣폠쫕틦쒣탍뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꆣ캪쇋룼볓좫쏦뗘뾼달컒맺뗄놾쫐뎡ꎬ컒쏇럖뇰톡퓱쇋놾틧볛캪2%뫍놾틧볛캪6%솽훖쟩뿶쿂뗄쪣폠쫕틦뷸탐럖컶ꆣ뇭쫇놾틧볛캪2%쪱늻춬탅쾢뚯첬뮯볙짨탎돉뗄룷훖쪣폠쫕틦맀횵쒣탍뗄뷢쫍쓜솦뛔헕뇭ꆣ 90
뇭 럧쿕틧볛캪2ꎥ쪱늻춬LID볙짨쿂뗄쿖듺쪣폠쫕틦쒣탍맀횵뛔헕뇭 막욱듺싫 막욱볲돆 P LID1-V1 V1-ERR LID2-V2 V2-ERR 569 뎤돇막럝 629 ꏇ탂룖랰 708 듳튱쳘룖 709 ꏇ쳆룖 717 ꏇ짘룖 761 놾룖냥닄 825 첫룖늻탢 898 ꏇ낰룖 959 ꏇ쫗룖 961 듳솬뷰얣 600001 몪떦룖쳺 600005 ꏇ커룖 600010 냼룖막럝 600019 ꏇ놦룖 600102 삳룖막럝 600117 컷쓾쳘룖 600126 몼룖막럝 600231 쇨룖막럝 600282 쓏룖막럝 600307 뻆룖뫪탋 600357 ꏇ돐랰 600399 뢧쮳쳘룖 600569 낲퇴룖쳺 600581 냋튻룖쳺 600691 ST뚫첼 600714 뷰죰뿳튵 600804 열늩쪿 3 600808 십룖막럝 600894 맣룖막럝 욽뻹횵 91
(탸짏뇭) 막욱듺싫 LID3-V3 V3-ERR LID4-V4 V4-ERR LID5-V5 V5-ERR 569 629 708 709 717 761 825 898 959 961 600001 600005 600010 600019 600102 600117 600126 600231 600282 600307 600357 600399 600569 600581 600691 600714 600804 600808 600894 욽뻹횵 힢ꎺLID1-V1ꆢLID2-V2ꆢLID3-V3ꆢLID4-V4ꆢLID5-V5럖뇰뇭쪾룹뻝쿟탔탅쾢뚯첬뮯볙짨LID1ꆢLID2ꆢLID3ꆢLID4ꆢLID5췆떼뗄쪣폠쫕틦쒣탍볆쯣뗄막욱샭싛볛횵ꆣV1-ERRꆢV2-ERRꆢV3-ERRꆢV4-ERRꆢV5-ERR럖뇰뇭쪾샭싛볛횵뫍쪵볊볛룱뗄쿠뛔컳닮ꆣ쿠뛔컳닮뗄볆쯣탎쪽죧쿂ꎺ V1-ERR=(P-V1)/P 92
뇭훐ꎬLID1-V1ꆢLID2-V2ꆢLID3-V3ꆢLID4-V4ꆢLID5-V5럖뇰뇭쪾룹뻝쿟탔탅쾢뚯첬뮯볙짨LID1ꆢLID2ꆢLID3ꆢLID4ꆢLID5췆떼뗄쪣폠쫕틦쒣탍볆쯣뗄막욱샭싛볛횵ꆣV1-ERRꆢV2-ERRꆢV3-ERRꆢV4-ERRꆢV5-ERR럖뇰뇭쪾샭싛볛횵뫍쪵볊볛룱뗄쿠뛔컳닮ꆣ듓뇭뿉틔뾴돶ꎬ쯹폐탎쪽뗄쪣폠쫕틦쒣탍뚼룟맀쇋막욱퓚2005쓪뗄볛횵ꆣ웤훐ꎬ컳닮ퟮ듳뗄쫇볙짨쪣폠쫕틦ퟱ톭뛾뷗ퟔ믘맩맽돌쪱뗄맀횵랽돌ꎬ헻헻룟맀쇋놶ꆣ컳닮쿠뛔뷏킡뗄쫇LID3뫍LID4쒣탍ꎬ벴볙짨쪣폠쫕틦뫍뺻닺폐맘뗄맀횵쒣탍ꆣ 뇭쫇볙짨놾틧볛캪6%쪱룷맀횵쒣탍뗄맀횵뷡맻ꆣ뇭훐ꎬLID1-V1ꆢLID2-V2ꆢLID3-V3ꆢLID4-V4ꆢLID5-V5럖뇰뇭쪾룹뻝쿟탔탅쾢뚯첬뮯볙짨LID1ꆢLID2ꆢLID3ꆢLID4ꆢLID5췆떼뗄쪣폠쫕틦쒣탍볆쯣뗄막욱샭싛볛횵ꆣV1-ERRꆢV2-ERRꆢV3-ERRꆢV4-ERRꆢV5-ERR럖뇰뇭쪾샭싛볛횵뫍쪵볊볛룱뗄쿠뛔컳닮ꆣ 듓뇭뿉틔뾴돶ꎬ룷훖쪣폠쫕틦쒣탍뚼룟맀쇋막욱볛횵ꆣ웤훐ꎬ볙짨쪣폠쫕틦ퟱ톭뛾뷗훍뫳쿮뗄LID5쒣탍떼훂뗄룟맀돌뛈ퟮ룟ꎬ욽뻹룟맀쇋%ꆣ맀횵컳닮ퟮ뗍뗄쫇LID3ꆢLID4쒣탍ꎬ컳닮횻폐%ꆢꎥꆣ 듓뇭뫍뇭뿉틔뾴돶ꎬ룷룶쪣폠쫕틦맀횵쒣탍뚼룟맀쇋막욱뗄볛횵ꎬ뺿웤풭틲ꎬ훷튪뿉쓜쫇틲캪컒맺뺭볃듓2002쓪뾪쪼뷸죫튻싖탂뗄퓶뎤웚ꎬ2003쓪뾪쪼컒맺풴ꆢ쓜풴ꆢ붻춨좫쏦뷴헅ꎬ쿠맘탐튵튲좫쏦뷸죫펯샻룟럥웚ꆣ뫚즫뷰쫴튱솶튵퓚2004쓪튵벨뒦폚샺쪷ퟮ룟캻ꆣ튵벨뗄룟웳떼훂퓋폃2004쓪뗄쪣폠쫕틦뷸탐맀횵쪱맀횵뷡맻쿠뛔뷏룟ꎬ듓뛸퓬돉뷏듳뗄컳닮ꆣ틲듋ꎬ뫪맛뺭볃뗄훜웚탔쫇퓬돉룟맀뗄풭틲횮튻ꆣ 쇭췢ꎬ듓뇭뫍뿉틔뾴돶ꎬ떱닉폃6%뗄럧쿕틧볛뫳ꎬ룷룶쒣탍뗄맀횵컳닮쏷쿔복킡ꆣ헢쫇틲캪컒맺막쫐퓚2004ꆢ2005쓪헽뒦폚태쫐뗄ퟮ뗗늿ꎬ헻룶쫐뎡볛횵훐탄뷏뗍ꎬ죋쏇풤웚뗄럧쿕틧볛뷏듳ꎬ틲듋닉폃6%뗄럧쿕틧볛룼럻뫏컒맺2004쓪ꆢ2005쓪뗄쫐뎡쟩뿶ꆣ 93
뇭 놾틧볛캪6%쪱늻춬LID볙짨뗄쿖듺쪣폠쫕틦쒣탍뗄맀횵뷡맻뇭 막욱듺싫 막욱볲돆 P LID1-V1 V1-ERR LID2-V2 V2-ERR 569 뎤돇막럝 629 ꏇ탂룖랰 708 듳튱쳘룖 709 ꏇ쳆룖 717 ꏇ짘룖 761 놾룖냥닄 825 첫룖늻탢 898 ꏇ낰룖 959 ꏇ쫗룖 961 듳솬뷰얣 600001 몪떦룖쳺 600005 ꏇ커룖 600010 냼룖막럝 600019 ꏇ놦룖 600102 삳룖막럝 600117 컷쓾쳘룖 600126 몼룖막럝 600231 쇨룖막럝 600282 쓏룖막럝 600307 뻆룖뫪탋 600357 ꏇ돐랰 600399 뢧쮳쳘룖 600569 낲퇴룖쳺 600581 냋튻룖쳺 600691 ST뚫첼 600714 뷰죰뿳튵 600804 열늩쪿 3 600808 십룖막럝 600894 맣룖막럝 욽뻹횵 94
막욱듺싫 LID3-V3 V3-ERR LID4-V4 V4-ERR LID5-V5 V5-ERR 569 629 708 709 717 761 825 898 959 961 600001 600005 600010 600019 600102 600117 600126 600231 600282 600307 600357 600399 600569 600581 600691 600714 600804 600808 600894 욽뻹횵 힢ꎺLID1-V1ꆢLID2-V2ꆢLID3-V3ꆢLID4-V4ꆢLID5-V5럖뇰뇭쪾룹뻝쿟탔탅쾢뚯첬뮯볙짨LID1ꆢLID2ꆢLID3ꆢLID4ꆢLID5췆떼뗄쪣폠쫕틦쒣탍볆쯣뗄막욱샭싛볛횵ꆣV1-ERRꆢV2-ERRꆢV3-ERRꆢV4-ERRꆢV5-ERR럖뇰뇭쪾샭싛볛횵뫍쪵볊볛룱뗄쿠뛔컳닮ꆣ쿠뛔컳닮뗄볆쯣탎쪽죧쿂ꎺ V1-ERR=(P-V1)/P 95
퓚짏쫶퇐뺿훐ꎬ쿠뛔컳닮ퟮ킡ꎬ쟒맀횵ퟮ컈뚨뗄쫇LID3ꆢLID4쒣탍ꆣ틲듋ꎬ퓚쿂쏦컒쏇붫쪣폠쫕틦맀횵쒣탍뫍웤쯻쒣탍뷸탐뛔뇈쪱ꎬ횻뾼싇LID3ꆢLID4쒣탍ꆣ춬쪱ꎬ평폚2%뗄럧쿕틧볛떼훂쇋뷏듳뗄맀횵컳닮ꎬ쿂쏦뗄퇐뺿훷튪뾼싇럧쿕틧볛캪6%뗄쟩뿶ꆣ 쪣폠쫕틦쒣탍뫍웤쯻맀횵쒣탍뷢쫍쓜솦뇈뷏 놾뷚컒쏇훷튪뾼달쪣폠쫕틦쒣탍뫍ퟔ평쿖뷰쇷쳹쿖쒣탍ꆢ펯폠놾뮯쒣탍틔벰쿠뛔볛횵횸뇪믘맩럖컶램뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꆣ룹뻝짏튻뷚뗄퇐뺿뷡싛ꎬ놾뷚컒쏇횻뾼싇냼몬뺻닺뗄솽훖LID볙짨췆떼돶뗄LID3/LID4쪣폠쫕틦쒣탍뗄뷢쫍쓜솦ꎻ춬쪱ꎬ컒쏇퓚놾뷚쪹폃뗄럧쿕틧볛춳튻만뚨캪6%ꆣ놾뷚쫗쿈뇈뷏쪣폠쫕틦쒣탍뫍쿠뛔볛횵횸뇪믘맩램뗄뷢쫍쓜솦닮틬ꎬ좻뫳뇈뷏쪣폠쫕틦쒣탍뫍막좨ퟔ평쿖뷰쇷쒣탍ꆢ펯폠놾뮯쒣탍뗄뷢쫍쓜솦닮틬ꆣ 뇭쫇쿠뛔볛횵횸뇪믘맩램뗃떽뗄룷룶짏쫐릫쮾2005쓪6퓂뗗뗄샭싛볛룱뫍쿠뛔맀횵컳닮ꆣ컒쏇샻폃뷚훐막욱볛룱뛔쿠뛔볛횵횸뇪쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊뗄믘맩랽돌쪽볆쯣막욱샭싛볛횵ꎬ좻뫳뇈뷏샭싛볛횵뫍쪵볊볛룱뗄닮ꆣ뇭훐ꎬV1쫇룹뻝쿟탔탅쾢뚯첬뮯볙짨LID3췆떼뗄쪣폠쫕틦쒣탍볆쯣뗄막욱볛횵ꎬV1-err뇭쪾맀횵컳닮ꎻV2-PBVꆢV3-PSꆢV4-PE럖뇰뇭쪾ퟔ뇤솿캪쫐뺻싊pbvꆢ쫐쿺싊psꆢ쫐펯싊pe쪱뗄맀횵뷡맻ꎻV2-ERRꆢV3-ERRꆢV4-ERR럖뇰뇭쪾V2ꆢV3ꆢV4랽돌뗄맀횵컳닮ꆣ 듓뇭뿉틔뾴돶ꎬ쪣폠쫕틦LID3맀횵쒣탍폐뫜듳뗄맀횵폅쫆ꆣ룹뻝쪣폠쫕틦LID3쒣탍볆쯣뗄볛횵뫍쪵볊볛룱럇뎣뷓뷼ꎬ욽뻹컳닮횻폐%ꆣ룹뻝쿠뛔볛횵횸뇪쫐뺻싊PBVꆢ쫐쿺싊PSꆢ쫐펯싊PE볆쯣뗄볛횵뫍볛룱폐뫜듳뗄닮뻠ꎬ쫐뺻싊PBV뗄욽뻹맀횵컳닮캪%ꎬ쫐쿺싊PS뗄욽뻹맀횵컳닮캪%ꎬ쫐펯싊PE뗄욽뻹맀횵컳닮캪%ꆣ믹놾짏ꎬ쫐뺻싊ꆢ쫐쿺싊ꆢ쫐펯싊뗄맀횵컳닮뚼듯떽쇋튻놶ꆣ쿔좻ꎬ쪣폠쫕틦쒣탍뇈쿠뛔볛횵횸뇪믘맩램뛔막욱볛룱폐룼볓뗄뷢쫍쓜솦ꆣ 96
뇭 쪣폠쫕틦맀횵쒣탍뫍쿠뛔볛횵횸뇪맀횵쒣탍뗄뷢쫍쓜솦뇈뷏 막욱듺싫 막욱볲돆 P V1 V1-err V2-PBV V2-err 569 뎤돇막럝 629 ꏇ탂룖랰 708 듳튱쳘룖 709 ꏇ쳆룖 717 ꏇ짘룖 761 놾룖냥닄 825 첫룖늻탢 898 ꏇ낰룖 959 ꏇ쫗룖 961 듳솬뷰얣 600001 몪떦룖쳺 600005 ꏇ커룖 600010 냼룖막럝 600019 ꏇ놦룖 600102 삳룖막럝 600117 컷쓾쳘룖 600126 몼룖막럝 600231 쇨룖막럝 600282 쓏룖막럝 600307 뻆룖뫪탋 600357 ꏇ돐랰 600399 뢧쮳쳘룖 600569 낲퇴룖쳺 600581 냋튻룖쳺 600691 ST뚫첼 600714 뷰죰뿳튵 600804 열늩쪿 3 600808 십룖막럝 600894 맣룖막럝 욽뻹횵 97
막욱듺싫 V1 V1-err V3-PS V3-err V4-PE V4-err 569 629 708 709 717 761 825 898 959 961 600001 600005 600010 600019 600102 600117 600126 600231 600282 600307 600357 600399 600569 600581 600691 600714 600804 600808 600894 욽뻹횵 힢ꎺ짏뇭훐볛룱P뇭쪾2005쓪6퓂ퟮ뫳튻룶붻틗죕룷막욱뗄쫕엌볛ꎻV1뇭쪾룹뻝쪣폠쫕틦맀횵쒣탍LID3볆쯣뗃떽뗄볛횵ꎬ럧쿕틧볛캪6%ꆣV1-err뇭쪾샭싛볛횵뫍쪵볊볛룱뗄컳닮ꎺ V1-err=(P-V1)/P V2뇭쪾룹뻝PBV뗄믘맩랽돌쪽볆쯣뗃떽뗄막욱볛횵ꎻV3뇭쪾룹뻝PS뗄믘맩랽돌쪽볆쯣뗃떽뗄막욱볛횵ꎻV4뇭쪾룹뻝PE뗄믘맩랽돌쪽볆쯣뗃떽뗄볛횵ꆣV2-errꆢV3-errꆢV4-err럖뇰뇭쪾볆쯣뗄볛횵뫍쪵볊볛룱뗄컳닮ꎬ볆쯣랽램춬V1-errꆣ 98
뇭쫇쪣폠쫕틦맀횵쒣탍뫍막좨ퟔ평쿖뷰쇷맀횵쒣탍뗄뷢쫍쓜솦뇈뷏ꆣ뇭훐ꎬp뇭쪾2005쓪6퓂ퟮ뫳튻룶붻틗죕뗄막욱쫕엌볛ꆣV1뇭쪾룹뻝쿟탔탅쾢뚯첬뮯볙짨LID3췆떼뗄쪣폠쫕틦쒣탍볆쯣뗄막욱볛횵ꎬV1-ERR뇭쪾맀횵컳닮ꆣV2뫍V4럖뇰뇭쪾쿖뷰쇷돖탸퓶뎤5쓪뫍쿖뷰쇷돖탸퓶뎤10쓪뗄늻춬맀횵뷡맻ꆣ 뇭 쪣폠쫕틦쒣탍뫍막좨ퟔ평쿖뷰쇷쒣탍뷢쫍쓜솦뗄뇈뷏 막욱듺싫 막욱볲돆쪣폠쫕틦램쿖뷰쇷 P V1V1-ERRV2- 5쓪V2-ERR 569 뎤돇막럝 629 ꏇ탂룖랰 708 듳튱쳘룖 709 ꏇ쳆룖 717 ꏇ짘룖 761 놾룖냥닄 825 첫룖늻탢 898 ꏇ낰룖 959 ꏇ쫗룖 961 듳솬뷰얣 600001 몪떦룖쳺 600005 ꏇ커룖 600010 냼룖막럝 600019 ꏇ놦룖 600102 삳룖막럝 600117 컷쓾쳘룖 600126 몼룖막럝 600231 쇨룖막럝 600282 쓏룖막럝 600307 뻆룖뫪탋 600357 ꏇ돐랰 600399 뢧쮳쳘룖 600569 낲퇴룖쳺 600581 냋튻룖쳺 600691 ST뚫첼 600714 뷰죰뿳튵 600804 열늩쪿 3 600808 십룖막럝 600894 맣룖막럝 욽뻹횵 99
ꎨ뷓짏뇭ꎩ 막욱듺싫V4쿖뷰쇷 V3 V3-ERR 4-ERR V5 V5-ERR 10쓪V 569 629 708 709 717 761 825 898 959 961 600001 600005 600010 600019 600102 600117 600126 600231 600282 600307 600357 600399 600569 600581 600691 600714 600804 600808 600894 욽뻹횵 힢ꎺP뇭쪾2005쓪6퓂뗗ퟮ뫳붻틗죕뗄막욱쫕엌볛ꆣV1뇭쪾룹뻝쪣폠쫕틦쒣탍LID3볆쯣뗄막욱샭싛볛횵ꎬV1-ERR뇭쪾샭싛볛횵뫍쪵볊볛룱뗄쿠뛔컳닮ꎺ V1-ERRꎽ(P-V1)/P V2쫇룹뻝막좨ퟔ평쿖뷰쇷쒣탍볛룱ퟔ평쿖뷰쇷돖탸쪱볤캪5쓪쪱볆쯣뗄막욱샭싛볛횵ꆣV3뇭쪾막좨ퟔ평쿖뷰쇷캪5쓪쪱쳞돽뗴막좨ퟔ평쿖뷰쇷캪뢺횵뗄릫쮾뫳막욱뗄샭싛볛횵ꆣV4쫇볙짨ퟔ평쿖뷰쇷뗄돖탸쪱볤캪10쪱뗄막욱샭싛볛횵ꎬV5쫇막좨ퟔ평쿖뷰쇷캪10쪱쳞돽뗴뢺횵펰쿬쪱뗄볛횵ꆣV2-ERRꆢV3-ERRꆢV4-ERRꆢV5-ERR럖뇰뇭쪾쯄훖샭싛볛횵뫍쪵볊볛룱뗄쿠뛔컳닮ꆣ쿠뛔컳닮볆쯣릫쪽춬짏쫶V1-ERRꆣ볆쯣놾돉놾쪱좫늿럧쿕틧볛좫늿쪹폃6%ꆣ 100
듓뇭뿉틔뾴돶ꎬ막좨ퟔ평쿖뷰쇷쒣탍뗄쿠뛔맀횵컳닮듳폚쪣폠쫕틦맀횵쒣탍ꆣ막좨ퟔ평쿖뷰쇷쒣탍뗍맀쇋막욱볛횵ꎬ뛸쪣폠쫕틦쒣탍룟맀쇋막욱볛횵ꆣ죧맻볙짨막좨ퟔ평쿖뷰쇷뿉틔돖탸퓶뎤5쓪ꎬ퓲막좨ퟔ평쿖뷰쇷맀횵컳닮캪%ꎻ죧맻볙짨막좨ퟔ평쿖뷰쇷돖탸쪱볤캪10쓪ꎬ퓲막좨ퟔ평쿖뷰쇷맀횵컳닮캪%ꎬ쿔좻ꎬ쿖뷰쇷돖탸쪱볤풽뎤ꎬ맀횵컳닮풽킡ꆣ 퓚뇭훐ꎬ컒쏇뾴떽ꎬ탂룖랰ꆢ첫룖늻탢ꆢ듳솬뷰얣ꆢ쇨룖막럝ꆢ뻆룖뫪탋ꆢ냋튻룖쳺ꆢST뚫첼ꆢ맣룖막럝뗄쎿막막좨ퟔ평쿖뷰쇷뚼쫇뢺횵ꎬ헢킩뢺횵벫듳뗘펰쿬쇋막좨ퟔ평쿖뷰쇷쒣탍뗄ퟜ쳥맀횵킧맻ꆣ캪쇋뾼달업돽헢킩막좨ퟔ평쿖뷰쇷캪뢺횵뗄릫쮾뗄펰쿬ꎬ뇭떥뛀쇐돶쇋쳞돽막좨ퟔ평쿖뷰쇷캪뢺횵뗄릫쮾틔뫳뗄쟩뿶ꆣV3뫍V5쫇쳞돽쇋막좨ퟔ평쿖뷰쇷캪뢺횵뗄릫쮾틔뫳막욱뗄샭싛볛횵ꎬV3-ERR뫍V5-ERR쫇쿠뛔맀횵컳닮ꆣ듓V3-ERR뿉틔뾴돶ꎬ쳞돽쇋뢺횵틔뫳ꎬ5쓪쿖뷰쇷퓶뎤볙짨쿂뗄맀횵컳닮듓%쿂붵떽%ꎻ10쓪막좨ퟔ평쿖뷰쇷퓶뎤볙짨쿂뗄컳닮룼쫇듓%쿂붵떽%ꆣ쯹틔ꎬ쳞돽뗴벫뛋뢺횵펰쿬틔뫳ꎬ막좨ퟔ평쿖뷰쇷뗄맀횵ힼ좷탔듳듳쳡룟ꆣ떫쫇ꎬ헻쳥살쮵ꎬ막좨ퟔ평쿖뷰쇷뗄맀횵컳닮듳폚쪣폠쫕틦LID3쒣탍뗄맀횵컳닮ꆣ 뇭쫇쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍뗄뷢쫍쓜솦뇈뷏ꆣ뇭훐ꎬp뇭쪾2005쓪6퓂ퟮ뫳튻룶붻틗죕뗄막욱쫕엌볛ꆣV1ꆢV2럖뇰뇭쪾룹뻝LID3볙짨췆떼돶뗄쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍뗃떽뗄맀횵뷡맻ꎬ럧쿕틧볛쪹폃6%ꎻV1-ERRꆢV2-ERR럖뇰뇭쪾V1ꆢV2뗄맀횵컳닮ꎻV3ꆢV4럖뇰뇭쪾룹뻝LID3볙짨췆떼돶뗄쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍뗃떽뗄맀횵뷡맻ꎬ럧쿕틧볛쪹폃2%ꎻV3-ERRꆢV4-ERR럖뇰뇭쪾V3ꆢV4뗄맀횵컳닮ꆣ 듓뇭뿉틔뾴돶ꎬ떱놾틧볛쪹폃2%쪱ꎬ펯폠놾뮯쒣탍ꆢ쪣폠쫕틦쒣탍뚼룟맀쇋막욱볛횵ꎬ펯폠놾뮯쒣탍룟맀뗄럹뛈뎬맽쪣폠쫕틦쒣탍ꆣ 떱놾틧볛캪6%쪱ꎬ펯폠놾뮯쒣탍뗍맀쇋막욱볛횵ꎬ뗍맀럹뛈캪ꎥꎻ쪣폠쫕틦쒣탍룟맀쇋막욱볛횵ꎬ룟맀럹뛈캪%ꆣ펯폠놾뮯쒣탍쿠뛔쪣폠쫕틦쒣탍살쮵뷏폐폅쫆ꆣ훷튪뗄풭틲쫇평폚2004ꆢ2005쓪쫇뫚즫뷰쫴튱솶튵뗄닺튵룟럥웚ꎬ짏쫐릫쮾뺭펪튵벨듯떽뚥뗣ꎬ쪹폃2004쓪뗄쪣폠쫕틦쫽뻝볆쯣뗄막욱볛횵뷏룟ꎻ뛸퓚펯폠놾뮯쒣탍훐컒쏇쪹폃뗄쎿막펯폠쫇1999ꎭ2003뗄뻹횵ꎬ닺튵훜웚뗄늨뚯놻욽뮬ꎬ벫뛋횵쿻쪧ꎬ헻쳥쿠뛔맀횵컳닮뷏킡ꆣ 101
뇭 쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍뗄뷢쫍쓜솦뇈뷏 막욱듺싫 막욱볲돆 P RI-V1(6%) V1-ERR V2(6%) V2-ERR 569 뎤돇막럝 629 ꏇ탂룖랰 708 듳튱쳘룖 709 ꏇ쳆룖 717 ꏇ짘룖 761 놾룖냥닄 825 첫룖늻탢 898 ꏇ낰룖 959 ꏇ쫗룖 961 듳솬뷰얣 600001 몪떦룖쳺 600005 ꏇ커룖 600010 냼룖막럝 600019 ꏇ놦룖 600102 삳룖막럝 600117 컷쓾쳘룖 600126 몼룖막럝 600231 쇨룖막럝 600282 쓏룖막럝 600307 뻆룖뫪탋 600357 ꏇ돐랰 600399 뢧쮳쳘룖 600569 낲퇴룖쳺 600581 냋튻룖쳺 600691 ST뚫첼 600714 뷰죰뿳튵 600804 열늩쪿 3 600808 십룖막럝 600894 맣룖막럝 욽뻹횵 102
ꎨ뷓짏뇭ꎩ 막욱듺싫 막욱볲돆 RI-V3(2%) V3-ERR V4(2%) V4-ERR 569 뎤돇막럝 629 ꏇ탂룖랰 708 듳튱쳘룖 709 ꏇ쳆룖 717 ꏇ짘룖 761 놾룖냥닄 825 첫룖늻탢 898 ꏇ낰룖 959 ꏇ쫗룖 961 듳솬뷰얣 600001 몪떦룖쳺 600005 ꏇ커룖 600010 냼룖막럝 600019 ꏇ놦룖 600102 삳룖막럝 600117 컷쓾쳘룖 600126 몼룖막럝 600231 쇨룖막럝 600282 쓏룖막럝 600307 뻆룖뫪탋 600357 ꏇ돐랰 600399 뢧쮳쳘룖 600569 낲퇴룖쳺 600581 냋튻룖쳺 600691 ST뚫첼 600714 뷰죰뿳튵 600804 열늩쪿 600808 십룖막럝 600894 맣룖막럝 욽뻹횵 힢ꎺP뇭쪾2005쓪6퓂뗗뗄쪵볊막욱볛룱ꆣV1ꆢV2럖뇰뇭쪾룹뻝쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍볆쯣뗄막욱샭싛볛횵ꆣV1-ERRꆢV2-ERR쫇샭싛막욱볛횵뫍쪵볊막욱볛룱뗄쿠뛔컳닮ꎬ볆쯣랽램쿠춬ꆣ V1-ERR= (P-V1)/P 짏쫶V2쫇뇭쪾퓚볆쯣놾돉놾쪱ꎬ닉폃6%뗄럧쿕틧볛쪱볆쯣뗄펯폠놾뮯뗄볛횵ꆣV3ꆢV4쫇뇭쪾떱놾틧볛캪2%쪱쪣폠쫕틦쒣탍뫍펯폠놾뮯볆쯣뗄샭싛볛횵ꆣV3-ERRꆢV4-ERR뇭쪾쿠뛔맀횵컳닮ꎬ볆쯣랽램춬V1-ERRꆣ 103
킡뷡 ꎨ1ꎩ볬퇩뷡맻랢쿖ꎬ쯹폐탎쪽뗄쪣폠쫕틦쒣탍뚼룟맀쇋막욱볛횵ꆣ훷튪풭틲쫇평폚2003ꆢ2004쓪쫇컒맺뫚즫뷰쫴튱솶튵뗄닺튵룟럥웚ꎬ퓚헢솽쓪쪣폠쫕틦횵듳럹쳡룟ꎬ맀쯣뗄막욱샭싛볛횵튲듳럹퓶볓ꎬ돶쿖볛횵룟맀ꆣ퓚룷훖탎쪽뗄쪣폠쫕틦쒣탍훐ꎬ냼몬뺻닺쿮뗄쿟탔탅쾢뚯첬뮯볙뚨췆떼돶뗄쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦ퟮ룟ꆣ틲듋ꎬ퓚컒맺뗄쫐뎡훐ꎬ펦룃뾼싇뺻닺뛔쪣폠쫕틦뗄펰쿬ꆣ컒쏇럖뇰쪹폃2%뗄럧쿕틧볛뫍6%뗄럧쿕틧볛볆쯣놾돉놾ꎬ뷡맻랢쿖ꎬ퓚2004ꆢ2005쓪뗄쫐뎡훐ꎬ쪹폃6%뗄럧쿕틧볛룼럻뫏컒맺떱쪱뗄쫐뎡쟩뿶ꆣ ꎨ2ꎩ쿠뛔볛횵횸뇪믘맩램룟맀쇋막욱볛횵ꆣ퓚쫐뺻싊ꆢ쫐쿺싊ꆢ쫐펯싊죽룶쿠뛔볛횵횸뇪뗄맀횵뷡맻훐ꎬ쫐뺻싊뛔막욱볛룱뗄뷢쫍쓜솦ퟮ룟ꎬ쫐펯싊뛔막욱볛룱뗄뷢쫍쓜솦ퟮ뗍ꆣ떫쫇ꎬ헢죽룶쿠뛔볛횵횸뇪뗄맀횵컳닮뚼럇뎣듳ꎬ욽뻹맀횵컳닮뷓뷼100%ꎬ풶풶듳폚LID3탎쪽쪣폠쫕틦쒣탍뗄맀횵컳닮ꆣ ꎨ3ꎩ막좨ퟔ평쿖뷰쇷쳹쿖쒣탍뗍맀쇋막욱볛횵ꆣ뇈뷏막좨ퟔ평쿖뷰쇷쳹쿖쒣탍뫍쪣폠쫕틦쒣탍ꎬ막좨ퟔ평쿖뷰쇷쳹쿖쒣탍뛔막욱볛룱뗄뷢쫍쓜솦킡폚LID3탎쪽쪣폠쫕틦쒣탍ꆣ떱컒쏇퓚맀횵쒣탍훐퇓뎤ퟔ평쿖뷰쇷뗄퓶뎤돖탸쪱볤쪱ꎬ막좨ퟔ평쿖뷰쇷쒣탍뗄맀횵컳닮복킡ꆣ헢룶뷡맻뫍맺췢톧헟랢쿖뗄쿖뷰쇷맀횵쪱볤풽뎤ꎬ맀횵컳닮풽킡뗄뷡싛쿠컇뫏ꆣ캪쇋업돽벫뛋횵뗄펰쿬ꎬ컒쏇쳞돽쇋ퟔ평쿖뷰쇷캪뢺뗄릫쮾훘탂뷸탐럖컶ꎻ뷡맻랢쿖ꎬ쳞돽벫뛋횵뫳ꎬퟔ평쿖뷰쇷맀횵쒣탍뗄맀횵ힼ좷탔듳듳쳡룟ꎬ욽뻹맀횵컳닮붵뗍쇋튻냫ꆣ죧맻맀횵뗄쪱볤ퟣ릻뎤ꎬ쳞돽벫뛋횵뫳막좨ퟔ평쿖뷰쇷쳹쿖쒣탍뗄맀횵ힼ좷탔믹놾짏뗈폚쪣폠쫕틦쒣탍뗄맀횵ힼ좷탔ꆣ ꎨ4ꎩ춨맽뇈뷏쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍ꎬ컒쏇랢쿖ꎬ펯폠놾뮯쒣탍퓚컒맺뗄뇭쿖늢쎻폐맺췢톧헟볬퇩뗄쓇퇹퓣룢ꆣ떱럧쿕틧볛캪6%쪱ꎬ펯폠놾뮯쒣탍뗄맀횵컳닮뷏킡ꎬ폅폚쪣폠쫕틦쒣탍ꎻ떱럧쿕틧볛캪2%쪱ꎬ쪣폠쫕틦쒣탍폅폚펯폠놾뮯쒣탍ꎬ떫쫇솽헟맀횵컳닮닮뻠늻듳ꆣ뿉쓜뗄풭틲쫇놾컄퓚쪹폃펯폠놾뮯쒣탍쪱ꎬ닉폃뗄펯폠쫇컥쓪욽뮬횵ꎬ욽쇋짏쫐릫쮾뗄룷쓪펯폠늨뚯ꎬ쳡룟쇋펯폠놾뮯쒣탍뗄맀횵ힼ좷탔ꎻ뛸춬쪱ꎬ컒맺뫚즫뷰쫴튱솶튵퓚2003ꆢ2004쓪뷸죫닺튵룟럥웚ꎬ퓬돉짏쫐릫쮾쪣폠쫕틦쫽뻝퓚2004쓪돶쿖춻뇤ꎬ쪣폠쫕틦쒣탍뗄맀횵ힼ좷탔붵뗍ꆣ 104
5 쿖듺쪣폠쫕틦쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦볬퇩 짏튻헂컒쏇럖컶쇋쿖듺쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦ꎬ놾헂뾼달쿖듺쪣폠쫕틦쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ뷢쫍쓜솦퇐뺿뗄쫇맀횵쒣탍뛔막욱떱쪱볛룱뗄쓢뫏돌뛈ꎬ뛸풤닢쓜솦퇐뺿뗄쫇룹뻝맀횵쒣탍뷸탐춶뻶닟믱뗃뎬뛮쫕틦뗄듳킡ꆣ 컒쏇쪹폃컈뚨탔뫍쟸럖뛈솽룶횸뇪살뫢솿맀횵쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ컈뚨탔횸뗃쫇맀횵쒣탍퓚풤닢막욱캴살쫕틦쪱ꎬ맀횵룟뗄ퟩ쫕틦룟ꎬ맀횵뗍뗄ퟩ쫕틦뗍ꎬ맀횵쮳탲뫍쪵볊쫕틦쮳탲놣돖튻훂ꆣ죧맻튻룶맀횵쒣탍뗄맀횵쮳탲뫍쪵볊쫕틦쮳탲쿠닮뫜듳ꎬ퓲뇭쪾헢룶쒣탍뗄풤닢컈뚨탔닮ꎬ풤닢컳닮듳ꆣ쟸럖뛈횸뗄쫇맀횵쒣탍퓚풤닢막욱캴살쫕틦쪱ꎬ맀횵쮮욽쿠닮풽듳뗄ퟩ쪵볊쫕틦쿠닮풽듳ꆣ맀횵쒣탍쟸럖뛈풽룟ꎬ춶헟룹뻝맀횵쒣탍싲죫룟맀횵ퟩꆢ싴돶뗍맀횵ퟩ쪱믱뗃뗄쳗샻쫕틦풽듳ꆣ 룹뻝뗚쯄헂뗄퇐뺿뷡싛ꎬ놾헂퇐뺿뗄쪣폠쫕틦쒣탍쳘횸룹뻝냼몬뺻닺쿮뗄쿟탔탅쾢뚯첬뮯볙뚨LID3ꆢLID4췆떼돶뗄쪣폠쫕틦쒣탍ꆣ컒쏇쫗쿈샻폃뫚즫뷰쫴튱솶튵1996ꎭ2004쓪뗄쫽뻝믘맩LID3ꆢLID4볙뚨ꎬ좻뫳샻폃믘맩쾵쫽뫍쪣폠쫕틦쒣탍볆쯣막욱뗄볛횵ꎬ쯣돶볛횵볛룱뇈V/Pꎬ룹뻝V/P뇈뗄듳킡붫쯹폐막욱럖돉컥ퟩꎬ뇈뷏룷룶ퟩ퓚캴살6룶퓂뗄쫕틦쟩뿶ꆣ 컒쏇퓚놾헂뇈뷏쇋쪣폠쫕틦쒣탍뫍쿖뷰쇷쳹쿖쒣탍ꆢ펯폠놾뮯쒣탍틔벰쿠뛔볛횵횸뇪뛔막욱캴살쫕틦풤닢쓜솦뗄듳킡ꆣ쇭췢ꎬ컒쏇뮹럖컶쇋맀횵쪱볤뎤뛌뛔쿖뷰쇷쳹쿖쒣탍풤닢쓜솦뗄펰쿬ꎬ럖컶쇋럧쿕틧볛뗄늻춬뛔펯폠놾뮯쒣탍풤닢막욱캴살쫕틦쓜솦뗄펰쿬ꆣ 퇐뺿랽램뫍쫽뻝톡퓱 놾헂쪹폃컒맺뫚즫뷰쫴튱솶튵1996ꎭ2006쓪뗄닆컱쫽뻝뷸탐럖컶ꆣ 퓚뗚컥헂컒쏇뗃떽뷡싛ꎬLID3뫍LID4탎쪽쪣폠쫕틦쒣탍뗄쿠뛔맀횵컳닮ퟮ킡ꆣ캪쇋복짙릤ퟷ솿ꎬ놾헂횻볬퇩LID3ꆢLID4솽훖탎쪽뗄쪣폠쫕틦쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ퓚럖컶LID3ꆢLID4볙뚨쪱ꎬ컒쏇쪹폃믬뫏쫽뻝믘맩럖컶뗄랽램ꆣ 쫗쿈ꎬ샻폃1996ꎭ2004쓪뗄쫽뻝뛔LID3ꆢLID4탅쾢뚯첬뮯랽돌뷸탐믘맩ꎬ뗃떽쪣폠쫕틦AR1맽돌뗄믘맩쾵쫽ꆣ좻뫳붫헢킩믘맩쾵쫽듺죫떽룷짏쫐릫쮾2005쓪뗄쫽뻝훐ꎬ뗃떽LID3ꆢLID4쒣탍맀볆뗄막욱볛횵Vꎻ볆쯣돶V뫍짏쫐릫쮾2006쓪6퓂ퟮ뫳튻룶붻틗죕뗄쫕엌볛뗄뇈횵V/Pꆣ룹뻝V/P뇈뗄듳킡ꎬ붫뫚즫뷰쫴튱솶튵럖캪컥ퟩꎬ뇈뷏룷ퟩ짏쫐릫쮾듓2006쓪6퓂떽2006쓪12퓂뗗뫍2007쓪2퓂뗗뗄쫕틦쟩뿶ꆣ 105
쇭췢ꎬ퓋폃쿠춬뗄랽램ꎬ컒쏇뾼달쇋룹뻝쫐뺻싊PBVꆢ쫐펯싊PEꆢ쫐쿺싊PS뛔짏쫐릫쮾뷸탐럖ퟩ쪱룷ퟩ막욱퓚캴살쇹룶퓂뫍냋룶퓂뫳좡뗃뗄뎬뛮쫕틦쟩뿶ꎻ컒쏇볆쯣쇋펯폠놾뮯쒣탍ꆢ쿖뷰쇷쳹쿖쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ 퓚볆쯣쪣폠쫕틦쪱ꎬexꎽepsꎭr×bvꆣEps캪쎿막쫕틦ꎬbv캪뺻닺ꎬr쫇좨틦놾돉놾ꎬ춨맽CAPM쒣탍“r=r+b×럧쿕틧볛”살볆쯣ꆣ럧쿕틧볛럖뇰좡2%뫍6%ꎬifir좡튻쓪웚룶죋뚨웚듦뿮샻싊ꎨ1999쓪틔뫳ꎬ뮹튪복좥20%뗄듦뿮샻쾢쮰ꎩꆣß쪹폃f훐맺뺭볃퇐뺿훐탄쫽뻝뿢뗄쫽횵ꆣ 퓋폃펯폠놾뮯쒣탍쪱ꎬ막욱볛횵캪ꎺ V=eps/r ꎨꎩ 헢샯뗄eps쪹폃룷짏쫐릫쮾2005쓪틔잰뗄컥쓪욽뻹횵ꎬ벴쪹폃2000ꎭ2004쓪룷쓪쎿막쫕틦뗄뻹횵ꆣ횮쯹틔튪좡뻹횵ꎬ쫇캪쇋업돽쒳룶떥튻쓪럝평폚쳘쫢풭틲퓬돉뗄쫽뻝쪧헦쟩뿶ꆣ 퓋폃쿖뷰쇷쳹쿖쒣탍쪱ꎬ막욱볛횵뿉틔뇭쪾돉ꎺ ∞CFV=∑t ꎨꎩ =1(1+r)ttt놾헂뫍짏헂쿠춬ꎬ붫룷룶릫쮾뗄쿖뷰쇷럖캪솽룶뷗뛎ꎬ뗚튻룶뷗뛎쿖뷰쇷틔쓪뻹쯙뛈g컈늽퓶뎤ꎬ돖탸쪱볤n쓪ꎻn쓪뫳ꎬ쎿막쿖뷰쇷놣돖늻뇤ꆣ룹뻝솽뷗뛎쒣탍ꎬ막욱볛횵뿉틔뇭쪾돉ꎺ tnn∑CF0(1+g)CF0(1+g)V+ ꎨꎩ =1(1r)r(1r)t퓚헽뎣쟩뿶쿂ꎬg<rꎬ듓뛸ꎺ CFnn+g+r−+gn0(1)(1)(1)CF0(1+g)V= ꎨꎩ nn(r−g)(1+r)r(1+r)룹뻝짏튻헂뗄퇐뺿ꎬ컒쏇럖뇰좡n뗈폚5쓪뫍10쓪ꎬ뇈뷏쓪쿞늻춬뛔쿖뷰쇷맀횵쒣탍뗄펰쿬ꆣ뗚튻룶뷗뛎쿖뷰쇷뗄쓪뻹퓶뎤쯙뛈좡5%ꎬ풼뗈폚캴살컒맺GDP쓪뻹퓶뎤쯙뛈뗄쿂쿞ꆣ ꎨꎩ쪽훐뗄쿖뷰쇷CF0좡2000ꎭ2004쓪뗄5쓪뻹횵ퟷ캪쫤죫횵ꎬ틔욽뮬떥쓪벫뛋횵뛔ퟮ훕뷡맻뗄펰쿬ꆣ 106
펯폠놾뮯뫍쿖뷰쇷쳹쿖쒣탍훐뗄놾돉놾뚼룹뻝CAPM릫쪽“r=r+b×럧쿕틧볛”볆쯣ꆣr좡3%ꆣ헢룶쫽뻝뾼싇떽쇋캴살컒맺춨믵엲헍뫍닺ifif짽횵뗄틲쯘ꆣb닉폃훐맺뺭볃퇐뺿훐탄뗄쫽뻝ꎬ늢뷸탐컥쓪욽뮬욽뻹ꆣ럧쿕틧볛럖뇰i좡2%뫍6%ꆣ 놾헂즾돽쇋뺻닺퓚1풪틔쿂뗄벫뛋막욱ꆣ쇭췢ꎬ볃쓏룖쳺짏쫐쓪쿞첫뛌ꎬ쫽뻝늻ퟣꎬ튲듓퇹놾훐즾돽ꆣ삳룖막럝2006쓪튻횱퓚뷸탐훘ퟩꎬ춣없쪱볤뷏뎤ꎬ쫽뻝컞램쪹폃ꎬ폨틔쳞돽ꆣퟮ훕퇹놾훐폐릫쮾27볒ꆣ 탅쾢뚯첬뮯볙뚨맀볆뷡맻 뇭룸돶쇋1996ꎭ2004쓪쯹폐퇹놾릫쮾쪣폠쫕틦뗈믡볆횸뇪뗄춳볆쟩뿶ꆣBV2ꆢEX12ꆢEX22럖뇰뇭쪾쎿막뺻닺ꆢ럧쿕틧볛캪2ꎥ뫍럧쿕틧볛캪6%쪱뗄쪣폠쫕틦ꆣPBV2ꆢPE2ꆢPS2럖뇰뇭쪾1996ꎭ2004쓪뗄쫐뺻싊ꆢ쫐펯싊ꆢ쫐쿺싊ꆣ 뇭 1996ꎭ2004뫚즫뷰쫴튱솶튵쏨쫶탔춳볆뷡맻뇭 BV2 EX12 EX22 PBV2 PE2 PS2 Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Jarque-Bera Probability Sum Sum Sq. Dev. 5910105. Observations 196 196 196 196 196 196 뇈뷏뇭ꆢ뇭뫍뇭뿉틔뾴돶ꎬ퓚쪱볤뒰뿚1996ꎭ2003훐ꎬ볓죫2004쓪뗄쫽뻝뫳ꎬ쪣폠쫕틦뗄뻹횵퓶볓ꎻ볌탸볓죫2005쓪뗄쫽뻝뫳ꎬ쪣폠쫕틦뗄뻹횵볌탸퓶볓ꆣ퓚럧쿕틧볛캪2%쪱ꎬ쪣폠쫕틦뻹횵럖뇰듓퓶볓떽ꎬ퓙퓶볓 107
떽ꎻ퓚럧쿕틧볛캪6%쪱ꎬ쪣폠쫕틦뻹횵듓퓶볓떽ꎬ퓙퓶볓떽ꆣ쪣폠쫕틦뻹횵퓶볓뗄풭틲뫍컒맺뺭볃퓶뎤훜웚폐맘ꆣ컒맺뺭볃듓2002쓪뾪쪼뷸죫탂튻싖퓶뎤훜웚ꎬ뫚즫뷰쫴튱솶튵듓2002쓪뾪쪼뷸죫닺튵랱죙웚ꎬ짏쫐릫쮾튵벨훰쓪뫃ꎬ떼훂2003ꆢ2004ꆢ2005쓪뗄쪣폠쫕틦룟폚2003쓪틔잰뗄쪣폠쫕틦ꆣ 컒쏇쫗쿈퓋폃1996ꎭ2004쓪뫚즫뷰쫴튱솶튵짏쫐릫쮾믹놾믡볆쫽뻝믘맩Ohlson뗄LID3ꆢLID4쿟탔탅쾢뚯첬뮯볙뚨ꆣ뇭쫇럧쿕틧볛럖뇰캪2%ꆢ6%쪱LID3ꆢLID4볙뚨뗄믘맩뷡맻ꆣ 뇭 LID3ꆢLID4볙뚨퓚럧쿕틧볛캪2%ꆢ6%쪱뗄믘맩뷡맻 ꎨ1ꎩLID3ꎺxaat+1=w1x+wbv+eꎨ2%럧쿕틧볛ꎩ t2tt+1Variable Coefficient Std. Error t-Statistic Prob. Adjusted R-squared w1 w2 ꎨ2ꎩLID4ꎺxa=+a++t+1w0w1xwbvet2tt+1ꎨ2%럧쿕틧볛ꎩ Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 ꎨ3ꎩLID3ꎺxaat+1=w1x+wbv+e+ꎨ6%럧쿕틧볛ꎩ t2tt1Variable Coefficient Std. Error t-Statistic Prob. w1 w2 ꎨ4ꎩLID4ꎺxa+1=w0+w1xa+w2bv+etttt+1ꎨ6%럧쿕틧볛ꎩ Variable Coefficient Std. Error t-Statistic Prob. w0 w1 w2 힢ꎺexꆢex럖뇰뇭쪾럧쿕틧볛캪2%ꆢ6%쪱1996ꎭ2004쓪룷짏쫐릫쮾뗄쪣폠쫕틦ꎻbv뇭쪾1996ꎭ2004쓪룷짏쫐릫쮾뗄뺻닺ꆣExꎽepsꎭr×bvꆣr=r+b×럧쿕틧볛ꎬ컞럧쿕쫕틦r쪹폃1쓪웚뻓쏱뚨웚듦뿮샻싊ꆣ ifif듓뇭훐LID3ꆢLID4볙뚨뗄맀볆뷡맻뿉틔랢쿖ꎬ볓죫뷘뻝쿮뫳ꎬ쪣폠쫕틦뗄ퟔ믘맩쾵쫽복킡ꆣ퓚2%럧쿕틧볛쪱ꎬ볓죫뷘뻝쿮뫳쪣폠쫕틦ퟔ믘맩쾵쫽듓복킡떽ꎻ퓚6%럧쿕틧볛쪱ꎬ볓죫뷘뻝쿮뫳쪣폠쫕틦ퟔ믘맩쾵쫽듓복 108
킡떽ꎬ헢뇭쏷뷘뻝쿮듺뇭캴횪틲쯘뷢쫍쇋튻늿럖뗄쪣폠쫕틦ꆣ춬쪱ꎬ볓죫뷘뻝쿮뫳ꎬ뺻닺뗄믘맩쾵쫽퓶듳ꆣ2%럧쿕틧볛쪱ꎬ뺻닺믘맩쾵쫽듓퓶볓떽ꎻ6%럧쿕틧볛쪱ꎬ뺻닺믘맩쾵쫽듓퓶볓떽ꆣ 쇭췢ꎬ뫍뗚죽ꆢ뗚쯄헂뗄뷡맻튻퇹ꎬ붫럧쿕틧볛듓2%뗷헻캪6%틔뫳ꎬ쪣폠쫕틦뗄ퟔ믘맩쾵쫽뫍뺻닺믘맩쾵쫽뚼돶쿖쇋쿂붵ꆣ퓚LID3쒣탍훐ꎬ쪣폠쫕틦ퟔ믘맩쾵쫽듓쿂붵떽ꎬ뺻닺믘맩쾵쫽듓쿂붵떽ꎻ퓚LID4쒣탍훐ꎬ쪣폠쫕틦ퟔ믘맩쾵쫽듓쿂붵떽ꎬ뺻닺믘맩쾵쫽듓쿂붵떽ꆣ뿉쓜뗄풭틲쫇럧쿕틧볛퓶듳뫳ꎬ쫽뻝뗄쫽솿벶복킡ꎬ쿠펦믘맩쾵쫽복킡ꆣ 2%럧쿕틧볛쪱풤닢쓜솦뇈뷏 캪쇋뇈뷏룷룶쒣탍뗄풤닢쓜솦ꎬ쫗쿈뇘탫볆쯣돶룹뻝LID3-쪣폠쫕틦쒣탍뫍LID4-쪣폠쫕틦쒣탍풤닢뗄막욱볛횵ꆣ퓚퇐뺿쪱ꎬ컒쏇쟸럖2%뗄럧쿕틧볛뫍6%뗄럧쿕틧볛뛔쒣탍퓬돉뗄펰쿬ꆣ놾뷚훷튪퇐뺿2%럧쿕틧볛쿂쪣폠쫕틦쒣탍뗄풤닢쓜솦ꎬ쿂튻뷚퇐뺿6%럧쿕틧볛쿂쿖듺쪣폠쫕틦쒣탍뗄풤닢쓜솦ꆣ 붫뇭훐뗄믘맩쾵쫽듺죫떽룷룶맀횵랽돌훐늢쪹폃2005쓪짏쫐릫쮾뗄믡볆쫽뻝뻍뿉틔뗃떽막욱뗄샭싛볛횵ꆣ뇭쫇2%럧쿕틧볛쪱LID3-쪣폠쫕틦쒣탍ꆢLID4-쪣폠쫕틦쒣탍뗄맀횵뷡맻ꆣ 뇭 쪣폠쫕틦쒣탍럧쿕틧볛캪2%쪱뗄맀횵뷡맻 막욱듺싫 막욱볲돆 P V1 V1/P V2 V2/P 569 뎤돇막럝 629 ꏇ탂룖랰 708 듳튱쳘룖 709 ꏇ쳆룖 717 ꏇ짘룖 761 놾룖냥닄 825 첫룖늻탢 898 ꏇ낰룖 959 ꏇ쫗룖 961 듳솬뷰얣 109
600001 몪떦룖쳺 600005 ꏇ커룖 600010 냼룖막럝 600019 ꏇ놦룖 600117 컷쓾쳘룖 600126 몼룖막럝 600231 쇨룖막럝 600282 쓏룖막럝 600307 뻆룖뫪탋 600357 ꏇ돐랰 600399 뢧쮳쳘룖 600569 낲퇴룖쳺 600581 냋튻룖쳺 600714 뷰죰뿳튵 600804 열늩쪿 600808 십룖막럝 600894 맣룖막럝 욽뻹횵 힢ꎺP쫇2006쓪6퓂ퟮ뫳튻룶붻틗죕뗄쫕엌볛ꆣV1ꆢV2쫇럖뇰닉폃LID3-쪣폠쫕틦쒣탍ꆢLID4-쪣폠쫕틦쒣탍볆쯣뗄샭싛볛횵ꆣV1/PꆢV2/P쫇샭싛볛횵뫍볛룱뗄뇈횵ꆣ 듓뇭뿉틔뾴돶ꎬLID3뫍LID4쪣폠쫕틦쒣탍뚼룟맀쇋막욱볛횵ꆣ욽뻹틢틥짏ꎬLID3쪣폠쫕틦쒣탍뗄룟맀럹뛈캪%ꎬLID4쪣폠쫕틦쒣탍뗄룟맀럹뛈캪%ꆣ 뇭쫇펯폠놾뮯쒣탍뫍막좨ퟔ평쿖뷰쇷쒣탍뗄맀횵뷡맻ꆣ퓚쪹폃막좨ퟔ평쿖뷰쇷쒣탍쪱ꎬ럖뇰뾼싇막좨ퟔ평쿖뷰쇷돖탸5쓪뫍10쓪뗄쟩뿶ꆣ 110
뇭 펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍뗄맀횵뷡맻 막욱듺싫 P V1 V1/P V2 V2/P V3 V3/P 569 629 708 709 717 761 825 898 959 961 600001 600005 600010 600019 600117 600126 600231 600282 600307 600357 600399 600569 600581 600714 600804 600808 600894 욽뻹횵 힢ꎺP쫇2006쓪6퓂ퟮ뫳튻룶붻틗죕뗄막욱쫕엌볛ꆣV1쫇펯폠놾뮯쒣탍볆쯣뗄볛횵ꎻV2ꆢV3쫇막좨ퟔ평쿖뷰쇷쒣탍럖뇰퓚쿖뷰쇷돖탸5쓪뫍10쓪뗄볙짨쿂쯣뗃뗄막욱볛횵ꆣV1/PꆢV2/PꆢV3/P럖뇰쫇샭싛볛횵뫍막욱쫕엌볛P뗄뇈횵ꆣ 111
듓뇭뿉틔뾴돶ꎬ욽뻹틢틥짏ꎬ펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍뚼룟맀쇋막욱볛횵ꆣ펯폠놾뮯쒣탍욽뻹룟맀쇋튻놶뛠ꎻ막좨ퟔ평쿖뷰쇷쒣탍퓚5쓪쿖뷰쇷돖탸탔볙짨쿂룟맀%ꎬ퓚10쓪쿖뷰쇷돖탸탔볙짨쿂룟맀쇋%ꆣ 붫뇭뫍뇭ꆢ뇭뷸탐뛔뇈뿉틔랢쿖ꎬ떱쪹폃1999ꎭ2003뗄쫽뻝쪱ꎬ막좨ퟔ평쿖뷰쇷맀횵쒣탍뗍맀쇋막욱볛횵ꎬ떫쫇쪹폃2000ꎭ2004뗄쫽뻝쪱ꎬ막좨ퟔ평쿖뷰쇷쒣탍룟맀쇋막욱볛횵ꆣ쿔좻ꎬ헢쮵쏷솽룶컊쳢ꎺ뗚튻ꎬ2005쓪6퓂럝뗄쪱뫲ꎬ뫚즫뷰쫴튱솶튵볛횵놻룟맀ꎬ쫐뎡룸짏쫐릫쮾뚨볛맽룟ꎬ뎬맽쇋볛횵ꎬ볛룱뗄룟맀쪹뗃V/P뇈횵복킡ꎻ뛸퓚2006쓪6퓂뗄쪱뫲ꎬ쫐뎡폖뛔뫚즫뷰쫴튱솶튵뚨볛맽뗍ꎬ뗍맀쇋볛횵ꎬ볛룱뗄뗍맀쪹뗃V/P뇤듳ꎨ쪵볊쟩뿶뫍컒쏇뗄췆뛏췪좫쿠럻ꎩꆣ뗚뛾ꎬ2004쓪쫽뻝뗄볓죫쪹뗃막좨ퟔ평쿖뷰쇷뗄맀횵쮮욽듳듳쳡룟ꆣ헢샯뗄풭틲쫇평폚2004쓪쫇뫚즫뷰쫴튱솶튵뗄닺튵룟럥웚ꎬ짏쫐릫쮾튵벨뷏뫃ꎬퟔ평쿖뷰쇷뗄욽뻹횵듳럹쳡룟ꎬ쿠펦맀횵쒣탍뗄맀횵뷡맻튲듳럹쳡룟ꆣ펯폠놾뮯쒣탍뗄뇤뮯탎쪽믹놾뫍막좨ퟔ평쿖뷰쇷쒣탍쿠춬ꎬ퓚듋늻퓙ힸ쫶ꆣ 쿂쏦컒쏇뾪쪼뇈뷏룷룶맀횵쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ컒쏇뗄랽램쫇내헕V/P횵붫뫚즫뷰쫴튱솶튵짏쫐릫쮾럖돉컥ퟩꎬ잰쯄ퟩ쎿ퟩ폐짏쫐릫쮾5볒ꎬퟮ뫳튻ퟩ폐짏쫐릫쮾7볒ꆣ럖뇰볆쯣쎿ퟩ짏쫐릫쮾퓚6룶퓂뫍8룶퓂뫳뗄욽뻹쫕틦ꎨ헢샯뗄쓪쿞좡뗃풽뻃풽뫃ꎬ떫쫇놾컄웈폚쫽뻝쟸볤뗄쿞훆ꎬ횻볆쯣헢솽룶쪱볤뛎ꎩꆣ퓚쎿튻룶쿠춬뗈벶뗄ퟩ짏ꎬퟩ욽뻹쫕틦풽룟쒣탍뗄풤닢쓜솦풽잿ꎻ춬쪱ꎬퟩ볤쫕틦닮풽듳ꎬ뇭쏷쒣탍뗄풤닢쓜솦풽잿ꆣ 뇭룸돶쇋룹뻝룷훖맀횵쒣탍볆쯣뗄V/P뇈뛔짏쫐릫쮾뷸탐럖ퟩ뗄뷡맻뇭ꎬ춬쪱쯣돶쇋룷룶ퟩ뗄캴살냫쓪뫍8룶퓂뗄욽뻹쫕틦ꆣ 뇭 쪣폠쫕틦쒣탍뫍웤쯻맀횵쒣탍풤닢쓜솦뇈뷏 LID3-V LID4-V 펯폠놾뮯V 쿖뷰쇷5쓪 쿖뷰쇷10쓪 600307 뻆룖뫪탋 600307 뻆룖뫪탋 717 ꏇ짘룖 959 ꏇ쫗룖 959 ꏇ쫗룖 600231 쇨룖막럝 600231 쇨룖막럝 600581 냋튻룖쳺 709 ꏇ쳆룖 709 ꏇ쳆룖 뗚튻ퟩ600581 냋튻룖쳺 600581 냋튻룖쳺 600282 쓏룖막럝 600010 냼룖막럝 600010 냼룖막럝 629 ꏇ탂룖랰 629 ꏇ탂룖랰 600231 쇨룖막럝 600001 몪떦룖쳺 600001 몪떦룖쳺 600005 ꏇ커룖 600005 ꏇ커룖 600307 뻆룖뫪탋 600019 ꏇ놦룖 600019 ꏇ놦룖 뗚뛾ퟩ600019 ꏇ놦룖 600019 ꏇ놦룖 600126 몼룖막럝 600282 쓏룖막럝 600282 쓏룖막럝 600808 십룖막럝 600126 몼룖막럝 600010 냼룖막럝 600005 ꏇ커룖 600005 ꏇ커룖 600569 낲퇴룖쳺 600808 십룖막럝 600569 낲퇴룖쳺 717 ꏇ짘룖 717 ꏇ짘룖 600126 몼룖막럝 600569 낲퇴룖쳺 629 ꏇ탂룖랰 600126 몼룖막럝 600126 몼룖막럝 112
709 ꏇ쳆룖 709 ꏇ쳆룖 600005 ꏇ커룖 761 놾룖냥닄 761 놾룖냥닄 600010 냼룖막럝 600282 쓏룖막럝 709 ꏇ쳆룖 600307 뻆룖뫪탋 600307 뻆룖뫪탋 600282 쓏룖막럝 761 놾룖냥닄 600019 ꏇ놦룖 600399 뢧쮳쳘룖 600399 뢧쮳쳘룖 뗚죽ퟩ761 놾룖냥닄 600010 냼룖막럝 600001 몪떦룖쳺 600808 십룖막럝 600808 십룖막럝 600001 몪떦룖쳺 600001 몪떦룖쳺 959 ꏇ쫗룖 600357 ꏇ돐랰 600357 ꏇ돐랰 959 ꏇ쫗룖 959 ꏇ쫗룖 600808 십룖막럝 600804 열늩쪿 600804 열늩쪿 961 듳솬뷰얣 961 듳솬뷰얣 761 놾룖냥닄 600231 쇨룖막럝 600231 쇨룖막럝 717 ꏇ짘룖 717 ꏇ짘룖 825 첫룖늻탢 898 ꏇ낰룖 898 ꏇ낰룖 뗚쯄ퟩ898 ꏇ낰룖 898 ꏇ낰룖 600357 ꏇ돐랰 600117 컷쓾쳘룖 600117 컷쓾쳘룖 825 첫룖늻탢 825 첫룖늻탢 898 ꏇ낰룖 708 듳튱쳘룖 708 듳튱쳘룖 600357 ꏇ돐랰 600399 뢧쮳쳘룖 600894 맣룖막럝 825 첫룖늻탢 825 첫룖늻탢 600399 뢧쮳쳘룖 600357 ꏇ돐랰 600117 컷쓾쳘룖 600569 낲퇴룖쳺 600569 낲퇴룖쳺 600117 컷쓾쳘룖 600117 컷쓾쳘룖 961 듳솬뷰얣 569 뎤돇막럝 569 뎤돇막럝 708 듳튱쳘룖 708 듳튱쳘룖 600399 뢧쮳쳘룖 629 ꏇ탂룖랰 629 ꏇ탂룖랰 뗚컥ퟩ600804 열늩쪿 600894 맣룖막럝 708 듳튱쳘룖 600714 뷰죰뿳튵 600714 뷰죰뿳튵 600894 맣룖막럝 600804 열늩쪿 600714 뷰죰뿳튵 961 듳솬뷰얣 961 듳솬뷰얣 569 뎤돇막럝 569 뎤돇막럝 600804 열늩쪿 600894 맣룖막럝 600894 맣룖막럝 600714 뷰죰뿳튵 600714 뷰죰뿳튵 569 뎤돇막럝 600581 냋튻룖쳺 600581 냋튻룖쳺 룷ퟩ욽뻹쫕틦 LID3-V LID4-V 펯폠놾뮯V 막좨ퟔ평쿖뷰쇷ퟔ평쿖뷰쇷105쓪막좨 쓪 Term1 Term2 Term1 Term2 Term1 Term2 Term1 Term2 Term1 Term2 Ave1 Ave2 Ave3 Ave4 Ave5 힢ꎺLID3-VꆢLID4-V뇭쪾퓋폃쪣폠쫕틦쒣탍LID3ꆢLID4뷸탐뗄볛횵럖ퟩꆣ펯폠놾뮯V쫇쪹폃펯폠놾뮯쒣탍뷸탐뗄럖ퟩꎻ막좨ퟔ평쿖뷰쇷5쓪뫍10쓪쫇럖뇰룹뻝막좨ퟔ평쿖뷰쇷돖탸퓶뎤5쓪뫍10쓪뗄볙짨쿂뷸탐뗄럖ퟩꆣAve1ꆢave2ꆢave3ꆢave4ꆢave5쫇쎿룶럖ퟩ퓚돖폐웚뗄욽뻹쫕틦ꆣTerm1뗄볆쯣쟸볤듓2006쓪6퓂ퟮ뫳튻룶붻틗죕떽2006쓪12퓂ퟮ뫳튻룶붻틗죕ꎻterm2뗄볆쯣쟸볤쫇듓2006쓪6퓂ퟮ뫳튻룶붻틗죕떽2007쓪2퓂ퟮ뫳튻룶붻틗죕ꆣ 퓚헢샯ꎬ컒쏇쳡돶솽룶탂뗄룅쓮풤닢컈뚨탔뫍풤닢쟸럖뛈살뫢솿맀횵쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ컈뚨탔횸뗃쫇맀횵쒣탍퓚풤닢막욱캴살쫕틦쪱ꎬ맀횵룟뗄ퟩ쪵 113
볊쫕틦룟ꎬ맀횵뗍뗄ퟩ쪵볊쫕틦뗍ꎬ맀횵뗄쮳탲뫍쪵볊쫕틦쮳탲놣돖튻훂ꆣ죧맻튻룶맀횵쒣탍뗄맀횵뷡맻뫍쪵볊쫕틦쿠닮뫜듳ꎬ퓲뇭쪾헢룶쒣탍뗄풤닢쓜솦컈뚨탔뫜닮ꎬ풤닢컳닮뷏듳ꆣ쟸럖뛈횸뗄쫇맀횵쒣탍퓚풤닢막욱캴살쫕틦쪱ꎬ맀횵쮮욽쿠닮풽듳뗄ퟩ쪵볊쫕틦쿠닮풽듳ꆣ맀횵쒣탍쟸럖뛈풽룟ꎬ춶헟룹뻝맀횵쒣탍싲죫룟맀횵ퟩꆢ싴돶뗍맀횵ퟩ쪱믱뗃뗄쳗샻쫕틦풽듳ꆣ 듓뇭뿉틔뾴돶ꎬ쪣폠쫕틦쒣탍뗄풤닢쟸럖뛈쏷쿔룟폚펯폠놾뮯쒣탍뫍막좨ퟔ평쿖뷰쇷쒣탍ꆣ쪣폠쫕틦쒣탍퓚term1뫍term2웚볤룷룶럖ퟩ뗄욽뻹쫕틦쿠닮럇뎣쏷쿔ꎬ맀횵ퟮ룟뗄ퟩ뫍맀횵ퟮ뗍뗄ퟩ쫕틦쿠닮ꎥꎨterm1ꎩꆢ%ꎨterm2ꎩꎻ뛸펯폠놾뮯쒣탍맀횵ퟮ룟뗄ퟩ뫍맀횵ퟮ뗍뗄ퟩ쫕틦쿠닮%ꎨterm1ꎩꆢ%ꎨterm2ꎩꎻ5쓪막좨ퟔ평쿖뷰쇷쒣탍맀횵ퟮ룟뗄ퟩ뫍맀횵ퟮ뗍뗄ퟩ쪵볊쫕틦쿠닮%ꎨterm1ꎩꆢ%ꎨterm2ꎩꎻ10쓪막좨ퟔ평쿖뷰쇷쒣탍V/Pퟮ룟ퟩ뫍ퟮ뗍ퟩ쪵볊쫕틦쿠닮%ꎨterm1ꎩꆢ%ꎨterm2ꎩꆣ춨맽쿖듺쪣폠쫕틦쒣탍ꎬ춶헟춶맀횵ퟮ룟뗄ퟩ뿉틔믱뗃룼룟뗄쳗샻쫕틦ꆣ 쪣폠쫕틦쒣탍돽쇋쟸럖뛈룟ꎬퟩ볤쫕틦닮뻠쏷쿔췢ꎬ쒣탍뗄풤닢컈뚨탔튲룟폚ퟔ평쿖뷰쇷뫍펯폠놾뮯쒣탍ꆣ쪣폠쫕틦쒣탍뛔룷ퟩ짏쫐릫쮾뗄맀횵쮳탲믹놾뫍룷ퟩ짏쫐릫쮾캴살쪵볊쫕틦쮳탲뗄욥엤ꆣ퓚쪣폠쫕틦쒣탍훐ꎬ맀횵ퟮ룟뗄ퟩ캴살쪵볊쫕틦ퟮ룟ꎬ맀횵뗚뛾룟뗄ퟩ캴살쪵볊쫕틦업쏻뗚뛾ꎻ맀횵ퟮ뗍뗄ퟩ캴살쪵볊쫕틦ퟮ뗍ꎻ횻폐맀횵업쏻뗚죽뫍맀횵업쏻뗚쯄뗄ퟩ캴살쪵볊쫕틦뫍맀횵쮳탲늻튻훂ꆣ떫쫇퓚펯폠놾뮯쒣탍뫍막좨ퟔ평쿖뷰쇷쒣탍훐ꎬ룷룶ퟩ뗄캴살쪵볊쫕틦뫍맀횵쮳탲쿠닮럇뎣듳ꆣ뇈죧ꎺ틔term1웚믘놨캪샽ꎬ퓚펯폠놾뮯쒣탍훐ꎬ맀횵ퟮ룟뗄ퟩ쪵볊욽뻹쫕틦횻업퓚뗚쯄캻ꎻ맀횵뗚뛾룟뗄ퟩ쪵볊쫕틦업퓚뗚죽캻ꎻ맀횵뗚죽룟뗄ퟩ쪵볊쫕틦업퓚뗚튻캻ꎻ맀횵뗚쯄룟뗄ퟩ쪵볊쫕틦업퓚뗚뛾캻ꎻ돽쇋맀횵ퟮ뗍뗄ퟩ캴살쪵볊쫕틦ퟮ뗍췢ꎬ웤쯻쯹폐뗄ퟩ캴살쪵볊쫕틦뚼뫍풤쿈맀볆뗄횵늻튻훂ꆣ막좨ퟔ평쿖뷰쇷쒣탍튲뫍펯폠놾뮯쒣탍튻퇹ꎬ맀볆횵뫍캴살쪵볊쫕틦횵퇏훘늻튻훂ꆣ5쓪막좨ퟔ평쿖뷰쇷쒣탍훐ꎬ풤닢쫕틦ퟮ룟뗄ퟩ캴살쪵볊쫕틦횻업퓚뗚뛾캻ꎬ맀횵뗚뛾룟뗄ퟩ쪵볊쫕틦업퓚뗚쯄캻ꎬ맀횵업쏻뗚쯄캻뗄ퟩ캴살쪵볊쫕틦좴ퟮ룟ꆣ퓚term2웚쿞쓚ꎬ맀횵ퟮ룟뗄ퟩ쪵볊쫕틦업쏻뗚죽ꎬ맀횵업쏻뗚뛾캻뗄ퟩ쪵볊쫕틦업쏻뗚쯄ꎬ맀횵업쏻뗚죽뗄ퟩ쪵볊쫕틦ퟮ룟ꎬ맀횵업쏻뗚쯄뗄ퟩ쪵볊쫕틦업쏻뗚뛾ꆣ듓헢룶뇈뷏뷡맻뾴ꎬ쪣폠쫕틦쒣탍뗄맀횵컈뚨탔풶풶뎬맽펯폠놾뮯쒣탍뫍막좨ퟔ평쿖뷰쇷쒣탍ꆣ 114
6%럧쿕틧볛쪱풤닢쓜솦뇈뷏 짏튻뷚쳖싛뗄쫇럧쿕틧볛캪2%뗄쟩뿶쿂룷룶맀횵쒣탍풤닢쓜솦뗄닮틬ꎬ놾뷚뾼달럧쿕틧볛캪6%쪱룷룶맀횵쒣탍뗄풤닢쓜솦닮틬ꆣ쫗쿈룸돶6%럧쿕틧볛쪱쪣폠쫕틦쒣탍맀볆뗄막욱볛횵ꆣ죧뇭쯹쪾ꆣ 뇭 6%럧쿕틧볛쪱쪣폠쫕틦쒣탍맀횵뇭 막욱듺싫 막욱볲돆 P V1 V1/P V2 V2/P 569 뎤돇막럝 629 ꏇ탂룖랰 708 듳튱쳘룖 709 ꏇ쳆룖 717 ꏇ짘룖 761 놾룖냥닄 825 첫룖늻탢 898 ꏇ낰룖 959 ꏇ쫗룖 961 듳솬뷰얣 600001 몪떦룖쳺 600005 ꏇ커룖 600010 냼룖막럝 600019 ꏇ놦룖 600117 컷쓾쳘룖 600126 몼룖막럝 600231 쇨룖막럝 600282 쓏룖막럝 600307 뻆룖뫪탋 600357 ꏇ돐랰 600399 뢧쮳쳘룖 600569 낲퇴룖쳺 600581 냋튻룖쳺 600714 뷰죰뿳튵 600804 열늩쪿 600808 십룖막럝 600894 맣룖막럝 욽뻹횵 힢ꎺP쫇2006쓪6퓂ퟮ뫳튻룶붻틗죕뗄쫕엌볛ꆣV1ꆢV2쫇럖뇰닉폃LID3ꆢLID4맀횵뗃떽뗄샭싛볛횵ꆣV1/PꆢV2/P쫇샭싛볛횵뫍볛룱뗄뇈횵ꆣ 115
뛔뇈뇭뫍뇭뿉틔랢쿖ꎬ럧쿕틧볛듓2%뗷헻캪6%뫳ꎬ쪣폠쫕틦쒣탍뗄욽뻹맀횵컳닮뇤킡ꎬ맀횵ힼ좷탔쳡룟ꆣ듓LID3쒣탍살뾴ꎬ맀횵컳닮듓%쿂붵떽%ꎻLID4쒣탍뗄맀횵컳닮듓%쿂붵떽%ꆣ맀볆볛횵뫍쫐뎡볛룱믹놾튻훂ꆣ뿉볻ꎬ퓋폃6%뗄럧쿕틧볛룼쓜쮵쏷쫐뎡뛔뫚즫뷰쫴튱솶튵뗄쪵볊첬뛈ꆣ 뇭쫇펯폠놾뮯쒣탍뫍막좨ퟔ평쿖뷰쇷쒣탍맀볆뗄막욱샭싛볛횵ꆣ 뇭 펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍뗄맀횵뷡맻뇭 막욱듺싫 P V1 V1/P V2 V2/P V3 V3/P 569 629 708 709 717 761 825 898 959 961 600001 600005 600010 600019 600117 600126 600231 600282 600307 600357 600399 600569 600581 600714 600804 600808 600894 욽뻹횵 힢ꎺP쫇2006쓪6퓂ퟮ뫳튻룶붻틗죕뗄막욱쫕엌볛ꆣV1쫇펯폠놾뮯쒣탍볆쯣뗄볛횵ꎻV2ꆢV3쫇막좨ퟔ평쿖뷰쇷쒣탍럖뇰퓚쿖뷰쇷돖탸퓶뎤5쓪뫍10쓪뗄볙짨쿂쯣뗃뗄막욱볛횵ꆣV1/PꆢV2/PꆢV3/P럖뇰쫇샭싛볛횵뫍막욱쫕엌볛P뗄뇈횵ꆣ 116
뛔뇈뇭뫍뇭ꎬ퓚럧쿕틧볛듓2%뗷헻캪6%뫳ꎬ막좨ퟔ평쿖뷰쇷쒣탍듓풭쿈룟맀막욱볛횵뇤돉쿖퓚뗍맀막욱볛횵ꎻ펯폠놾뮯쒣탍룟맀막욱볛횵뗄돌뛈튲폐쯹쿂붵ꎬ듓풭쿈뗄룟맀놶쿂붵떽룟맀%ꆣ 컒쏇룹뻝V/P뇈뛔짏쫐릫쮾뷸탐럖ퟩꎬ늢뇈뷏룷룶ퟩ뗄욽뻹쫕틦ꆣ뇭룸돶쇋룷룶ퟩ뗄쫕틦쟩뿶ꆣ 뇭 6%럧쿕틧볛쪱룷맀횵쒣탍풤닢쓜솦뇈뷏뇭 LID3-V LID4-V 펯폠놾뮯V 쿖뷰쇷5쓪 쿖뷰쇷10쓪 600307 뻆룖뫪탋 600307 뻆룖뫪탋 717 ꏇ짘룖 709 ꏇ쳆룖 709 ꏇ쳆룖 600231 쇨룖막럝 600581 냋튻룖쳺 600581 냋튻룖쳺 959 ꏇ쫗룖 959 ꏇ쫗룖 뗚튻ퟩ 600581 냋튻룖쳺 600231 쇨룖막럝 600282 쓏룖막럝 600001 몪떦룖쳺 600001 몪떦룖쳺 629 ꏇ탂룖랰 629 ꏇ탂룖랰 600307 뻆룖뫪탋 600010 냼룖막럝 600010 냼룖막럝 600019 ꏇ놦룖 600019 ꏇ놦룖 600126 몼룖막럝 600019 ꏇ놦룖 600019 ꏇ놦룖 600005 ꏇ커룖 600005 ꏇ커룖 600010 냼룖막럝 600282 쓏룖막럝 600282 쓏룖막럝 600808 십룖막럝 600126 몼룖막럝 600231 쇨룖막럝 600005 ꏇ커룖 600005 ꏇ커룖 뗚뛾ퟩ 600569 낲퇴룖쳺 600569 낲퇴룖쳺 600569 낲퇴룖쳺 717 ꏇ짘룖 717 ꏇ짘룖 600126 몼룖막럝 600808 십룖막럝 600019 ꏇ놦룖 600126 몼룖막럝 600126 몼룖막럝 709 ꏇ쳆룖 709 ꏇ쳆룖 629 ꏇ탂룖랰 761 놾룖냥닄 761 놾룖냥닄 600010 냼룖막럝 761 놾룖냥닄 709 ꏇ쳆룖 600307 뻆룖뫪탋 600307 뻆룖뫪탋 761 놾룖냥닄 600282 쓏룖막럝 600005 ꏇ커룖 600399 뢧쮳쳘룖 600399 뢧쮳쳘룖 뗚죽ퟩ 600282 쓏룖막럝 600010 냼룖막럝 600001 몪떦룖쳺 600808 십룖막럝 600808 십룖막럝 600001 몪떦룖쳺 600001 몪떦룖쳺 959 ꏇ쫗룖 600357 ꏇ돐랰 600357 ꏇ돐랰 959 ꏇ쫗룖 961 듳솬뷰얣 600808 십룖막럝 600804 열늩쪿 898 ꏇ낰룖 961 듳솬뷰얣 959 ꏇ쫗룖 825 첫룖늻탢 898 ꏇ낰룖 600804 열늩쪿 717 ꏇ짘룖 717 ꏇ짘룖 761 놾룖냥닄 600231 쇨룖막럝 600231 쇨룖막럝 뗚쯄ퟩ 898 ꏇ낰룖 898 ꏇ낰룖 898 ꏇ낰룖 600117 컷쓾쳘룖 600117 컷쓾쳘룖 825 첫룖늻탢 825 첫룖늻탢 600357 ꏇ돐랰 825 첫룖늻탢 825 첫룖늻탢 600357 ꏇ돐랰 600399 뢧쮳쳘룖 600894 맣룖막럝 708 듳튱쳘룖 708 듳튱쳘룖 뗚컥ퟩ 600399 뢧쮳쳘룖 600357 ꏇ돐랰 600117 컷쓾쳘룖 600569 낲퇴룖쳺 600569 낲퇴룖쳺 600117 컷쓾쳘룖 600117 컷쓾쳘룖 961 듳솬뷰얣 569 뎤돇막럝 569 뎤돇막럝 708 듳튱쳘룖 708 듳튱쳘룖 600399 뢧쮳쳘룖 629 ꏇ탂룖랰 629 ꏇ탂룖랰 117
600894 맣룖막럝 600894 맣룖막럝 708 듳튱쳘룖 600714 뷰죰뿳튵 600714 뷰죰뿳튵 600804 열늩쪿 600804 열늩쪿 600714 뷰죰뿳튵 961 듳솬뷰얣 961 듳솬뷰얣 569 뎤돇막럝 569 뎤돇막럝 600804 열늩쪿 600894 맣룖막럝 600894 맣룖막럝 600714 뷰죰뿳튵 600714 뷰죰뿳튵 569 뎤돇막럝 600581 냋튻룖쳺 600581 냋튻룖쳺 룷ퟩ욽뻹쫕틦 Term1 Term2 Term1 Term2 Term1 Term2 Term1 Term2 Term1 Term2 Ave1 Ave2 Ave3 Ave4 Ave5 힢ꎺLID3-VꆢLID4-V뇭쪾퓋폃쪣폠쫕틦쒣탍LID3ꆢLID4뷸탐뗄볛횵럖ퟩꆣ펯폠놾뮯V쫇쪹폃펯폠놾뮯쒣탍뷸탐뗄럖ퟩꎻ막좨ퟔ평쿖뷰쇷5쓪뫍10쓪쫇럖뇰룹뻝막좨ퟔ평쿖뷰쇷돖탸퓶뎤5쓪뫍10쓪뗄볙짨쿂뷸탐뗄럖ퟩꆣAve1ꆢave2ꆢave3ꆢave4ꆢave5쫇쎿룶럖ퟩ퓚돖폐웚뗄욽뻹쫕틦ꆣTerm1뗄볆쯣쟸볤듓2006쓪6퓂ퟮ뫳튻룶붻틗죕떽2006쓪12퓂ퟮ뫳튻룶붻틗죕ꎻterm2뗄볆쯣쟸볤쫇듓2006쓪6퓂ퟮ뫳튻룶붻틗죕떽2007쓪2퓂ퟮ뫳튻룶붻틗죕ꆣ 듓뇭뿉틔뾴돶ꎬ쪣폠쫕틦쒣탍헻쳥짏틀좻폅폚펯폠놾뮯쒣탍뫍막좨ퟔ평쿖뷰쇷쒣탍ꆣ듓풤닢쟸럖뛈살뾴ꎬ쪣폠쫕틦쒣탍ꎨLID3ꎩ맀횵ퟮ룟뗄ퟩ뫍맀횵ퟮ뗍뗄ퟩ쪵볊쫕틦쿠닮%ꎨterm1ꎩꆢ%ꎨterm2ꎩꎻ펯폠놾뮯쒣탍맀횵ퟮ룟뗄ퟩ뫍맀횵ퟮ뗍뗄ퟩ쪵볊쫕틦쿠닮%ꎨterm1ꎩꆢ%ꎨterm2ꎩꎻ5쓪막좨ퟔ평쿖뷰쇷쒣탍맀횵ퟮ룟뗄ퟩ뫍맀횵ퟮ뗍뗄ퟩ쪵볊쫕틦쿠닮%ꎨterm1ꎩꆢ%ꎨterm2ꎩꎻ10막좨ퟔ평쿖뷰쇷쒣탍뫍5쓪막좨ퟔ평쿖뷰쇷쒣탍뇭쿖믹놾튻퇹ꆣ쿔좻ꎬ춨맽쪣폠쫕틦쒣탍쓜릻믱뗃ퟮ룟뗄뎬뛮쳗샻쫕틦ꆣ 쿠뇈폚펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍ꎬ쪣폠쫕틦쒣탍뗄맀횵컈뚨탔틀좻ퟮ룟ꆣ듓뇭뿉틔뾴돶ꎬ쪣폠쫕틦쒣탍룷룶ퟩ뗄쪵볊쫕틦믹놾뫍맀횵뷡맻쿠닮늻듳ꎬ떫쫇펯폠놾뮯쒣탍뫍막좨ퟔ평쿖뷰쇷쒣탍훐폐킩ퟩ뗄쪵볊쫕틦뫍맀횵뷡맻쿠닮럇뎣듳ꆣ뇈죧ꎺ펯폠놾뮯쒣탍훐맀횵ퟮ룟뗄ퟩ쪵볊쫕틦욽뻹횻폐%(term1)ꆢ%(term2)ꎻ맀횵업쏻뗚죽뗄ퟩ쪵볊쫕틦듯떽%ꎨterm1ꎩꆢꎨterm2ꎩꎬ풤닢컳닮벫듳ꆣ쿠뛔살쮵ꎬ막좨ퟔ평쿖뷰쇷쒣탍뇈펯폠놾뮯쒣탍뗄뇭쿖튪뫃ꎬ떫쫇뫍쪣폠쫕틦쒣탍쿠뇈ꎬ막좨ퟔ평쿖뷰쇷쒣탍뗄컈뚨탔뷏닮ꎬ쟒쟸럖뛈늻뫃ꆣ 듓뇭뫍뇭뇈뷏뿉틔뾴돶ꎬ6%럧쿕틧볛쪱쪣폠쫕틦쒣탍뗄풤닢쓜솦쎻폐2% 118
럧쿕틧볛쪱룟ꎬ맀횵ퟮ룟뗄ퟩ쪵볊쫕틦늢늻쫇ퟮ룟ꆣ컒쏇뷸튻늽ퟐ쾸럖컶뿉틔랢쿖ꎬ훷튪뗄풭틲쫇틲캪뗚뛾ퟩ훐몬폐커룖막럝뗄풵맊ꆣ커룖막럝퓚2005쓪뗗쪵쪩닺훘ퟩ뫳릫쮾쪵볊뺭펪랢짺쇋훘듳뇤뮯ꎬ탎돉쇋튻룶웦틬횵ꆣ커룖막럝뗄듦퓚쪹뗃뗚뛾ퟩ쪵볊쫕틦럇뎣룟ꎬ죅싒쇋맀횵쮳탲ꆣ 쪣폠쫕틦쒣탍뫍쿠뛔볛횵횸뇪뗄풤닢쓜솦뇈뷏 놾뷚뇈뷏쪣폠쫕틦쒣탍뫍쿠뛔볛횵횸뇪뛔캴살쫕틦뗄풤닢쓜솦ꆣ쿠뛔볛횵횸뇪냼삨쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊ꆣ룹뻝틑폐뗄샭싛ꎬ쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊뿉틔ퟷ캪뷏뫃뗄돉뎤탔횸뇪ꎬ춬튻룶쫐뎡훐ꎬ뷏룟뗄쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊췹췹풤쪾ퟅ룃웳튵뻟폐뫜뫃뗄돉뎤탔ꎬ웤캴살쫕틦풽룟ꆣ쯹틔ꎬ쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊뗄룟뗍뫍캴살쫕틦돉헽뇈샽맘쾵ꆣ 내헕뫍잰솽뷚튻퇹뗄랽램ꎬ컒쏇쫗쿈룹뻝쪣폠쫕틦쒣탍볆쯣막욱뗄쓚퓚볛횵vꎬ볆쯣v/p뇈ꎬ내헕V/P횵뗄듳킡뫍쿠뛔횸뇪쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊횵뗄듳킡뛔쯹폐막욱업탲ꎬ룹뻝떥뗷쮳탲붫쯹폐뗄짏쫐릫쮾럖돉컥ퟩꎬ뇈뷏룷ퟩ짏쫐릫쮾퓚캴살6룶퓂뫍8룶퓂뗄쫕틦쟩뿶ꆣ캪쇋뷚쪡욪럹ꎬ놾뷚컒쏇볆쯣쪣폠쫕틦쪱럧쿕틧볛쪹폃2%ꆣ뇭쫇ퟮ훕뗄볆쯣뷡맻ꆣ 뇭 쪣폠쫕틦쒣탍뫍쿠뛔볛횵횸뇪풤닢쓜솦뇈뷏 LID3-V LID4-V 쫐펯싊 쫐뺻싊 쫐쿺싊 600307 뻆룖뫪탋 600307 뻆룖뫪탋 600804 열늩쪿 600714 뷰죰뿳튵 600714 뷰죰뿳튵 600231 쇨룖막럝 600231 쇨룖막럝 600399 뢧쮳쳘룖 708 듳튱쳘룖 600117 컷쓾쳘룖 뗚튻ퟩ 600581 냋튻룖쳺 600581 냋튻룖쳺 961 듳솬뷰얣 600804 열늩쪿 600019 ꏇ놦룖 629 ꏇ탂룖랰 629 ꏇ탂룖랰 717 ꏇ짘룖 569 뎤돇막럝 600808 십룖막럝 600005 ꏇ커룖 600005 ꏇ커룖 708 듳튱쳘룖 600894 맣룖막럝 600005 ꏇ커룖 600019 ꏇ놦룖 600019 ꏇ놦룖 600117 컷쓾쳘룖 600399 뢧쮳쳘룖 600804 열늩쪿 600808 십룖막럝 600126 몼룖막럝 600126 몼룖막럝 600005 ꏇ커룖 898 ꏇ낰룖 뗚뛾ퟩ 600569 낲퇴룖쳺 600808 십룖막럝 600569 낲퇴룖쳺 898 ꏇ낰룖 569 뎤돇막럝 600126 몼룖막럝 600569 낲퇴룖쳺 600357 ꏇ돐랰 600117 컷쓾쳘룖 629 ꏇ탂룖랰 709 ꏇ쳆룖 709 ꏇ쳆룖 761 놾룖냥닄 600010 냼룖막럝 600231 쇨룖막럝 뗚죽ퟩ 600010 냼룖막럝 600282 쓏룖막럝 600001 몪떦룖쳺 600019 ꏇ놦룖 708 듳튱쳘룖 600282 쓏룖막럝 761 놾룖냥닄 600581 냋튻룖쳺 959 ꏇ쫗룖 600399 뢧쮳쳘룖 119
761 놾룖냥닄 600010 냼룖막럝 959 ꏇ쫗룖 600808 십룖막럝 600001 몪떦룖쳺 600001 몪떦룖쳺 600001 몪떦룖쳺 629 ꏇ탂룖랰 761 놾룖냥닄 600010 냼룖막럝 959 ꏇ쫗룖 959 ꏇ쫗룖 600231 쇨룖막럝 600231 쇨룖막럝 717 ꏇ짘룖 961 듳솬뷰얣 961 듳솬뷰얣 600282 쓏룖막럝 600357 ꏇ돐랰 600307 뻆룖뫪탋 717 ꏇ짘룖 717 ꏇ짘룖 600010 냼룖막럝 825 첫룖늻탢 600569 낲퇴룖쳺 뗚쯄ퟩ 898 ꏇ낰룖 898 ꏇ낰룖 825 첫룖늻탢 600126 몼룖막럝 600894 맣룖막럝 825 첫룖늻탢 825 첫룖늻탢 600808 십룖막럝 600307 뻆룖뫪탋 959 ꏇ쫗룖 600357 ꏇ돐랰 600399 뢧쮳쳘룖 600307 뻆룖뫪탋 600001 몪떦룖쳺 600126 몼룖막럝 600399 뢧쮳쳘룖 600357 ꏇ돐랰 600019 ꏇ놦룖 600581 냋튻룖쳺 961 듳솬뷰얣 600117 컷쓾쳘룖 600117 컷쓾쳘룖 898 ꏇ낰룖 600282 쓏룖막럝 761 놾룖냥닄 708 듳튱쳘룖 708 듳튱쳘룖 709 ꏇ쳆룖 961 듳솬뷰얣 600581 냋튻룖쳺 뗚컥ퟩ 600804 열늩쪿 600894 맣룖막럝 600005 ꏇ커룖 629 ꏇ탂룖랰 600357 ꏇ돐랰 600894 맣룖막럝 600804 열늩쪿 600894 맣룖막럝 600569 낲퇴룖쳺 709 ꏇ쳆룖 569 뎤돇막럝 569 뎤돇막럝 569 뎤돇막럝 709 ꏇ쳆룖 825 첫룖늻탢 600714 뷰죰뿳튵 600714 뷰죰뿳튵 600714 뷰죰뿳튵 717 ꏇ짘룖 600282 쓏룖막럝 룷ퟩ욽뻹쫕틦 Term1 Term2 Term1 Term2 Term1 Term2 Term1 Term2 Term1 Term2 Ave1 Ave2 Ave3 Ave4 Ave5 힢ꎺLID3-VꆢLID4-V뇭쪾퓋폃쪣폠쫕틦쒣탍LID3ꆢLID4뷸탐뗄볛횵럖ퟩꆣ헢샯뗄쪣폠쫕틦쫇볙짨럧쿕틧볛캪2%ꆣ쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊삸쫇룹뻝쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊횸뇪붫짏쫐릫쮾럖돉컥ퟩꆣAve1ꆢave2ꆢave3ꆢave4ꆢave5쫇쎿룶럖ퟩ퓚돖폐웚뗄욽뻹쫕틦ꆣTerm1뗄볆쯣쟸볤쫇듓2006쓪6퓂ퟮ뫳튻룶붻틗죕떽2006쓪12퓂ퟮ뫳튻룶붻틗죕ꎻterm2뗄볆쯣쟸볤쫇듓2006쓪6퓂ퟮ뫳튻룶붻틗죕떽2007쓪2퓂ퟮ뫳튻룶붻틗죕ꆣ 듓뇭뿉틔뾴돶ꎬ쪣폠쫕틦쒣탍뗄풤닢쓜솦룟맽쫐펯싊횸뇪ꆣ듓풤닢컈뚨탔뾴ꎬ룹뻝쫐펯싊횸뇪뷸탐럖ퟩ쪱룷ퟩ쪵볊캴살쫕틦럖늼믬싒ꎬ뾴늻돶쏷쿔뗄맦싉ꆣ룷ퟩ짏쫐릫쮾쪵볊뗄캴살쫕틦뫍풤웚쿠닮럇뎣듳ꆣ듓뇭훐뿉틔뾴돶ꎬ쫐펯싊쯆뫵룼뷓뷼폚쫇튻훖쿠랴횸뇪ꎬ벴쿖퓚쫐펯싊룟뗄막욱캴살쫕틦뗍ꎬ쿖퓚쫐펯싊뗍뗄막욱캴살쫕틦룟ꆣ 120
헢뿉틔듓뇭룹뻝쫐펯싊럖ퟩ뗄컥ퟩ막욱욽뻹쫕틦럖늼뾴뗄돶살ꆣ쫐펯싊ퟮ룟뗄잰솽ퟩ막욱캴살쪵볊쫕틦ퟮ뗍ꎬ쫐펯싊ퟮ뗍뗄뫳솽ퟩ막욱캴살쪵볊쫕틦ퟮ룟ꆣ떱좻ꎬ컒쏇헢샯쪹폃뗄횻쫇튻룶탐튵뗄쫽뻝ꎬ뷡맻쎻폐웕뇩췆맣뗄틢틥ꆣ듓헢룶탐튵낸샽뿉틔뾴돶ꎬ퓚탐튵쓚ꎬ쫐펯싊ퟷ캪쿠랴횸뇪룼폐쮵럾솦ꆣ 퓚뇭훐ꎬ쫐뺻싊횸뇪뇭쿖뗄럇뎣컈뚨ꆣ돽쇋쫐뺻싊ퟮ룟뗄튻ퟩ풤닢쫕틦뫍쪵볊쫕틦폐뫜듳닮뇰틔췢ꎬ웤쯻쯄ퟩ뗄풤닢쫕틦뫍쪵볊쫕틦뚼뇈뷏뷓뷼ꆣ틲듋ꎬ퓚탐튵쓚늿ꎬ쫐뺻싊횸뇪룼럻뫏ퟷ캪짏쫐릫쮾캴살돉뎤탔뗄횸뇪ꆣ늻ퟣ뗄쫇ꎬ쫐뺻싊횸뇪죝틗쫜떽벫뛋릫쮾뗄펰쿬ꆣ헢퓚뇭훐쳥쿖캪룹뻝쫐뺻싊횸뇪럖ퟩ뗄뗚튻ퟩ짏쫐릫쮾훐ꎬ틲캪맣룖막럝뫍뷰죰뿳튵뗄펰쿬ꎬ쪵볊쫕틦뫍풤웚쫕틦쿠닮럇뎣듳ꎬ틲듋ꎬ떥뒿뗄쫐뺻싊횸뇪늢늻쓜ힼ좷쟸럖짏쫐릫쮾뗄뫃뮵ꆣ붫쫐뺻싊횸뇪뫍쪣폠쫕틦쒣탍뗄풤닢쓜솦뇈뷏뿉틔랢쿖ꎬ쫐뺻싊횸뇪뗄풤닢컈뚨탔뫍쪣폠쫕틦쒣탍뗄맀횵컈뚨탔쿠닮늻듳ꎻ떫쫇ꎬ쫐뺻싊횸뇪뗄풤닢쟸럖뛈쎻폐쪣폠쫕틦쒣탍룟ꆣ쪣폠쫕틦쒣탍훐ꎬ맀횵ퟮ룟뗄ퟩ뫍맀횵ퟮ뗍뗄ퟩ쪵볊쫕틦쿠닮럇뎣듳ꎬ쳗샻쫕틦뫜룟ꎻ쫐뺻싊횸뇪훐ꎬ쫐뺻싊ퟮ룟뗄ퟩ뫍쫐뺻싊ퟮ뗍뗄ퟩ쪵볊쫕틦쿠닮늻듳ꎬ쳗샻쫕틦늻룟ꆣ틲듋ꎬ쫐뺻싊횸뇪뗄풤닢쟸럖뛈쎻폐쪣폠쫕틦쒣탍룟ꆣ 듓뇭뿉틔랢쿖ꎬ쫐쿺싊뇭쿖뇈뷏믬싒ꎬ맀횵컈뚨탔뫍쟸럖뛈뚼쎻폐쫐뺻싊룟ꎬ룼뇈늻짏쪣폠쫕틦쒣탍ꆣ듓맀횵컈뚨탔살뾴ꎬ쫐쿺싊횸뇪맀횵럇뎣늻컈뚨ꎬ맀횵ퟮ뗍뗄ퟩ쪵볊쫕틦럇뎣룟ꎬ맀횵뷏룟뗄ퟩ쪵볊쫕틦좴럇뎣뗍ꆣퟐ쾸럖컶뿉틔랢쿖ꎬ쫐쿺싊뗄캨튻폅뗣쫇쓜릻헒돶잱퓚뗄벫뛋폅탣믲헟벫뛋닮뺢뗄릫쮾ꆣ헢쫇틲캪뛔폚벫뛋폅탣뗄릫쮾살쮵ꎬ펪튵쫕죫뇘좻뫜룟ꎻ뛸뛔폚벫뛋닮뺢뗄릫쮾살쮵ꎬ펪튵쫕죫춨뎣뫜뗍ꆣ틲듋ꎬ쫐쿺싊횸뇪춨맽쿺쫛ힴ첬쓜릻뫜뿬헒돶헢솽샠릫쮾ꆣ떫쫇ꎬ뛔폚듳솿뗄튻냣웕춨릫쮾ꎬ쫐쿺싊횸뇪냼몬뗄탅쾢럇뎣폐쿞ꎬ컞램랢믓뇘튪뗄풤닢ퟷ폃ꆣ ퟜ쳥짏쮵ꎬ쪣폠쫕틦쒣탍풤닢쓜솦뇈뷏컈뚨ꎬ뛔폚벫뛋폅탣뗄릫쮾ꆢ벫뛋쇓훊뗄릫쮾뚼쓜릻ힼ좷쟸럖ꎬ맀횵컈뚨탔뫜룟ꆣ쿠뛔볛횵횸뇪맀횵컈뚨탔닮ꎬ폈웤쫇쫐펯싊횸뇪뫍쫐쿺싊횸뇪ꎬ믹놾쎻폐풤닢볛횵ꆣ쫐뺻싊횸뇪폐튻뚨뗄맀횵컈뚨탔ꎬ떫쫇풤닢쟸럖뛈늻릻ꎬ컞램믱뗃뷏룟뗄쳗샻쫕틦ꆣ컒쏇퇐뺿랢쿖ꎬ쫐펯싊횸뇪퓚탐튵쓚룼쿱쫇튻룶랴쿲횸뇪ꎬ쿖퓚쫐펯싊룟뗄막욱캴살쫕틦뷏뗍ꎬ쿖퓚쫐펯싊뗍뗄막욱캴살쫕틦뷏룟ꆣ쫐쿺싊퓚탐튵쓚횻쓜럖뇦돶벫뛋폅탣뫍벫뛋쇓훊뗄릫쮾ꎬ뛔폚듳솿웕춨뗄튻냣릫쮾믹놾쎻폐풤닢볛횵ꆣ 121
킡뷡 놾헂뇈뷏쇋쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍틔벰쿠뛔볛횵횸뇪뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ듓럖컶뷡맻뾴ꎬ쿠뇈폚웤쯻뗄맀횵쒣탍뫍횸뇪쪣폠쫕틦쒣탍뛔폚막욱캴살쫕틦뗄풤닢쓜솦룼룟ꎬ풤닢뷡맻룼컈뚨ꆣ 컒쏇쪹폃컈뚨탔뫍쟸럖뛈솽룶횸뇪살뫢솿맀횵쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ컈뚨탔횸뗃쫇맀횵쒣탍퓚풤닢막욱캴살쫕틦쪱ꎬ맀횵룟뗄ퟩ쫕틦룟ꎬ맀횵뗍뗄ퟩ쫕틦뗍ꎬ맀횵쮳탲뫍쪵볊쫕틦쮳탲놣돖튻훂ꆣ죧맻튻룶맀횵쒣탍뗄맀횵뷡맻뫍쪵볊쫕틦쿠닮뫜듳ꎬ퓲헢룶쒣탍뗄풤닢쓜솦컈뚨탔닮ꎬ풤닢컳닮뷏듳ꆣ쟸럖뛈횸뗄쫇맀횵쒣탍퓚풤닢막욱캴살쫕틦쪱ꎬ맀횵쮮욽쿠닮풽듳뗄ퟩ쪵볊쫕틦쿠닮풽듳ꆣ맀횵쒣탍쟸럖뛈풽룟ꎬ춶헟룹뻝맀횵쒣탍싲죫룟맀횵ퟩꆢ싴돶뗍맀횵ퟩ쪱믱뗃뗄쳗샻쫕틦풽듳ꆣ 쿠뛔폚펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍살쮵ꎬ쪣폠쫕틦쒣탍뇭쿖컈뚨ꎬ룷ퟩ뗄풤닢쫕틦뫍쪵볊쫕틦뇭쿖튻훂ꎬ컈뚨탔룟ꎻ춬쪱ꎬ쪣폠쫕틦쒣탍뗄풤닢쟸럖뛈풶풶뎬맽펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍ꆣ듓뇈뷏뷡맻뾴ꎬ막좨ퟔ평쿖뷰쇷쒣탍뗄뇭쿖뷡맻뫃폚펯폠놾뮯쒣탍ꎬ막좨ퟔ평쿖뷰쇷쒣탍뗄풤닢컈뚨탔뫍쪣폠쫕틦쒣탍쿠닮늻듳ꎬ떫쫇막좨ퟔ평쿖뷰쇷쒣탍뗄풤닢쟸럖뛈쎻폐쪣폠쫕틦쒣탍뫃ꆣퟜ쳥살쮵ꎬ쪣폠쫕틦쒣탍풤닢쓜솦뎬맽막좨ퟔ평쿖뷰쇷쒣탍ꆣ 듓놾헂럖컶뷡맻뾴ꎬ막좨ퟔ평쿖뷰쇷쒣탍뫍펯폠놾뮯쒣탍뛔폚쇓훊릫쮾뗄풤닢쫇럇뎣ힼ좷뗄ꆣ듓놾헂뗚죽ꆢ뗚쯄뷚뗄럖컶뿉틔뾴돶ꎬ막좨ퟔ평쿖뷰쇷쒣탍ꆢ펯폠놾뮯쒣탍뫍쪣폠쫕틦쒣탍튻퇹ꎬퟮ뫳튻ퟩ뗄쪵볊쫕틦뚼쫇ퟮ뗍뗄ꆣ헢뇭쏷ꎬ헢죽룶쒣탍뚼쓜릻ힼ좷뗘쟸럖돶쇓훊릫쮾ꆣ떫쫇뛔폚폅훊릫쮾ꎬ막좨ퟔ평쿖뷰쇷쒣탍ꆢ펯폠놾뮯쒣탍ퟷ폃늻듳ꎻ쪣폠쫕틦쒣탍퓲뇭쿖폅틬ꎬ풤닢쓜솦돶훚ꆣ 뇈뷏쪣폠쫕틦쒣탍뫍쿠뛔볛횵횸뇪쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊뛔막욱캴살쫕틦뗄풤닢쓜솦랢쿖ꎬ쿠뛔볛횵횸뇪뗄풤닢쓜솦죝틗쫜떽벫뛋횵뗄펰쿬ꆣ폈웤쫇쫐펯싊횸뇪뫍쫐쿺싊횸뇪ꎬ벫뛋횵뛔웤풤닢쓜솦펰쿬뫜듳ꆣ업돽벫뛋횵뗄펰쿬ꎬ퓚탐튵쓚ꎬ쫐펯싊횸뇪룼쿳쫇튻룶랴쿲횸뇪ꎬ쿖퓚쫐펯싊룟뗄막욱욽뻹틢틥짏캴살쫕틦뗍ꎬ쿖퓚쫐펯싊뗍뗄막욱캴살욽뻹쫕틦룟ꆣ쫐쿺싊쓜릻쳴톡돶벫뛋폅탣뫍벫뛋쇓훊뗄릫쮾ꎬ떫쫇풤닢뗄컈뚨탔뫍쟸럖뛈뚼뫜뗍ꎬ늻쫊틋폚떥뛀ퟷ캪막욱캴살쫕틦뗄풤닢횸뇪ꆣ쫐뺻싊횸뇪맀횵뇈뷏컈뚨ꎬ떫쫇죝틗벫뛋횵뗄펰쿬ꆣ틲듋ꎬ퓚쪹폃쫐뺻싊횸뇪쪱ꎬ펦룃뷡뫏웤쯻에뛏릫쮾믹놾쏦뗄횸뇪튻웰쪹폃ꆣ춬쪱ꎬ쫐뺻싊횸뇪퓚풤닢막욱캴살쫕틦쪱ꎬ풤닢쟸럖뛈뗍ꎬ뫜쓑믱뗃뎬뛮쫕틦ꆣ 122
탨튪쮵쏷뗄쫇ꎬ놾헂쯹폐뗄뷡싛뚼쫇룹뻝쳘뚨뗄쫽뻝뫍쳘뚨뗄퇹놾럖컶뗃돶뗄ꎻ뎬맽쇋헢룶퇹놾뫍쫽뻝ꎬ뷡싛쫇럱돉솢뮹탨뷸튻늽퇩횤ꆣ쇭췢ꎬ평폚쫽뻝웚쿞뗄쿞훆ꎬ놾헂횻쓜뛔룷룶쒣탍뷸탐튻룶쓪뛈뗄럖컶ꎬ쿠맘뷡싛쫇럱뻟폐웕쫊탔뮹탨튪캴살쫽뻝뷸튻늽뗄쪵횤볬퇩ꆣ 123
6 뷡싛뫍햹췻 놾컄춨맽훐맺뗄쫽뻝볬퇩쇋Ohlson뗄쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨ꎬ볬퇩쇋룷훖탎쪽늻춬뗄쿖듺쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦닮틬ꎬ볬퇩쇋쿖듺쪣폠쫕틦쒣탍뫍막좨ퟔ평쿖뷰쇷쒣탍ꆢ펯폠놾뮯쒣탍틔벰쿠뛔볛횵횸뇪뛔막욱막욱뗄뷢쫍쓜솦뫍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ볬퇩랢쿖ꎬOhlson뗄쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨믹놾럻뫏컒맺쪵볊쟩뿶ꎬ쪣폠쫕틦뗄튻뷗훍뫳쿮쾵쫽퓚[0,1]횮볤ꎬ믘맩쾵쫽듳킡뫍맺췢닮뻠늻듳ꆣ틲듋ꎬ뿉틔펦폃쿖듺쪣폠쫕틦쒣탍뷢쫍컒맺막욱쫐뎡뗄폐맘컊쳢ꆣ 쫽뻝럖컶뇭쏷ꎬ쪣폠쫕틦돽쇋뫍ퟔ벺뗄훍뫳쿮폐맘췢ꎬ뮹뫍뺻닺뗄훍뫳쿮폐맘ꆣ퓚쪣폠쫕틦뗄AR1맽돌훐ꎬ볓죫뺻닺훍뫳쿮뫳ꎬ쪣폠쫕틦뗄튻뷗훍뫳쿮믘맩쾵쫽뇤킡ꎻ뺻닺믘맩쾵쫽퓚춳볆짏쿔훸ꎬ에뚨쾵쫽퓶듳ꆣ틲듋뺻닺쿮뫍몬폐쓜릻뷢쫍쪣폠쫕틦뗄폐폃탅쾢ꆣ떫쫇ꎬ컒맺뗄쫽뻝늻횧돖쪣폠쫕틦뗄AR2볙짨ꎬ쪣폠쫕틦AR2맽돌훐뗄뛾뷗훍뫳쿮믘맩쾵쫽춳볆짏늻쿔훸ꆣ 놾컄럖컶뇭쏷ꎬ퓚퇩횤쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨쪱ꎬ뇘탫뾼싇룷룶릫쮾놾돉놾뗄닮틬ꆣ죧맻늻뾼싇룷룶릫쮾놾돉놾뗄닮틬ꎬ믡얤쟺럖컶뷡맻ꆣ놾컄춬쪱뇈뷏쇋2%럧쿕틧볛뗄CAPM쒣탍ꆢ6%럧쿕틧볛뗄CAPM쒣탍볆쯣뗄놾돉놾뫍만뚨10%늻뇤놾돉놾뗈죽훖늻춬랽램뗃떽뗄놾돉놾뛔쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨뗄펰쿬ꎬ뷡맻랢쿖ꎬ뾼싇쇋룷룶릫쮾놾돉놾닮틬뗄2%럧쿕틧볛ꆢ6%럧쿕틧볛뗄CAPM쒣탍볆쯣뗄쪣폠쫕틦싺ퟣ쿟탔탅쾢뚯첬뮯볙뚨ꎻ뛸놾돉놾만뚨캪10%쪱쪣폠쫕틦쿟탔탅쾢뚯첬뮯볙뚨뫍샭싛폐뷏듳늻럻ꆣ틲듋ꎬ퓚쪹폃쪣폠쫕틦쒣탍쪱ꎬ뇘탫뾼싇룷룶릫쮾볤놾돉놾뗄닮틬ꆣ 놾컄뇈뷏쇋룷훖쪣폠쫕틦쒣탍뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꆣ쿖듺쪣폠쫕틦쒣탍냼몬ퟅ뛠훖탎쪽ꎬ룷훖늻춬탎쪽뗄쪣폠쫕틦쒣탍뗄폅쇓튻횱쫇샭싛뷧퇐뺿뗄죈뗣ꆣ놾컄럖컶뇭쏷ꎬ냼몬뺻닺뗄쿟탔탅쾢뚯첬뮯볙뚨쯹췆떼뗄쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦뎬맽늻냼몬뺻닺뗄쿟탔탅쾢뚯첬뮯볙뚨쯹췆떼뗄쪣폠쫕틦쒣탍ꆣ헢횤쏷Ohlson쳡돶뗄믡볆컈붡탔펰쿬쪣폠쫕틦뫍맀횵뷡맻뗄샭싛럻뫏컒맺뗄쪵볊쟩뿶ꆣ쇭췢ꎬ쫽뻝럖컶뇭쏷ꎬ룹뻝쪣폠쫕틦AR2맽돌췆떹돶뗄맀횵쒣탍뛔막욱볛룱뗄뷢쫍쓜솦뫜닮ꆣ떱쪣폠쫕틦내헕AR2맽돌뇤뮯쪱ꎬ쪣폠쫕틦쒣탍맀볆뗄막욱볛횵풶풶뎬맽쇋막욱볛룱ꆣ 컒쏇럖컶랢쿖ꎬ폫맺췢늻춬뗄쫇ꎬ쪣폠쫕틦쒣탍퓚컒맺늻쫇뗍맀쇋막욱볛횵ꎬ뛸쫇룟맀쇋막욱볛횵ꆣ돶쿖헢룶뷡맻뗄풭틲쫇틲캪컒쏇쪹폃뗄쫽뻝쟸볤헽뫃엶짏닺튵룟럥웚ꆣ놾컄뗄럖컶훐ꎬ컒쏇쪹폃뗄쫇컒맺뫚즫뷰쫴튱솶튵1996ꎭ2006쓪뗄쫽뻝ꆣ2003ꆢ2004쓪쫇컒맺뫚즫뷰쫴튱솶튵뗄닺튵룟럥웚ꎬ짏쫐릫쮾헢솽룶쓪뛈뗄쪣폠쫕틦횵뫜 124
룟ꎬ췆룟쇋헻룶맀횵쒣탍뗄맀횵뷡맻ꆣ틲듋ꎬ쫽뻝쟸볤뗄쿁햭쪹뗃놾컄늿럖퇐뺿뷡싛뮹탨튪뷸튻늽뗄퇩횤ꆣ 컒쏇뇈뷏쇋쪣폠쫕틦쒣탍뫍펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍틔벰쿠뛔볛횵횸뇪믘맩램ꎨ냼삨쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊ꎩ뛔막욱볛룱뷢쫍쓜솦뗄닮틬ꆣ뇈뷏뷡맻횤쏷ꎬ펯폠놾뮯쒣탍ꆢퟔ평쿖뷰쇷쳹쿖쒣탍뗄욽뻹맀횵컳닮쫇LID3-쪣폠쫕틦쒣탍ꆢLID4-쪣폠쫕틦맀횵컳닮뗄솽놶ꆣ퓚놾돉놾뷏룟쪱ꎬ펯폠놾뮯쒣탍뫍막좨ퟔ평쿖뷰쇷쒣탍뚼뗍맀쇋막욱볛횵ꆣ쿠뛔살쮵ꎬ펯폠놾뮯쒣탍뗄뷢쫍쓜솦룟맽막좨ퟔ평쿖뷰쇷쒣탍뗄뷢쫍쓜솦ꆣ컒쏇퇐뺿랢쿖ꎬ떱퇓뎤막좨ퟔ평쿖뷰쇷쒣탍훐뗄막좨ퟔ평쿖뷰쇷돖탸퓶뎤쪱볤쪱ꎬ막좨ퟔ평쿖뷰쇷쒣탍뗄맀횵컳닮복킡ꆣ쿠뛔볛횵횸뇪믘맩램쫇쯹폐맀횵쒣탍훐뛔막욱뷢쫍쓜솦ퟮ닮뗄ꆣ쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊죽룶쿠뛔볛횵횸뇪뚼떼훂막욱볛횵놻퇏훘룟맀ꎬ폐뗄룟맀돌뛈짵훁듯떽7놶ꆣ떱좻ꎬ헢룶뷡맻뫍놾컄쫽뻝쟸볤뗄쿁킡뿉쓜폐튻뚨맘쾵ꆣퟜ쳥살쮵ꎬ쿠뛔볛횵횸뇪믘맩램늻쫇튻훖뫜뫃뗄맀횵랽램ꆣ 풤닢춶ퟩ뫏캴살쫕틦쫇맀횵쒣탍폅풽탔뗄훘튪릹돉늿럖횮튻ꆣ놾컄룹뻝쪣폠쫕틦쒣탍ꆢ펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍ꆢ쿠뛔볛횵맀횵횸뇪ꎨ냼삨쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊ꎩ럖뇰릹붨쇋춶ퟩ뫏ꎬ룹뻝춶ퟩ뫏퓚캴살6룶퓂뫍8룶퓂뫳뗄뎬뛮쫕틦쟩뿶뇈뷏룷룶맀횵쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ 컒쏇쪹폃풤닢컈뚨탔뫍풤닢쟸럖뛈솽룶횸뇪살뫢솿맀횵쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦ꆣ풤닢컈뚨탔횸뗃쫇맀횵쒣탍퓚풤닢막욱캴살쫕틦쪱ꎬ맀횵룟뗄ퟩ쫕틦룟ꎬ맀횵뗍뗄ퟩ쫕틦뗍ꎬ맀횵쮳탲뫍쪵볊쫕틦쮳탲놣돖튻훂ꆣ죧맻튻룶맀횵쒣탍뗄맀횵쮳탲뫍쪵볊쫕틦쮳탲쿠닮뫜듳ꎬ뇭쪾헢룶쒣탍뗄풤닢컈뚨탔닮ꎬ풤닢컳닮듳ꆣ풤닢쟸럖뛈횸뗄쫇맀횵쒣탍퓚풤닢막욱캴살쫕틦쪱ꎬ맀횵쮮욽쿠닮풽듳뗄ퟩ쪵볊쫕틦쿠닮풽듳ꆣ맀횵쒣탍쟸럖뛈풽룟ꎬ춶헟룹뻝맀횵쒣탍싲죫룟맀횵ퟩꆢ싴돶뗍맀횵ퟩ쪱믱뗃뗄쳗샻쫕틦풽듳ꆣ 럖컶뷡맻랢쿖ꎬ쿖듺쪣폠쫕틦쒣탍뗄풤닢쟸럖뛈풶풶룟폚펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍ꆣ룹뻝쿖듺쪣폠쫕틦쒣탍릹붨뗄춶ퟩ뫏웤풤닢쫕틦ퟮ룟뗄ퟩ뫍풤닢쫕틦ퟮ뗍뗄ퟩ쪵볊쫕틦닮뻠ퟮ듳ꆣ춬쪱ꎬ쿖듺쪣폠쫕틦쒣탍뗄풤닢컈뚨탔룟맽펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍ꆣ퓚펯폠놾뮯쒣탍ꆢ막좨ퟔ평쿖뷰쇷쒣탍훐ꎬ쪵볊쫕틦뫍풤닢쫕틦돶쿖뷏듳욫닮ꎬ맀횵컈뚨탔늻릻ꎻ뛸쿖듺쪣폠쫕틦쒣탍쪵볊쫕틦뫍풤닢쫕틦뗄컇뫏뛈룟ꎬ풤닢컈뚨탔잿ꆣ 퓚쪣폠쫕틦쒣탍뫍쿠뛔볛횵횸뇪쫐펯싊ꆢ쫐뺻싊ꆢ쫐쿺싊횮볤ꎬ쿠뛔볛횵횸뇪뗄풤닢쓜솦죝틗쫜떽벫뛋횵뗄펰쿬ꆣ폈웤쫇쫐펯싊횸뇪뫍쫐쿺싊횸뇪ꎬ벫뛋횵뛔웤풤닢쓜솦펰쿬뫜듳ꆣ업돽벫뛋횵뗄펰쿬ꎬ퓚탐튵쓚ꎬ쫐펯싊횸뇪룼쿳쫇튻룶랴쿲횸뇪ꎬ쿖 125
퓚쫐펯싊룟뗄막욱욽뻹틢틥짏캴살쫕틦뗍ꎬ쿖퓚쫐펯싊뗍뗄막욱웤캴살욽뻹쫕틦룟ꆣ쫐쿺싊쓜릻쳴톡돶벫뛋폅탣뫍벫뛋쇓훊뗄릫쮾ꎬ떫쫇풤닢뗄컈뚨탔뫍쟸럖뛈뚼뫜뗍ꎬ늻쫊틋폚떥뛀ퟷ캪막욱캴살쫕틦뗄풤닢횸뇪ꆣ쫐뺻싊횸뇪맀횵뇈뷏컈뚨ꎬ떫쫇죝틗벫뛋횵뗄펰쿬ꆣ틲듋ꎬ퓚쪹폃쫐뺻싊횸뇪쪱ꎬ펦룃뷡뫏웤쯻에뛏릫쮾믹놾쏦뗄횸뇪튻웰쪹폃ꆣ춬쪱ꎬ쫐뺻싊횸뇪퓚풤닢막욱캴살쫕틦쪱ꎬ풤닢쟸럖뛈쎻폐쪣폠쫕틦쒣탍룟ꎬ믱뗃뎬뛮쫕틦뗄뿉쓜탔뗍ꆣ 놾컄뗄럖컶뇭쏷ꎬOhlson쳡돶뗄쿖듺쪣폠쫕틦쒣탍뛔폚믡볆ꆢ맀횵퇐뺿폐ퟅ럇뎣훘튪뗄틢틥ꆣ퓚샭싛쇬폲ꎬOhlson뗄쿖듺쪣폠쫕틦쒣탍뷢뻶쇋믡볆쫽뻝컞램횱뷓뛈솿막욱볛횵뗄컊쳢ꎻ퓚쪵볹쇬폲ꎬOhlson쿖듺쪣폠쫕틦쒣탍쿻돽쇋웤쯻쓚퓚볛횵맀횵쒣탍쪹폃쪱뗄컞쟮쟳뫍컊쳢ꎬ쪹뗃뒫춳뗄볆솿랽램뿉틔횱뷓펦폃떽맀횵랽돌훐ꎬ췘뿭쇋맀횵쒣탍뗄퇐뺿랶캧ꆣ룼훘튪뗄쫇ꎬ쪵볹볬퇩랢쿖ꎬ쿖듺쪣폠쫕틦쒣탍평폚횱뷓붫뺻닺쓉죫떽맀횵쒣탍훐ꎬ쳡룟쇋맀횵뗄컈뚨탔뫍솬탸탔ꎬ뷢뻶쇋뺭펪뿷쯰뗈벫뛋릫쮾뗄맀횵컊쳢ꆣ 떱좻ꎬ놾컄뗄쯹폐뷡싛뚼틀삵폚놾컄쯹쪹폃뗄럖컶퇹놾뫍쳘뚨뗄쪱볤뒰뿚ꆣ놾컄쪹폃뗄쫇1996ꎭ2006쓪컒맺뫚즫뷰쫴튱솶튵짏쫐릫쮾뗄쫽뻝ꆣ평폚컒맺놾쫐뎡떮짺뷏췭ꎬ쫽뻝웚쿞뛌ꎬ쯹틔놾컄퓚볬퇩쪣폠쫕틦쒣탍뛔막욱볛룱뗄뷢쫍쓜솦ꆢ쪣폠쫕틦쒣탍뛔막욱캴살쫕틦뗄풤닢쓜솦쪱뚼횻럖컶쇋튻룶믡볆쓪뛈뗄쟩뿶ꎬ쿠맘뷡싛쫇럱쓜릻웕뇩췆맣뮹탨뷸튻늽뗄쪵횤볬퇩ꆣ샻폃룼뛠뗄믡볆쫽뻝뷸탐좫쏦볬퇩쫇캴살횵뗃뷸튻늽퇐뺿뗄뿎쳢ꆣ 평폚쪱볤뫍쫽뻝믱좡뗄맘쾵ꎬ놾컄횻쪹폃쇋튻룶탐튵ퟷ캪퇹놾ꆣ캴살뗄쪵횤퇐뺿탨튪볬퇩쪣폠쫕틦쒣탍퓚웤쯻탐튵뗄쪹폃쟩뿶ꆣ쇭췢ꎬ맘폚쿖듺쪣폠쫕틦쒣탍훐럇믡볆탅쾢쿮v뗄뛈솿컊쳢ꎬ놾컄뷸탐쇋죽훖뎢쫔ꎬ떫뷡맻뚼늻첫샭쿫ꎬ틲듋ꎬ탨튪뷸튻늽뗄첽쯷뫍퇐뺿ꆣ ퟮ뫳ꎬ놾컄퓚럖컶쿟탔탅쾢뚯첬뮯볙뚨쪱ꎬ쪹폃뗄쫇믬뫏믘맩뗄랽램ꆣ퓚캴살뗄퇐뺿훐ꎬ컒쏇뿉틔뎢쫔룄뇤럖컶랽램ꎬ쪹폃쪱볤탲쇐뫍ퟝ쇐쫽뻝뗄랽램믘맩쿟탔탅쾢뚯첬뮯볙뚨ꎬ뾼달쒣탍뗄웤쯻탔훊ꆣ놾컄뗄퇐뺿뷶뷶쫇튻룶뾪춷뫍첽쯷ꎬ웚듽룼뛠뗄쿠맘퇐뺿쓜릻쏖늹놾컄뗄좱몶ꆣ 126
훂 킻 뺭맽컞쫽듎뗄췆쟃뫍탞룄ꎬ훕폚붫싛컄ퟮ훕뚨룥ꆣ믘쿫튻쓪뛠뗄킴ퟷ샺돌ꎬ룐뒥솼짮ꆣ 싛컄뗄췪돉떼쪦쳆웫쏹뷌쫚뻓릦훁캰ꆣ퓚싛컄톡쳢쪱ꎬ떼쪦룸쇋컒뫜뛠훐뿏뗄붨틩ꎬ늻뛏뗷헻컒뗄쮼슷ꎬ웊컶룷룶컊쳢뗄뿉쓜헏낭뫍뷢뻶랽램ꎬퟮ훕냯컒좷뚨쇋싛컄ퟅ뇊뗄훷쳢ꆣ퓚싛컄뗄킴ퟷ맽돌훐ꎬ떼쪦믽벫룺ퟙꎬ뛠듎쏅쳽좡컒뗄믣놨ꎬ뗣돶쇋뫜뛠튪몦컊쳢ꎻ뛔폚컒뗄삧믳쯄솽늦잧뷯ꎬ쟉쏮뗘뮯뷢쇋컒뗄훮뛠쓑쳢ꎬ뷚쪡쇋컒듳솿뗄쏾쯷쪱볤ꆣ싛컄뚨룥뗄맽돌훐ꎬ떼쪦쾸훂뗘냯컒뷃헽싛컄훐뗄룷룶뷇실ꎬ퇏룱뗘샥쟥싛컄훐뗄싟벭늻쟥ꆢ샭싛놡죵횮뒦ꆣ떼쪦뗄죏헦쾸훂뫍쟣솦횧돖쫇컒췪돉싛컄뗄훘듳뚯솦ꆢ훘튪놣헏ꆣ떼쪦뗄틳쟐웚췻룼쪹컒짮룐퓰죎횮훘듳ꆣ퓚헢샯ꎬ컒뛔떼쪦뗄컞쮽냯훺뫍돧룟뗄럮쿗뺫짱뇭쪾짮짮뗄룐킻ꎡ떼쪦퇏뷷뗄훎톧첬뛈ꆢ쾸훂뗄뿆퇐뺫짱뎣뎣죃컒뺯탑ꎬ쳡쪾ퟔ벺튪ퟶ튻룶ퟔ컒튪쟳퇏룱뗄샭싛릤ퟷ헟ꎻ떼쪦짮뫱뗄톧쫵쯘퇸ꆢ쏜뗄싟벭쮼캬ꆢ풨늩뗄톧쪶룼죃컒짮짮헛럾ꆣ돽쇋횸떼컒뗄늩쪿싛컄ꎬ떼쪦쾤탄횸떼컒뗄톧쾰ꎬ죈쟐맘탄컒뗄짺믮ꎻ떼쪦늻뷶쫇튻룶퇏쪦ꎬ룼쫇튻룶웓쪵뗄뎤헟뫍엳폑ꆣ컒뛔떼쪦룸폫컒뗄돉뎤냯훺뫍횸떼뇭쪾ퟮ헦횿뗄룐킻ꎡ 쯦ퟅ늩쪿싛컄뗄췪돉ꎬ돤쪵뷴헅뗄늩쪿짺퇄벴붫뮮짏뻤뫅ꆣ믘쫗췹컴ꎬ죽쓪살ꎬ컒죧춬튻룶퓚몣뇟싾늽뗄몢ퟓꎬ뺪첾폚즳첲짏컞쫽쏀샶쏔죋뗄놴뿇ꎬퟜ쫇첰삷뗘쾣췻붫쯹폐놴뿇좫늿볱믘볒뻝캪벺폐ꎻ횱떽폐튻쳬컒훕폚랢쿖ꎬ헢튻쟐뚼쫇춽샍ꎬ컒늻뿉쓜붫쯹폐놴뿇좫늿뻝캪벺폐ꎬ컒쓜릻ퟶ뗄뻍쫇싽싽타짍헢킩쏀샶뗄놴뿇ꎬ퓙헒벸뿩ퟔ벺ퟮ훐틢뗄믘볒뫃뫃냑췦ꆣ 뮪훐뿆벼듳톧뺭볃톧풺쫇튻룶쏀샶뗄몣뇟즳첲ꎬ쎿튻캻샏쪦뚼퓚뺡쟩뗱뿌ퟅퟔ벺뗄놴뿇ꎬ늢냑쯼쏇컞쮽럮쿗룸컒쏇퓚헢킩몣뇟쯑톰뗄톧ퟓꆣ뺭볃톧풺풺뎤탬뎤짺뷌쫚듸룸컒쏇뗄쫇뫪맛뺭볃톧뗄놴뿇ꎬ탬뎤짺풺뎤뷌믡쇋컒쏇퇐뺿뫪맛뺭볃톧뗄랽램ꎬ틽죫컒쏇ퟟ죫쇋뫪맛뺭볃톧뗄뗮쳃ꆣ헅컀뚫뷌쫚듸룸컒쏇뗄쫇캢맛뺭볃톧뗄놴뿇ꎬ헅뷌쫚컞쮽럮쿗쇋ퟔ벺뛠쓪뗄첽쯷돉맻ꎬ죃컒쏇죏쪶쇋탅쾢뺭볃톧뗄솦ꎬ듸컒쏇볻쪶쇋훆뛈뺭볃톧ꆢ웳튵샭싛뗄뛀쳘훇믛ꎬ틽죫컒쏇살떽컥맢쪮즫뗄캢맛뺭볃톧뗮쳃ꆣ떼쪦쳆웫쏹풺뎤ꆢ췵짙욽뷌쫚ꆢ났뒺죙뷌쫚ꆢ샮뚬뷌쫚듸룸쇋컒쏇볆솿뺭볃톧뗄놴뿇ꎬ뷌믡쇋컒쏇뺭볃럖컶뗄릤뻟ꎬ쪹뗃컒쏇듓듋폐쇋ퟔ벺뗄쇔잹뿉틔ퟔ평짤쇔ퟔ벺룐탋좤뗄뺭볃톧쇔컯ꆣ떼쪦쳆웫쏹풺뎤ꆢ헅ퟚ돉뷌쫚듸룸쇋컒쏇쏀샶뗄뷰죚뺭볃톧놴뿇ꎬ냯컒쏇듲뾪쇋춨쿲뷰죚톧뗮쳃뗄듳쏅ꎬ뷢뾪쇋컒쏇탄훐뗄훮뛠삧믳뫍틉컊ꎬ틽떼컒쏇ퟟ쿲쇋ퟔ벺뗄뿆퇐횮슷ꆣ 127
뮹볇뗃탬뎤짺뷌쫚퓚뚬죕쟥뎿듒듒룏췹컷쪮뛾슥뗄짭펰ꎬ퓚컷쪮뛾슥뫚냥짏믓죷쿂뗄탐탐릫쪽ꎻ뮹볇뗃떼쪦쳆웫쏹뷌쫚뗄폯훘탄뎤ꆢ튻쮿늻릶ꎻ뮹볇뗃헅컀뚫뷌쫚퓚붲첨짏뗄샊샊킦짹ꆢ룟첸삫싛ꎻ뮹볇뗃췵짙욽뷌쫚뗄횸뗣붭즽ꆢ벤쟩량퇯ꎻ뮹볇뗃났뒺죙뷌쫚뗄죏헦쾸훂ꎬ샮뚬뷌쫚뗄컂컄뛻퇅ꎻ뮹볇뗃헅ퟚ돉뷌쫚뗄틳쟐웚엎뫍짮뿌뚴달ꆣ퓚헢샯ꎬ뛔헢킩캰듳뗄쇩믪릤돌쪦룸폫ퟮ돧룟뗄뺴틢ꎬퟮ헦횿뗄룐킻ꎡ 죽쓪뗄늩쪿짺퇄ꎬ죏쪶쇋튻좺닅뮪뫡틧ꆢ볡돖첽쯷ꆢ벤쟩늪랢뗄춬뒰뫃폑ꎬ듳볒튻웰쳖싛ꎬ튻웰붻쇷ꎬ튻웰럖쿭ꎻ퓚쏀샶뗄뮪릤풰ꎬ컒쏇뒴퓬쇋돤쪵뿬샖뗄늩쪿짺믮ꎬ뷡돉쇋탊탊쿠쾧뗄탖뗜쟩틪ꆣ훔탄룐킻춬뒰믆맚풿ꆢ돂ꆢ뫺탂쏱ꆢ쇵늨ꆢ탬뗄맘탄뫍횧돖ꎬ룐킻럢뢣폽ꆢ역랽욽퓚톧쾰짏룸폫뗄훮뛠횸뗣뫍냯훺ꎬ룐킻키쇹틚ꆢ퇮톩럥ꆢ믆캵ꆢ췵킡뮪뗄헦쟩폑틪ꎬ룐킻붯뎤쇷ꆢ몫퓆ꆢ헅쳬쿩ꆢ룟쓜뇳ꆢ헅쏴ꆢ튦풶ꆢ컢죍잿ꆢ맺볊ꆢ돂쫧ꆢ돂퇞쇡ꆢ룟퓆뫧뗈죋뗄죈쟩냯훺뫍헦돏벤샸ꆣ 듓킡톧ꆢ듳톧떽퇐뺿짺ꎬ싾싾뛾쪮쓪뗄쟳톧슷죶싺쇋쟗죋뗄닙샍뫍탁쯡ꆣ퓚컒벴붫뷡쫸헽맦뗄쟳톧짺퇄쪱ꎬ쿲컒쓇뎣쓪쒬쒬잣맒ꆢ뒿웓캰듳뗄뢸쟗ꆢ쒸쟗훂뺴ꎡ쯻쏇뗄훇믛뫍몹쮮쫇컒돉뎤뗄솸쪳ꎡ쿲훐맺쯹폐뗄뢸쒸훂뺴ꎡ쓣쏇뇘붫뗃떽쳬쿂죋뗄ퟰ뺴ꎡ쿲컒뗄탖뗜뷣쏃훂뺴ꎬ룐킻쓣쏇뗄컞쮽냯훺ꎡ룐킻뛾쪮쓪쟳톧짺퇄훐튻슷횧돖컒ꆢ맘탄컒뗄쪦뎤뫍엳폑ꎡ 닔냗뗄컄ퟖ컞램뇭듯컒뗄뻬뻬짮쟩뫍쓚탄뗄룐뚯ꆣ캴살ꎬ컒붫틔컒뗄헦탄ꆢ헦돏뫍헦쟩ꎬ럮쿗짧믡ꎬ횧돖쟗폑ꎬ뾪췘ퟔ벺ꎬ돉캪튻룶뛔짧믡헦헽폐폃뗄죋ꎡ 십캬쪤2007쓪5퓂폚뮪훐뿆벼듳톧컷쪮죽짡 128
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