뗚5뻭뗚3웚ꆡꆡꆡꆡ쓪9퓂ꆡꆡꆡ쓏뺩몽뿕몽쳬듳톧톧놨(짧믡뿆톧냦)ꆡJournalofNanjingUniversityofAeronautics&Astronautics(SocialSciences)ꆡꆡꆡꆡꆡ막욱뚨볛샭싛벰웤뛔컒맺막욱뚨볛쒣탍짨볆뗄웴쪾돂몣쏷1,ꆡ샮뚫2,ꆡ엋룕3(1,2.쓏뺩몽뿕몽쳬듳톧뺭볃폫맜샭톧풺,붭쯕쓏뺩210016;3.뚫쓏듳톧뺭볃맜샭톧풺,붭쯕쓏뺩210096)ꆡꆡ햪ꆡ튪:막욱뚨볛샭싛뺭샺쇋듓뒫춳뚨볛샭싛쿲쿖듺뚨볛샭싛뗄뇤ꆣ뇈뷏쒿잰막욱뚨볛훐룷훖늻춬뗄샭싛벰웤막욱뚨볛맽돌뿉횪,CAPM늻첫쫊뫏컒맺쒿잰뗄놾쫐뎡뗄쿖ힴ,뛸쿠뛔맀볛램ꆢ틲쯘쒣탍ꆢAPT룼럻뫏컒맺쪵볊쟩뿶ꆣ틲듋,퓚톡퓱뚨볛믺훆쪱,볈튪뾼싇GNPꆢ춨믵엲헍뗈릫죏럧쿕튪쯘,튲펦뾼싇컒맺헾닟ꆢ훆뛈뗈랽쏦뗄럧쿕틲쯘ꆣꆡꆡ맘볼듊:훐맺막욱쫐뎡;막욱뚨볛샭싛;뚨볛쒣탍ꆡꆡ훐춼럖샠뫅:ꆡꆡ컄쿗뇪쪶싫:Aꆡꆡ컄헂뇠뫅:1671-2129(2003)-0035-04뒡,늢뻶뚨폚쓚퓚볛횵,떱막욱쫐볛룟폚(믲뗍폚)웤튻ꆢ막욱뚨볛샭싛뗄랢햹쓚퓚볛횵쪱,뻍돶쿖싴돶(믲싲뷸)믺믡,막욱볛룱ퟜ쫇캧죆웤쓚퓚볛횵뛸짏쿂늨뚯뗄ꆣ틲뛸컈만믹뒡샭ꆡꆡ막욱뚨볛샭싛쫇놾쫐뎡샭싛뗄뫋탄쓚죝ꆣ쯼싛튲돆캪쓚퓚볛횵샭싛ꆣퟷ캪튻훖늻좷뚨탔쳵볾쿂막욱볛룱뻶뚨벰막욱쫐뎡컈만믹뒡샭싛뗄뇇ퟦ떱췆십뿋쮼ꆣ십뿋쮼냑막뻹뫢뗄샭싛,훷튪퇐뺿뇘튪놨돪싊훐냼몬뗄럧쿕틲욱볛룱뗄뻶뚨틲쯘맩쓉캪풤웚쫕틦뫍쫐뎡샻쾢싊ꆣ쯘벰웤뮥뚯맘쾵ꆣ평폚웤쿔훸뗄쿖쪵탔뫍맣랺쪹폃쾣뛻램뗇퓚웤ꆶ뷰죚놾싛ꆷ튻쫩훐볌돐십뿋쮼뗄맛뗄뺭퇩퇩횤랽램,뫕좻돉캪뷼냫룶쫀볍틔살뷰죚뺭뗣,뛔룼볓돉쫬뗄놾훷틥뺭볃쿂뗄뷰죚뺭볃쿖쿳볃톧훐ퟮ캪믮풾뗄튻룶럖횧ꆣ룅삨뛸퇔,막욱뚨볛샭ퟷ쇋샭싛럖컶,횸돶막욱뗄탩쓢놾볛횵뿉폃풤웚싛뺭샺쇋듓뒫춳뚨볛샭싛쿲쿖듺뚨볛샭싛뗄뇤ꆣ쎿막막쾢쫕죫돽틔쫐뎡샻싊뗃돶ꆣ룱샗뛲쒷뫍뛠뗂뒫춳뗄뚨볛샭싛ퟅ훘폚볛횵랢쿖릦쓜,듓웳튵뷇뛈퓚웤뫏훸뗄ꆶ횤좯럖컶ꆷ튻쫩훐,뛔컈만믹뒡샭싛뷸죫쫖뾼달막욱볛룱뻶뚨틲쯘;쿖듺뚨볛샭싛퓲듓춶탐쇋좫쏦닻쫶ꆣ쯻쏇죏캪,막욱뗄쓚퓚볛횵뻶뚨폚릫헟뗄뷇뛈돶랢,룼뛠뗘뾼싇쇋춶뗄쿖쪵쟩뿶:춶쮾캴살펯샻쓜솦,막욱볛룱믡평폚룷훖럇샭탔틲쯘헟췹췹늻쫇춶폚튻훖막욱,뛸쫇춶폚뛠훖막뗄펰쿬뛸욫샫웤쓚퓚볛횵ꆣ떫쫇쯦ퟅ쪱볤뗄췆틆,막욱뛸탎돉뗄춶ퟩ뫏ꆣ욱볛룱믡믘맩떽웤쓚퓚볛횵짏,쯹틔횤좯럖컶볒튪1.뒫춳막욱뚨볛샭싛ퟶ뗄릤ퟷ뻍쫇ퟐ쾸뗘퇐뺿폐맘랢탐죋뗄닆컱쫽뻝벰뒫춳막욱뚨볛샭싛쪵볊짏훷튪횸컈만믹뒡샭웤쯻쇏,얬솦좥랢쿖룃막욱뗄쓚퓚볛횵,늢틔듋ퟷ싛,웤믹놾쮼쿫쫇,막욱뻟폐웤쓚퓚볛횵,쯼쫇막욱캪에뛏막욱뚨볛뗄뫏샭탔벰웤춶뻶닟뗄훘튪닎뾼볛룱뗄컈만믹뗣ꆣ막욱볛룱틔막욱뗄쓚퓚볛횵캪믹횸뇪[1](P23-28)ꆣꆡꆡ믹뷰쿮쒿:쓏뺩몽뿕몽쳬듳톧룟킣뿆퇐믹뷰훺뿎쳢(S0296-RW)ꆣꆡꆡ쫕룥죕웚:2003-07-15ꆡꆡퟷ헟볲뷩:돂몣쏷(1974-),쓐,붭컷욼쿧죋,쓏뺩몽뿕몽쳬듳톧뺭볃폫맜샭톧풺늩쪿짺,훷튪퇐뺿랽쿲캪뷰죚횤좯폫쿖듺웳튵맜샭ꆣ
36쓏뺩몽뿕몽쳬듳톧톧놨(짧믡뿆톧냦)뗚5뻭뛔쓚퓚볛횵뷸탐맀볆,쒿잰쇷탐뗄ꆢ뷏폐펰쿬뗄싊(PS)ꆢ볛룱ö쿖뷰쇷뇈싊(PCF)ꆢ뺻닺틧볛놶싊맀볛랽램훷튪폐틔쿂죽훖:(MB)뗈ꆣ(1)쿖뷰쇷쳹쿖쒣탍(3)뺭볃뢽볓횵램쿖뷰쇷쳹쿖(DiscountedCashFlow,DCF)쒣탍뺭볃뢽볓횵(EconomicValue-Added,EVA)쫇믹폚풤웚캴살쿖뷰쇷뫍쳹쿖싊뗄튻훖맀볛램ꆣ췾뗄믹놾샭쓮쫇:놾믱뗃뗄쫕틦훁짙튪쓜늹뎥춶솮쒷쮹퓚웤ꆶ춶볛횵톧쮵ꆷ튻쫩훐쫗쿈쳡돶쇋웕춨헟돐떣뗄럧쿕,튲뻍쫇쮵,막뚫뇘탫좡훁짙뗈폚막뗄튻냣맀볛랽램[2](P37-39)ꆣ웤믹놾쮼쿫쫇막욱쫇놾쫐뎡짏샠쯆럧쿕춶믘놨뗄쫕틦싊ꆣ햾퓚막뚫뗄튻훖쫕틦욾횤,웤퓚캴살쯹닺짺뗄룷웚쫕틦뗄쿖횵뷇뛈,횻폐떱튻룶릫쮾좡쇋뎬맽웤놾돉놾뗄샻횮뫍뻍쫇막욱뗄볛횵,막욱볛룱펦룃룹뻝웤볛횵살죳쪱,닅쓜캪릫쮾뗄막뚫듸살볛횵,릫쮾뗄볛횵닅믡좷뚨ꆣ룹뻝쯹닉폃뗄쿖뷰쇷늻춬,쿖뷰쇷쳹쿖쒣탍폖퓶뎤ꆣ뿉럖캪막샻쳹쿖쒣탍뫍ퟔ평쿖뷰쇷쳹쿖쒣탍ꆣEVA쪵훊짏쫇튻룶뺭볃샻죳,쯼폫뒫춳믡볆샻막샻쳹쿖쒣탍ꆡ춨뎣춶헟릺싲막욱웚췻믱뗃죳늻춬,쯼뮹뇘탫복좥쯹춶죫뗄놾뗄럑폃(냼삨햮솽훖쿖뷰쇷:돖폐웚볤뗄막샻뫍돖폐웚쒩뗄풤웚막컱놾돉놾뫍막좨놾돉놾뗄믺믡돉놾)ꆣ튲뻍쫇욱볛룱쮵,EVA쫇뫢솿릫쮾쮰뫳샻죳(NetOperating,볙뚨V캪막욱뗄쓚퓚볛횵,Dt캪쎿막막샻,R캪쳹쿖싊,n캪돖폐막욱뗄쓪쫽,Pn캪뗚n쓪돶쫛ProfitAdjustedforTax,볲돆NOPAT)뎬맽웤놾막욱쪱뗄볛룱,퓲막샻쳹쿖쒣탍캪돉놾(CapitalCharge,볲돆WACC)뗄늿럖,벴EVA=NOPAT-WACCV=ꇆnDtPnn(1+R)t=1(1+Rt+)릫쮾뗄쫐뎡볛횵평솽룶늿럖ퟩ돉:튻쫇떱잰뗄ꆡꆡ쿔좻,볙뚨막욱컞쿞웚돖폐,벴쪱,퓲짏쪽뿉퇝펪퓋볛횵,헢쫇뛔릫쮾떱잰펪퓋튵컱뗄쫐뎡볛횵뗄뇤캪룼뗤탍뗄막샻쳹쿖쒣탍:튻훖뛈솿;뛾쫇릫쮾캴살퓶뎤볛횵,폃폚뛈솿릫쮾웚D췻퓶뎤볛횵뗄쳹쿖횵,쫇릫쮾붫살쓜릻뗃떽뗄쎿쓪tV=ꇆꇘt=1(1+Rt)튻쾵쇐EVA뗄헛쿖횵,벴릫쮾뗄쫐뎡볛횵=막좨ꆡꆡ듋췢,쯦ퟅ뫍뢳횵늻춬,막샻쳹쿖쒣탍폖뿉쾸럖놾ퟜ뛮+풤웚뺭볃뢽볓횵뗄쿖횵ꆣ횪뗀쇋릫쮾뗄캪쇣퓶뎤쒣탍ꆢ컈뚨퓶뎤쒣탍ꆢ뢴뫏퓶뎤쒣탍뗈ꆣ쫐뎡볛횵뫳,퓙붫웤돽틔ퟜ막놾퓲뿉볆쯣돶막욱뗄ퟔ평쿖뷰쇷쳹쿖쒣탍ꆡꆡퟔ평쿖뷰쇷(Free쓚퓚볛횵ꆣCashFlowtoEquity,FCFE)쳹쿖쒣탍뿉틔뇭쫶캪:2.쿖듺막욱뚨볛샭싛CFEtPn=ꇆnF쿖듺막욱뚨볛샭싛돉캪튻룶쏅퇐뺿쇬폲좷솢Vt=1(1+WACCt+)(1+WACCn)쿂살쫇탭뛠뺭볃톧볒릲춬얬솦뗄뷡맻,퓧웚뗄릤ퟷꆡꆡ웤훐,FCFE캪t쪱뿌풤웚쎿막ퟔ평쿖뷰쇷,쯼훷튪쫇뛔늻좷뚨쳵볾쿂솿뮯쒣탍뗄붨솢쳡돶튻킩릹쫇횸쮰뫳뺻샻죳뿛돽쇋폃폚웳튵랢햹ힳ듳뗄뺻펪퓋쿫ꆣ샽죧,럑톩폚1932쓪쫗듎쳡돶쇋캴살닺쫕틦뷰퓶솿뫍뺻만뚨닺퓶솿(만뚨닺춶뿛돽헛뗄늻좷뚨쳵볾쿂뿉틔폃룅싊럖늼살쏨쫶뗄맛뗣ꆣ듋뻉)뫳,뿉틔럖엤룸막뚫뗄늿럖,벴ퟔ평쿖뷰쇷뫳,십쿄뿋ꆢ쾣뿋쮹뗈톧헟뺭맽튻쾵쇐뗄퇐뺿,죏캪FCFE=쮰뫳뺻샻죳EPS+헛뻉DEP-펪퓋뷰뗄춶헟뗄춶욫뫃뿉틔뾴ퟷ쫇뛔춶폚캴살쫕틦뗄퓶솿DI-만뚨닺춶I;WACC캪놾볓좨욽뻹룅싊럖늼뗄욫뫃,뿉틔폃뻹랽닮뿕볤뗄컞닮틬쟺쿟돉놾,쯼쫇평늻춬죚쟾뗀뗄돉놾틀웤쫐뎡볛횵볓살뇭쪾,늢죏캪ꆰ듳쫽뚨싉ꆱ퓚냼몬뛠훖럧쿕닺춶좨욽뻹뫳뗃떽;웤쯼춬짏ꆣ훐붫랢믓쒳훖ퟷ폃,듋췢,뮹쳡돶쇋럧쿕틧볛(2)쿠뛔맀볛램(RiskPremium)헢튻훘튪룅쓮ꆣ쿠뛔맀볛램쫇튻훖붫쒿뇪릫쮾폫웤뻟폐쿠춬믲(1)쿖듺횤좯ퟩ뫏샭싛뷼쯆탐튵뫍닆컱쳘헷뗄짏쫐릫쮾뇈뷏,춨맽닎뾼뿉퓚듋믹뒡짏,십뿂캬듄폚1952쓪랢뇭쇋쳢캪뇈릫쮾뗄쒳튻뇈싊살뛔쒿뇪릫쮾막욱볛횵뷸탐맀횵ꆶ횤좯ퟩ뫏뗄톡퓱ꆷ뗄싛컄,쯻룹뻝춳볆톧짏뗄뻹횵ꆢ뗄랽램,틲뛸튲돆캪뿉뇈릫쮾램,벴랽닮뫍킭랽닮뗈횸뇪,붫떥룶막욱뫍막욱ퟩ뫏뗄쫕막욱볛룱=뿉뇈릫쮾뗄뇈싊ꇁ쒿뇪릫쮾뗄뺭펪틦뫍럧쿕뷸탐솿뮯,붫뢴퓓뗄춶뻶닟컊쳢볲뮯캪돉맻쫕틦-럧쿕(웚췻횵-랽닮)뗄뛾캬컊쳢,룸돶쇋춶뎣폃뗄뇈싊훷튪폐:볛룱ö쫕틦뇈싊(벴쫐펯싊헟죧뫎춨맽붨솢폐킧뇟뷧,늢룹뻝ퟔ짭럧쿕돐쫜PE)ꆢ볛룱ö헋쏦볛횵뇈싊(PBV)ꆢ볛룱ö쿺쫛쫕죫뇈쓜솦톡퓱ퟮ폅춶ퟩ뫏,틔쪵쿖춶킧폃ퟮ듳뮯뗄
뗚3웚ꆡꆡꆡꆡꆡꆡꆡꆡ돂몣쏷ꆡ샮뚫ꆡ엋룕:막욱뚨볛샭싛벰웤뛔컒맺막욱뚨볛쒣탍짨볆뗄웴쪾ꆡꆡꆡꆡꆡꆡꆡꆡ3ꆡ7ꆡ튻헻쳗샭싛,벴쿖듺횤좯ퟩ뫏샭싛(Modern캪쇣쪱뗄쫕틦싊;bi뇭쪾횤좯뛔틲쯘뗄쇩쏴뛈;F뇭PortfolioTheory,MPT[3])ꆣ쪾틲쯘뗄쫽솿횸뇪;ei캪쯦믺컳닮쿮ꆣ(2)놾닺뚨볛쒣탍폫듋춬쪱,튻킩톧헟톡퓱쇋럅웺CAPM볙짨,틔쿄웕ꆢ쇖쳘쓉뫍쒪탁캪듺뇭뗄튻엺톧헟,퓚십틔탂볙짨쳵볾캪돶랢뗣훘탂붨솢쒣탍ꆣ웤훐ퟮ훘튪뿂캬듄릤ퟷ뗄믹뒡짏,뾪쪼냑힢틢솦듓뛔떥룶춶뗄돉맻떱췆싞쮹[5]뗄ꆰ쳗샻뚨볛샭싛ꆱ(Arbitrage헟캢맛훷쳥퇐뺿떽뛔헻룶쫐뎡뗄퇐뺿짏,뾼싇죴PricingTheory,APT)ꆣ룃샭싛룹뻝퓚췪좫뺺헹뗄쯹폐ퟱ톭십뿂캬듄뚨틥쿂뗄춶헟뗄릲춬탐캪붫떼쫐뎡훐늻듦퓚쳗샻믺믡뗄믹놾볙짨,횱뷓붫닺쫕훂퓵퇹뗄쫐뎡ힴ첬ꆣ퓚룷ퟔ뛀솢ힴ첬쿂,쯻쏇쿈뫳뗃틦뚨틥돉튻룶싺ퟣ틔뛠틲쯘(죧릤튵ퟜ횵ꆢGNP뗈돶쇋폐맘놾쫐뎡뻹뫢뗄쿠춬뷡싛,벴훸쏻뗄ꆰ놾ퟜ쳥뺭볃믮뚯횸뇪ꆢ춨믵엲헍싊벰샻싊뗈횸뇪)ퟷ뷢닺뚨볛쒣탍ꆱ(CapitalAssetPricingModel,쫍뇤솿뗄쿟탔쒣탍ꆣ헢퇹APT뗄릤ퟷ뻍쫇듓훚뛠CAPM),듓뛸뾪뒴쇋쿖듺닺뚨볛샭싛뗄쿈뫓ꆣ폃뗄뿉쓜펰쿬틲쯘훐헒돶튻ퟩ틲쯘뗄쿟탔ퟩ뫏살쓢뫏E(Ri)뇭쪾막욱(ퟩ뫏)i뗄풤웚쫕틦싊,E(Rm)뇭쪾뚨볛쒣탍ꆣ뺡맜APT뾴웰살벫웤샠쯆튻훖삩햹뗄쫐뎡ퟩ뫏뗄풤웚쫕틦싊,Rf뇭쪾컞럧쿕닺쫕틦CAPM,떫쯼쫇틔튻훖벫웤늻춬뗄랽쪽췆떼돶살뗄ꆣ싊,i뇭쪾막욱(ퟩ뫏)쫕틦싊뇤뚯뛔쫐뎡ퟩ뫏뗄풤웚APT쒣탍쪵볊짏볲뮯쇋볙짨쳵볾,틲뛸뻟폐룼쿖쪵쫕틦뇤뚯뗄쏴룐탔,CAPM뿉틔뇭듯캪:뗄틢틥ꆣ쯹틔,ퟔ웤퓚70쓪듺닺짺틔살,뇣톸쯙뗃떽E4](Ri)=Rf+(i[E(Rm)-R[f]죋쏇웕뇩훘쫓뫍맣랺펦폃ꆣCAPM뗄쳡돶,튻룄틔췹횤좯샭싛뗄맦랶탔퇐3.막욱뚨볛샭싛뗄탂랢햹뺿랽램,볓짏떱쪱뺭볃볆솿톧뗄톸쯙랢햹뫍죕쟷럡짏쫶MPTꆢCAPM벰웤췘햹ꆢ틲쯘쒣탍뫍APT뢻뗄쫽뻝풴,CAPM뫜뿬뇣틽웰뺭볃톧볒쏇뗄맣뚼쫇붨솢퓚쿟탔럖컶랶쪽ꆢ폐킧쫐뎡볙쮵뫍뻹뫢맛랺탋좤ꆣ떫CAPM퇏룱뗄볙뚨쳵볾좴룸뺭퇩퇩횤퓬뗣뗄믹뒡짏,폈웤쫇쿟탔쒣탍뗄럖컶랶쪽틢캶ퟅ돉쇋뫜듳헏낭,쪹뗃톧헟쏇늻뗃늻훂솦폚뛔볙뚨쳵닺쫕틦싊쫇돊쿖헽첬럖늼믲뷼쯆헽첬럖늼,늢쟒춶볾뷸탐탞룄,틔쪹웤룼럻뫏쪵볊ꆣ헢쿮릤ퟷ훷튪벯훐헟틔쿟탔뗄랽쪽뛔쫐뎡탅쾢ퟶ돶랴펳ꆣ좻뛸쿖쪵퓚70쓪듺벰웤잰뫳벸쓪ꆣ웤훐듺뇭죋컯폐싵튮쮹ꆢ훐놾쫐뎡짏풽살풽뛠뗄벣쿳뇭쏷,막욱볛룱늢늻쒬뛙벰낣뛻뛙뗈ꆣ좻뛸,럅쯉CAPM볙짨쯹닺짺뗄췪좫내헕짏쫶뺭뗤샭싛쯹쏨쫶뗄쓇퇹뇭쿖ꆣ폈웤쫇헦헽폐볛횵뗄퇐뺿돉맻늢늻뛠,풭틲퓚폚ꆰ떱럅쯉웤뺭샺ꆰ뫚즫탇웚튻ꆱ횮뫳,튻킩뷰죚뺭볃톧볒뾪쪼뮳훐뗄튻룶쳵볾쪱,죔뿉틔뗃떽튻룶폫CAPM쿠쯆뗄틉막욱쫐뎡퓋뚯믺훆놾짭뗄늻컈뚨탔,죏쪶떽뒫춳뚨볛쒣탍,떫춬쪱럅쯉솽룶쳵볾쪱,뻍컞램뗃돶튻룶좷뚨뗄뻹뫢뚨볛쒣탍ꆣꆱ뗄쿟탔쒣탍뫜쓑ힼ좷풤닢막볛뇤뚯,뿉쓜뮹폐탭뛠[5]캴횪틲쯘펰쿬ퟅ막볛뗄퓋뚯,폚쫇닉폃쇋헻쳥뮯뗄(3)틲쯘쒣탍뫍쳗샻뚨볛샭싛믬럖컶쮼쿫살샭뷢막쫐뗄럇뻹뫢ힴ첬,쯻쏇?웺CAPM쯤좻믦돶쇋샭탔춶헟퓚뻹뫢쫐뎡ힴ첬쿂뗄횤좯톡퓱쒣쪽,떫쯼쎻폐뷸튻늽뷒쪾펰쿬뻹쇋럧쿕폫쫕틦돊쿟탔맘쾵뗄볙짨,닉폃럇쿟탔뗄뚯뫢뗄쓚퓚틲쯘쫇쪲쎴첬뚨볛쒣탍,죧EGARCHꆢAGARCH뗈,짵훁뎢쫔,헢킩틲쯘쫇퓵퇹펰쿬횤좯볛룱믲쫕틦뗄ꆣ뛸틲쯘쒣탍헽쫇퓚솽훖횤좯뗄볛룱믲럅웺럧쿕폫쫕틦듦퓚헽쿠맘맘쾵뗄믹놾볙짨잰쳡,쫕틦뻟폐쿠맘탔뗄볙짨잰쳡쿂,쫔춼헒돶늢럖컶뛔쳡돶쇋뻟폐뫚뫐ퟓ탔훊뗄ꆰ뚨볛뫋ꆱ(PriceKernel)횤좯볛룱믲쫕틦펰쿬뷏듳뗄뺭볃틲쯘,늢뷏ힼ좷뗘룅쓮ꆣ듋췢,퓚뒫춳뗄CAPMꆢAPT뗈쯹틀삵뗄훷맛솿뮯헢킩틲쯘뛔횤좯볛룱믲쫕틦뗄쏴룐돌뛈,쪹횤럖컶ꆢ틲ퟓ럖컶뗈틲쯘쳡좡벼쫵랽램좱랦폐킧뷢쫍좯볛룱믲쫕틦폐룼뫏샭뗄뷢쫍뫍룼볲뇣뗄맀쯣랽솦뗄쟩뿶쿂,튻킩톧헟쳡돶쇋냫ퟔ믘맩랽램뫍냫럇닎쫽맀볆랽램뗈탂쫖뛎[7]램ꆣ틲쯘쒣탍쫇평쿄웕폚1963쓪ퟮ퓧쳡돶,평폚쯼ꆣ췹췹틔횸쫽탎쪽돶쿖,쯹틔폖돆캪횸쫽쒣탍ꆣ틔쒿잰맣캪쇷탐뗄쿄웕떥틲쯘쒣탍[6](P186-189)캪샽,룃쒣탍ꆡꆡ뛾ꆢ막욱뚨볛샭싛뛔컒맺막욱뚨볛죏캪룷훖횤좯쫕틦뗄뇤뚯뚼뻶뚨폚쒳튻릲춬틲쯘,쒣탍짨볆쮼쿫뫍랽램뗄뷨본벰웴쪾룃쒣탍뿉뇭쪾캪:뇈뷏짏쫶쒿잰막욱뚨볛샭싛훐룷훖늻춬뗄샭싛Yi=ai+biF+ei벰웤막욱뚨볛맽돌,듓뚨볛믺훆뷇뛈럖컶,듳훂뿉럖ꆡꆡ웤훐:Yi뇭쪾횤좯i뗄쫕틦싊;ai뇭쪾웤쯻틲쯘캪쓚퓚틲쯘볛룱믺훆뫍뻹뫢볛룱믺훆솽훖ꆣ뒫춳막
38쓏뺩몽뿕몽쳬듳톧톧놨(짧믡뿆톧냦)뗚5뻭욱뚨볛샭싛쫇춨맽톰헒펰쿬막욱쓚퓚볛횵뗄틲쯘,웤췆쿲쪵폃뷗뛎,떫춬퇹룃쒣탍뗄볙짨죔쿔퇏룱,틲뷨훺쳹쿖뫍샠뇈뗈랽램뛔막욱볛룱뷸탐맀볛;틲쯘뛸펰쿬웤쪵볊킧맻ꆣ쇭췢,톡퓱쓄킩뺭볃뇤솿ퟷ캪쒣쒣탍ꆢAPT퓲쫇뷟솦듓펰쿬횤좯뗄룷훖틲쯘훐헒풭탍훐뗄틲쯘쒿잰짐캴뚨싛ꆣ틲,붨솢쒣탍,퓙춨맽쒣탍풤닢횤좯볛룱믲쫕틦,좻듓틔짏뿉틔뾴돶,룷훖막욱뚨볛샭싛놾짭뚼듦뛸뷸탐뇈뷏럖컶,뷸뛸뻶뚨춶탐캪;뛸CAPM뗈퓚튻뚨뗄좱쿝뫍늻ퟣ,좻뛸,쿖뷰쇷쳹쿖쒣탍ꆢ틲쯘퓲쫇룹뻝쿖듺횤좯ퟩ뫏샭싛,믲퓋폃횤좯ퟩ뫏쫖뛎,쒣탍벰APT죔좻쫇쒿잰맺볊짏(폈웤쫇퓚쫐뎡뮯뇈뷏횤좯볛룱,튻떩랢쿖쫕틦뫍럧쿕늻뛔돆뗄볛룱,돌뛈뷏룟뗄맺볒)뛔막욱뷸탐뚨볛뗄훷튪샭싛ꆣ폫랢뻍쿠펦뷸탐싲싴,횱떽룷훖횤좯뗄볛룱듯떽뻹뫢ힴ듯맺볒뫍뗘쟸쿠뇈,컒맺쒿잰뗄놾쫐뎡뮹뒦폚돉첬캪횹ꆣ뎤뷗뛎,쫐뎡퓋ퟷ늻맦랶,춶헟춶믺웸럕얨쇒,폈좻뛸,쯤좻듓샭싛짏붲,뒫춳막욱뚨볛샭싛훐뗄웤쫇퓚컒맺막쫐훐쾵춳럧쿕뿉쓜늢늻쫇펰쿬막욱볛쿖뷰쇷쳹쿖쒣탍맀쯣막욱쓚퓚볛횵쫇쿠떱ힼ좷뗄,룱뗄훷튪럧쿕,뮹듦퓚탭뛠웤쯻뗄늻뿉럖즢럧쿕,죧떫쫇튪ힼ좷풤닢릫쮾(폈웤쫇뛔튻늿럖탂붨늻뻃뗄릫쮾맦쒣ꆢ쫐펯싊뗈릫쮾쳘헷틲쯘ꆣ헢늻뷶쪹뗃횤좯웳튵)캴살뗄쎿막막샻ꆢퟔ평쿖뷰쇷벰쳹쿖싊벸뫵쫇ퟩ뫏뗄폐킧탔붵뗍,뛸쟒퓬돉쫐뎡뗄폐킧탔잷좱,헢늻첫뿉쓜뗄,뛸쟒헢튻쒣탍쫊폃랶캧폐쿞,뛔늻횧뢶킩뚼폫CAPM쯹틾몬뗄탭뛠퇏룱뗄볙짨쳵볾늻쿠막샻믲헟랢짺뿷쯰뗄웳튵틔벰룟뿆벼웳튵,룃쒣탍럻,틲듋,컒쏇죏캪CAPM뿉쓜늻첫쫊뫏컒맺쒿잰컞램쪹폃ꆣ쿠뛔맀볛램(폈웤쫇웤훐뗄쫐펯싊램)횻뗄놾쫐뎡뗄쿖ힴ,뛸쿠뛔맀볛램ꆢ틲쯘쒣탍ꆢAPT뾼싇뺲첬뫍쪱뗣짏뗄쟩뿶,뫜짙맋벰막욱뗄볛횵뇤쯆뫵룼럻뫏컒맺쪵볊쟩뿶ꆣ틲듋,퓚톡퓱뚨볛믺훆뚯,좱랦쿖뷰쇷룅쓮,뛔뿷쯰릫쮾뫍IT뗈탐튵뫜쓑쪱,펦닉좡쓚퓚틲쯘볛룱믺훆,벴돽튪뾼싇GNPꆢ춨퓋폃ꆣ춬쪱,헢훖랽램쪵볊짏볙뚨룃탐튵훐뗄웤쯻릫믵엲헍뗈릫죏럧쿕튪쯘췢,뮹펦뾼싇컒맺헾닟ꆢ훆뛈쮾폫쒿뇪릫쮾뻟폐뿉뇈탔,쟒쫐뎡뛔헢킩릫쮾막욱뗈랽쏦뗄럧쿕틲쯘ꆣ떱좻,퓚뻟쳥퓋폃헢킩쒣탍뫍랽뗄뚨볛쫇헽좷뗄ꆣ뺭볃뢽볓횵램볆쯣맽돌뇈뷏뢴퓓,램쪱,늻뷶튪뛔헢킩쒣탍놾짭뷸탐쿠펦뗄탞헽ꆢ룄쟒춨뎣횻쓜폃폚폐쿞랶캧뗄웳튵,뛸늻쫊폃폚뷰죚뷸,짵훁뎢쫔붨솢럇쿟탔뚯첬쒣탍,뛸쟒뿉틔닉좡훮믺릹ꆢ훜웚탔웳튵ꆢ탂돉솢릫쮾뗈웳튵ꆣퟜ뗄살뾴,평죧냫ퟔ믘맩랽램ꆢ냫럇닎쫽맀볆랽램ꆢ죋릤짱뺭췸싧폚뒫춳막욱뚨볛샭싛횻훘쫓막욱뗄쓚퓚볛횵뛔막볛뗈탂쫖뛎뛔막욱뷸탐뚨볛ꆣ퓚듋믹뒡짏,뮹뇘탫돤럖뗄뻶뚨뗄ퟷ폃,뛸뫶쫓쇋웤쯼틲쯘뛔막볛뗄펰쿬,폈뾼싇릫쮾횮볤뗄럧쿕탔ꆢ돉뎤탔벰막샻횧뢶뗈랽쏦웤쫇룃쒣탍쎻폐돤럖뾼싇럧쿕틲쯘,틲듋뻟폐튻뚨뗄닮틬,늢룹뻝쪵볊쟩뿶뛔믱뗃뗄맀볆횵뷸탐쫊떱뗄욬쏦탔ꆣ뛸쟒튪ힼ좷풤닢쳹쿖싊뫍릫쮾캴살뗄펯뗄뗷헻벰탞헽ꆣ샻쮮욽튲쫇쿠떱삧쓑뗄,쳘뇰쫇뛔폚뻸듳뛠쫽훐킡춶헟살쮵룼쫇죧듋ꆣ듋췢,뮹듦퓚쫊폃랶캧쿁햭ꆢ닎뾼컄쿗:룶탔뾼싇늻ퟣ뗈좱뗣ꆣ[1],[M].NewYork:McGraw2쿖듺막욱뚨볛샭싛훐뗄MPT놾짭틾몬뗄쒳킩HillPublisher,1962.볙짨잰쳡폫쿖쪵듦퓚ퟅ튻뚨뗄욫닮,뛸쟒횤좯풤웚[2][M].Washington:HarvardUniversityPress,1938.쫕틦ꆢ랽닮믲뇪ힼ닮,틔벰룷훖횤좯볤뗄킭랽닮뗈볆[3][J].JournalofFinance,1952,쯣쿠떱뢴퓓뫍랱쯶,늻뷶쪹튻냣춶헟쓑틔췪돉,뻍(7).솬쏅춶믺릹튲췻뛸좴늽ꆣ틲듋,퇏룱살쮵,십뿂[4]:ATheoryofMarket캬듄뗄MPT횻쫇튻룶맘폚춶헟ퟮ폅닺톡퓱탐EquilibriumunderConditionofRisk[J].JournalofFinance,캪뗄뒿샭싛쒣탍,늻쓜횱뷓폃폚횸떼춶벰막욱뚨1964,(19).[5][J].볛ꆣ뛸쒿잰틑놻춶헟맣랺퓋폃뗄CAPM뗄볙뚨탔JournalofEconomicsTheory,1976,(13).퓲룼잿,죧쯼볙짨쯹폐춶헟뚼럻뫏샭탔뺭볃죋볙[6]췾솮.쿄웕,룪뗇.퇇솦즽듳,뗈.춶톧[M].놱뺩:훐맺죋쏱돶냦뚨짧,1998.;쫐뎡쫇췪놸뗄ꆢ폐킧뗄;쯹폐춶헟뛔횤좯쫕틦싊뻟폐춬훊웚췻뗈ꆣ쿔좻[7]퇮듳폂.뷰죚뺭볃톧막욱뚨볛샭싛ퟮ탂뷸햹[J].뺭볃톧뚯첬,,헢폫쿖쪵듦퓚뷏듳뗄욫닮ꆣ틲쯘쒣탍뫍APT쯤좻볲뮯쇋MPT,늢뷸튻늽붫2001,(4).(쿂뗚67튳)
뗚3웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ쇵뮪:뮰뻧ꆶ샗폪ꆷ훐뗄퇔폯탐캪첽컶ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ6ꆡ7ꆡHarcourtBraceJovanaichInc,,1981.[3]Wales,[M].London:Longman,[5]StephenC,[M].,2001.[4]Fowler,[M].Bloomington:[6]뫎ퟔ좻.폯폃톧룅싛[M].뎤즳:뫾쓏뷌폽돶냦짧,ꆰThunderstormꆱLIUHua(SchoolofForeignLanguages,ShanghaiUniversity,Shanghai200436)Abstract:Focusingonhumancommunicationandillocutionaryact,ꆰThunderstormꆱintheperspectiveoftheSpeechActTheoryintoLeiYu,themasterpieceofmodernChinesedrama,willhelpusdeepenourunderstandingofthepoweroflanguage,graspthefeaturesofcharacters,:speechacttheory;macro-and-microperspectives;ꆰThunderstormꆱ(짏뷓뗚38튳)TheInspirationsofSomeStockPriceSettlingTheoriestotheDesigningofChina’sStockPriceSettlingPatternsCHENHai2ming(SchoolofEconomicsandManagement,NUAA,Nanjing,Jiangsu210016)Abstract:,wecometotheconclusionthatCAPMdonotsuitthecurrentsituationofChina’sstockmarket,whereastherelativepricesettlingmethod,factormodelingmethod,andAPTmethodareinaccordancewithChina’,inselectingpricesettlingmechanism,weshouldtakeintoconsiderationGNP,:China’sstockmarket;stocksettlingtheory;price-settingmodels
