궷쁉뫞뉺뻇돸 닄꒭ꣷ 닄ꑀ듁 2003꙾3ꓫ Journal of Risk Management March 2003 -108 *뭻쇊앶쏒ꖫ돵꒧륌ꯗ삳뉻뙈놴끑 Overreactions in the Warrants Market *****뎢ꓥꦾꅝWen-Chung Guoꅞ 덜뚮꺦ꅝYaen Sheuꅞ 멋굮 ꖻꓥꚮꙢ샋뗸냪뭻쇊앶쏒ꖫ돵걏ꝟ꙳Ꙣ믹껦신꒧륌ꯗ삳뉻뙈ꅃ결ꑆ냏륪볐ꪺ쏒꣩꒧륌ꯗ삳껄ꩇꅁꝞ떥싇ꗑ쇗쁉룪닕Ꙙꕨ낣앶쏒볐ꪺ쏒꣩믹껦엜냊꒧뱶암ꅁꙁ꓀ꝏ뇄ꗎ쒹깡-뿩깡룪떦늤ꥍ엜늧볆ꓱ꣒ꩫ샋ꥷ뭻쇊앶쏒륌ꯗ삳뉻뙈ꅃ맪쏒떲ꩇꞡ엣ꗜ냪꒧뭻쇊앶쏒ꖫ돵꒣꣣륌ꯗ삳뉻뙈ꅁꕂꚹ떲뷗앶쏒꧊뷨듁뚡떥쓝꧊ꑕ꒴꣣ꞹ뻣꧊ꅁ럭ꛒ뱻앶쏒볐ꪺ쏒꣩꒧늣띾ꝏꅂ궷쁉쓝꧊ꅂ앶쏒믹꒺ꕾ땻ꯗꕈ걏ꝟ꧳뿄궷볉듁뚡떥놡ꩰꑕꅁꞡꓤ꯹Ꙑ볋떲ꩇꅁ엣ꗜ룪ꑈ때ꩫꗑ볐ꪺ쏒꣩엜냊ꕾ꒧앶쏒믹껦ꩩ냊샲녯뙗썂돸륓ꅃ 쏶쇤뗼ꅇ륌ꯗ삳ꅂ쒹깡-뿩깡ꅂ엜늧볆ꓱ꣒샋ꥷꅂ뭻쇊앶쏒ꅃ Abstract This paper attempts to analyze overreactions with price revearsal in the Taiwan warrants market. To separate the effects of the underlyings, we develop excess returns of warrants by simple hedged portfolios. Then winner-loser hypothesis and variance ratio test are used to analyze overreactions. Our empirical results suggest that there does not exist overreaction in the warrant market. We also study the robustness of the result by considering different characteristics of warrants, including the industries and riskiness of the underlyings, the extent of in-the-moneyness, and whether or not warrrants are issued during the financial crises. Our results suggest that investors could not make any profit form excess changes of warrant prices related to the underlying asset prices. Keywords: Overreaction, Winner-Loser, Variance Ratio Test, Warrants. * ꖻꓥ꒧뒿땯ꫭ꧳2001꙾끝냈뿄뻇덎멛맪냈곣끑라ꅃꝀ귌ꗑ끊교쇂꣢ꛬ냎ꙗ뗻뱦뒣꣑뷑Ꙩ꒧쑟뙑띎ꢣ뭐꣣엩귗ꯘ쒳ꅁꑝ띐쇂곣끑라냑뭐뒣꣑꒧ꯘ쒳ꅁꓥ덤ꞹꗾꗑꝀꛛ굴ꅃ ** ꒸뒼ꑪ뻇끝냈뿄꡴ꝕ뉺뇐뇂ꅁAssistant Professor, Dep. of Finance, 135 Yuan-Tung Rd., Chung-Li, Taoyuan 320, Taiwan. *** ꒸뒼ꑪ뻇뫞뉺곣ꡳ꧒ꅁGraduate School of Management, Yuan Ze University, Taiwan.
92뭻쇊앶쏒ꖫ돵꒧륌ꯗ삳뉻뙈놴끑 1. ꓞ뷗 KeynesꚭꙢ꣤롧꣥뗛Ꝁꭋ녪뷕ꅁ룪ꑈꓟ뉺뱨궱꒧둤왛ꅂ볖왛ꅂ꿊ꕆꥷꢣ떥놡뫼ꞡ라엣뗛ꙡ뱶암쏒꣩ꖫ돵믹껦ꅃꛓꑀꪽꕈ꣓맪냈쏾꒧룪꓀꩒ꗧ뒶륍ꙡ녎룪ꑈꓟ뉺뗸결궫굮냑ꛒ뻚ꅁ꣤꒤궫굮꒧ꑀ결륌ꯗ삳ꅝoverreactionꅞ뉻뙈ꅁ띎룪ꑈ륌ꯗ볖왛둤왛ꅁꛓ맯ꚨ땵듁끬덶륌낪믹껦쏒꣩뷦ꕘ륌ꝃ믹껦쏒꣩ꅁ꧳걏쏒꣩믹껦ꚨ륌낪륌ꝃꯡ꒧신뉻뙈ꅃDe Bondt뭐Thalerꅝ1985ꅞ궺ꗽ뒣ꕘ과냪늼ꖫ돵ꝥ뉻륌ꯗ삳ꅝoverreactionꅞ뉻뙈꒧샋ꥷꓨꩫ뭐쏒뻚ꅁ싇ꗑ쒹깡-뿩깡ꅝwinner-loserꅞꩫ1꓀꩒륌ꕨ돸륓뉶룻낪뭐룻ꝃꪺ늼곒ꝥ뉻돸륓뉶신뉻뙈ꅃ꒧ꯡꑝꚳ덜Ꙩꓥ쑭ꑝ놴끑ꙕ냪늼ꖫ돵꒧륌ꯗ삳뉻뙈ꅁ꙰Clare뭐Thomas (1995), Baytas뭐Cakici (1999), Bauman, Conover뭐Miller (1999)Gaunt (2000)떥ꅃ 땍ꛓꓥ쑭곆ꓖ꿠냷놴끑구ꗍ꧊뿄냓ꭾꖫ돵꒧륌ꯗ삳뉻뙈ꅁ돌ꕄ굮꒧ꝸ쏸덂Ꙣ꧳구ꗍ꧊뿄냓ꭾ믹껦뭐뉻덦ꖫ돵믹껦덳떲녋꓁ꅁ꒣꧶뭐볐ꪺ쏒꣩꒧륌ꯗ삳Ꝁ냏륪ꅃSteinꅝ1989ꅞꕈꑀ뚥ꛛ곛쏶꒧ꞡ볆둟쉫ꅝmean-reverting AR1ꅞ쁈뻷ꩩ냊ꅝstochastic volatilityꅞ볒ꮬꅁ싇ꗑ쇴ꝴꩩ냊ꯗꅝimplied volatilityꅞ샋ꥷ1983꙾12ꓫꛜ1987꙾9ꓫS&P100볆꒧륌ꯗ삳뉻뙈ꅁ꣤떲ꩇ닅Ꙙꑀ뚥ꛛ곛쏶꒧ꩩ냊꧊ꅁ걇ꓤ꯹륌ꯗ삳뉻뙈ꅃ땍ꛓDiz뭐Finucaneꅝ1993ꅞꕘStein꒧군뙱볒ꮬ덝ꗟꅝmodel specificationꅞꚳ뭾ꅁꕌ귌귗ꖿꑆ군뙱볒ꮬꅁꛓ맪쏒떲ꩇꛓ떴륌ꯗ삳낲뮡ꅃ SteinDiz뭐Finucane꒧덂뉺ꓢꩫꚳꝏ꧳De Bondt뭐Thaler꒧쒹깡-뿩깡ꓨꚡꅁꪽ놵ꕈ껉뚡Ꟈꙃ볒ꮬ뙩ꛦ샋ꥷꅃꚹꕾꅁLo뭐MacKinlayꅝ1988, 1990ꅞꙐ볋ꑝꕈ껉뚡Ꟈꙃꓢꩫ뇄ꗎ엜늧볆ꓱ꣒샋ꥷꅝvariance ratio testꅞꅇ굙돸륓ꝥ뉻꧒뿗꒧쁈뻷목ꡂꅝ룳듁뽗ꗟ때쏶ꅞꅁꭨ땵듁돸륓뉶꒧엜늧볆ꓱ꣒뭐껉뚡ꝥꑀ슲돦쏶ꭙꅃ룓ꓥ꒧곣ꡳ떲ꩇ쏒맪믹ꣃꭄꝥ뉻쁈뻷목ꡂꅁ땍ꛓꙢꛒ뱻꒣Ꙑ늼뚡꒧ꖿꙖꛛꙀ엜늧ꅝcross-autocovarianceꅞ뱶암ꑕꅁ꣤떲ꩇꭨ엣ꗜ1962꙾꣬1987꙾과냪ꖫ꒴꒣닅Ꙙ륌ꯗ삳낲뮡ꅃꑗ굺쒹깡-뿩깡ꩫ뭐엜늧볆ꓱ꣒ꩫ꣢ꙕ꣣쁵쉉ꅁꭥ돓Ꙣꕩꪽ놵뒣꣑꣣엩꒧룪 1 쇶땍Chan (1988)ꥍBall and Kothari (1989)떥ꕘDe Bondt and Thaler곣ꡳ떲ꩇ꒧꿊쉉ꅁꕘ덹ꚨ뿩깡돸륓뉶낪꧳쒹깡꒧귬ꙝꙢ꧳뿩깡ꚳ룻낪ꪺ꡴닎궷쁉뭐끝냈궷쁉ꅁꙝꛓꝥ뉻낪궷쁉뙋ꓴꅁ걇쒹깡돸륓쁵꧳뿩깡ꅃ땍ꛓChopra, Lakonishok and Ritter (1992)ꭨꑀ꿫꧊ꙡꛒ뱻궷쁉ꙝꑬꑕꅁ꒴땍ꕩ녯꣬륌ꯗ삳뉻뙈ꅃ꣤ꕌ곛쏶곣ꡳ꙰De Bondt and Thalor (1987), Liang and Mullineaux (1994), Dreman and Berry (1995) Amir and Ganzach (1998) 떥ꅃ
궷쁉뫞뉺뻇돸 93닄꒭ꣷ 닄ꑀ듁 2003꙾3ꓫ 떦늤ꅁ굙ꖫ돵꙳Ꙣ륌ꯗ삳뉻뙈ꅁꭨ룪ꑈꕩ싇ꗑ뙒뿩깡ꥍ뷦ꕘ쒹깡꒧룪닕Ꙙ샲녯뙗썂돸륓ꅃꛓꯡꭨ뒣꣑쑙싔꒧껉뚡Ꟈꙃ군뙱볒ꮬꅁꕩꪽ놵샋ꥷ냑볆꒧엣뗛땻ꯗꅃ 냪ꖫꙖ꣓ꕈ낪ꓱ꣒뒲ꓡ룪ꑈ결꽓ꛢꅁꙐ껉뙒뷦꒧뙧신뮷ꗧ낪꧳ꗽ뙩냪깡ꅁꗑ꧳륌ꯗ삳결룪ꑈꭄ뉺꧊ꛦ결꧒덹ꚨꅁꕈ냪꒧ꖫ돵쓝꧊ꟳ귈녯Ꝟ떥놴끑륌ꯗ삳뉻뙈ꅃ냪꒺쏶꧳늼ꖫ돵꒧륌ꯗ삳곣ꡳꕈ뱂ꗉ곃떥ꅝ1993ꅞꅂ떷ꓥ믊ꅝ1994ꅞ뭐램뷮결ꅝ1997ꅞ돌꣣ꕎꫭ꧊ꅃ뱂ꗉ곃떥ꅝ1993ꅞ뿯뻜ꗁ냪71꙾ꛜꗁ냪78꙾뚡뒶덱ꓩꅂꓫ돸륓낵결볋ꖻꅁꕈ쒹깡-뿩깡룪닕Ꙙ샋엧륌ꯗ삳낲뮡ꅁ꣤맪쏒떲ꩇ땯뉻ꕸ왗ꪺ늼ꖫ돵꒣뛈때륌ꯗ삳뉻뙈ꅁꛓꕂ쇙ꚳꅹ녪꒴녪ꅂ깺꒴깺ꅺ꒧늧녠놡ꅃꛓ떷ꓥ믊ꅝ1994ꅞꭨꚳ얲꧳뇄ꗎ닖뽮돸륓ꅝCARꅞ군뫢ꓨꚡ라ꕘ뉻낾뭾ꅁ걇ꕈ뙒뙩꯹ꚳꅝbuy-and-holdꅞ돸륓뉶뙩ꛦ꓀꩒ꅁ뇄ꗎꗁ냪70꙾ꛜꗁ냪82꙾ꖫꓫ돸륓ꅁ떲ꩇ쏒맪ꕸ왗ꖫ꙳Ꙣ륌ꯗ삳뉻뙈ꅃ램뷮결ꅝ1997ꅞꭨ덂뉺ꗁ냪ꑋꑑ꙾ꛜꑋꑑ꒭꙾꒧뙧돸륓룪껆ꅁ떲ꩇꭨꖼ땯뉻륌ꯗ삳ꅃꑗ굺떲ꩇ쇶땍ꙕ꒣곛Ꙑꅁ땍ꛓ룪껆덂뉺듁뚡ꥍ돸륓군뫢ꓨꚡ꙳Ꙣ곛럭깴늧ꅃ 냪ꛛꗁ냪ꑋꑑ꒻꙾ꑋꓫ끟ꛜ꒵ꑷꚳ륏ꛊ색뭻쇊앶쏒놾땐ꑗꖫꅁ닅Ꙙ2뇸ꗳ꒧꣩냓믈ꛦ녯ꕈꗓ뷐땯냢뭻쇊앶쏒ꅁꙢꖫ돵ꛦ놡ꫭ뉻꣎껉ꦹꦹꑝꕩꢣ룪ꑈꪧ곛쇊뙒뭻쇊앶쏒뉻뙈ꅁꖻꓥꕄꚮꝙ결ꯘꗟꕩ샋듺꒧맪쏒곣ꡳꓨꩫꅁ둎ꛛ뭻쇊앶쏒ꖫ돵뙽꧱ꕈ꣓ꛜꗁ냪89꙾9ꓫ결ꓮꅁꙀ86ꓤ돦꿂꒧돦ꑀꮬ앶쏒놴끑냪앶쏒ꖫ돵꒧륌ꯗ삳뉻뙈ꅃ ꓀꩒구ꗍ꧊뿄냓ꭾ꒧륌ꯗ삳꣤꒤ꝸ쏸꒧ꑀꙢ꧳꙰꛳냏꓀뉻덦ꖫ돵ꩩ냊꒧깴늧ꅁ굙ꖼ꿠냏륪뉻덦믹껦꒧엜냊ꅁꭨ구ꗍ꧊뿄냓ꭾ믹껦곛럭ꚳꕩ꿠ꙝ뉻덦꒧륌ꯗ삳ꛓꚨ닎군ꑗ꒧뭾깴ꥍ낲뙈ꅃꕈ뉻덦ꖫ돵ꛓꢥꅁDe Bondt뭐Thalerꅝ1985ꅞ뭻결굙믹껦ꝥ뉻륌ꯗ삳ꅁꭨꝞ떥녎ꕩꗑ륌ꕨ룪껆륷듺믹껦꒧신ꅝreversalꅞꅁꙝꛓꗑ쒹깡-뿩깡룪닕Ꙙꕩ샲녯뙗썂돸륓ꅃꙢ꙰CAPM떥뛇닎룪늣ꥷ믹뉺뷗ꑕꅁ쒹깡-뿩깡룪닕Ꙙ삳ꛒ뱻궷쁉깴늧ꅁꚹꕾꦹꦹꑝ룓ꛒ뙱꙰덗볒껄ꩇꥍ꒸ꓫ껄ꩇ떥ꑷ놵꣼꒧늧녠뉻뙈ꅃꙢ앶쏒구ꗍ꧊뿄냓ꭾ믹껦꒤ꅁ결ꝋꭥ굺뉻덦덹ꚨ꒧뭾깴ꅁ뚷ꛒ뱻곛맯뉻덦꒧썂ꕾ엜냊뎡ꗷꅁꙁ껚뻚ꚹ앶쏒믹껦꒧썂ꕾ엜냊뎡ꗷꚨ쒹깡-뿩깡룪닕Ꙙꅃ뺨뫞ꚹ썂ꕾ엜냊뎡ꗷ꒴ꕩ꿠꙳Ꙣ꒣Ꙑ꒧궷쁉깴늧ꅝ꙰Vega떥궷쁉ꅞ덗볒떥떥꒧늧녠껄ꩇꅁ땍ꛓꣃ때꙰CAPM떥뉺뷗ꚨ보군뙱ꓢꩫꕩ덂뉺ꚹ썂ꕾ엜냊뎡ꗷ꒧궷쁉깴늧ꅁ귌꧓뭻ꚹ결덂뉺앶쏒믹껦엜냊뷒썄꣤ 2 뻚ꅹꕸ왗쏒꣩ꗦ꧶꧒뭻쇊앶쏒ꑗꖫ뱦걤럇ꭨꅺ뇸듚ꅁ덗뵤뭻쇊앶쏒꒧볐ꪺ늼뚷닅Ꙙꖫ귈낪꧳250믵꒸ꅁꕂ륆꣬ꑀꥷ땻ꯗꪺ앶꓀뒲ꅁꕈ돌꫱ꑔ귓ꓫꗷꚨꗦ볆ꑷ땯ꛦꗷ셠썂ꓱ꣒20%ꅃꛓ닅Ꙙ룪껦꒧믈ꛦ꣩냓녯ꕈ뻚ꅹ땯ꛦꑈꗓ뷐땯ꛦ뭻쇊앶쏒덂뉺굮쉉ꅺ땯ꛦ돌ꝃ볆뙱ꑇꑤ롕귓돦ꛬꅁ꙳쓲듁뚡결ꑀ꙾ꕈꑗꑇ꙾ꕈꑕꅁ꒣륌맪믚ꑗ꣩냓ꞡ뛈땯ꛦꑀ꙾듁꒧앶쏒ꅃ
94뭻쇊앶쏒ꖫ돵꒧륌ꯗ삳뉻뙈놴끑 3곣ꡳꓨꩫꑗ꒧궭꣮ꅃ ꖻꓥ샀둎앶쏒ꩩ냊꒧뎡ꗷꅁ꓀결볐ꪺ쏒꣩뱶암뎡ꗷꥍ앶쏒꒧썂ꕾ엜냊뎡ꗷꅁꭥꕈBlack뭐Scholesꅝ1973ꅞ꒧쇗쁉ꓱ꣒ꅝhedge ratioꅞ궼ꑗ볐4ꪺ쏒꣩엜냊뎡ꗷꅁꛓꕈ앶쏒꒧썂ꕾ엜냊돸륓Ꝁ결Ꝟ떥꓀꩒륌ꯗ삳낲뮡ꅃꚹꑀ썂ꕾ엜냊돸륓랧꧀뭐놴끑늼Ꙣꖫ돵궷쁉ꕈꕾ꒧뙗썂돸륓곛굙ꅁꖻ곣5ꡳ녎꒧뗸결앶쏒Ꙣ볐ꪺ쏒꣩엜냊ꕈꕾ꒧뙗썂돸륓ꅃꝞ떥럭땍꧓뭻Black-Scholes뗻믹뉺뷗뵔맪ꚳ덜Ꙩ꿊ꖢ덂ꅁ땍ꛓꑀꓨ궱룓뉺뷗슲돦ꕂ꒴뱳결맪냈곉꧒놵꣼ꅁ꣤ꕌꟳꑀ꿫꓆꒧ꥷ믹볒ꮬꙢ삳ꗎꑗꗧ꙳Ꙣ귓ꝏ꒧궭꣮ꅃꕴꑀꓨ궱ꅁ룪ꑈꕩ싇ꗑꡃꓩ꒧돸꿈떥꒽뙽룪끔뮴꧶ꙡ꣺녯쇗쁉ꓱ꣒룪껆ꅁ맯꧳ꑀ꿫룪ꑈꛓꢥ맪룻결ꕩꛦꅃꖻ곣ꡳꓨꚡꕩ놴끑럭룪ꑈ뇄ꛦꚹꑀ슲돦꒧쇗쁉룪닕Ꙙ떦늤ꅁꑆ룑걏ꝟ녯ꕈꗑ앶쏒썂ꕾ꒧엜냊샲녯뙗썂돸륓ꅃꚹꓨꚡ꒧쁵쉉결ꕩ뒣꣑룪ꑈ꣣엩꒧룪떦늤ꅁ럭꙳Ꙣ륌ꯗ삳뉻뙈껉ꅁ룪ꑈ녯뇄꣺슲돦쇗쁉룪닕Ꙙ샲녯뙗썂돸륓ꅃꚹꕾꅁ귌꒧꧒ꕈ뿯뻜꒣뇄ꗎ Stein ꒧ꓨꚡꚳ꣢쉉뉺ꗑꅁ꣤ꑀ결룓뚵곣ꡳꖲ뚷몡ꢬ냷껉뚡꒧볋ꖻꅁꕂꖫ돵꒤꙳ꙢꙐꑀ냓ꭾ꒣Ꙑ꣬듁ꓩ꒧ꖭ믹ꅝnear-the-moneyꅞ뿯뻜앶ꅁꙢꚹ꣢귓뇸ꗳꑕꓨ녯뙩ꛦꚹꑀ샋ꥷꅃ땍ꛓ냪꒺뭻쇊앶쏒ꕵꚳꑀ꙾듁뚡ꅁ덱녠ꑝꭄꑀꪽꝥ뉻ꖭ믹놡ꅁꩰꕂꑝꦹꦹ때ꩫ꣬Ꙑꑀ볐ꪺ쏒꣩ꥍ냵ꛦ믹ꛓ꒣Ꙑ꣬듁ꓩ꒧앶쏒ꅁꦹꯡ굙ꚳꕸ볆뿯뻜앶ꭨꕩꛒ뱻ꕈꚹꓨꚡ뙩ꛦꯡ쓲곣ꡳꅃꕴꕾꑀ쉉뉺ꗑ걏Stein뇄ꗎ쁈뻷ꩩ냊볒ꮬꅁ땍ꛓꝞ떥뭻결ꚹꑀꓨꚡꖼ꿠냏꓀볐ꪺ쏒꣩몦뙞꒧뱶암ꅁ꧶ꢥ꒧ꅁ때ꩫ뇆낣뿯뻜앶꒧륌ꯗ삳ꕩ꿠뭆ꙝ꧳볐ꪺ쏒꣩꒧륌ꯗ삳뉻뙈ꅃ ꖻ곣ꡳꕈ앶쏒꒧썂ꕾ엜냊돸륓결냲슦ꅁ꓀ꝏꕈ쒹깡-뿩깡꓀꩒ꩫꥍ엜늧볆ꓱ꣒샋ꥷꩫ꓀ꝏ샋엧앶쏒ꖫ돵꒧륌ꯗ삳ꅃ떲ꩇꞡ떴륌ꯗ삳낲뮡ꅁꕂ굙ꛒ뱻꒣Ꙑ꒧닕ꝏꅁ때뷗걏돦ꑀꮬ닕Ꙙꮬꅂ뿄궷볉듁뚡뭐ꝟꅂ볐ꙡ쏒꣩꒧늣띾ꝏꅁ볐ꪺ쏒꣩꒧궷쁉쓝꧊ꅝꕈBeta결뿅뙱ꅞ앶쏒믹꒺ꕾ땻ꯗ떥ꅁꞡꙐ볋ꓤ꯹꒣꙳Ꙣ륌ꯗ삳뉻뙈꒧떲뷗ꅃ엣ꗜ둎냪꒧뭻쇊앶쏒ꖫ돵ꛓꢥꅁ룪ꑈ때ꩫꗑ앶쏒믹껦썂ꕾ꒧ꩩ냊샲녯뙗썂돸륓ꅁꚳꕩ꿠ꙝ결땯ꛦ꣩냓녯면쏾덹ꖫꢤꛢꅁ싇ꗑ뙒뷦앶쏒ꕈ뷕론낾싷꒧앶쏒믹껦ꣃꕩ샲녯썂ꕾꝑ볭ꅁꛓ꣏앶쏒믹껦꒣교ꕘ뉻륌ꯗ삳ꅃ 3 Ꝁ꽓ꝏ띐쇂뗻뱦ꑈ맯꧳ꚹ쉉뒣ꕘ꒧ꖿꥍꯘ쒳ꅃ 4 냪꒺뭻쇊앶쏒결과ꚡ뙒앶ꅁꛓ낣꺧껉냵ꛦ믹껦ꗧꙐꡂ뷕뻣ꅁꗑMerton (1973)ꕩꪾ룪ꑈ꒣라맪믚뒣ꚭ냵ꛦ(ꝙ꣤ꕩ꧳ꖫ돵ꑗ냢ꕘꟳ낪믹껦)ꅁꛓ과ꚡ뙒앶꒧ꥷ믹떥Ꙑ꧳볚뙒앶ꅁꙝꚹꖻꓥ꣏ꗎBlack-Scholes볒ꮬꕩ빁ꗎ꧳냪꒺과ꚡ뙒앶꒧ꥷ믹ꅃ 5 ꚹꑀ뭻쇊앶쏒꒧뙗썂돸륓랧꧀뭐늼꒴ꚳ덜깴늧ꅁ귕굙뭻쇊앶쏒닖뽮몦둔(뙞둔)륌ꑪꅁꭨꕩ꿠꣼꣬깍ꝑ뻷라꒧궭꣮ꅁꛓ늼ꭨ때ꚹ궭꣮ꅃ꒣륌ꗘꭥ냪뭻쇊앶쏒ꖫ돵ꣃ꒣꒹덜꧱뭻쇊앶쏒ꅁꛓ꧱늼ꗧ꣼꣬룻Ꙩ궭꣮ꅁ걇낣ꑆ뭻쇊앶쏒믹껦ꑪ둔ꯗꝃ꛴ꕾꅁꚹ깍ꝑ덹ꚨ꒧뙗썂돸륓궭꣮ꣃ때맪믚뱶암ꅁꛓꗑ낾낪꒧쇴ꝴꩩ냊ꯗ삳ꕩꑆ룑냪꒺앶쏒ꗧ쉁ꓖꕘ뉻믹껦ꑪ둔ꝃ꛴놡ꩰꅃ
궷쁉뫞뉺뻇돸 95닄꒭ꣷ 닄ꑀ듁 2003꙾3ꓫ ꣤빬뎹론꒺깥꙰ꑕꅁꑕꑀ론뒣꣑놴끑뭻쇊앶쏒륌ꯗ삳꒧맪쏒곣ꡳꓨꩫꅁ룓론뮡ꧺ꙰꛳ꕈ쇗쁉ꓱ꣒ꕨ낣뉻덦꒧엜냊뱶암ꅁꕈ뇄ꗎ쒹깡-뿩깡ꩫꥍ엜늧볆ꓱ꣒ꩫꅃ룪껆둹굺ꥍ떲ꩇ뮡ꧺꭨꙢ닄냑론ꅁꖽ론결떲뷗ꅃ 2. 륌ꯗ삳꒧맪쏒곣ꡳꓨꩫ 앶쏒믹껦꒧썂ꕾ엜냊뎡ꗷ뮡ꧺ 녎 S ꫭ결볐ꪺ쏒꣩ꚬ뵌믹껦ꅁt 결껉뚡ꅁC 결앶쏒ꚬ뵌믹껦ꅁꛓttBS(S)결Black-Scholes뉺뷗믹껦ꅁ쇗쁉ꓱ꣒결δꅝdeltaꅞꅁꗑ꧳냪꒺앶쏒ttꞡ결뙒앶ꅁ걇δ꒶꧳ 0 뭐 1 ꒧뚡ꅃꛒ뱻룪ꑈ떦늤결Ꙣꡃꓩꚬ뵌ꯡꅁ싇ꗑδ뇄꣺쇗쁉룪닕Ꙙꅁ싇ꚹ샋뗸걏ꝟꕩ꿠ꕘ뉻뙗썂돸륓ꅃꗑꑀ뚥륇꫱ꚡꅁ앶쏒맪믚믹껦엜냊ꥍ뉺뷗믹껦꒧엜냊쏶ꭙ결ꅇ C−C=BS(S)−BS(S)+ε t+1tt+1tt+1녎쇗쁉ꓱ꣒δꕎꑊꅁꑗꚡꚨ결ꅇ tC−C≈δ⋅(S−S)+ε t+1ttt+1tt+1ꑗꚡ꒤떥뢹ꖪꓨ결앶쏒믹껦셠엜냊ꅁ떥뢹ꕫꓨ꒧닄ꑀ뚵결볐ꪺ쏒꣩엜냊꒧뱶암뎡ꗷꅁ닄ꑇ뚵ꭨ결앶쏒꒧썂ꕾ엜냊뎡ꗷꅃ럭룪ꑈ꧳ t 듁뇄ꛦ쇗쁉룪닕Ꙙ껉ꅁꝙ꯹ꚳ앶쏒Ꙑ껉뙒ꑊδꓱ꣒꒧볐ꪺ쏒꣩ꅁꭨ t+1 듁껉룓t룪닕Ꙙꡃ돦ꛬ믹귈엜냊뙱결εꅁꫭꗜ앶쏒믹껦꒧썂ꕾ엜냊뎡ꗷꅃ땍ꛓt+1럭땯ꗍ낣앶낣꺧껉ꅁ결꒣띬앶쏒룪ꑈꝑ꽱ꅁ덗ꥷ앶쏒꒧뱩곹믹껦ꥍ뱩곹볆뙱라쁈꒧뷕뻣ꅁꕈꑕ꓀둎ꙕ놡뮡ꧺ꒧ꅃ럭꧳ t+1 듁뙩ꛦ낣앶 d ꒸늼ꝑꅝꝙꡃꑑ때쁶땯꧱ d 떹뭐늼뻖ꚳꅞꅁꭨ t+1 듁뙽뵌1꒧뉻덦냑ꛒ믹롧낣앶ꚨ결 Sꅁꚹ껉뉻덦꯹ꚳ뻖ꚳ꒧늼볆뱗ꕛt1+d/10d결귬꣓꒧(1+)궿ꅃ땍ꛓ앶쏒룪ꑈ궱맯낣앶ꯡ룻ꝃ꒧믹ꣃ꒣꒽ꖭꅁꛓ101덗ꥷ앶쏒꒧뱩곹믹껦ꗑ귬꣓K귈Ꙑꓱ꣒낣꒧ꚨ결KꅁꙐ껉뱩곹볆1+d/10d뙱ꗧ쁈꒧뱗ꕛ결귬꣓꒧(1+)궿ꅁꚹ뫙꒧결냵ꛦꓱ꣒ꅃ껚뻚ꚹ덗ꥷꅁꙢ럭10ꓩ뙽뵌냑ꛒ믹냲슦ꑕꮴ곹뷕뻣때띬앶쏒룪ꑈ꒧ꝑ꽱ꅃ낲ꥷ럭ꓑꚬ뵌믹결Sꅁꭨꑗꚡ뚷귗ꖿ결 t+1
96뭻쇊앶쏒ꖫ돵꒧륌ꯗ삳뉻뙈놴끑 ddC−C≈(1+)δ⋅(S−S/(1+))+ε t+1ttt+1tt+11010ꛛꑕ듁끟녎ꚨ결꙰ꑕꫭ뉻ꚡꅝ굙ꙁꚸ낣앶Ꙑ뉺ꕩ뇀ꅞ dC−C≈(1+)δ⋅(S−S)+ε t+2t+1tt+2t+1t+110ꛓ굙Ꙣ t+1 듁땯ꗍ낣꺧 d' ꒸껉ꅝ룪ꑈꡃꕩꚬ꣺때쁶뉻볆ꅞꅁꭨ t+1 듁뙽뵌꒧뉻덦냑ꛒ믹롧낣꺧ꚨ결 S−d'ꅁ뉻덦꯹ꚳ뻖ꚳ꒧볆꒣t엜ꅃ땍ꛓꙐ볋ꙡ쇊쏒룪ꑈꚹ껉궱맯낣앶ꯡ룻ꝃ꒧믹ꅁ결꒽ꖭ끟ꢣ덗ꥷ앶쏒꒧뱩곹믹껦ꗑ귬꣓K귈Ꙑ둔ꯗ믹ꚨ결K−d'ꅁ뱩곹볆뙱꒣엜ꅃꚹ껉뚷귗ꖿ결 C−C≈δ⋅(S−S+d')+ε t+1ttt+1tt+1ꛛꑕ듁끟ꙁ꯬둟결귬ꚡꅃ꽓ꝏ뮡ꧺ럭앶쏒결닕Ꙙꚡ껉ꅁ낣꺧낣앶럓룓귓Ꙣ닕Ꙙꚡ꒧ꓱ꣒뷕뻣꒧ꅁꕂꙢꚹ덗ꥷꕈꑗ굺꒧룪껆덂뉺ꑕꅁ쇗쁉ꓱ꣒δ꒣ꕩ꿠ꕘ뉻낪꧳1ꑰ꧳0꒧꒣Ꙙ뉺놡ꅃ t결ꝋꙝ앶쏒믹껦낪ꝃ꒧깴늧덹ꚨꓱ룻냲슦ꑗ꒧뭾깴ꅁ꓀ꝏ녎ꑗ굺뷑ꚡ낣ꑗꭥ듁앶쏒믹껦녯ꅝ뛈ꙃꕘꭄ낣앶낣꺧ꚡꅁ꣤빬Ꙑ뉺ꅞ C−Cδ⋅(S−S)t+1ttt+1t=+e (1) t+1CCtt꣤꒤eꫭꗜ앶쏒꒧썂ꕾ돸륓뉶ꅁꗧꕩ룠쓀결ꖫ돵꒧뗻믹뭾깴ꅁ굙ꖫt+1돵닅Ꙙ껄뉶꧊ꅁꭨꚹ뭾깴뚵녎ꝥ뉻룳듁뽗ꗟꅃꖻ곣ꡳ꒤ꝙꕈꚹ앶쏒꒧썂ꕾ엜냊돸륓뉶뙩ꛦ쒹깡-뿩깡ꥍ엜늧볆ꓱ꣒꣢뫘샋ꥷꅃ 샋ꥷ듁뚡꒧뮡ꧺ ꗑ꧳뭻쇊앶쏒ꪺ멢뇬궿볆ꥍ궷쁉낪ꅁꛓ곛맯ꩩ냊ꯗꑝ룻ꑪꅁꕂ냪꒧뭻쇊앶쏒뛈ꑀ꙾듁ꅁ냲꧳앶쏒ꪺ꽓꧊뭐듁뚡궭꣮ꅁꙝꚹ귌뿯뻜ꕈ룻땵듁ꪺꓩ룪껆결곣ꡳ맯뙈ꅃ 쒹깡-뿩깡샋ꥷꩫ뇄ꗎ꛴군듁꒣궫야꒧덂뉺ꓨꚡꕈ뱗ꕛ럇뵔꧊ꅃ싇ꗑꙕ뭻쇊앶쏒ꚨ듁ꪺ썂ꕾ돸륓뉶냏꓀쒹깡뭐뿩깡ꅁꙁꝑꗎ쁈ꯡ엧쏒듁꒧썂ꕾ돸륓뉶ꅁ샋뗸돸륓신껄ꩇ놴끑륌ꯗ삳낲뮡ꅃꖻꓥ꓀ꝏ뙩ꛦꑀꓑꅂꑔꓑ꒭ꓑꑔ뫘꒣Ꙑ땵꒧ꚨ듁ꅁ뻚ꚹꕈ꓀꩒쒹깡-뿩깡Ꙣ엧쏒듁꒧돸륓ꅁ꙰꣤꒤ꑔꓑ꒧ꚨ듁ꕩ샋엧놵ꑕ꣓ꑀꓑꛜꑔꓑ엧쏒듁돸륓뉶ꅁꕈꑆ룑뿩깡걏ꝟ돸륓뉶엣뗛낪꧳쒹깡ꅃꛜ꧳엜늧볆ꓱ꣒샋ꥷꩫ결뇄ꗎ땵듁돸륓뉶꒧엜늧ꓱ꣒샋ꥷ륌ꯗ삳뉻뙈ꅁꖻꓥ꓀꩒ꑇꓑꛜ꒭ꓑ곛맯꧳ꑀꓑ꒧엜늧볆ꓱ꣒ꅃ
궷쁉뫞뉺뻇돸 97닄꒭ꣷ 닄ꑀ듁 2003꙾3ꓫ 쒹깡-뿩깡꓀꩒ꩫ 뙗썂돸륓꒧군뫢ꚭ듁ꓥ쑭뇄ꗎ닖ꕛ돸륓ꅝCARꅞꓨꚡꅁ땍ꛓ Blume뭐Stambaughꅝ1983ꅞꕈConrad뭐Kaulꅝ1993ꅞ떥곣ꡳꕘꅁꕈ닖ꕛ돸륓군뫢ꚨꡃꓩ뷕뻣룪닕Ꙙꅝrebalanceꅞ라ꚨ돸륓꛴군낾뭾ꅁ걇ꕈ둘꛳꒧닖뽮돸륓ꅝ뫙결뙒ꑊ꯹ꚳꅝbuy-and-holdꅞ떦늤꒧돸륓ꅞ군뫢룻결ꖿ뵔ꅁ걇닖뽮 t 듁꒧돸륓뉶ꕩꫭ꒧결ꅇ tY=(1+e)−1 tsΠs=0Ꝟ떥샀뇄ꗎ꙰ De Bondt뭐Thaler 떥ꓥ쑭꧳ꚨ듁뿯꣺쒹깡룪ꥍ뿩깡룪ꅁꙁ샋ꥷ꧳엧쏒듁뚡꒧돸륓신ꅁꑆ룑걏ꝟ닅Ꙙ륌ꯗ삳뉻뙈ꅃ땍ꛓꙢ덂뉺뿯뻜앶꒧쒹깡-뿩깡냝썄껉ꅁꗑ꧳ꣃ때ꩫ꙰Ꙑ늼ꖫ돵꿫ꕩ둎꧒ꚳ늼뿯꣺륌ꕨꫭ뉻꣎결쒹깡ꅁ꒧결뿩깡ꅃꙝꚹꖻꓥ뇄ꗎ꣢뫘꒣Ꙑ꒧쒹깡-뿩깡ꚨꓨꚡ 볒ꮬꑀꅇꗑ뻺ꕶ룪껆뙩ꛦ룳듁ꓱ룻ꕈ뿯꣺쒹깡ꥍ뿩깡 볒ꮬꑇꅇꗑ덝ꥷ볐ꪺ쏒꣩몦뙞둔ꯗ뇸ꗳ뿯꣺쒹깡ꥍ뿩깡 ꣤꒤볒ꮬꑀ결녎ꚨ듁ꙕ앶쏒ꪺ뙒뙩꯹ꚳ뙗썂돸륓뉶낪ꛜꝃ뇆Ꟈꅁ냏꓀ꚨ꒭떥꓀ꅝꑑ떥꓀ꅞꅁ돸륓뉶돌낪꒧듁뚡ꝙ결쒹깡ꅁ꒧돸륓돌ꝃ결뿩깡ꅁ놵뗛군뫢쒹깡뭐뿩깡꧳꒣Ꙑ엧쏒듁ꪺ닖뽮돸륓뉶ꕈ샋ꥷ륌ꯗ삳뉻뙈ꅃ 뇄ꗎ볒ꮬꑇ꒧뉺ꗑꙢ꧳뱗ꕛꖻꓥ떲ꩇ꒧ꞹ뻣꧊ꅁꚹꓨꩫꙨꛒ뱻ꑆ뭻쇊앶쏒꒧륌ꯗ삳뭐볐ꪺ쏒꣩꒧쏶덳ꅁꕈ덝ꥷ볐ꪺ쏒꣩꒧몦둔뙞ꯗꥍ앶쏒썂ꕾ돸륓ꖿ굴놡ꩰꡍꥷ쒹깡ꥍ뿩깡ꅃ럭볐ꪺ쏒꣩ꑪ몦ꕂ앶쏒뙗몦껉ꕏ꒧결쒹깡ꅁ꒧럭볐ꪺ쏒꣩ꑪ뙞ꕂ앶쏒뙗뙞결뿩깡ꅁꙐ볋싇ꚹ놴끑륌ꯗ삳뉻뙈ꅃꝞ떥덝ꥷ럭볐ꪺ쏒꣩몦둔뙗륌ꑀꥷ둔ꯗꅝ꙰ꑀꓑ꒺%ꅁ꒴ꖼ륆7%꒧몦낱ꅞ껉ꅁ앶쏒꒧썂ꕾ돸륓뉶럭ꕘ뉻ꖿ귈ꅝꝙ뙗몦ꅞ껉덝ꥷ결쒹깡ꅃꙐ뉺럭볐ꪺ쏒꣩뙞둔륌ꑪꕂ앶쏒썂ꕾ돸륓ꕘ뉻굴귈ꅝꝙ뙗뙞ꅞ껉ꭨ결뿩깡ꅃꚹꓨꚡꙢꑀꓑꚨ듁ꛒ뱻%꒧몦뙞둔ꯗ뇸ꗳꅁꑔꓑ듁ꭨꛒ뱻%ꥍ5%몦뙞둔ꯗꅁ꒭ꓑꭨꛒ뱻 %ꅂ5%ꅂ7%꒧몦뙞둔ꯗꅁ귌ꑝꛒ뱻륌꣤ꕌ꒧몦뙞둔ꯗꗧꕩ녯꣬쏾떲ꩇꅃ 엜늧볆ꓱ꣒샋ꥷꩫ LoꥍMacKinlayꅝ1988ꅞ뒣ꕘꑆ엜늧볆ꓱ뉶꓀꩒ꅁ꣤뭻결듁뭐땵듁돸륓뉶꒧뚡꙳Ꙣ뵵꧊쏶ꭙꅁ곣ꡳꕩꕈ싇ꗑꚨ엜늧볆ꓱ뉶꣓샋ꥷ룪ꖻꖫt돵쁈뻷목ꡂ낲뮡ꅃ낲덝걙닖ꕛ돸륓뉶X=e닅Ꙙ꙰ꑕ꒧쁈뻷륌땻ꅇ t∑ss=1
98뭻쇊앶쏒ꖫ돵꒧륌ꯗ삳뉻뙈놴끑 X=µ+X+η tt−1t꣤꒤뭾깴뚵η결뽗ꗟꕂ곛Ꙑ꓀끴ꅝiidꅞꅃ결ꑆ룑ꡍ볋ꖻ볆꒧궭꣮ꅁꖻꓥ뇄t6ꗎLo and Mackinlayꅝ1988ꅞ꒧Mr(q)닎군뙱ꅁ꣤뇄ꗎq듁돸륓뉶꒬곛궫22야ꪺ볋ꖻ덂뉺ꓨꚡꕈ뱗ꕛ볋ꖻ볆ꅁ꛴군ꪺ돸륓엜늧σ뭐σꅁꕈ꛴군엜늧ac볆ꓱ꣒Mr(q)ꅁꫭꗜ꙰ꑕꅇ N1ˆµ≡(X−X) ∑kk−1Nk=1nq122σˆ=(X−X−µ) a∑kk−qnq−1k=1nq122σ=X−X−ˆ(qµ) c∑kk−qmk=q2σ(q)cMr(q)≡−1 (2) 2σa꣤꒤m≡q(nq−q+1)(1−q/nq)ꅁꑓMr(q)ꪺ닎군뙱꓀끴몡ꢬ꙰ꑕ꓀끴ꅇ 2(2q−1)(q−1)nqMr(q)~N(0,) 3q1−2z(q)≡nqMr(q)(2(2q−1)(q−1)/3q)~N(0,1) (3) 뻚ꚹMr(q)닎군뙱Ꝟ떥ꕩ뙩ꛦ t -닎군샋ꥷꅃ럭Mr(q)결엣뗛굴귈껉ꅁꫭꗜ뙗썂돸륓꙳Ꙣ굴Ꙗꛛ곛쏶ꅁꭨ닅Ꙙ륌ꯗ삳낲뮡ꅁ꒧굙꒣엣뗛결0껉ꅁꭨꫭꗜ꒣꙳Ꙣ륌ꯗ삳ꅃ 쇶땍ꖻꓥꗘꪺꙢ꧳샋엧륌ꯗ삳낲뮡ꅁ땍ꛓꙢꖻꓥ꒧꣢뫘샋ꥷꓨꚡꞡꕩ뉛뭜뱂ꗉ곃떥ꅝ1993ꅞꅂDreman뭐Berryꅝ1995ꅞꥍDaniel떥ꅝ1998ꅞ꒧꒣ꢬ삳ꅝunder-reactionꅞ뉻뙈ꅁ굙쒹깡Ꙣ샋엧듁ꕘ뉻ꖿ귈뙗썂돸륓ꛓ뿩깡ꕘ뉻굴귈뙗썂돸륓ꅁ엜늧볆ꓱ꣒ꩫ꒤ꕘ뉻엣뗛ꖿ볆꒧zꅝqꅞ닎군뙱ꅁꭨ떲ꩇ녎ꫭꗜꖫ돵ꝥ뉻꒣ꢬ삳뉻뙈ꅃ 6 귌Ꙑ볋ꑝꕈLo뭐Mackinleyꓥ꒤꒧J(q)닎군뙱뙩ꛦ샋ꥷꅁꗧ녯꣬쏾떲ꩇꅃ r
궷쁉뫞뉺뻇돸 99닄꒭ꣷ 닄ꑀ듁 2003꙾3ꓫ 3. 룪껆맪쏒떲ꩇ놴끑 앶쏒룪껆 곣ꡳ룪껆꣓랽꣺ꛛ꧳ꕸ왗롧샙띳돸ꅝTEJꅞ룪껆깷ꅁ곣ꡳꪺ듁뚡결ꗁ냪86꙾8ꓫ냪꒺닄ꑀꓤ뭻쇊앶쏒놾땐ꑗꖫ끟ꛜꗁ냪89꙾9ꓫꓮꅁ맯뙈결ꚹ듁뚡꒺꧒ꚳꙢꕸ왗쏒ꗦ꧒놾땐ꑗꖫꪺ뭻쇊앶쏒ꅁꚩ낣ꑗꖫ껉뚡륌땵ꛓꚨ룪껆볆꒣ꢬꅂꑗ궭ꮬꅂ궫덝ꮬꥍ닕ꙘꮬꅁꙀ빬돦꿂꒧돦ꑀꮬ볐ꪺꮬ앶쏒86ꓤꅁ귌낲ꥷ닕Ꙙꚡ앶쏒꣤볐ꪺ쏒꣩믹껦ꗧ닅ꙘB-S볒ꮬꅃꛜ꧳쇗쁉ꓱ꣒꛴군껚뻚ꑀ꙾꒧뻺ꕶ룪껆꛴군ꩩ냊ꯗꅁꕎꑊB-S볒ꮬ군뫢꒧ꅁꖻ곣7ꡳꙐ껉ꑝꕩ꿠땯ꗍ쏶꧳B-S볒ꮬ꒧궭꣮ꅃ ꚹꕾꅁꗑ꧳ꕸ왗ꖫ꙳Ꙣ7%ꪺ몦뙞둔궭꣮ꅁꙢ뉻덦ꕘ뉻몦낱뙞낱ꪺꗦ꧶ꓩ꒤녎꒴ꕝꝴꖼꞹꗾ삳ꪺ룪끔ꅁꛓ뿰ꦵꛜꚸꑀ귓ꗦ꧶ꓩ삳ꅁ걇Ꝟ떥뇆낣덯쏾볋ꖻꅝ굙결닕Ꙙ앶쏒ꭨ꣤꒤ꗴꑀ볐ꪺ늼땯ꗍ몦뙞낱ꝙ뇆낣ꅞꅁ꒣륌ꗑ꧳앶쏒볐ꪺ쏒꣩결ꑪꮬ늼ꅁꙢ귌ꪺ볋ꖻ꒤덯쏾놡곆ꓖ땯ꗍꅃꚹꕾꅁꝞ떥걛멣꒤ꖼꛒ뱻ꗦ꧶ꚨꖻꅁ냪뭻쇊앶쏒ꖫ돵꣤ꗦ꧶ꚨꖻ꣤뭐ꚨꗦ믹껦꒧ꓱ꣒결ꓱ럓ꑗꖫ늼ꅁꖻꓥ맪쏒떲ꩇ엣ꗜ꒣꙳Ꙣ륌ꯗ삳ꅁ걇ꕩ뇀뷗ꛒ뱻ꗦ꧶ꚨꖻꑕꟳ쏸샲녯뙗썂돸륓뻷라ꅁ꒣꙳Ꙣ륌ꯗ삳뉻뙈Ꙣ꿇ꑊꗦ꧶ꚨꖻꑕ땍ꚨꗟꅃ 쒹깡-뿩깡샋ꥷꩫ꒧맪쏒떲ꩇ--ꗾ엩룪껆 귌ꝑꗎꭥ굺꒧쒹깡-뿩깡샋ꥷꩫꅁ녯꣬맪쏒떲ꩇ꙰ꫭ1ꅁ꣤꒤ꅹ꒭떥꓀t귈ꅺ띎Ꙣ냏륪뿩깡ꅂ쒹깡껉ꅁ꣺귓ꝏ앶쏒뙗썂돸륓뉶돌낪ꪺ꒭꓀꒧ꑀꝀ결쒹깡뭐돌ꝃꪺ꒭꓀꒧ꑀꝀ결뿩깡ꅁ꓀ꝏ군뫢ꖦ귌ꚨ듁뭐듺룕듁ꪺt귈ꅁꣃꝑꗎ뫢볆ꖭꞡꩫ띊셠꧒ꚳ앶쏒군뫢ꕘꪺt귈ꅆꙐ뉺ꅹꑑ떥꓀t귈ꅺꭨ걏꣺귓ꝏ앶쏒뙗썂돸륓뉶돌낪ꪺꑑ꓀꒧ꑀꝀ결쒹깡뭐돌ꝃꪺꑑ꓀꒧ꑀꝀ결뿩깡ꅃ맪쏒떲ꩇ땯뉻듺룕듁꒧돸륓뉶곒때ꩫ륆꣬떴결0꒧엣뗛ꓴ럇ꅁ쏒맪냪뭻쇊앶쏒ꖫ돵ꣃ꒣꙳Ꙣ륌ꯗ삳뉻뙈ꅁꛓꕈ닄ꑇ뫘쒹깡-뿩깡ꩫ꓀꩒녯떲ꩇ꙰ꫭ2ꅁꙐ볋ꖼ꿠륆꣬엣뗛ꓴ럇ꅃ 7†Ꙣꚹ걱듁뚡Ꙁꚳ114ꓤ앶쏒볋ꖻꅁ꣤꒤15ꓤ결닕Ꙙꮬꅁꛓ99ꓤ돦ꑀꮬ앶쏒꒤ꕝꝴ6ꓤ궫덝ꮬ앶쏒ꕈ7ꓤꑗ궭ꛦ앶쏒ꅁ돑빬86ꓤ앶쏒결돦꿂꒧돦ꑀꮬ앶쏒ꅁꗑ꧳덯앶쏒룻빁ꗎ꧳ꖻꓥ꒧맪쏒볒ꮬꅁ결ꡄ꓀꩒꒧쑙싔꧊ꅁꖻꓥ끑뷗ꭝ궭Ꙣꚹ86ꓤ볋ꖻ꒤ꅃꖻ곣ꡳꗽꭥꪩꖻꗧ뒿녎꣤ꕌ28색닕Ꙙꅂꑗ궭ꥍ궫덝ꮬ앶쏒ꕛꑊꅁꛓꪽ놵뇄ꗎꕸ왗띳돸룪껆깷꒧쇗쁉ꓱ꣒룪껆ꅁꭨ떲ꩇꗧꓤ꯹Ꙑ볋꒧곣ꡳ떲뷗ꅃ꒣륌쑙껦ꛓꢥꅁ굙뇽ꟳꑀ꿫꧊끑뷗궫덝ꮬꕈꑗ궭ꮬ떥앶쏒ꅁ뚷뇄ꗎꑪ뙱꒧볆귈볒샀ꓨꚡ군뫢꣤쇗쁉ꓱ꣒ꅁꙐ껉ꗧ꽁꒣Ꙑ꒧볒ꮬ뿯뻜ꅁꛓꕂꡃꑀ귓ꗦ꧶ꓩ꒧쇗쁉ꓱ꣒ꞡ뚷ꕴꕾ덂뉺ꥍ꛴군ꅃꕸ왗띳돸룪껆깷Ꙣ곣ꡳ듁뚡ꫭꗜ꒴Ꙣ곣샀ꥼꖼꞹꚨ띳ꪺ볆귈ꓨꩫꅁ룓룪껆깷꒴뱳꩸ꙡ결띾곉ꥍ뻇곉꧒꣏ꗎꅁꓱ룻꿠ꚨ결룪ꑈ꒧냑ꛒ뻚ꅃ귌꧓뭻Ꙣ룪껆덂뉺ꝸ쏸ꑕ놵꣼ꚹꓨꚡ뭐궭꣮ꅁꝀ꽓ꝏ띐쇂뗻뱦ꑈ맯꧳ꚹ쉉뒣ꕘ꒧ꖿꥍꯘ쒳ꅃ
100뭻쇊앶쏒ꖫ돵꒧륌ꯗ삳뉻뙈놴끑 ꫭ1릮?-뿩깡샋ꥷ-볒ꮬꑀꅝꗾ엩볋ꖻꅁ뭻쇊앶쏒귓볆=86ꅞ 뿩깡ꅂ쒹깡 ꚨ듁뭐듺룕듁 ꒭떥꓀t귈 ꑑ떥꓀t귈 뿩깡(ꚨ듁ꑀꓑ) 듺룕듁ꑀꓑ 쒹깡(ꚨ듁ꑀꓑ) 듺룕듁ꑀꓑ 뿩깡(ꚨ듁ꑔꓑ) 듺룕듁닄ꑀꓑ 듺룕듁닄ꑇꓑ 듺룕듁닄ꑔꓑ 쒹깡(ꚨ듁ꑔꓑ) 듺룕듁닄ꑀꓑ 듺룕듁닄ꑇꓑ 듺룕듁닄ꑔꓑ 뿩깡(ꚨ듁꒭ꓑ) 듺룕듁닄ꑀꓑ 듺룕듁닄ꑇꓑ 듺룕듁닄ꑔꓑ 듺룕듁닄ꕼꓑ 듺룕듁닄꒭ꓑ 쒹깡(ꚨ듁꒭ꓑ) 듺룕듁닄ꑀꓑ 듺룕듁닄ꑇꓑ 듺룕듁닄ꑔꓑ 듺룕듁닄ꕼꓑ 듺룕듁닄꒭ꓑ *ꅵ꒭떥꓀t귈ꅶ띎Ꙣ냏륪귓ꝏ앶쏒꒧뿩깡ꅂ쒹깡껉ꅁ꣺앶쏒뙗썂돸륓뉶뻺ꕶ룪껆돌낪ꪺ꒭꓀꒧ꑀꝀ결쒹깡뭐돌ꝃꪺ꒭꓀꒧ꑀꝀ결뿩깡ꅁ군뫢듺룕듁ꪺt귈ꅁꑗꫭ결ꖭꞡ꧒ꚳ귓ꝏ앶쏒t귈ꅃ 엜늧볆샋ꥷꩫ꒧맪쏒떲ꩇ--ꗾ엩룪껆 ꕈ엜늧볆ꓱ꣒놴ꡳ듁뙗썂돸륓뉶ꅝq=2,3,4,5ꅞ걏ꝟ꙳Ꙣ굴Ꙗꛛ곛쏶꧊ꅁ맪쏒떲ꩇ꙰ꫭ3ꅃꗑꫭ꒤룪껆ꕩꪾz귈ꞡ결굴귈꒣엣뗛ꅁꚹ쇶ꫭꗜ듁뙗썂돸륓꒧ꩩ냊ꯗ늤결ꑰ꧳땵듁돸륓ꩩ냊꒧ꕛ셠ꅁ돸륓뉶ꚳ뗛띌꒧굴Ꙗꛛ곛쏶ꅁ땍ꛓ닎군뙱곒ꖼ륆엣뗛ꓴ럇ꅁ걇Ꙑ볋떴륌ꯗ삳낲뮡ꅃ ꓀닕룪껆꒧맪쏒떲ꩇ 결꣏떲ꩇꟳ꣣ꑀ꿫꧊ꅁꝞ떥Ꙣꖻ론꒤뙩ꛦ꓀닕ꯡ꒧볋ꖻ꓀꩒ꅃ궺ꗽꛒ뱻걷뿄궷볉듁뚡걏ꝟꝥ뉻꒣Ꙑ꒧륌ꯗ삳ꅁꝞ떥녎ꗁ냪86꙾8ꓫꛜꗁ냪87꙾12ꓫꥷ롱결뿄궷볉껉듁ꅁ꣤꧳ꗑꗁ냪88꙾1ꓫꛜ89꙾9ꓫ듁뚡ꭨ뗸결결ꭄ뿄궷볉껉듁ꅁ꓀ꝏꝑꗎ뿩깡쒹깡샋ꥷ뭐엜늧볆ꓱ꣒샋ꥷ륌ꯗ삳쏶ꭙꅃ떲ꩇ꙰ꫭ4ꥍꫭ5ꅁꙐ볋쏒맪꒣꙳Ꙣ륌ꯗ삳뉻뙈ꅃ ꫭ2릮?-뿩깡샋ꥷ--볒ꮬꑇꅝꗾ엩볋ꖻꅁ뭻쇊앶쏒귓볆=86ꅞ
궷쁉뫞뉺뻇돸 101닄꒭ꣷ 닄ꑀ듁 2003꙾3ꓫ 뿩깡ꅂ쒹깡 ꚨ듁 듺룕듁 볐ꪺ쏒꣩몦뙞%볋ꖻ볆 t귈 쒹깡 ꑀ ꓑ ꑀꓑ 297 뿩깡 ꑀ ꓑ ꑀꓑ 428 쒹깡 ꑔꓑ ꑀꓑ 506 ꑔꓑ ꑇꓑ 506 ꑔꓑ ꑔꓑ 506 뿩깡 ꑔꓑ ꑀꓑ 1200 ꑔꓑ ꑇꓑ 1200 ꑔꓑ ꑔꓑ 1200 쒹깡 ꑔꓑ ꑀꓑ 5 336 ꑔꓑ ꑇꓑ 5 336 ꑔꓑ ꑔꓑ 5 336 뿩깡 ꑔꓑ ꑀꓑ 5 747 ꑔꓑ ꑇꓑ 5 747 ꑔꓑ ꑔꓑ 5 747 쒹깡 ꒭ꓑ ꑀꓑ 603 ꒭ꓑ ꑇꓑ 603 ꒭ꓑ ꑔꓑ 603 ꒭ꓑ ꕼꓑ 603 ꒭ꓑ ꒭ꓑ 603 뿩깡 ꒭ꓑ ꑀꓑ 1620 ꒭ꓑ ꑇꓑ 1620 ꒭ꓑ ꑔꓑ 1620 ꒭ꓑ ꕼꓑ 1620 ꒭ꓑ ꒭ꓑ 1620 쒹깡 ꒭ꓑ ꑀꓑ 5 452 ꒭ꓑ ꑇꓑ 5 452 ꒭ꓑ ꑔꓑ 5 452 ꒭ꓑ ꕼꓑ 5 452 ꒭ꓑ ꒭ꓑ 5 452 뿩깡 ꒭ꓑ ꑀꓑ 5 1077 ꒭ꓑ ꑇꓑ 5 1077 ꒭ꓑ ꑔꓑ 5 1077 ꒭ꓑ ꕼꓑ 5 1077 ꒭ꓑ ꒭ꓑ 5 1077 쒹깡 ꒭ꓑ ꑀꓑ 7 295 ꒭ꓑ ꑇꓑ 7 295 ꒭ꓑ ꑔꓑ 7 295 ꒭ꓑ ꕼꓑ 7 295 ꒭ꓑ ꒭ꓑ 7 295 뿩깡 ꒭ꓑ ꑀꓑ 7 674 ꒭ꓑ ꑇꓑ 7 674 ꒭ꓑ ꑔꓑ 7 674 ꒭ꓑ ꕼꓑ 7 674 ꒭ꓑ ꒭ꓑ 7 674 * ꅵ뉻덦몦뙞둔궭꣮ꅶ띎ꕈꚨ듁꒤볐ꪺ쏒꣩돸륓뉶뙗륌걙ꑀꛊ꓀ꓱꑕꅁꕂꚹ껉뭻쇊앶쏒뙗썂돸륓ꑪ꧳0Ꝁ결뇸ꗳꅁ녎닅Ꙙꚹ뇸ꗳ꒧ꗦ꧶ꓩ덝ꥷ결쒹깡ꅆ꒧럭볐ꪺ쏒꣩뙞둔ꑪꕂꚹ껉앶쏒ꕘ뉻굴귈돸륓뉶껉ꭨ결뿩깡ꅁ싇ꚹ샋ꥷ듺룕듁꒧뙗썂돸륓ꅃ ꫭ3?Ꞽ욤틀쮩?ꅝꗾ엩볋ꖻꅁ뭻쇊앶쏒귓볆=86ꅞ
102뭻쇊앶쏒ꖫ돵꒧륌ꯗ삳뉻뙈놴끑 엜늧볆ꓱ꣒듁뚡ꅝqꅞZ 귈 2 3 4 5 * 귌ꕈꑀꓩ결냲듁ꅁ럭엜늧볆ꓱ꣒듁뚡ꅝqꅞ떥꧳2ꅁꝙꙢ샋ꥷ닎군뙱걏ꝟꑰ꧳Mr(2)0ꅁ돸륓뉶꒧뚡걏ꝟ꙳Ꙣ굴귈ꛛ곛쏶ꅃꫭ껦꒤ꪺz귈결꧒ꚳ귓ꝏ뭻쇊앶쏒z귈꒧ꞡ볆ꅃ ꫭ4릮?-뿩깡샋ꥷꅝ볒ꮬꑀꅞ-뿄궷볉껉듁ꅝ뭻쇊앶쏒귓볆=16ꅞ 뿩깡ꅂ쒹깡 ꚨ듁뭐듺룕듁꒭떥꓀t귈 ꑑ떥꓀t귈 뿩깡(ꚨ듁ꑀꓑ) 듺룕듁ꑀꓑ 쒹깡(ꚨ듁ꑀꓑ) 듺룕듁ꑀꓑ 뿩깡(ꚨ듁ꑔꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 뿩깡(ꚨ듁ꑔꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 뿩깡(ꚨ듁꒭ꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 듺룕듁ꕼꓑ 듺룕듁꒭ꓑ 쒹깡(ꚨ듁꒭ꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 듺룕듁ꕼꓑ 듺룕듁꒭ꓑ ꫭ5?Ꞽ욤튤삪?-뿄궷볉듁뚡뭐ꝟ꒧꓀닕 엜늧볆ꓱ꣒듁뚡ꅝqꅞ 뿄궷볉껉듁 ꭄ뿄궷볉껉듁 앶쏒볋ꖻ볆 (n=16) (n=70) ꛜ꧳꓀닕끑뷗볐ꪺ쏒꣩꒧늣띾쏾ꝏ꣤떲ꩇ꧳ꫭ6ꫭ7ꅁꕈβ귈냏꓀
궷쁉뫞뉺뻇돸 103닄꒭ꣷ 닄ꑀ듁 2003꙾3ꓫ 볐ꪺ쏒꣩꒧궷쁉땻ꯗ꧳ꫭ8ꫭ9ꅁꕈ믹꒺ꕾ땻ꯗ꣤떲ꩇ꧳ꫭ1011ꅁꙐ볋ꙡ덯떲ꩇꞡ뮡ꧺꣃ꒣꙳Ꙣ륌ꯗ삳뉻뙈ꅃ Ꝟ떥떲ꩇ결둎앶쏒꒧썂ꕾ돸륓뎡ꗷ뙩ꛦ꓀꩒ꅁ떲ꩇ떴륌ꯗ삳낲뮡ꅃ엣ꗜ둎냪꒺뭻쇊앶쏒ꖫ돵ꛓꢥꅁ룪ꑈ때ꩫ싇ꗑ슲돦꒧쇗쁉룪닕ꙘꅁꕈꙢ앶쏒믹껦륌ꯗ엜냊ꑕ샲녯뙗썂돸륓ꅃꑀ뫘ꕩ꿠룑쓀결땯ꛦ꣩냓냑뭐꧒교ꅁꗑ꧳Ꙣ냪꒺앶쏒땯ꛦ꣩냓Ꙣ땯ꛦ꒧ꫬ라ꭏ꽤15%ꖪꕫꓱ꣒ꅁꕈꭋ꧳ꑗꖫꗦ꧶ꯡ꧳ꖫ돵뙒뷦뷕론ꅁ뙩ꛦ깍ꝑ쏾덹ꖫ꒧ꢤꛢꅁꝞ떥떲ꩇꗧꕩ꿠결땯ꛦ꣩냓뙩돵뷕론ꕈ귗ꖿꕩ꿠ꕘ뉻꒧믹껦엜냊ꅃ 뎡ꗷ곝ꩫ뭻결앶쏒믹껦뒶륍낾낪ꅁꕩ꿠ꚨ볐ꪺ쏒꣩엜냊ꑪꛓ앶쏒믹껦엜냊룻ꑰ꒧놡ꅃ굙ꩇ꽵꙰ꚹꅁꭨꗑꝞ떥곣ꡳ룪껆ꅁꙢꖫꩰ깴껉ꅝ뿄궷볉듁뚡ꅞ녎ꚨ앶쏒룻ꑰ닖뽮뙞둔ꅝꙝ앶쏒믹껦엜냊룻ꑰꅞꅁ꙰ꚹ삳ꕘ뉻쒹깡꣣돆ꖿ귈뙗썂돸륓ꅁꙐ볋ꙡꙢꖫꩰ꣎껉ꑝ삳ꕘ뉻뿩깡꒧굴귈뙗썂돸륓ꅁ땍ꛓꖻꓥ떲ꩇ뇆낣ꚹꑀꕩ꿠꧊ꅃ ꫭ6릮憿懀쮩?-볒ꮬꑇꅝ볐ꪺ늼결륱ꑬ늣띾ꅞ 뿩 깡ꅂ쒹깡 ꚨ듁 ꒭떥꓀t귈 ꑑ떥꓀t귈 뿩깡(ꚨ듁ꑀꓑ) 듺룕듁ꑀꓑ쒹깡(ꚨ듁ꑀꓑ) 듺룕듁ꑀꓑ 뿩깡(ꚨ듁ꑔꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ뿩깡(ꚨ듁ꑔꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 뿩깡(ꚨ듁꒭ꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 듺룕듁ꕼꓑ 듺룕듁꒭ꓑ쒹깡(ꚨ듁꒭ꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 듺룕듁ꕼꓑ 듺룕듁꒭ꓑ
104뭻쇊앶쏒ꖫ돵꒧륌ꯗ삳뉻뙈놴끑 ꫭ7?Ꞽ욤튤삪?-볐ꪺ쏒꣩늣띾ꝏ뭐륌ꯗ삳 엜늧볆ꓱ꣒듁뚡(q) 뛇닎쏾 륱ꑬ 뿄 앶쏒볋ꖻ볆 (n=33) (n=47) (n=6) ꫭ8릮憿懀쮩?-볒ꮬꑀꅝ볐ꪺ늼beta결ꕼ뚵꓀닕꒤돌ꑰꅞ 뿩 깡ꅂ쒹깡 ꚨ듁 ꒭떥꓀t귈 ꑑ떥꓀t귈 뿩깡(ꚨ듁ꑀꓑ) 듺룕듁ꑀꓑ 쒹깡(ꚨ듁ꑀꓑ) 듺룕듁ꑀꓑ 뿩깡(ꚨ듁ꑔꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 뿩깡(ꚨ듁ꑔꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 뿩깡(ꚨ듁꒭ꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 듺룕듁ꕼꓑ 듺룕듁꒭ꓑ 쒹깡(ꚨ듁꒭ꓑ) 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 듺룕듁ꕼꓑ 듺룕듁꒭ꓑ ꫭ9?Ꞽ욤튤삪?-볐ꪺ쏒꣩궷쁉땻ꯗ뭐륌ꯗ삳 엜늧볆ꓱ꣒듁뚡(q) ꍝ1ꅝ돌ꑰꅞꍝ2 ꍝ3 ꍝ4ꅝ돌ꑪꅞ ꍝꖭꞡ귈 2ꓩ맯1ꓩ 3ꓩ맯1ꓩ 4ꓩ맯1ꓩ 5ꓩ맯1ꓩ * 볐ꪺ쏒꣩궷쁉땻ꯗꕈꍝ귈결ꓱ룻냲슦ꅁꙕ꓀닕꒺ꙕꓤ앶쏒ꞡ볆결ꑗꫭ꒤ꍝꖭꞡ귈
궷쁉뫞뉺뻇돸 105닄꒭ꣷ 닄ꑀ듁 2003꙾3ꓫ ꫭ10릮憿懀쮩?-볒ꮬꑇꅝ믹꒺땻ꯗ돌ꑰꅞ 뿩 깡ꅂ쒹깡 ꚨ 듁 ꒭떥꓀t귈 ꑑ떥꓀t귈 뿩깡ꅝꚨ듁ꑀꓑꅞ 듺룕듁ꑀꓑ 쒹깡ꅝꚨ듁ꑀꓑꅞ 듺룕듁ꑀꓑ 뿩깡ꅝꚨ듁ꑔꓑꅞ 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ뿩깡ꅝꚨ듁ꑔꓑꅞ 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 뿩깡ꅝꚨ듁꒭ꓑꅞ 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 듺룕듁ꕼꓑ 듺룕듁꒭ꓑ쒹깡ꅝꚨ듁꒭ꓑꅞ 듺룕듁ꑀꓑ 듺룕듁ꑇꓑ 듺룕듁ꑔꓑ 듺룕듁ꕼꓑ 듺룕듁꒭ꓑ ꫭ11?Ꞽ욤튤삪?-앶쏒믹꒺ꕾ땻ꯗ뭐륌ꯗ삳 엜늧볆ꓱ꣒듁뚡(q) 믹꒺1 믹꒺2 믹꒺3 믹꒺4 ꖭꞡ믹꒺땻ꯗ ꅝn=28ꅞꅝn=28ꅞꅝn=29ꅞ ꅝn=29ꅞ * 믹꒺땻ꯗꕈ귓ꝏ앶쏒(ꖭꞡ볐ꪺ쏒꣩믹껦/뱩곹믹)결ꓱ룻냲슦ꅁ꓀닕꒺꒧ꞡ볆결ꑗꫭ꒤ꖭꞡ믹꒺땻ꯗꅃ 4. 떲뷗 ꖻ곣ꡳꚮꙢ놴끑ꕸ왗뭻쇊앶쏒ꖫ돵륌ꯗ삳ꛦ결ꅁ덺륌롧ꗑ뉻덦엜냊뷕뻣꒧앶쏒썂ꕾ엜냊뎡ꗷꅁ놴끑꣤믹껦신뉻뙈ꅃ덺륌De Bondt뭐Thalerꅝ1985ꅞ뒣ꕘꪺ뿩깡쒹깡샋ꥷꩫꥍLo뭐MacKinlayꅝ1988ꅞ뒣ꕘꪺ엜늧볆
106뭻쇊앶쏒ꖫ돵꒧륌ꯗ삳뉻뙈놴끑 ꓱ꣒꓀꩒ꩫꅁ엧쏒ꕸ왗뭻쇊앶쏒ꖫ돵땵듁륌ꯗ삳ꛦ결뭐Ꙗ뻞Ꝁ떦늤꒧ꕩꛦ꧊ꅃ 곣ꡳ떲ꩇ엣ꗜꕸ왗뭻쇊앶쏒ꖫ돵꒣꙳Ꙣ륌ꯗ삳뉻뙈ꅁ룪ꑈ때ꩫ싇ꗑ슲돦꒧쇗쁉뻞Ꝁꥍꝑꗎ앶쏒믹껦꒧썂ꕾ엜냊샲녯뙗썂돸륓ꅃ뇀뷗꣤귬ꙝꕩ꿠결땯ꛦ꣩냓꧳ꖫ돵꒤면뷕론믹껦ꢤꛢꅁꙢꖫ돵믹껦뙗몦뙗뙞껉ꅁ뙩돵뷦ꕘ뙒ꑊꕈ귗ꖿ앶쏒믹껦꒧륌ꯗ엜냊ꅃꛓꚹ떲ꩇꙢ뙩ꛦ꓀닕끑뷗껉꒴땍ꚨꗟꅁ꓀꩒볐ꪺ쏒꣩꒧늣띾쏾ꝏꅁ궷쁉쓝꧊ꥍ뿄궷볉듁뚡ꅂ믹꒺ꕾ땻ꯗ떥ꞡꙐ볋엣ꗜ꒣꙳Ꙣ뭻쇊앶쏒꒧륌ꯗ삳뉻뙈ꅃ땍ꛓꝞ떥꒣뇆낣ꕩ꿠Ꙣ돦ꓩꕘ뉻볈껉꧊꒧륌ꯗ삳ꅁꛓꚬ뵌껉롧ꗑ꣩냓뷕론ꑕꑷꙘ뉺뷕뻣ꅁꚹ뎡ꗷꙢ룪껆꒹덜ꑕ꒧ꖼ꣓곣ꡳ곛ꭈꚳꝕ꧳싧뉍ꗦ꧶ꓩ꒺땯ꛦ꣩냓꒧믹껦뷕뻣ꢤꛢꅃꚹꕾꅁꙢ곣ꡳꓨꩫꥍ룪껆덂뉺꒧ꭝ궭ꑕꅁꖻ곣ꡳꑝ꙳Ꙣ쏶꧳쇗쁉ꯡ룪닕Ꙙ꒧궷쁉꧊ꅁꕈ룻뷆싸앶쏒냓ꭾ꒧꓀꩒궭꣮ꅁ덯ꑝ걏ꖼ꣓꒧곛쏶곣ꡳꓨꙖꅃ 냑ꛒꓥ쑭 1. 떷ꓥ믊ꅁ늼ꖫ돵륌ꯗ삳뭐궷쁉엜꓆쏶ꭙ꒧놴끑ꅁ쏒꣩ꖫ돵땯깩ꥵꕚꅁ닄24듁ꅁ1994꙾ꅁ1-40ꅃ 2. 뱂ꗉ곃ꅂ뱂뫻땘ꅂ쇂걆꿠ꅁꕸ왗ꖫ륌ꯗ삳꒧맪쏒곣ꡳꅁ뭏ꑪ뫞뉺뷗쉏ꅁ닄4ꣷꅁ닄1듁ꅁ1993꙾ꅁ105-146ꅃ 3. 램뷮결ꅁꕸ왗ꖫ꒧륌ꯗ삳뉻뙈놴끑ꅁꗸ믈ꥵꕚꅁ닄21ꣷꅁ닄1듁ꅁ1997꙾ꅁ46-53ꅃ 4. Amir, E., and Y. Ganzach, 1998, Overreaction and Underreaction in Analysts' Forecasts, Journal of Economic Behavior and Organization, 37, 3, 333-347. 5. Baytas, A., and N. Cakici, 1999, Do Markets Overreact: International Evidence, Journal of Banking & Finance, 23, 7, 1121-1144. 6. Black, F., and M. Scholes, 1973, The Pricing of Options and Corporate Liability, Journal of Political Economy, 81, 3, 637-654. 7. Blume, M. E., and R. F. Stambaugh, 1983, Biases in Computed Returns, Journal of Financial Economics, 12, 3, 387-404. 8. Chan, K. C., 1988, On the Contrarian Investment Strategy, Journal of Business, 61, 2, 147-163. 9. Chopra, N., J. Lakonishok, and . Ritter, 1992, Measuring Abnormal Performance: Do Stocks Overreact? Journal of Financial Economics, 31, 2,
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