뗚8뻭뗚3웚뺭볃톧(벾뾯)Vol18,No132009쓪4퓂ChinaEconomicQuarterlyApril,2009쫐뎡볛횵ꆢ짺닺킧싊폫짏쫐릫쮾뛠풪뮯뺭펪:샭싛폫횤뻝샮뷝ꆡ붭쫦퓏3햪ꆡ튪ꆡ샭싛붨쒣뫍쪵횤럖컶뇭쏷,퓚막욱쫐뎡풴엤훃좱랦킧싊뗄쟩뿶쿂,뛠풪뮯뺭펪뛔짏쫐릫쮾뗄쫐뎡볛횵뫍짺닺킧싊뻟폐늻춬펰쿬ꆣ뛠풪뮯뺭펪ퟮ듳뮯쇋쫐뎡볛횵,떫좴쿔훸붵뗍쇋짺닺킧싊ꆣ헢튻랢쿖뷒쪾쇋탂탋쫐뎡쿂뛠풪뮯뺭펪폐ퟅퟔ짭쳘뗣,쯼쳥쿖돶튻훖쫐뎡믺믡훷틥뗄뛌쫓탐캪,늢평듋떼훂쇋릫쮾춶얤쟺뫍뎤웚벨킧쯰쪧ꆣꆡꆡ맘볼듊ꆡ뛠풪뮯,쫐뎡볛횵,킧싊튻ꆢ퇐뺿틢틥뛠풪뮯뺭펪쫇탭뛠짏쫐릫쮾닉폃뗄랢햹닟싔ꆣ춨맽퓚늻춬탐튵짏뗄뫡쿲랢햹,GEꆢ3M뗈늻짙웳튵돉릦뗘쪵쿖삩헅,돉캪뻟폐맺볊뺺헹솦뗄듳웳튵벯췅ꆣ뻍컒맺뗄쟩탎뛸퇔,뷼쓪살튲폐쪤샻폍쳯ꆢ듳쟬폍쳯ꆢ뫬쯾즽ꆢ놦룖뗈웳튵닉폃헢튻랢햹닟싔,욽뻹쎿튻볒릫쮾춶폚럇훷펪튵컱뗄뷰샛믽ퟜ뛮룟듯500틚ꆪ1000틚풪(색쿌욽,2004)ꆣ좻뛸,틔LangandStulz(1994)뫍BergerandOfek(1995)캪듺뇭뗄쪵횤컄쿗랢쿖,뛠풪뮯릫쮾뗄막욱쿠뛔폚평뛠룶튵뮯릫쮾쯹ퟩ돉뗄막욱ퟩ뫏,믡틔튻룶쿠뛔뷏뗍뗄볛룱뷸탐붻틗ꆣ쯻쏇돆횮캪ꆰ뛠풪뮯헛볛ꆱ,늢죏캪헛볛쫇뛠풪뮯뺭펪쯰몦릫쮾쫐뎡볛횵뗄횤뻝;뷢쫍ꆰ뛠풪뮯헛볛ꆱ뗄샭싛컄쿗쯦횮듳솿돶쿖,짦벰캯췐듺샭뫍릫쮾볛횵ퟮ듳뮯닟싔뗈훘튪샭싛컊쳢,뛠풪뮯뺭펪돉쇋듓쪵볹떽샭싛뚼웄뻟헹틩뗄컊쳢ꆣ컒쏇죏캪,LangandStulz(1994)뫍BergerandOfek(1995)뗄퇐뺿쫂쪵짏틾몬쇋솽룶볙뚨:튻쫇볙뚨뛠풪뮯릫쮾뫍쿠뇈뷏뗄튵뮯릫쮾퓚뷸탐닟싔톡퓱쪱펵폐쿠춬3훐즽듳톧쇫쓏톧풺ꆣ춨탅ퟷ헟벰뗘횷:샮뷝,맣훝쫐탂룛컷슷135뫅훐즽듳톧쇫쓏톧풺뺭볃쾵,510275;뗧뮰:(020)84110657,13533663728;E2mail:lijieyu@ꆣ놾컄쫇훐즽듳톧죋컄짧믡뿆톧쟠쓪퇐뺿믹뷰쿮쒿ꆶ짏쫐릫쮾뛠풪뮯뺭펪폫릫쮾볛횵퇐뺿ꆷ뗄퇐뺿돉맻,맺볒짧뿆믹뷰쿮쒿(쿮쒿엺ힼ뫅:06BJY033)ꆢ맣뚫쪡웕춨룟킣죋컄짧믡뿆톧퇐뺿훘뗣쿮쒿(쿮쒿엺ힼ뫅:06JDXM790002)뗄뷗뛎퇐뺿돉맻ꆣ쳘뇰룐킻솽캻쓤쏻짳룥죋쳡돶뗄놦맳틢볻ꆣ컄퓰평ퟷ헟ퟔ뢺ꆣ
1ꆡ048뺭볃톧(벾뾯)뗚8뻭뗄뺭볃뮷뺳;웳튵ퟶ돶뛠풪뮯믲튵뮯뗄뻶닟쫇쯦믺뗄ꆣ뛸쿖쪵훐,릫쮾뗄춶뻶닟쫇튻훖룹뻝룷ퟔ늻춬뺭볃뮷뺳ퟶ돶뗄ퟔ톡퓱탐캪ꆣ늻뺭맽짮죫ꆢ퇏뷷뗄샭싛럖컶뫍쪵횤볬퇩,뷶뷶듓뛠풪뮯틧볛믲헛볛뫜쓑에뛏뛠풪뮯뺭펪뛔릫쮾벨킧뗄헦쪵펰쿬ꆣ샽죧,튵벨쿂붵뗄릫쮾믲탭룼쟣쿲닉폃뛠풪뮯닟싔,쓇쎴벴쪹듦퓚뛠풪뮯틧볛,튲뿉쓜믡놻퇚룇ꆣ뛾쫇볙뚨막욱쫐뎡폐킧,뮻퇔횮,막욱쫐뎡뗄풴엤훃릦쓜쫇췪짆뗄ꆣ퓚헢튻볙뚨쿂,틑폐뗄뛠풪뮯퇐뺿췹췹춣쇴퓚릫쮾쫐뎡볛횵뗄닣쏦짏,늻쓜뷒쪾뛠풪뮯뺭펪뿉쓜쯰몦웳튵튵벨뗄짮닣풭틲ꆣ쫂쪵짏,퓚막욱쫐뎡컞킧뗄쟩뿶쿂,릫쮾뗄쫐뎡볛횵폫쓚퓚뗄짺닺킧싊뫜뿉쓜쿠뮥놳샫ꆣ듋쪱,뛠풪뮯뺭펪쯤좻믡퓶볓릫쮾뗄막욱볛횵,떫좴붵뗍웤짺닺킧싊,듓뛸떼훂릫쮾뗄뎤웚튵벨쿂붵ꆣ뿉볻,퓚훐맺헢퇹뗄탂탋쫐뎡쿂,떥떥뾼싇뛠풪뮯뺭펪뛔릫쮾쫐뎡볛횵뗄펰쿬,늢늻쓜좫쏦뗘랴펳웤뛔릫쮾벨킧뗄킧펦ꆣ놾컄쓢럅쯉짏쫶솽룶볙뚨,뛔훐맺웳튵뛠풪뮯뺭펪뗄벨킧컊쳢햹뾪짮죫퇐뺿:쫗쿈,릹붨샭싛쒣탍첽쳖뛠풪뮯뻶닟뗄ퟔ톡퓱맽돌벰웤퓚쫐뎡컞킧쿂,뛔쫐뎡볛횵뫍짺닺킧싊뗄늻춬펰쿬;웤듎,퓋폃쏦냥릤뻟뇤솿랽램뿋럾ퟔ톡퓱탐캪듸살뗄쓚짺탔컊쳢,헽좷맀볆뫍움볛뛠풪뮯뺭펪킧펦ꆣ쒿잰,컒맺헾뢮맄샸웳튵ퟶ듳ퟶ잿,랢햹뻟폐맺볊뺺헹솦뗄듳웳튵벯췅ꆣ쓇쎴죧뫎헽좷뾴듽웳튵랢햹훐뗄뛠풪뮯뺭펪벰웤뫳맻,쯼폫췢늿뮷뺳,쳘뇰쫇랢믓풴엤훃릦쓜뗄막욱쫐뎡뗄맘쾵죧뫎,쫇튻룶탨튪쟐뫏훐맺쪵볊쟩뿶뷸탐퇐뺿뗄훘튪컊쳢ꆣ컒쏇뗄퇐뺿뇭쏷,폫맺췢돉쫬쫐뎡뗄웳튵쿠뇈,훐맺짏쫐릫쮾뗄뛠풪뮯뺭펪뗄좷뻟폐늻춬뗄쳘뗣,쯼듸폐튻훖쫐뎡믺믡훷틥뗄뛌쫓탔훊,헢쪹뗃뛠풪뮯쓜릻퓶볓쫐뎡볛횵,떫좴쯰몦쇋웳튵쓚퓚뗄짺닺킧싊ꆣ뛾ꆢ컄쿗믘맋뛠풪뮯뺭펪뗄뚯믺벰웤벨킧쫇쿖듺캢맛뺭볃톧퇐뺿뗄믹놾샭싛컊쳢,튲쫇릫쮾닆컱쇬폲훐웄뻟헹틩뗄죈뗣컊쳢ꆣ틔LangandStulz(1994)뫍BergerandOfek(1995)캪듺뇭뗄컄쿗랢쿖쫐뎡볛횵뗄ꆰ뛠풪뮯헛볛ꆱ,늢죏캪헛볛쫇뛠풪뮯뺭펪쯰몦릫쮾벨킧뗄횤뻝;폫듋쿠랴,CampaandKedia(2002)ꆢVillalonga(2004)샻폃ퟔ톡퓱쒣탍ꆢ욥엤뗈랽램뿋럾쓚짺탔컊쳢뫳,랢쿖뛠풪뮯헛볛늻쿔훸,훘믘튵뮯뺭펪뗄릫쮾튲쎻폐킧싊짏뗄쿔훸쳡룟ꆣ쪵횤뷡맻뗄럖웧틽돶탭뛠뮥쿠뺺헹뗄샭싛맛뗣ꆣ웤훐,ퟮ훷튪뗄솽훖퇐뺿뒫춳살ퟔ듺샭샭싛뫍풴믹뒡쮵ꆣ듺샭샭싛죏캪,뛠풪뮯뗄뚯믺쫇뺭샭죋쿫럖즢맜샭럧쿕뫍쒲좡쮽죋샻틦,틲듋뛠풪뮯뺭펪믡쯰몦웳튵벨킧(Stulz,1990;GibbonsandMur2phy,1992;AggarwalandSamwick,2003)ꆣ풴믹뒡쮵(Penrose,1959)퓲쳡돶,뛠풪뮯뚯믺살ퟔ풴뗄킭춬(synergy)ퟷ폃ꆣ믹폚헢튻쮼쿫,Mat2
뗚3웚샮뷝ꆢ붭쫦퓏:쫐뎡볛횵ꆢ짺닺킧싊폫뛠풪뮯뺭펪1ꆡ049susaka(2001)ꆢMaksimovicandPhillips(2002)뗈붨솢쇋탂맅뗤웳튵춶쒣탍,폃틔쮵쏷뛠풪뮯뺭펪쫇퓶볓웳튵벨킧뗄닟싔,헛볛쫇ퟔ톡퓱뗄뷡맻ꆣ헽죧틽퇔쯹쳡,틔짏퇐뺿뚼쫇믹폚춶헟샭탔ꆢ막욱쫐뎡폐킧뗄뒫춳릫쮾닆컱샭싛뿲볜ꆣ좻뛸,막욱쫐뎡뿉쓜좱랦킧싊,벴럇샭탔뗄춶헟쟩탷뿉쓜떼훂막욱볛룱뚨볛듭컳(mispricing)ꆣ횧돖쫐뎡컞킧(marketineffiency)뗄퇐뺿뫜뛠,냼삨튻퓂킧펦ꆢ뚯솿킧펦ꆢ맽뛈랴펦킧펦ꆢ볛룱엝쒭뗈틬뎣쿖쿳뗄탐캪뷰죚컄쿗(Baker,RubackandWurgler,2004)ꆣ뛔폚탂탋뗄훐맺막욱쫐뎡,헢킩틬뎣쿖쿳튲웕뇩듦퓚ꆣ샽죧,늻돉쫬춶헟뗄맽뛈랴펦떼훂막볛욫샫믹놾볛횵;좱랦싲뿕믺훆뫍춶헟탅쓮닮틬믡떼훂듭컳뚨볛틔엝쒭탎쪽뎤웚듦퓚(Mei,ScheinkmanandXiong,2005),뗈뗈ꆣ헽쫇믹폚헢퇹뗄쿖쪵놳뺰,놾컄뎢쫔퓚쫐뎡좱랦킧싊뗄볙짨쿂,퓋폃붨쒣뫍쪵횤랽램퇐뺿뛠풪뮯뺭펪뗄킧펦ꆣ탐캪릫쮾뷰죚뗄펭뫏샭싛(cateringtheory)뇭쏷,릫쮾뺭샭뿉쓜믡캪쇋펭뫏춶헟쟩탷뛸얤쟺짏쫐릫쮾뗄춶쮮욽뻶닟(Panageas,2003;PolkandSapienza,2004;Gilchrist,HimmelbergandHuberman,2005)ꆢ얤쟺볦늢뫏늢믮뚯(ShleiferandVishny,2003)틔벰럖닰(spinoff)믮뚯(QianandSudarsanam,2007)ꆣ평폚펭뫏탐캪놳뫳뗄뿉쓜믺훆뢴퓓뛠퇹,쯹틔퓚붨쒣쪱췹췹돩쿳캪ꆰퟮ듳뮯쿖듦막뚫볛횵ꆱ,듓뛸듳듳볲뮯쒣탍ꆣ퇓탸헢튻쮼쿫,놾컄볙짨뺭샭틔ꆰퟮ듳뮯쿖듦쇷춨막뚫볛횵ꆱ캪쒿뇪뷸탐춶,틔듋뛔뺭샭펭뫏춶헟쟩탷ꆢힷ쟳룟막욱볛룱뗄탐캪뷸탐붨쒣;듓훐퇐뺿컞킧뗄막욱쫐뎡죧뫎얤쟺웳튵뗄뛠풪뮯뻶닟,볌뛸펰쿬웤튵벨ꆣ쯤좻맺쓚듦퓚듳솿럇쇷춨막,떫헢늢늻틢캶ퟅ짏쫶뗄펭뫏탐캪폫쿖쪵늻럻ꆣ쯹폐헟좱캻ꆢ죚탨튪틔벰쓚늿죋룷훖뿉쓜뗄샻틦뻰좡쟾뗀,뚼폐뿉쓜듙쪹뺭샭펭뫏쇷춨막뚫ꆣ쇵뫬훒뫍헅ꆡ(2004)ꆢ쇵뛋뫍돂쫕(2006)ꆢ헅룪뫍췵쏀뷱(2007)뚼랢쿖뺭샭듦퓚펭뫏춶헟쟩탷뗄탐캪,틔훂릫쮾뗄쪵볊춶쮮욽쫜얤쟺ꆣ훬커쿩(2001)춨맽낸샽럖컶룼횸돶퓚막욱쫐뎡움볛릦쓜죵뗄뮷뺳쿂,뛠풪뮯쯤좻뿉쓜훆퓬뛌웚막욱쫐뎡뗄뎴ퟷ킧펦,룸붻틗떼쿲뗄뛌웚춶믺헟뒴퓬믱샻믺믡,떫믡쯰몦릫쮾뎤웚춶볛횵ꆣ뿉볻,놾컄뗄붨쒣쮼쿫퓚훐맺뻟폐쿠떱뗄쿖쪵틀뻝뫍틢틥ꆣ맺쓚뗄뛠풪뮯퇐뺿벯훐퓚볆솿럖컶,닉폃늻춬뗄벨킧횸뇪뫍랽램뗃돶쇋늻춬뗄뷡싛:(1)닉폃뒫춳뗄짏쫐릫쮾닆컱횸뇪(샽죧닺쫕틦싊(ROA)ꆢ쎿막펯샻ꆢ펪튵쎫샻싊뗈)ퟷ캪웳튵벨킧뗄뫢솿,쇵솦(1997)ꆢ훬붭(1999)랢쿖뛠풪뮯뺭펪폫헢킩튵벨횸뇪횮볤늻듦퓚쿔훸쿠맘탔ꆣ십뫩캰뫍삶몣쇖(2001),튦뾡ꆢ싀풴뫍삶몣쇖(2004),쪯쮮욽ꆢ훜펢뚥뫍믆뾤(2006)랢쿖릫쮾뛠풪뮯돌뛈폫ROA횸뇪돊쿔훸뢺쿠맘ꆣ(2)퇘폃뎬뛮쫕틦ퟷ캪릫쮾볛횵뗄뫢솿,뷰쿾뇳뗈(2002)랢쿖뛠풪뮯뺭펪폫릫쮾볛횵컞쿔훸쿠맘맘쾵;쯕뚬캵(2005)퓲랢쿖뛠풪뮯뺭펪폐잿뗄틧볛킧펦ꆣ폫틑폐뗄헢킩컄쿗늻춬,
1ꆡ050뺭볃톧(벾뾯)뗚8뻭놾컄돽쇋닉폃뎬뛮쫕틦ퟷ캪릫쮾쫐뎡볛횵뗄뫢솿췢,뮹닉폃좫튪쯘짺닺싊횸뇪,듓짺닺킧싊뗄뷇뛈뫢솿뎤웚벨킧ꆣ뛠풪뮯돌뛈뫍웳튵볛횵뻟폐쏷쿔뗄쓚짺탔(쯕뚬캵,2005),좻뛸쒿잰맺쓚뗄쪵횤럖컶잷좱뛔헢튻컊쳢뗄뾼싇ꆣ뛔듋,놾컄뗄쪵횤쓢퓚듺샭뇤솿뗄톡퓱뫍볆솿랽램짏ퟷ탂뗄뎢쫔,죧닉폃쏦냥쫽뻝릤뻟뇤솿램,틔퓶잿뷡싛뗄뿉뾿탔ꆣ죽ꆢ샭싛쒣탍(튻)쒣탍쏨쫶닎뾼Stein(1996)ꆢPolkandSapienza(2004)뗈탐캪뷰죚컄쿗,컒쏇퓚MaksimovicandPhillips(2002)뗄뿲볜훐틽죫막욱쫐뎡뗄듭컳뚨볛,틔쮵쏷럇폐킧뗄막욱쫐뎡죧뫎뛔웳튵뗄뛠풪뮯톡퓱벰킧맻닺짺ퟷ폃ꆣ뾼싇튻룶릫쮾떥웚뗄춶뻶닟컊쳢ꆣ볙뚨릫쮾뺭샭틔ퟮ듳뮯쿖듦쇷춨막뚫뗄욽뻹볛횵캪쒿뇪1퓚솽룶탐튵A뫍B짏뷸탐춶,틔듋뛔짏쫐릫쮾펭뫏춶헟쟩탷뗄탐캪뷸탐붨쒣;놾K쫇캨튻뗄춶죫ꆣ릫쮾퓚룷탐튵춶뗄헦쪵볛횵캪V(Ki)=viKi,i=A,B,vi듺뇭릫쮾퓚탐튵i쎿떥캻놾뗄짺닺킧싊ꆣ볙짨막욱쫐뎡컞킧,ꛁi,i=A,B뫢솿쇋듭컳뚨볛돌뛈,ꛁi풽듳틢캶ퟅ맘폚탐튵i뗄뚨볛풽욫샫웤헦쪵볛횵ꆣ평폚막욱쫐뎡뻟폐탅쾢랢쿖릦쓜,헢킩듭컳뚨볛믡쯦쪱볤늻뛏뇤킡,헢튻맽돌짨뚨캪ꛁ-ptie;p뫢솿쇋막욱쫐뎡뗄탅쾢랢쿖쯙뛈,p풽듳듺뇭뚨볛듭컳풽뿬놻뻀헽ꆣ캪쇋쏨쫶춶헟뗄뛌웚춶믺탐캪,볙짨욽뻹쇷춨막뚫뗄막욱돖폐웚럾듓Poisson맽돌,웤닎쫽캪q;q듺뇭쇋춶헟싴돶막욱뗄욽뻹떽듯싊,q풽듳뇭쪾춶헟돖폐웚쿞풽뛌,웤뛌웚춶믺탔풽잿ꆣ2듋쪱,뺭샭뗄ퟮ폅뻶닟컊쳢릹붨캪:SV=max(maxSVD,maxSVSA,mBaxSVS),(1)cꇊ{D,SA,SB}KA>0,KB>0KA>0KB>0SVDꇔꇒꇞ[(1+ꛁ-pt-qtAe)V(KA)+(1+ꛁ-ptBe)V(KB)]qedtt=0-C(KA,KB),(2)SVSiꇔꇒꇞ(1+ꛁ-pt)ieV(K-qti)qedt-C(Ki),ꆡi=A,B,(3)t=01Stein(1997)뗈컄쿗쫇볙뚨ퟮ듳뮯쿖듦막뚫뗄욽뻹볛횵;평폚컒맺ꆰ막좨럖훃ꆱ룄룯잰듦퓚듳솿럇쇷춨막,막욱쫐뎡뗄춶헟쟩탷쳥쿖캪쇷춨막뚫쟩탷,틲듋헫뛔ꆰ쿖듦쇷춨막뚫ꆱ뷸탐볙뚨ꆣ떱좻,막좨럖훃룄룯뫳,룃쒣탍죔좻쫊폃,뛸쟒늻탨튪퓙잿뗷ꆰ쇷춨막뚫ꆱꆣ2냑막욱돖폐웚췢짺뗘죚죫ꆰ쿖듦막뚫볛횵ퟮ듳뮯ꆱ뗄뿲볜훐,쓜퓚싺ퟣ컒쏇뗄럖컶쒿뇪쿂듳듳볲뮯쒣탍;벴뺲첬뗄ퟮ폅뮯컊쳢(1)폐냼몬닎쫽q뗄쿔쪾뷢,춨맽뇈뷏뺲첬럖컶,뻍쓜뾴떽q뗄뇤뮯죧뫎펰쿬떽뺭샭춶뻶닟ꆣ퓚놾컄,쳘뚨뗄q뿉틔놻뾴ퟶ쫇튻훖만폐좺쳥뗄탄샭틲쯘뗄쳥쿖,샽죧퓚튻냣쟩뿶쿂,룶죋춶헟뚼뇈믺릹춶헟룼볓춶믺,틲뛸볙짨웤뻟폐췢짺탔,뻟폐뫏샭탔ꆣ
뗚3웚샮뷝ꆢ붭쫦퓏:쫐뎡볛횵ꆢ짺닺킧싊폫뛠풪뮯뺭펪1ꆡ051웤훐,SVD,SVSi럖뇰쫇뛠풪뮯뫍튵뮯쿂뗄막뚫볛횵,튲돆릫쮾뗄쫐뎡볛횵;믽럖늿럖듺뇭쇋쿖듦막뚫뗄웚췻쫕죫,쯼쫇릫쮾헦쪵볛횵놻뷒쪾잰뫳뗄막욱볛룱뗄볓좨욽뻹ꆣ볙뚨돉놾몯쫽C(KA,KB)=rAK2A+rBK2B+ꛘ(KA+K2B);잰솽쿮쳥쿖쇋탂맅뗤쒣탍탐튵돉놾뗝퓶뗄볙짨;뗚죽쿮쳥쿖쇋퓚튻룶탐튵뗄삩헅믡펰쿬퓚쇭튻룶탐튵뗄돉놾뗄볙뚨ꆣ쿠펦뗄튵뮯돉놾몯쫽캪C(Ki)=riK2i+ꛘK2i,i=A,Bꆣ(뛾)폐킧쫐뎡쿂,뺭샭뗄ퟮ폅춶닟싔폫풴엤훃킧펦폐킧쫐뎡틢캶ퟅ늻듦퓚듭컳뚨볛,벴ꛁi=0,i=A,Bꆣퟮ폅컊쳢뗄(2)ꆢ(3)쪽뇤캪:LSVDꇔvAKA+vBKB-rAK2A-rBK2B-ꛘ(KA+K2B),(4)LSVSiꇔviKi-riK2i-ꛘK2i,ꆡi=A,B.(5)쟳뷢평(1)ꆢ(4)ꆢ(5)쪽ퟩ돉뗄ퟮ폅뮯컊쳢,죝틗뗃떽:쏼쳢1ꆡ뺭샭룹뻝릫쮾뗄ꆰ쿠뛔짺닺킧싊ꆱퟶ돶쫇럱뛠풪뮯뗄ퟮ폅뻶닟ꆣrA+ꛘ(i)떱vAꛘ>A<vBrB+ꛘ쟒vꛘvB쪱,릫쮾톡퓱뛠풪뮯,듋쪱vKD,eA=ArB+ꛘ(vA-vB)2rA(rB+ꛘ)+2rBꛘ,ꆡKD,evB=BrA+ꛘ(vB-vA)32rB(rA+ꛘ)+2rAꛘ;(ii)떱vAꇜꛘrB+ꛘvB쪱,릫쮾톡퓱퓚탐튵B튵뮯,듋쪱KS,evB=B;2(rB+ꛘ)(iii)떱vAꇝrA+ꛘꛘvB쪱,릫쮾톡퓱퓚탐튵A튵뮯,듋쪱KS,evA=(rA+ꛘ)ꆡꆡ횤쏷폫쏼쳢2쿠쯆,닎볻뢽슼뛔쏼쳢2뗄횤쏷ꆣ짏쫶쏼쳢뿉틔평춼1쏨쫶,떱vA쿠뛔뷏룟,릫쮾퓚A탐튵짏튵뮯;떱솽룶탐튵뗄짺닺킧싊쿠쯆,릫쮾뻍믡뛠풪뮯ꆣ뿉볻,퓚폐킧쫐뎡훐,평폚쒿뇪몯쫽(4)ꆢ(5)폫pꆢq컞맘,ퟮ듳뮯릫쮾쫐뎡볛횵붫쓜ퟮ폅뮯풴엤훃,3춶죫K뗄짏뇪D믲S럖뇰뇭쪾뛠풪뮯믲튵뮯;짏뇪e뇭쪾폐킧(efficient)쫐뎡쿂뗄뷢,쿂컄돶쿖뗄ne퓲뇭쪾컞킧쫐뎡쿂뗄뷢ꆣK뗄쿂뇪A믲B뇭쪾탐튵ꆣ
1ꆡ052뺭볃톧(벾뾯)뗚8뻭쪹뗃놾쓜럖엤떽릫쮾짺닺킧싊룟뗄탐튵짏;뮻퇔횮,뺭샭죋쓜룹뻝릫쮾퓚룷탐튵뗄헦쪵짺닺킧싊톡퓱ퟮ폅뗄뺭펪쇬폲뫍춶쮮욽ꆣ캪쇋뇣폚폫컞킧막욱쫐뎡뗄쟩뿶뇈뷏,(4)ꆢ(5)쪽돆캪릫쮾뗄뎤웚벨킧,볇캪LSV,웤ퟮ폅횵쳥쿖쇋릫쮾뎤웚벨킧뗄ퟮ폅뮯ꆣ춼1ꆡ폐킧쫐뎡쿂뺭샭뗄ퟮ폅춶(죽)뛠풪뮯뺭펪뗄쓚짺탔컊쳢듓쒣탍뿉틔룼뫃샭뷢,평폚듦퓚쓚짺탔컊쳢,춨맽늻춬웳튵뗄쫽뻝뇈뷏뛸볆쯣돶살뗄볲떥뗄헛볛믲틧볛늢늻쓜듺뇭뛠풪뮯뺭펪뗄헦헽킧펦ꆣ늻럁볙뚨릫쮾S뫍릫쮾D뗄돉놾닎쫽뚼쿠춬,퓚솽룶탐튵뗄짺닺킧싊짏,릫쮾S뚼뇈릫쮾D룟,죧춼1뗄뗣S뫍뗣Dꆣ룹뻝ퟔ짭뗄ꆰ쿠뛔짺닺킧싊뇈ꆱ,릫쮾D톡퓱뛠풪뮯,릫쮾S톡퓱튵뮯;늻쓑랢쿖,떱퇐뺿헟횻쓜맛달떽솽룶웳튵뗄뻶닟뷡맻틔벰뻶닟뫳뗄릫쮾볛횵,뛔듋ퟷ뇈뷏뫳,쯻믡뗃떽뛠풪뮯헛볛ꆣ떫헢쫇틲캪톡퓱뛠풪뮯뗄릫쮾놾살뻍쫇짺닺킧싊뷏뗍뗄릫쮾,뛸늻쫇뛠풪뮯틽웰릫쮾볛횵뗄쿂붵ꆣ잡잡쿠랴,퓚헢룶샽ퟓ훐,뛠풪뮯쫇볛횵퓶볓뗄뻶닟ꆣ뿉볻,샭싛럖컶쓜죃컒쏇룼뫃뗘죏쪶뛠풪뮯뺭펪뗄헦헽킧펦4,늢쳡탑컒쏇퓚쪵횤럖컶훐튪뒦샭뫃쓚짺탔컊쳢ꆣ(쯄)컞킧쫐뎡쿂,뺭샭뗄ퟮ폅춶닟싔폫풴엤훃킧펦ꛁAꆢꛁB훁짙폐튻룶늻뗈폚쇣틢캶ퟅ막욱쫐뎡듦퓚뚨볛듭컳,쫐뎡컞킧ꆣ쟳뷢평(1)ꆢ(2)ꆢ(3)쪽ퟩ돉뗄ퟮ듳뮯컊쳢,뗃떽쏼쳢2:쏼쳢2ꆡ떱막욱쫐뎡컞킧쪱,뺭샭뗄ퟮ폅춶뻶닟캪:4듓쿂컄뗄샭싛럖컶붫뾴떽,퓚컞킧쫐뎡뗄쟩탎쿂,뛠풪뮯뻶닟뿉쓜쫇쯰몦뎤웚벨킧뗄뻶닟ꆣ
뗚3웚샮뷝ꆢ붭쫦퓏:쫐뎡볛횵ꆢ짺닺킧싊폫뛠풪뮯뺭펪1ꆡ053ꛄBꛘ(i)떱ꛄBrA+ꛘvA>ꛄA<ArB+ꛘvB쟒vꛄAꛘvB쪱,릫쮾톡퓱뛠풪뮯;듋쪱KD,neꛄA=AvArB+ꛘ(ꛄAvA-ꛄBvB)2rA(rB+ꛘ)+2rBꛘ,ꆡKD,neꛄB=BvBrA+ꛘ(ꛄBvB-ꛄAvA)2rB(rA+ꛘ)+2rAꛘ;웤훐ꛄꛁiqi=1+,i=A,Bꆣp+q(ii)떱vAꇜꛄBꛘꛄArB+ꛘvB쪱,릫쮾톡퓱퓚탐튵B튵뮯,듋쪱KS,neꛄB=BvB2(rB+ꛘ;)ꆡꆡ(iii)떱vAꇝꛄBrA+ꛘꛄAꛘvB쪱,릫쮾톡퓱퓚탐튵A튵뮯,듋쪱KS,neꛄAvAA=.2(rA+ꛘ)ꆡꆡ횤쏷볻뢽슼ꆣ폫쏼쳢1뗄뷢쿠뇈뿉뾴돶,뺭샭춶뻶닟뗄뇤뮯쫇평ꛄ틽웰뗄ꆣ쫗쿈,쿠뛔듭컳뚨볛뇈ꛄB/ꛄA뗄듦퓚틽웰쇋뛠풪뮯뻶닟쪵탐랶캧뗄뇤뮯5;웤듎,ꛄ뮹룄뇤쇋ퟮ폅뗄춶쮮욽ꆣꛄ훐뗄닎쫽pꆢq럖뇰랴펳쇋막욱쫐뎡컞킧싊뗄ힴ뿶;q풽킡,p풽듳,ꛄ뗄좡횵풽욫훘폚ꛁ;헢틢캶ퟅ떱춶헟풽춶믺,탅쾢랢쿖쯙뛈풽싽쪱,뺭샭믡풽폐뚯믺샻폃듭컳뚨볛ퟮ듳뮯쫐뎡볛횵,뺭펪랶캧뫍춶쮮욽쯦횮뇤뮯풽듳ꆣ컒쏇냑컞킧쫐뎡쿂,춶닟싔뗄짏쫶뇤뮯돆캪ꆰ얤쟺ꆱ,헢쫇틲캪쯼뷶뷶ퟮ듳뮯쇋쫐뎡볛횵,뛸컾짼쇋릫쮾뗄뎤웚벨킧LSVꆣ웤훐퓚춼2뗄쟸폲B,뺭샭톡퓱뛠풪뮯뺭펪ퟮ듳뮯쫐뎡볛횵,쪵쿖쇋쿖듦막뚫뗄닆뢻퓶횵,떫헢튻닟싔떼훂쇋쿠펦뗄뎤웚벨킧LSVne=LSV(KD,neA,KD,neB)ꆣ죧맻뺭샭틔ퟮ듳뮯LSV캪쒿뇪뗄뮰,쯻믡톡퓱퓚탐튵B튵뮯,뗃떽뎤웚벨킧LSVe=LSV(KS,eB)ꆣ6죝틗횤쏷:LSVne<LSVeꆣ뮻퇔횮,릫쮾놾살펦룃튵뮯좴뷸탐쇋뛠풪뮯,뷡맻뛠풪뮯뻶닟쯰몦쇋릫쮾뗄뎤웚벨킧ꆣ컒쏇냑짏쫶럖컶ퟜ뷡캪쏼쳢3:쏼쳢3ꆡ뛠풪뮯뺭펪믡틲쫐뎡컞킧싊뛸듸폐뛌쫓탔ꆣ쯼쯤좻ퟮ듳뮯쇋쫐뎡볛횵,떫좴뿉쓜쯰몦릫쮾뗄뎤웚벨킧ꆣ5죧춼2쯹쪾,평폚쫜떽ꛄB/ꛄA뗄펰쿬,춼1뗄쪵쿟캧돉뗄쟸폲믡쓦쪱헫탽,뇤돉춼2탩쿟캧돉뗄쟸폲ꆣ떱좻,춼1쪵쿟캧돉뗄쟸폲튲뿉쓜쮳쪱헫탽ꆣ솽훖쟩탎뗄럖컶췪좫춬샭ꆣ6죧맻춼1훐뗄뛠풪뮯쟸폲쮳쪱헫탽,춼2춬퇹튲믡돶쿖튻룶폫쟸폲B쿠쯆뗄쟸볤,듋쪱,뺭샭틔ퟮ듳뮯LSV캪쒿뇪뗄뮰,쯻믡톡퓱퓚탐튵A튵뮯ꆣ뷡맻춬퇹뿉틔뗃돶,LSVne<LSVeꆣ
1ꆡ054뺭볃톧(벾뾯)뗚8뻭춼2ꆡ컞킧쫐뎡쿂뺭샭뗄ퟮ폅춶쯄ꆢ쪵횤랽램폫쫽뻝(튻)쪵횤쮼슷폫랽램놾컄쒣탍뗄뫋탄뷡싛쫇쏼쳢3,쯼풤쪾ퟅ,퓚막욱쫐뎡컞킧뗄쟩뿶쿂,떱릫쮾뒦폚쒳킩쟸폲쪱,뛠풪뮯뻶닟쯤좻ퟮ듳뮯쇋쫐뎡볛횵,떫좴믡쯰몦뎤웚튵벨ꆣ쿂쏦,컒쏇붫춨맽맀볆뛠풪뮯뻶닟폫쫐뎡볛횵ꆢ뎤웚튵벨뗄맘쾵살뾼달퓚탂탋뗄막욱쫐뎡쿂,훐맺웳튵뗄뛠풪뮯뺭펪쫇럱웕뇩뒦폚헢킩컞킧싊뗄쟸폲ꆣ볆솿쒣탍캪만뚨킧펦뗄쏦냥쫽뻝쒣탍:Vit=ꛂꇤXit+ꛁDit+ꛅit,(6)웤훐V쫇쫐뎡볛횵믲뎤웚벨킧;D쫇뛠풪뮯횸뇪;X쫇쏨쫶릫쮾쳘헷뗄뿘훆뇤솿ꆣꛅit=ꛌi+ꛃt+ꛍit,ꛌi쫇웳튵킧펦,ꛃt쫇쪱볤킧펦ꆣ튪쿫헽좷맀볆쒣탍(6),쫗쿈탨튪뷢뻶솽룶쓑쳢:튻쫇캪쫐뎡볛횵ꆢ뎤웚벨킧톰헒뫏쫊뗄듺샭뇤솿ꆣ뛾쫇뿋럾잰컄쯹쳡떽뗄쓚짺탔컊쳢ꆣ듓샭싛쒣탍뗃떽웴랢,컒쏇쫗쿈릹붨뎬뛮쫐뎡쫕틦EV뫍좫튪쯘짺닺싊TFP살럖뇰뫢솿웳튵뗄쫐뎡볛횵뫍뎤웚벨킧7,늢퓚릹붨뗄맽돌훐업돽탐튵뗄펰쿬ꆣ좻뫳퓙샻폃뫢솿탐튵ힴ뿶뗄뇤솿ퟷ캪릤뻟뇤솿,닉폃쏦냥쫽뻝솽뷗뛎ퟮ킡뛾돋램(PanelTwoStageLeastSquares)뷸탐맀볆,뿋럾쓚짺탔컊쳢ꆣ(뛾)쫽뻝쏨쫶폫뇤솿릹붨놾컄톡좡쇋2000쓪떽2006쓪볤뗄A막짏쫐릫쮾쫽뻝캪풭쪼퇹놾ꆣ뛠풪7뛔폚헢킩뇤솿뗄릹붨풭샭,쿂컄폐쿪쾸뷩짜ꆣ
뗚3웚샮뷝ꆢ붭쫦퓏:쫐뎡볛횵ꆢ짺닺킧싊폫뛠풪뮯뺭펪1ꆡ055뮯쫽뻝ꆢ붻틗쫽뻝틔벰닆컱쫽뻝뻹살풴폚Wind쫽뻝뿢ꆣ쳞돽쇋뷰죚샠릫쮾ꆢ놻쳘뇰뒦샭뗄릫쮾틔벰쫽뻝늻좫믲쫽뻝폐컊쳢뗄릫쮾퇹놾뗣뫳,뗃떽튻룶7쓪뗄쫽뻝벯;웤훐쎿쓪냼몬뗄릫쮾쫽죧뇭1쯹쪾ꆣ뇭1ꆡ2000ꆪ2006쓪짏쫐릫쮾뛠풪뮯뺭펪ힴ뿶2000200120022003200420052006릫쮾룶쫽499584744926106410711123뛠풪뮯릫쮾햼뇈(%)뻹횵뇪ힼ닮뻹횵뇪ힼ닮뻹횵뇪ힼ닮ꆡꆡ1.뛠풪뮯횸뇪뗄뫢솿샻폃Wind쫽뻝뿢짏뗄럖탐튵훷펪튵컱뗄풭쪼쫽뻝,닉폃2001쓪4퓂훐맺횤볠믡냤늼뗄ꆶ짏쫐릫쮾탐튵럖샠횸틽ꆷ뗄3캻쫽듺싫붫릫쮾룷쿮훷펪튵컱쫕죫뮮럖돉92샠,릹붨돶죽훖뛠풪뮯뺭펪돌뛈횸뇪:ꋙ탐튵쫽(N):훷펪튵컱쯹짦벰뗄탐튵룶쫽ꆣMꋚ쫕죫Entropy횸쫽(EI):EI=6piln(1/pi)ꆣ뛠풪뮯돌뛈풽룟,릫i=1쮾훷튵풽늻춻돶,쫕죫뻍풽룟ꆣ떱웳튵튵뮯뺭펪쪱,룃횸뇪뗄쫽횵캪0ꆣMꋛ쫕죫Herfindahl횸쫽(H2I):HI=6pi,웤훐pi캪탐튵쫕죫햼ퟜ쫕i=1죫뗄뇈훘ꆣ뛠풪뮯돌뛈풽룟,Herfindahl횸쫽뻍풽뗍,떱웳튵튵뮯뺭펪쪱,룃횸쫽캪1ꆣ횸뇪뗄춳볆쏨쫶볻뇭1ꆣꆰ뛠풪뮯릫쮾햼뇈ꆱ뇭쏷,컞싛쓄룶쓪럝,뛠풪뮯뺭펪뗄릫쮾뚼햼쇋냫쫽틔짏;듓훐뾴떽닉폃뛠풪뮯닟싔퓚훐맺짏쫐릫쮾훐뗄웕뇩탔ꆣ떫쫇,훐맺짏쫐릫쮾뗄뛠풪뮯돌뛈늢늻쫇뫜룟,ꆰ탐튵쫽Nꆱ뗄춳볆쏨쫶뇭쏷,듳늿럖릫쮾퓚2ꆪ3룶탐튵샠뇰짏뛠풪뮯ꆣ2.릫쮾쫐뎡볛횵뗄뫢솿퇘폃BergerandOfek(1995)뗄뎬뛮쫕틦(EV)뫢솿짏쫐릫쮾뗄쫐뎡볛M횵,벴EV=ln[V/I(V)];웤훐,I(V)=6salei[Indi(V/sale)m]듺뇭뛠풪뮯i=1릫쮾뗄탩쓢볛횵,salei듺뇭룷늿쏅뗄쫕죫,Indi(V/sale)m듺뇭쿠뛔펦탐튵튵뮯릫쮾ퟜ쫐횵쫕죫뇈뗄훐캻쫽ꆣ뻟쳥뛸퇔,쫗쿈볆쯣쎿볤튵뮯릫쮾뗄ퟜ쫐횵쫕죫뇈,늢럖탐튵볆쯣돶훐캻쫽ퟷ캪룃탐튵튵뮯릫쮾욽뻹뺭펪쮮욽뗄뫢솿;좻뫳,폃뛠풪뮯릫쮾룷뺭펪떥풪뗄쿺쫛뛮ퟷ캪좨훘,뗃떽뛠풪뮯릫쮾뗄탩쓢볛횵;릫쮾뗄뎬뛮쫕틦뻍뗈폚릫쮾헦쪵쫐횵뗄뛔쫽복좥탩쓢볛횵뗄뛔
1ꆡ056뺭볃톧(벾뾯)뗚8뻭쫽;헢튻늽쪹뗃EV업돽쇋탐튵틲쯘뗄펰쿬ꆣ듓웤볆쯣뿉뾴떽,폫뎣폃뗄To2binQ쿠춬,EV튲횱뷓퓌몭쇋릫쮾쫐뎡볛횵뗄탅쾢,쫇쫐뎡볛횵뗄뫏샭듺샭뇤솿ꆣ늻춬뗄쫇,EV업돽쇋탐튵틲쯘뗄펰쿬,쪹뗃퓚랽돌(6)뗄맀볆훐쓜틔탐튵틲쯘뇤솿ퟷ캪릤뻟뇤솿ꆣ3.릫쮾짺닺킧싊뗄뫢솿놾컄듓짺닺킧싊헢튻닠쏦살뿌뮭릫쮾뗄뎤웚벨킧ꆣ폫ROA뗈죝틗쫜닙ퟝ뗄닆컱횸뇪쿠뇈,짺닺킧싊쫇릫쮾뿉럱돖탸랢햹뗄룼훘튪ꆢ룼뿍맛뗄움볛횸뇪ꆣ놾컄뗄쒣탍뇭쏷,풴엤훃얤쟺뗃풽퇏훘,릫쮾ퟜ뗄짺닺킧싊풽뗍,웤뎤웚벨킧튲풽닮ꆣ틲듋,컒쏇샻폃좫튪쯘짺닺싊(TFP)뫢솿릫쮾뗄짺닺킧싊(Schoar,2002),볌뛸듓짺닺킧싊헢튻뷇뛈퇐뺿뛠풪뮯뺭펪뛔뎤웚벨킧뗄헦쪵펰쿬ꆣ춨맽뛔쫽쿟탔뗄Cobb2Douglas짺닺몯쫽믘맩:ln(yijt)=ajt+bln(Kijt)+cln(Lijt)+dln(Mijt)+ꛅijt,(7)웤훐,쿂뇪i캪릫쮾뇪쪶,쿂뇪j캪릫쮾쯹퓚탐튵,쿂뇪t캪쯹뒦쓪럝ꆣyijt듺뇭닺돶,폃떱쓪훷펪튵컱쫕죫뫍욽뻹듦믵뗄퓶솿횮뫍뫢솿ꆣKijt듺뇭놾춶죫,폃떱쓪뗄욽뻹만뚨닺뫢솿ꆣLijt듺뇭샍뚯솦춶죫,폃릫쮾쿖뷰쇷솿뇭훐ꆰ횧뢶풱릤릤뗄쿖뷰쇷돶ꆱ튻쿮틔벰릫쮾떱쓪욽뻹펦뢶릤뗄퓶솿횮뫍뫢솿ꆣMijt듺뇭릫쮾훐볤닺욷ꆢ풭쇏틔벰쓜풴뗈뗄춶죫,폃릫쮾쿖뷰쇷솿뇭훐ꆰ릺싲닺욷폫샍컱뗄쿖뷰쇷돶ꆱ튻쿮틔벰릫쮾떱쓪욽뻹펦뢶헋뿮뗄퓶솿ퟷ캪뫢솿ꆣ랽돌(7)쫇뿘훆쇋탐튵킧펦뫍쪱볤킧펦뗄만뚨킧펦쒣탍;믘맩뗃떽뗄닐닮뇣쫇좫튪쯘짺닺싊(TFP),뻟쳥볻뢽슼2ꆣ평폚믘맩춨맽ajt뿘훆쇋탐튵킧펦,틲뛸쯼뿉틔샭뷢캪튻룶릫쮾퓚웤쯹퓚탐튵훐뗄쿠뛔짺닺킧싊,벴업돽쇋탐튵틲쯘뗄펰쿬ꆣ4.뿘훆뇤솿뗄릹붨폫릤뻟뇤솿뗄톡퓱닎뾼틑폐뗄컄쿗,죧CampaandKedia(2002),틔벰훐맺쳘쫢뗄훆뛈놳뺰,컒쏇틽죫튻킩뇘튪뗄릫쮾쳘헷뇤솿ퟷ캪뿘훆뇤솿ꆣꋙLNSZ:릫쮾ퟜ닺뛔쫽,뫢솿맦쒣듳킡ꆣꋚEBIT/SALE:쾢쮰잰쫕/훷펪튵컱쫕죫,뫢솿릫쮾뗄믱샻쓜솦ꆣꋛDEBT/ASSET:뎤웚뢺햮/ퟜ닺,뫢솿릫쮾뗄죚룜룋돌뛈ꆣꋜTURNOVER:쓪뻹뮻쫖싊,뫢솿룃막욱뗄춶헟쟩탷ꆣꋝR&D/SALE:컞탎닺/훷펪튵컱쫕죫,뷼쯆뫢솿릫쮾퓚R&D뗄춶죫햼뇈ꆣꋞFLOATRT:쇷춨막뇈샽,뫢솿훐맺짏쫐릫쮾쳘폐뗄막좨쳘뗣,튲뷼쯆뫢솿헾뢮룉풤돌뛈ꆣ릤뻟뇤솿뗄톡퓱:PSDIV,뚨틥캪릫쮾쯹퓚탐튵훐뛠풪뮯릫쮾쿺쫛솿쯹햼뇈샽ꆣ쯼쫇쏨쫶룷룶탐튵뛠풪뮯뺭펪쟣쿲듳킡뗄탐튵틲쯘뇤솿;PSDIV쓜릻돉캪뛠풪뮯뗄릤뻟뇤솿쫇틲캪쯼폫뛠풪뮯뻶닟쿠맘;춬쪱뎬뛮쫕틦(EV)
뗚3웚샮뷝ꆢ붭쫦퓏:쫐뎡볛횵ꆢ짺닺킧싊폫뛠풪뮯뺭펪1ꆡ057틔벰좫튪쯘짺닺싊(TFP)뗄릹퓬뚼틑뺭업돽탐튵틲쯘뗄펰쿬,틲뛸쯼폖폫랽돌(6)뗄죅뚯쿮컞맘ꆣ8컥ꆢ쪵횤뷡맻폫럖컶(튻)뛠풪뮯뺭펪뛔쫐뎡볛횵뗄펰쿬뇭2뗄쒣탍I떽III쇐돶쇋틔EIꆢN뫍HIퟷ캪뛠풪뮯횸뇪,틔PSDIVퟷ캪릤뻟뇤솿뗄쏦냥솽뷗뛎ퟮ킡뛾돋램(PanelTSLS)뗄맀볆뷡맻,캪쇋뇈뷏,컒쏇뮹룸돶쇋틔EIퟷ캪뛠풪뮯횸뇪뗄쏦냥만뚨킧펦(FixedEffect)쒣탍ꆣ듓훐뾴떽,퓚뿘훆쇋릫쮾뗄튻킩쓚퓚쳘헷(맦쒣듳킡ꆢ믱샻쓜솦ꆢ뢺햮돌뛈ꆢ컞탎닺뇈샽ꆢ막욱뮻쫖싊)뫳,만뚨킧펦쒣탍훐뗄뛠풪뮯뇤솿EI퓚1%뗄쿔훸탔쮮욽쿂쿔훸캪뢺ꆣ벴뛠풪뮯뺭펪쯰몦쇋릫쮾뗄쫐뎡볛횵,뛠풪뮯돌뛈풽룟,쯰몦뗄돌뛈풽룟ꆣ헢폫맺쓚췢듳늿럖쪵횤뷡맻랢쿖뗄ꆰ뛠풪뮯헛볛ꆱ쿖쿳쿠튻훂ꆣ뇭2ꆡ뛠풪뮯뺭펪뛔릫쮾쫐뎡볛횵뗄펰쿬놻뷢쫍뇤솿EV뷢쫍뇤솿PanelTSLSPanelTSLSPanelTSLSFixedEffect쒣탍I쒣탍II쒣탍IIIꆡꆡꆡꆡ()()()()ꆡ()()ꆡ(N)()()()()()().035233ꆡꆡꆡ
1ꆡ058뺭볃톧(벾뾯)뗚8뻭(탸뇭)뿘훆쇋룶쳥킧펦뫍쪱볤킧펦퇹놾쫽뗄P횵볬퇩뗄P횵ꆡꆡ힢33333:,틔벰3럖뇰뇭쪾쾵쫽퓚1%,5%틔벰10%뗄쿔훸쮮욽쿂쿔훸ꆣ삨뫅훐쫇뺭맽Robust랽램뗷헻뗄뇪ힼ닮ꆣꆡꆡ좻뛸,헢퇹뗄뷡맻늢늻뿉뾿,틲캪쯼쎻폐뾼싇뛠풪뮯뺭펪ퟔ톡퓱탐캪틽웰뗄쓚짺탔컊쳢ꆣPanelTSLS쒣탍I뗄맀볆뷡맻뇭쏷,퓚뿘훆쇋쓚짺탔뫳,뛠풪뮯뇤솿EI뗄쾵쫽늻퓙쿔훸,럻뫅평뢺뇤캪헽;웤쯻뿘훆뇤솿뗄쾵쫽튲랢쿖쇋뷏듳뇤뮯ꆣPanelTSLS쒣탍II뫍III뗄맀볆뷡맻폫쒣탍I쿠쯆,뛠풪뮯횸뇪뚼늻쿔훸;헢횤쏷쇋듺샭뇤솿톡퓱뗄컈붡탔ꆣ퓚쒣탍I떽III훐,볬퇩랽돌쫇럱듦퓚쓚짺탔뗄HausmanTest뗄P횵틀듎쫇010332ꆢ010355틔벰010362,뻹킡폚0105,뿉볻랽돌좷쪵듦퓚쓚짺탔컊쳢ꆣ컒쏇뮹룸돶쇋TSLS뗚튻뷗뛎맀볆훐,릤뻟뇤솿PSDIV쾵쫽뗄P횵,뻹킡폚0105,쒣탍I뫍쒣탍III훐짵훁킡폚0101,쮵쏷PSDIV폫뛠풪뮯뻶닟럇뎣쿠맘,쫇튻룶잿뗄릤뻟뇤솿ꆣ뛠풪뮯뇤솿쾵쫽뗄쿔훸뇤뮯뇭쏷,만뚨킧펦훐랢쿖뗄뛠풪뮯헛볛쫇쓚짺탔쯹듸살뗄춳볆욫닮ꆣTSLS맀볆훐뛠풪뮯쾵쫽늻쿔훸,잡뫃폫쒣탍뗄볙짨쿠럻,벴릫쮾쫇캪쇋쪹쫐뎡볛횵ퟮ듳뮯뛸톡퓱쫇럱뛠풪뮯믲튵뮯ꆣ평폚퇹놾훐볈듦퓚뛠풪뮯릫쮾튲듦퓚튵뮯릫쮾,솽헟뛔쫐뎡볛횵뗄펰쿬퓚춳볆틢틥짏믡뮥쿠뗖쿻,쯹틔컒쏇헒늻떽쿔훸맘쾵ꆣ쯤좻죧듋,쒣탍I훐뛠풪뮯쾵쫽평뢺뇤캪헽,뫜뿉쓜랴펳쇋퓚훐맺막욱쫐뎡쿂,뛠풪뮯뺭펪뛔쫐뎡볛횵폐룼잿뗄퓶볓ퟷ폃ꆣ퓚탐캪뷰죚퇐뺿훐,맦쒣킡믲뮻쫖싊룟뗄릫쮾튻냣틢캶ퟅ뻟폐춶믺탔잿뗄막뚫ꆣ릫쮾맦쒣LNSZ뫍막욱뮻쫖싊TURNOVER퓚PanelTSLS쒣탍쿂쯤좻뚼늻쿔훸,떫웤럻뫅랽쿲폫샭싛쒣탍쿠럻,벴떱쫐뎡볛횵쫜떽컞킧쫐뎡뗄펰쿬쪱,릫쮾맦쒣풽킡,뮻쫖싊풽룟,쫐뎡볛횵풽룟ꆣ쇭췢횵뗃힢틢뗄랢쿖쫇,뢺햮닺뇈폫컞탎닺뇈뚼쿔훸캪헽,뛸쟒쿠떱컈붡ꆣ쯼뿉쓜랴펳,퓚췆뚯쫐뎡볛횵퓶뎤뗄맽돌훐,릫쮾룼볓욫뫃햮좨죚틔벰컞탎닺뗄춶죫ꆣ(뛾)뛠풪뮯뺭펪뛔짺닺킧싊뗄헛볛킧펦캪쇋첽쳖뛠풪뮯뺭펪뛔뎤웚벨킧뗄펰쿬,컒쏇틔좫튪쯘짺닺싊TFPퟷ캪놻뷢쫍뇤솿,뛔쏦냥쫽뻝쒣탍(6)뷸탐맀볆ꆣ듓(7)쪽닐닮뛸살뗄TFP늻쫜탐튵튪쯘펰쿬,틲듋죔쓜쪹폃PSDIVퟷ캪릤뻟뇤솿뷸탐PanelTSLS맀볆ꆣ뇭3쇐돶쇋맘폚TFP뗄맀볆뷡맻ꆣ듓만뚨킧펦쒣탍떽PanelTSLS쒣탍I,뷢쫍뇤솿뗄쿔훸탔쮮욽뫍럻뫅뇤뮯뫜킡ꆣHausman볬퇩뗄P횵뻹듳폚0105,뷓
뗚3웚샮뷝ꆢ붭쫦퓏:쫐뎡볛횵ꆢ짺닺킧싊폫뛠풪뮯뺭펪1ꆡ059뷼012,헢듺뇭쓚짺탔컊쳢늻퇏훘,릤뻟뇤솿뗄펦폃뛔맀볆뗄룄짆늻듳ꆣ캪쇋뇣폚폫뇭2뇈뷏,컒쏇죔좻룸돶쇋PanelTSLS쒣탍II뫍III뗄뷡맻ꆣ뷡맻쿔쪾,뛠풪뮯횸뇪EI뫍N뻹퓚5%뗄쮮욽쿂쿔훸캪뢺,HI쿔훸캪헽ꆣ헢컈붡뗄뷡맻뷒쪾쇋퓚훐맺탂탋막욱쫐뎡쿂,웳튵뗄뛠풪뮯뺭펪닟싔웕뇩캻폚좱랦킧싊뗄쟸폲Dꆣ뮻퇔횮,뺭샭퓚ퟶ돶뛠풪뮯뻶닟쪱맽뛠뗘쫜떽쇋컞킧막욱쫐뎡뗄펰쿬뛸ힷ쟳뛌웚뗄쫐뎡볛횵,듓뛸좱랦뛔웳튵ퟔ짭쓜솦뗄짮뿌죏쪶뫍쟥컺뗄뎤웚햽싔맦뮮,좱짙뾼싇늻춬탐튵횮볤풴뗄헻뫏틔벰릫쮾퓚탂쇬폲뗄쫊펦쓜솦뗈컊쳢ꆣ췸싧엝쒭웚볤,훐맺짏냙볒짏쫐릫쮾뛠풪뮯춶퓧웚뷗뛎뗄룟뿆벼닺욷믲웳튵뻍쫇튻룶샽ퟓꆣ뺭샭뗄헢훖쫐뎡믺믡훷틥뛌쫓탐캪,쪹뗃뛠풪뮯뺭펪췹췹럖즢쇋릫쮾뗄뫋탄뺺헹솦,붵뗍릫쮾뗄뎤웚뺭펪킧싊ꆣ틲듋,뛔폚쒿잰뗄훐맺짏쫐릫쮾,룼탨튪뗄쫇냑웳튵뗄뎤웚랢햹뾼싇퓚쓚,톡퓱헦헽뿉틔랢믓웳튵폅쫆뗄쇬폲뷸탐춶,럀횹쎤쒿닉폃뛠풪뮯ꆣ듓뇭3뗄맀볆뷡맻뮹뾴떽,탭뛠뿘훆뇤솿뛔짺닺킧싊뗄펰쿬폫쯼쏇뛔쫐뇭3ꆡ릫쮾쓚퓚볛횵펰쿬틲쯘뗄맀볆뷡맻놻뷢쫍뇤솿:TFP뷢쫍뇤솿PanelTSLSPanelTSLSPanelTSLSFixedEffect쒣탍I쒣탍II쒣탍()()()()()()(N)()Hꆡ()LNꆡꆡꆡꆡ()()()()ꆡ
1ꆡ060뺭볃톧(벾뾯)뗚8뻭뎡볛횵뗄펰쿬뫜늻춬ꆣLNSZ퓚1%뗄쮮욽쿂쿔훸캪헽,뇭쏷릫쮾맦쒣풽듳,릫쮾뗄짺닺킧싊풽룟ꆣ헢폫튻킩퇐뺿훐쯹잿뗷뗄맦쒣킧펦뛔짺닺킧싊뗄뷡싛쿠튻훂ꆣ뮻쫖싊쯤좻늻쿔훸,떫쯼뗄쾵쫽캪뢺,틢캶ퟅ춶헟뗄춶믺탔풽킡,짺닺킧싊풽룟ꆣDEBT/ASSET쿔훸캪뢺,쮵쏷웳튵뗄뢺햮뇈샽풽룟,웤좫튪쯘짺닺싊뻍풽뗍ꆣ횵뗃힢틢뗄쫇,컞탎닺뇈뛔짺닺킧싊펰쿬늻쿔훸,뛸쟒캪뢺ꆣ헢폫컞탎닺뛔릫쮾쫐뎡볛횵뗄펰쿬쿔훸캪헽,탎돉쇋쿊쏷뗄뛔뇈,늢폫컒쏇뛔컞탎닺뗄웕뇩죏쪶늻춬ꆣ춨뎣죏캪,컞탎닺쫇R&D솼뫃뗄듺샭뇤솿,뛸R&D쫇웳튵뫋탄쓜솦랢햹뗄훘튪풴좪ꆣ좻뛸,퓚막욱쫐뎡컞킧쿂,뺭샭캪쇋듙뷸쫐뎡볛횵뗄퓶볓,믡맽뛠뗘뷸탐컞탎닺뗄춶,떼훂뎤웚튵벨뗄쯰몦ꆣ(죽)뷸튻늽쳖싛:쫐뎡볛횵폫짺닺킧싊뗄놳샫듓짏쏦뗄쪵횤럖컶뾴떽,뛠풪뮯뺭펪뛔쫐뎡볛횵폫짺닺킧싊폐쿔훸늻춬뗄펰쿬ꆣ헢쫇틲캪쫐뎡볛횵냼몬쇋막욱쫐뎡듭컳뚨볛뗄탅쾢,뛸짺닺킧싊닅쓜헦헽랴펳릫쮾뗄뎤웚벨킧ꆣ퓚폐킧뗄쟩뿶쿂,풴엤훃폐킧,릫쮾뗄쫐뎡볛횵폫짺닺킧싊쫇튻훂뗄ꆣ좻뛸,퓚훐맺막욱쫐뎡훐,춶헟뗄춶믺탔잿,막욱쫐뎡뗄볛룱랢쿖쯙뛈싽,듓뛸떼훂뺭샭폐뚯믺샻폃쫐뎡뗄듭컳뚨볛퓶볓릫쮾뗄쫐뎡볛횵,떫춬쪱쯰몦쇋뎤웚튵벨,뷡맻믡떼훂쫐뎡볛횵욫샫웤쓚늿뗄짺닺킧싊ꆣ캪쇋뷸튻늽뷒쪾샭싛쒣탍쯹풤쪾뗄헢킩뺭볃몬틥,컒쏇폃릫쮾뗄쫐뎡볛횵EV뛔웤쓚퓚볛횵TFP믘맩,맛달솽헟횮볤뗄맘쾵,죧뇭4ꆣ뇭4ꆡTFP폫EV횮볤맘쾵뗄맀볆뷡맻놻뷢쫍뇤솿:TFP뷢쫍뇤솿()()()()LNꆡ()
뗚3웚샮뷝ꆢ붭쫦퓏:쫐뎡볛횵ꆢ짺닺킧싊폫뛠풪뮯뺭펪1ꆡ061풪뮯뺭펪듙뷸쇋릫쮾뗄짺닺킧싊ꆣ럖샫릫쮾뗄쫐뎡볛횵틔벰뎤웚킧싊,폐훺폚컒쏇짮죫쇋뷢뛠풪뮯뺭펪뗄헦헽킧펦ꆣ쇹ꆢ뷡ꆡꆡ싛춨맽샭싛붨쒣,놾컄뾼달쇋퓚막욱쫐뎡좱랦킧싊뗄쟩뿶쿂,뺭샭뗄뛠풪뮯춶뻶닟벰웤킧펦ꆣ뷡맻쿔쪾,퓚튻뚨뗄쳵볾쿂,웳튵뗄뺭펪쇬폲톡퓱믡쫜떽컞킧쫐뎡뗄얤쟺;뺭샭횴탐뛠풪뮯뺭펪쪱듸폐뛌쫓탔,쯼쯤좻ퟮ듳뮯쇋쫐뎡볛횵,떫좴쯰몦릫쮾뗄뎤웚벨킧ꆣ틔샭싛쒣탍캪횸떼,놾컄퓋폃쏦냥쫽뻝볆솿랽램,퓚뿋럾쓚짺탔컊쳢쿂,뷸튻늽맀볆뫍럖컶훐맺짏쫐릫쮾뗄뛠풪뮯뺭펪킧펦,뗃떽쇋죽룶훘튪뗄뺭퇩횤뻝:뗚튻,뛠풪뮯뺭펪뛔쫐뎡볛횵쎻폐쿔훸펰쿬;헢폫쒣탍뗄쫐뎡볛횵ퟮ듳뮯볙짨쿠럻ꆣ벴뺭샭쫇캪쇋ힷ쟳쫐뎡볛횵ퟮ듳뮯뛸ퟶ돶튵뮯뻶닟믲뛠풪뮯뻶닟ꆣ뗚뛾,뛠풪뮯뺭펪쿔훸붵뗍쇋짺닺킧싊;헢뷒쪾쇋쒿잰훐맺짏쫐릫쮾뗄뛠풪뮯뺭펪웕뇩좱랦킧싊,쯰몦쇋릫쮾뗄뎤웚벨킧ꆣ헢뛔폚훐맺짏쫐릫쮾캪쪲쎴짏쫐뫳튵벨랴뛸쿂붵ꆢ릫쮾좱랦뎤웚뺺헹솦뗈쿖쿳웰쇋훘튪뗄뷢쫍ퟷ폃ꆣ틲듋,퓚쒿잰훐맺짏쫐릫쮾뗄랢햹훐,펦룃힢틢럀횹뺭샭캪쇋ힷ쟳쫐횵뛸쎤쒿뛠풪뮯ꆣ뗚죽,TFP폫EV쿔훸뢺쿠맘ꆣ쫐뎡볛횵폫짺닺킧싊뗄놳샫튻랽쏦룼짮죫뷒쪾쇋퓚컞킧쫐뎡쿂,웳튵튻캶ힷ쟳쫐뎡볛횵폫웳튵뎤웚튵벨돖탸퓶뎤뗄쎬뛜;쇭튻랽쏦튲쮵쏷EV냼몬폐막욱쫐뎡컞킧탔뗄탅쾢,틑폐쪵횤뷶뷶폃EVퟷ캪웳튵볛횵뷸탐뛠풪뮯뺭펪킧펦퇐뺿뻟폐뻖쿞탔ꆣퟜ뗄살쮵,놾컄뗄뷡싛잿뗷,뺡맜뺭샭뿉틔샻폃듭컳뚨볛퓶볓쿖듦막뚫뗄닆뢻,떫쫇평폚폐킧뗄춶믮뚯쫇웳튵돖탸랢햹뗄뫋탄,틲듋평듋떼훂뗄릫쮾춶얤쟺틔벰뎤웚튵벨뗍킧뫍쯰쪧룼캪훘튪,횵뗃웳튵쓋훁헾뢮맜샭닣뗄훘쫓,틔벰톧헟뗄뷸튻늽퇐뺿ꆣ뢽슼1ꆡ쏼쳢2뗄횤쏷냑V(Ki)=viKi,i=A,B틔벰C(ꆤ)뗄뻟쳥탎쪽듺죫릫쪽(2)ꆢ(3)쪽,럖뇰쟳뷢뺭샭퓚뛠풪뮯쿂뫍튵뮯쿂뗄ퟮ폅춶닟싔ꆣ뛠풪뮯뗄ퟮ폅춶컊쳢캪:maxSVDꆣ뛔KA,KB쟳떼,뗃떽튻뷗쳵볾:KA>0,KB>0ꛁ9C(KA,K1+iVꇤB)(Ki)==A,B,p+q9K,ꆡiiꛁ1+A벴p+vA=2rAKA+2ꛘ(KA+KB),qꛁ1+BvrBKB+2ꛘ(KA+KB).p+B=2q
1ꆡ062뺭볃톧(벾뾯)뗚8뻭ꆡꆡ쟳뷢헢룶랽돌ퟩ,뗃떽:KD,neꛄA=AvArB+ꛘ(ꛄAvA-ꛄBvB)2rA(rB+ꛘ)+2rBꛘ,ꆡ웤훐ꆡꛄꛁAA=1+,p+qꛄKD,neB=BvBrA+ꛘ(ꛄBvB-ꛄAvA)ꛁ1+B2rB(rA+ꛘ)+2rAꛘ,ꆡ웤훐ꆡꛄB=p+.qꆡꆡ힢틢,횻폐떱KD,neAꆢKD,neB춬쪱듳폚쇣,쯼쏇닅쫇뛠풪뮯쿂ퟮ폅뗄춶뻶닟,벴vA>ꛄBꛘrA+ꛘꛄArB+ꛘvB쟒ꛄvA<BꛄAꛘvBꆣ떱vAꇜꛄBꛘꛄArB+ꛘvB,ퟮ듳뮯SVD뗄KAꇜ0;틲듋,KA=0,KB>0쿂뗄SVD듳폚죎틢KA>0,KB>0쿂뗄SVDꆣKA=0,KB>0쿂,틢캶ퟅ릫쮾톡퓱퓚탐튵B튵뮯,듋쪱,톡퓱ퟮ폅뗄KBB,maxSVSꆣ뛔KB쟳떼,뗃떽튻뷗쳵볾:KB>0ꛁ1+Bp+vB=2rBKB+2ꛘKB,q듓훐뗃떽퓚탐튵B튵뮯뗄ퟮ폅춶뻶닟캪KS,neꛄBvB=B,2rB(rA+ꛘꆣ죝틗뗃돶:KA=0)KS,neB쿂뗄SVSB듳폚죎틢ꛘKA>0,KB>0쿂뗄SVD,쯹틔떱vAꇜꛄBꛄArB+ꛘvB쪱,릫쮾톡퓱퓚탐튵B튵뮯,듋쪱ퟮ듳뮯쇋쫐뎡볛횵SVꆣ춬샭뿉횤AvA,떱vAꇝꛄBrA+ꛘꛄAꛘvB쪱,릫쮾톡퓱퓚탐튵A튵뮯,듋쪱KS,neꛄA=2(rA+ꛘꆣ)뢽슼2ꆡCobb2Douglas짺닺몯쫽맀볆뷡맻놻뷢쫍뇤솿:ln(yijt)뷢쫍뇤솿()(Kijt)()(Lijt)()(Mijt)()뿘훆쇋탐튵킧펦뫍쪱볤킧펦퇹놾쫽ꆡꆡ힢:(1)333뇭쪾쾵쫽퓚1%뗄쿔훸쮮욽쿂쿔훸ꆣ(2)삨뫅쿂캪쿔훸탔볬퇩뗄t춳볆솿,쾵쫽랽닮닉폃Robust랽램뗷헻ꆣ
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