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RESEARCH REPORT

2000~2006 1. 2. 2000 2001~2006 3. 4. A-HA A-HH A-HAA-H H 2

3

1992 9 10 1993 10 IPO 14 Black(1974) P/E ratiocost of capitalsarkissian and Schill (2004) home bias home premium + 2005 1 2 3? 1 1 1

A-H 2006 4019548.38 AB143489403.9011449.26 25003.603202.02 83.40%1 12006 230 8116.80 56 1269.24 115 162.34 401 9548.38 1434 11449.26() 3202.02() Bloomberg 20052006 2005 2

204.28,29.052006438.68 2.17 76602.9744 15.392006 NYSENASDQ2 220052006 2005 2006 IPO IPO -NYSE 395.70 1 480.55 3 -NASDAQ 718.84 7 527.07 6 19012.72 37 41284.14 39 74.74 8 227.49 6 201.83 20 1336.79 24 23.94 6 11.55 2 20427.77 79 43867.54 80 703.08 15 20134.46 70 20052006 2006 3 32006 (10 8 ) 98 12.2 181 349.1 A 830 161.8 102 19.8 2006 A >>> A 3

20061081 181622 98A830102 A Datastream International A 100 0 12 4

4 A 2000~2006 A 46.24 22.18 17.24 12.88 41.73 23.25 28.99 H0P/E =P/E t35.35 p 0.000 B (10 7 ) (10 7 ) 1.18 1.05 0.06 1.93 1.25 1.25 136.3 H0P/E =P/E z35.27 p 0.000 t Wilcoxon 4 A 2000~2006 46.24 17.24 1%t=35.35 1%z=35.27 5 2000~2006 5

52000~2006 A 33.94 11.76 12.59 10.93 23.46 15.59 21.35 H0P/E =P/E t18.05 p 0.000 B 49680 37480 18185 33485 68285 68285 1049197 H0P/E =P/E z14.55 p 0.000 t Wilcoxon 5 2000~2006 33.94 12.59 1%t=18.05 1% z=14.55 A 2000~2006 6

1 A / A A B 1 2000~2006 A 2000~2005 60 30 2006 2004 2000~2006 A 7

10 10 2 A / A A 2000~2006 8

B 2000~2006 2 A B A 2000 80 10 30 A 6 2006 2006 2006 9

32006 A B 3 A 10

MktadjP / E = i, t P / E i, t MarketMedP / E i, t MktadjP/E i,t i t P/E i,t i t MarketMedP/E i,t i 2 A 7 7 A 2006 P/E P/E P/E P/E P/E P/E 0.80 26.06 2.34% 1.59 17.62 6.51% -0.79 8.44 1.07 35.42 18.97% 1.24 18.45 5.92% -0.17 16.97 1.24 40.92 24.88% 1.89 21.46 22.49% -0.65 19.46 1.21 44.66 26.35% 1.79 21.79 11.24% -0.58 22.87 1.28 42.13 7.14% 1.65 18.63 15.38% -0.36 23.49 1.30 44.06 8.00% 2.03 24.42 8.88% -0.74 19.64 0.69 21.31 0.12% 1.21 13.40 2.37% -0.52 7.91 0.97 30.28 5.05% 1.60 16.05 5.92% -0.62 14.23 1.18 38.03 7.14% 1.46 16.36 21.30% -0.28 21.67 7 1-0.79-0.74-0.17 2 A X 10 Y 8 X 8 Y 4 A X Y Y A X A 10/8=1.125 Y A 8/4=2A Y 11

A 31.49% 27.62% A 2.46% 8.88% A A 10 7 1 10 /// 4 / 4/ A 2000~2006 12

B 2004-2006 4 A B 2004 2005 2006 2001 8 / -- // 13

52006 A B 9 14

92006 P/E P/E P/E P/E P/E P/E 0.98 33.97 47.00% 1.24 15.13 49.70% -0.26 18.84 1.18 40.92 21.00% 1.47 19.47 16.96% -0.29 21.45 1.09 37.87 31.00% 1.01 14.37 20.83% 0.08 23.5 n.a. n.a. 0.00% 1.45 19.36 12.20% -1.45-19.36 0.55 19.22 1.00% 0.62 8.42 0.30% -0.07 10.8 A A P i, t = i * i, t / E a + b* hkdummy + c Z + ε (1) P/E i,t i t P/E hkdummy hkdummy 1 0Z ROA 2000~2006 A 15

10 A hkdummy t p 2000~2006-28.93-62.78 0.000 2000-44.55-27.58 0.000 2001-49.22-36.32 0.000 2002-38.64-30.89 0.000 2003-32.99-30.72 0.000 2004-27.11-26.41 0.000 2005-19.90-20.04 0.000 2006-21.62-19.89 0.000 t White-heteroskadasticity A 2000~2006 28.93 A 2000~2005 2000 44.55 2001 49.22 2005 19.9 2006 21.62 1% P i, t = i * i, t / E a + b* sgdummy + c Z + ε (2) P/E i,t i t P/E sgdummy sgdummy 1 0Z ROA 11 sgdummy t p 2004-2006 -19.52-11.62 0.000 2004-23.60-9.69 0.000 2005-11.84-2.76 0.007 2006-25.07-13.51 0.000 t White-heteroskadasticity 16

2004 2006 19.52 1%2004 23.6 2005 11.84 2006 25.07 1% A 17

122000~2006 A 15.00 14.42 17.24 12.88 15.42 14.18-2.24 H0P/E =P/E t-3.99 p 0.000 B 7218542 7513747.5 1959928 1664722.5 9178470 9178470 937000000 H0P/E =P/E z-9.46 p 0.000 t Wilcoxon 2000~2006 17.24 15.00 1% 1% 132000~2006 A 18.65 15.13 12.59 10.93 18.10 14.89 6.06 H0P/E =P/E t5.25 p 0.000 B 1820598.5 1768704 126752.5 178647 1947351 1947351 53355904 H0P/E =P/E z7.10 p 0.000 18

t Wilcoxon 13 2000~2006 12.59 18.65 1% 1 2 6 A B 19

// 14 14 2006 A P/E P/E 15.58 1.35 9.27% 15.51 1.34 1.53% 25.73 2.23 0.87% 13.40 1.16 0.44% 18.93 1.64 10.69% 16.71 1.45 3.27% 12.31 1.06 14.50% 21.46 1.86 4.14% 12.27 1.06 0.98% 16.05 1.39 1.09% 16.37 1.42 8.62% 22.28 1.93 1.31% 28.95 2.50 0.55% 17.62 1.52 1.20% 15.67 1.36 24.75% 21.79 1.89 2.07% 18.68 1.62 5.67% 24.42 2.11 1.64% 15.21 1.32 6.76% 14.62 1.26 0.65% 20

B P/E P/E 13.46 1.01 0.32% 6.01 0.45 0.32% 13.11 0.99 19.42% 15.32 1.15 1.62% 16.15 1.22 44.66% 11.52 0.87 9.06% 21.33 1.61 13.27% 14.51 1.09 3.56% 55% 14 1.86 1.89 0.80 0.47 70% adjp / E = i, t P / E i, t MedP / E i, t adjp/e i,t i t P/E i,t i t MedP/E i,t i 3 3 A 6050 50B 10 3730 40 39A 50B 101.2(60/50)150/500.3(10/30) 21

152000~2006 A adjp/e 1.370 1.554 0.969 1.121 H0P/E =P/E H0P/E =P/E t=-3.36 p=0.000 z=-8.19 p=0.000 B adjp/e 1.322 1.038 1.007 0.832 H0P/E =P/E H0P/E =P/E t=3.60 p=0.000 z=4.84 p=0.000 15 1.370 1.556 1%0.969 1.121 1% 1% 15 7 2001 1(50/50)1.16(37/30) 1(30/30) 0.83 1.05 22

16 A 2000 1.65 1.60 2001 1.38 1.80 2002 1.46 1.57 2003 1.30 1.46 2004 1.23 1.39 2005 1.30 1.48 2006 1.35 1.58 B 2000 1.39 0.91 2001 1.32 1.34 2002 1.28 0.94 2003 1.28 1.26 2004 1.30 0.85 2005 1.36 1.02 2006 1.31 1.02 7 A 23

B P i, t = i i, t i, t * i, t / E a + b * cndummy + c * TA + d * IndMed + e roa + ε 5 P/E i,t i t P/E cndummy hkdummy 1 0TA indmed 17 A P i, t = i i, t i, t * i, t / E a + b * cndummy + c * TA + d * IndMed + e roa + ε 6 P/E i,t i t P/E cndummy cndummy 1 0TA 24

indmed 17 B 17 A t P>t b 2.263 4.15 0.000 c (10-11 ) -0.391-0.02 0.981 d 0.767 7.46 0.000 e -0.004-1.80 0.072 a 6.256 5.40 0.000 B t P>t b -3.528-2.47 0.014 c (10-11 ) -3.870-1.67 0.094 d -0.947-4.74 0.000 e 0.927 13.21 0.000 a 6.384 5.78 0.000 t White-heteroskadasticity 17 1% 2.26 5%3.53 A-H A-H natural experiment A-H A S A-H 2006 A-H 29 25

18 18 A-H 600011 902 600685 317 600012 995 600688 338 600026 1138 600775 553 600027 1071 600806 300 600028 386 600808 323 600029 1055 600860 187 600036 3968 600871 1033 600115 670 600874 1065 600188 1171 600875 1072 600332 874 600876 1108 600362 358 601111 753 600377 177 601333 525 600548 548 601588 588 600585 914 601988 3988 600600 168 A H 19A H P/E A P/E H P/E p p 2000 64.33 12.34 51.99 7.48(0.000) 3.30(0.001) 2001 63.23 13.44 49.79 12.02(0.000) 4.28(0.000) 2002 53.05 19.16 33.89 8.62(0.000) 4.60(0.000) 2003 45.69 16.79 28.90 11.58(0.000) 4.94(0.000) 2004 42.96 17.67 25.28 11.52(0.000) 5.37(0.000) 2005 29.03 15.43 13.60 5.94(0.000) 5.18(0.000) 2006 33.34 21.06 11.43 5.08(0.000) 4.94(0.000) A H paired t-test Wilcoxon signrank test 19 2000~2006 A-H P/E A P/E H A H 2000 51.99 2006 11.43 26

20 A-H 20 29 A-H 11 A-H A H 20A-H 2 6.90% 6 20.69% 11 37.93% 2 6.90% 4 13.79% 1 3.45% 3 10.34% A-H A-H A H A-H A-H A A-H A-H H 21A-H AH A A-H A t z 2000~2006 41.78 46.37-2.32 (0.020) -2.45(0.014) 2000 64.32 59.00 0.70(0.486) 0.54(0.589) 2001 59.94 61.25-0.23(0.820) -0.11(0.913) 2002 50.63 53.20-0.53(0.595) -0.55(0.584) 2003 43.93 48.00-0.88(0.381) -0.68(0.492) 2004 41.51 42.99-0.35(0.723) -0.20(0.845) 2005 28.12 34.06-1.43(0.152) -1.87(0.062) 2006 32.54 36.83-1.06(0.291) -1.23(0.218) 27

B A-H H t z 2000~2006 17.65 14.96 3.76(0.000) 7.81(0.000) 2000 15.92 15.40 0.23(0.818) 0.03(0.979) 2001 15.93 13.32 1.38(0.167) 3.43(0.001) 2002 18.58 15.02 1.70(0.089) 3.09(0.002) 2003 18.96 15.37 1.91(0.056) 4.18(0.000) 2004 18.98 15.59 1.92(0.056) 3.60(0.000) 2005 15.01 14.50 0.31(0.755) 3.12(0.002) 2006 20.54 15.37 2.77(0.006) 4.69(0.000) 100 A A-H A-H A B A-H H t unpaired t-test z Wilcoxon ranksum test p 22A-H AH- A AH dummy t p 2000~2006-2.04-1.09 0.275 2000 7.97 0.87 0.383 2001 5.55 0.83 0.407 2002 3.30 0.64 0.525 2003 0.63 0.17 0.866 2004 3.34 0.99 0.324 2005-1.71-0.49 0.622 2006 4.55 1.43 0.152 B AH dummy t p 2000~2006 3.03 4.60 0.000 2000 2.21 0.91 0.362 2001 3.37 1.75 0.080 2002 3.96 1.78 0.075 2003 4.51 2.78 0.006 2004 1.83 1.42 0.156 2005 0.13 0.14 0.891 2006 5.23 3.04 0.002 P i, t = i i, t i, t * i, t / E a + b * AHdummy + c * TA + d * IndMed + e roa + ε (7) P/E i,t i t P/E AHdummy 28

A-H AHdummy 1 A H 0TA indmed 19 A 2000~2006 pooled dataa-h A A-H 2005 A-H AHdummy A-H A A-H H P/E 2000~2006 A-H H A-H H A-H H 1 A 2000 2005 2006 2000~2006 A 46.24 1% 17.24 33.94 1% 12.59 2 29

1.5591.121 1.370 0.969 1% 1% 2000 2001-2006 3 1.322 1.007 1.038 0.832 1% 1% 4A-H A A-H A 2.04 A-H H 3.03 1% A-H A A-H H 1 2 30

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