? 2002 3 9 : 010-88061590 Email: 16-1 -
- 2-1993-2002 1 29.05 20-16.76 2 3
...... 5 5 6 8 9 10 10 1. 11 2. 11 3. 11 12 13 14 14 17 1. 17 2. 19 3. 23 4. 24 26 26 1. 26 2. 28 35 1. 36 2. 36 3. 37 4. 40 40 40 1. 40 2. 41 3. 42 43 1. 43 2. 47 3. 47 4. 49 53 1. 53 2. 57 58 58-3 -
60 60 62 65 66 69 70 71 73 76 79 82-4 -
. (1992-2000) 2001 12 IPO IPO IPO 1896 12 106 12 GE GE GE - 5 -
Grubb and Lamb(2000) 20 1983 18 1968 2003 30 Bruner2002 19712001 130 GE Mueller (1980) 7 ( - 6 -
- 7 - ) 7 Mueller 7 3 5 (306 ) T
- 8-1 2 3 1 ( ) 2
- 9-1 2 3 19932002 1194 22 1216
- 10 -. 100 2002 1979198319871992 2001 Bruner(2002) Bruner(2002)
1. 1 21 ( ) 20% 30%Jensen Ruback(1983) 30% 20%Datta (1992) 21.8% 2. 2 44 20 13 ( 2 1) -1% -3% 24 ( 2 2) 17 1/3(13 ) 1/3(14 ) 1/3(17 ) 11 ( 2 3) 6 Caves(1989) / Asquith, Bruner, Mullins (1983) 10% 4.1% 10% 1.7% 3. - 11 -
( ) 3 20 11 3 Bruner(2002) 4 15 2 4 Bruner(2002) 4 Geoffrey Meeks (1977) 1964 1971 233 ROA 2/3 Mueller (1980) 7 ( ) Meeks Mueller Mueller Ravenscraft Scherer (1987) 1950 1977 471 1 2 Healy, Palepu Ruback (1992) 1979 1984 50-12 -
2001 1997-1999 200119951998 201 19991998 233 19981997 146 198 1 2 3 200 1 3 4 back-looking (forward-looking) Caves (1989) - 13 -
- 14 - (forward-looking).
- 15-1 2 3
90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 930 36133 35223 31722 30417 35304 47 84 115 11 6% 4% 2% 2001 0% - 16 -
Synergy Motive (total value added) Hubris Hypothesis (Agency Motive) (Redistribution)Berkvitch Narayanan 1993Weston 2001 1 (Government-Directed Redistribution) 2 1. (1) - 17 -
- 18 - (Economies of Scale) (Economies of Scope) Levy Sarnat, 1970 (Nielsen Melicher, 1973) (2) (Roll, 1986) ( )
(3) Jensen Meckling 1976 (Amihud Lev 1981) (Jensen 1986) (Shleifer Vishny 1989) (4) (Shleifer Summers, 1988) (LBO) WSJ2001 2. - 19 -
- 20 -, 4
- 21 - (1) 2 (2) (3)
- 22 - (4) (5)
- 23-3.
- 24-4. 1 2 23
I 1 2 BN(1993) 0 0 0 ++ ++ ++ 0 0 0 ++ ++ ++ + + + ++ ++ ++ 0 + - 0 + - - + - - + - N/A N/A N/A + ++ -- + + + ++ -- BN(1993), Byrd Hickman(1992), Cotter (1997) - 25 -
2. 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 1 6 0 9 33 65 139 136 213 122 724 206 47 173 44 470 6 6 4 3 3 22 1 6 0 9 33 71 351 187 389 169 1216 1. - 26 -
- 27 -
- 28-2.
- 29 -
30 2500 25 2000 20 15 1500 1000 10 5 0 500 0-30 -
60 1999 2000 50 49 1800 1600 40 30 20 10 9 5 12 21 20 18 14 7 13 16 22 1400 1200 1000 800 600 400 200 0 0-31 -
60 2001 2500 55 50 2000 40 30 20 10 6 5 5 11 15 7 8 7 15 23 16 1500 1000 500 0 0 45 40 35 30 25 24 34 26 22 24 26 40 26 125 120 115 110 20 105 15 10 5 14 12 6 4 100 95 0 JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC NUMBER OF MERGERS AND ACQUISITIONS MSCI WORLD (RIGHT AXIS) 90-32 -
Doeswijk Hemmes1999-33 -
- 34 -
50% 45% 47% 40% 35% 30% 25% 20% 18% 15% 10% 12% 10% 13% 5% 0% 0% 1% MONDAY TUESDAY WEDNESDAY THURSDAY FRIDAY SATURDAY SUNDAY Doeswijk Hemmes1999 1 1 CAPM - 35 -
- 36-2 3 (forward-looking) 2 1 2 3 1. N p p N i it t = = 1 2.
- 37 - -6030 CRCumulative Returns 1 + = t t t CR r CR N r r N i it t = = 1 1, 1, = t i t i it it p p p r p it i t N 3. (clean) CARCumulative Average Abnormal Return CAPM
CAPM CAR CAR 0-60 30 60 30-180 -90 1) -180,30 i t P it it R 1 P t P it P it-1 i t i = 1, L, n it 1 2) R ) it (-60,30) R ) it (-180,-90) A A A SSEA A A -180-90 R ) CAPM -180-90 it - 38 -
-180-90 R ) ( it 1 CAPM ) CAPM CAPM β Copeland Weston19831988 CAPM CAPM CAPM CAPM CAPM CAPM 3) (-60,30) i t AR it = R it R ) it 4) -60,30 t AARt AAR t n ARit = i= n 5) -60,30 CARt CAR CAR t = AAR t t 60 CAR - 39 -
AAR t, CAR t AAR t, CAR t 0 AAR t, CAR t H : AAR = 0 CAR = 0 0 t 0 t t AAR AARt = S( AAR )/ t n 2 1, S ( AARt ) = n 1 n i= 1 ( AR it AAR ) t 2 t CAR = CAR S( CAR ) / t t n 2, S ( CAR ) = t 1 n 1 n i= 1 ( CAR it CAR ) t 2 t = 60, L,0, L, 30 t AAR, t CAR n 1 t - 4. (ROE) 3 3. 1. 1) 18 54 3-40 -
12.2 12.0 11.8 11.6 11.4 11.2 11.0 12% 10% 8% CR 6% 4% 2% 10.8 0% 2) 19 6 10 17 () 12.0 11.8 11.6 11.4 11.2 11.0 10.8 2. 9% 8% 7% 6% 5% 4% 3% CR 2% 1% 0% -1% 20 11-41 -
- 42-9.6 9.8 10.0 10.2 10.4 10.6 10.8 () -5% -4% -3% -2% -1% 0% 1% 2% 3% CR 2 21 2002-12-31 4 17 2 3 16 3. 21 54 3 11.0 11.1 11.2 11.3 11.4 11.5 11.6 11.7 11.8 11.9 12.0 () 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% CR
1. 1) CAR CAPM CAR CAR23 CAR 7 CAR -60 30 CAR - 43 -
4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4-0.5% 4 8 12 16 20 24 28 4.50 t CARt 4.00 3.50 3.00 2.50 2.00 1.50 1.00 0.50 0.00-0.50-60 -56-52 -48-44 -40-36 -32-28 -24-20 -16-12 -8-4 4 8 12 16 20 24 28-1.00-44 -
9.0% 8.0% 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28 2) CAPM 24 6 CAR 6 CAR 2.015% 6 CAR 010 t CAR CAR25 6 4.122% 6.436% - 45 -
- 46 - -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28 t CARt -1.50-1.00-0.50 0.00 0.50 1.00 1.50 2.00 2.50 3.00-60 -56-52 -48-44 -40-36 -32-28 -24-20 -16-12 -8-4 4 8 12 16 20 24 28-1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28
- 47-2. 22 26 27 CAR -14.0% -12.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28-6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28 3. CAPM 28
57 CAR 6 CAR 5 1.8 CAR 2.807%CAR -1730 CAR CAR 7 CAR 6030 CAR 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12 0.0% -0.5% -8-4 4 8 12 16 20 24 28-48 -
- 49 - t CARt -1.00 0.00 1.00 2.00 3.00 4.00 5.00-60 -56-52 -48-44 -40-36 -32-28 -24-20 -16-12 -8-4 4 8 12 16 20 24 28 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28 4. 1) -1730-3630 010 ( ) 3031 32 CAR
CAR 9.0% 8.0% 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12 0.0% -1.0% -8-4 4 8 12 16 20 24 28 CAR- CAR- 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28-2.0% -4.0% -6.0% - 50 -
6.0% 4.0% 2.0% 0.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28-2.0% -4.0% -6.0% -8.0% -10.0% -12.0% -14.0% CAPM 0 0 0 1.05 1.1025 2.12 2.2472 2.25844 2.26973 5.0% 5.0% 6.0% 6.0% 0.5% 0.5% 1.0% 1.0% 1.0% 1.0% 1.0% 1.0% AR- 4.0% 4.0% 5.0% 5.0% -0.5% -0.5% - 51 -
AR- 1.0% 1.0% -4.5% -4.5% CAR- 5.0% 10.0% 9.5% 9.0% CAR- 1.0% 2.0% -2.5% -7.0% 2) 60 CAR 3% CAR 6.67% Doeswijk Hemmes1999 20 CAR 8.7% 10% 9% 8% 8.7% 7% 6% 5% 4% 3% 2% 1% 0% -20-18 -16-14 -12-10 -8-6 -4-2 0 2 4 6 8 10 12 14 16 18 20-52 -
20% 18% 16% 17.4% 14% 12% 10% 8% 7.6% 6% 4% 2% 0% -2% -4% -20-18 -16-14 -12-10 -8-6 -4-2 0 2 4 6 8 10 12 14 16 18 20 2.3% MERGERS ACQUIRERS TARGETS 1. ( ) 22 35 36 37 3 1 0.2038 0.1098 36.11% (ROE) 2.65-12.23 23.19 18.23 3 29.96% 29.99% 106.86%752.46% 29.38%5.69% 3-53 -
2 23.13%82.22% 3 26.93% 7.93% 2 (ROE) 3 0.2038 2.65 23.19 2 0.1302-1.83 21.89 0.1098-12.23 18.23 0.1427 0.84 23.59 0.1855 7.15 24.93 2 0.1426 1.27 25.59 3 0.1042 7.22 23.56-54 -
% % 9 10 30.01% 29.95% 1995 2001 0.1098 0.1427 30.01% 0.1855 29.95% - 55 -
1995 0.3257 1996 0.3205-1.60% 1997 0.2614-18.44% 1998 0.2060-21.19% 1999 0.1884-8.54% 2000 0.1838-2.44% 2001 0.1390-24.37% 99 81 18 4 948 118 11 1167 655 56.1% 11 61.8% 29.6% - 56 -
12 73.3% 62.5% 12.5% 2. ROE - 57 -
% %. - 58 -
1 60 CAR 6.667% (annualized CAR 237 )29.05% CAR -1730 CAR 3 2 60 CAR 4% 16.76%; 3 4 ST 2 5-59 -
- 60-1 2 1 2 3 1
- 61-2 1 2002 12 1 2 1531
- 62-1 2
- 63-3 4
- 64 -
Langetieg (1978) +10.63%** 149 1929-69 (-120,0) 71.6% Bradley, Desai, Kim +31.77%** 236 1963-84 (-5,5) 95% (1988) Dennis McConnell 8.56% ** 76 1962-80 (-1,0) 70% (1986) Jarrell, Poulsen (1989) +28.99%** 526 1963-86 (-20,10) N/A Lang, Stulz, Walkling +40.3%** 87 1968-86 (-5,5) N/A (1989) Franks, Harris, Titman +28.04%** 399 1975-84 (-5,5) N/A (1991) Servaes (1991) +23.64%** 704 1972-87 (-l, ) N/A Bannerjee, Owers (1992) +$137.1 MM** 33 1978-87 (-1,0) 85% HealyPalepu, Ruback +45.6%** 50 1979-84 (5,5) N/A (1992) Kaplan, Weisbach +26.9%** 209 1971-82 (-5,5) 94.7% (1992) Berkovitch, Narayanan +$130.1 MM** 330 1963-88 (-5,5) 95.8% (1993) Smith, Kim (1994) +30.19%** 177 1980-86 (-5,5) 96.0% +15.84%** (-1,0) 91.3% Schwert (l996) +26.3%** 666 1975-91 (-42,126) N/A Loughran, Vijh (1997) +29.6%** 419 1970-89 (-2,1250) N/A +126.9%** 135 +47.9%** Maquieira, Megginson +41.65%** 47 1963-96 (-60,60) 61.8% Nail (1998) +38.08%** 55 83.0% Eckbo, Thorburn (2000) +7.45%** 332 1964-83 (-40,0) N/A Leeth, Borg (2000) +13.27%** 72 1919-30 (-40,0) N/A Mulherin Boone +21.2%** 376 1990-99 (-1,+1) N/A (2000) Mulherin (2000) +10.14%** 202 1962-97 (-1,0) 76% Delong (2001) +16.61%** 280 1988-95 (-10,1) 88.6% Houston (2001) +15.58%** (1985-90) +24.60%** (1991-96) +20.80%** ( ) 27 37 64 1985-96 (-4,1) N/A Bruner(2002) / ** 0.05-65 -
Langetieg (1978) -1.61% 149 1929-69 (-120,0) 47.6% Dodd (1980) -1.09%** -1.24%** 60 66 1970-77 (-1,0) N/A Asquith, Bruner, Mullins -0.85%** 343 1973-83 (-1,0) 41% (1987) Varaiya, Ferris (1987) -2.15%** 96 1974-83 (-1,0) N/A -3.9%** 96 1974-83 (-20,80) 42% Morck, Shleifer, Vishny (1990) -0.70% 326 1975-87 (-1,1) 41.4% Franks, Hams, Titman (1991) -1.45% 399 1975-84 (-5,5) N/A Servaes (1991) -1.07%** 384 1972-87 (-1, ) N/A Jennings, Mazzeo (1991) -0.8%** 352 1979-85 (-1,0) 37% Bannerjee, Owers (1992) -3.3%** 57 1978-87 (-1,0) 21% Byrd, Hickman (1992) -1.2% 128 1980-87 (-1,0) 33% Healy, Palepu, Ruback -2.2% 50 1979-84 (-5,5) N/A (1992) KaplanWeisbach -1.49%** 271 1971-82 (-5,5) 38% (1992) Berkovitch, Narayanan -$10MM 330 1963-88 (-5,5) 49.4% (1993) Sirower (1994) -2.3% 168 1979-90 (-1,1) 35% Eckbo, Thorbum (2000) -0.30% 390 1964-83 (-40,0) N/A Mulherin Boone -0.37% 281 1990-1999 (-1,+l) N/A (2000) Mitchell, Stafford (2000) -0.14%** 1-0.07% 366 366 1961-1993 (-1,0) N/A Walker (2000) -0.84%** 2 278 1980-1996 (-2,+2) 41.4% -0.77% 278 46.4% DeLong (2001) -1.68%** 280 (1988-95) (-10,1) 33.6% Houston (2001) -4.64%** (1985-90) -2.61% (1991-96) -3.47%** ( ) 27 37 64 (1985-96) (-4,1) N/A Bruner(2002) / ** 0.05 1 2-66 -
Dodd Ruback (1977) +2.83%** 124 1958-78 (0,0) N/A +0.58% 48 Kummer Hoffmeister +5.20%** 17 1956-70 (0,0) N/A (1978) Bradley (1980) +4.36%** 88 1962-77 (-20,+20) N/A -2.96% 46 Jarrell Bradley (1980) +6.66%** 88 1962-77 (-40,+20) N/A Bradley, Desai Kim (1982) +2.35%** 161 1962-80 (-10,+10) N/A Asquith (1983) +0.20% +0.50% 196 89 1962-76 (-1,0) N/A Asquith, Bruner +3.48%** 170 1963-79 (-20,+1) N/A Mullins (1983) +0.70% 41 Eckbo (1983) +0.07% 102 1%3-78 (-l,0) N/A +1.20%** 57 Malatesta (1983) +0.90% 256 1969-74 (0,0) N/A Wier (1983) +3.99% 16 1962-79 (-10, ) N/A Dennis McConnell -0.12% (-1,0) 90 1962-80 (-l,0) 52% (1986) +3.24% (-6,+6)** Jarrell, Brickley, Netter (1987) +1.14%** 440 1962-85 (-10,5) N/A Bradley, Desai, Kim (1988) +1%** 236 1963-84 (-55) 47% Jarrell, Poulsen (1989) +0.92%** 461 1963-86 ~5,5) N/A Lang, Stulz. 0% 87 1968-86 (-5,5) N/A Walkling (1989) Loderer, Martin (1990) +1.72%** 1966-68 +0.57%** 1968-80 970 3401 1966-84 (-5,0) N/A -0.07% 1981-84 801 Smith, Kim (1994) +0.50% 177 1980-86 (-5,5) 49.2% -0.23% (-1,0) 76.2% Schwert (1996) +1.4% 666 1975-91 (-42,126) N/A Maquieira (1998) +6.14%** 55 1963-96 (-60,60) 61.8% -4.79% 47 36.2% Lyroudi, Lazardis, 0% 50 I989-91 (-5,5) N/A Subeniotis (1999) Eckbo, Thorburn (2000) +1.71%** 1261 1964-83 (-40,0) N/A Leeth, Borg (2000) +3.12%** 466 1919-30 (-40,0) N/A Mulherin (2000) +0.85%** 161 1962-97 (-1,0) 49% Kohers Kohers (2000) 1.37%** 961 1987-96 (0,1) N/A 1.09%** 673 1.26% 1634 Bruner(2002) / ** 0.05-67 -
Mandelker (1974) -1.32% 241 1941-63 (0,365) N/A Dodd Ruback (1977) -1.32% 124 1958-78 (0,365) N/A -1.60% 48 Langetieg (1978) -6.59%** 149 1929-69 (0,365) N/A Asquith (1983) -7.20%** 196 1962-76 (0,240) N/A -9.60%** 89 Bradley, Desai Kim -7.85%** 94 1962-80 (0,365) N/A (1983) Malatesta (1983) -2.90% 121 1969-74 (0,365) N/A -13.70% ** 1970 75-7.70% 59 Agrawal, Jaffe, Mandekler (1992) -10.26%*'* 765 1955-87 (0,1250) 43.97% Loderer, Martin (1992) +1.5% 1298 1966-86 (0,1250) N/A Gregory (1997) -12%-18%** 452 1984-92 (0,500) 31% 37% Loughran, Vijh (1997) -14.2% +61.3%** 434 100 1970-89 (1,1250) N/A -0.1% Rau, Vermaelen (1998) -4%** 3,968 1980-91 (0,36 ) N/A +9%** 348 Bruner(2002) / ** 0.05-68 -
Halpern (1973) +$27.35 MM 77 1950-65 (-140,0) N/A Langetieg (1978) 0% 149 1929-69 (0,60) 46% Firth (1980) -36.6 MM 434 1969-75 (-20,0) N/A Bradley, Desai, Kim (1982) +$17 MM 162 1962-80 (-20,5) N/A Jensen, Ruback (1983) Bradey, Desai, Kim (1983) +$33.9 MM 161 1963-80 (-20,5) N/A Weidenbaum, Vogt (1987) Malatesta (1983) +$32.4MM ** 30 1969-74 (-20,20) N/A Varaiya (1985) +$60.7 MM N/A N/A (-60,60) N/A Weidenbaum, Vogt (1987) Bradley, Desai, Kim (1988) +$117 MM (7.43%)** 236 1963-84 (-5,5) 75% Lang, Stulz, Walkling +11.3%** 87 1968-86 (-5,5) N/A (1989) Franks, Harris, Titman +3.9%** 399 1975-84 (-5,5) N/A (1991) Servaes (1991) +3.66%** 384 1972-87 (-1, ) N/A Bannerjee, Owers (1992) +$9.95 MM 33 1978-87 (-1,0) N/A Healy, Palepu, Ruback +9.1%** 50 1979-84 (-5,5) N/A (1992) Kaplan, Weisbach +3.74%** 209 1971-82 (-5,5) 66% (1992) Berkovitch, Narayanan +$120 MM** 330 1963-88 (-5,5) 75% (1993) Smith, Kim (1994) +8.88%** 177 1980-86 (-5,5) 79.1% +3.79%** (-1,0) 73.8% Leeth, Borg (2000) +$86 MM 53 1919-30 (-40,0) 56.6% Mulherin, Boone (2000) +3.56% 281 1990-1999 (-1,+1) N/A Mulherin (2000) +2.53%** 116 1962-97 (-1,0) 66% Houston (2001) +0.14% (1985-90) +3.11%** (1991-96) 27 37 +1.86%** ( ) 64 Bruner(2002) 1985-96 (-4,1) N/A / ** 0.05-69 -
Meeks (1977) ROA( ) 1964-72 233 Salter Weinhold ROE( )NYSE( )ROE 44%,ROA 75% (1979) 16 Mueller (1980) ROE, ROA ROS( ) 1962-72 287 Mueller (1985) 100 ( ) 1950-92 100 Ravenscraft, Scherer ROA (1987 ) 3.1% 1950-77 471 Ravenscraft, Scherer ROA 0.5% (1987 ) 1950-77 471 Herman, Lowenstein 1975-78 ROC( )14.7% 19.6% 1981-83 (1988) 1975-83 56 Seth (1990) ( ) ( ) 1962-79 9.3% ( ) 12.9% 102 ( ) -3.6% Healy, Palepu, 50 ( ) Ruback (1992) 1979-84 50 Chatterjee, Meeks 1985 1985-2000 (1996) (13-22%) 1977-90 144 Dickerson, Gibson, 5 ROA 2% Tsakalotos (1997) 1948-77 613 Healy, Palepu, 50 Ruback (1997) 1979-84 50 Parrino, Harris 1999 +2.1% Parrino, Harris 2001 1982-1987 197 Ghosh, 2001 1981-1995 315 Bruner(2002) - 70 -
CAPM 19631964 Trenor1961 1966 1972 - CAPM = + CAPM β β σ β = σ im 2 m cov( Ri, Rm ) = var( Rm ) cov( R, R ) i m i Var(R m ) β CAPM E( R i ) = R f + β i E R m ) R f ) - 71 -
E ( R ) i i R f β i ( ) E( R m ) R f MRP K E K E = E( Ri ) = R f + βi E R m ) R f ) R f E( R CAPM m ) R f β β Fama Macbeth1973 3 3 E. Fama and J. Macbeth1973 RiskReturnsand equilibriumempirical Test Journal of Political Economy71607-636. - 72 -
2002-12-31 21 4 1999-06-18 2000-02-28 2001-06-07 2002-03-09 17 2 1999-6-18 1999-5-22 3 1998-9-1 1999-5-19 2000-01-13 16 15.0 14.0 13.0 12.0 () 11.0 10.0 9.0 8.0 7.0 6.0-73 -
- 74-6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 () 5.0 7.0 9.0 11.0 13.0 15.0 ()
- 75-7.0 9.0 11.0 13.0 15.0 17.0 ()
- 76 - -10.0% 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28-2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% 20.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28-1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28
- 77-0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28-0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28-2.0% -1.5% -1.0% -0.5% 0.0% 0.5% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28
4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12 0.0% -0.5% -1.0% -8-4 4 8 12 16 20 24 28-78 -
- 79 - -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% 45.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28-5.0% 0.0% 5.0% 10.0% 15.0% 20.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28
- 80-0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28-1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12-8 -4 4 8 12 16 20 24 28
5.0% 4.0% 3.0% 2.0% 1.0% -60-56 -52-48 -44-40 -36-32 -28-24 -20-16 -12 0.0% -1.0% -8-4 4 8 12 16 20 24 28-81 -
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