untitled

(95) * ** 1999 1 2008 12 10 t (1) Pollet Wilson (2) (3) (4) Ippolito 1992 1965 1984 Sirri and Tufano 1998 1971 12 1990 12 * **

(96) Droms, 2006 Smart Money Effect Jegadeesh and Titman 1993 Smart Money EffectGrinblatt and Titman 1989 1975-1984 77% Gruber 1996 Zheng 1999 Smart Money Effect Behavioral Finance Morden Finance Fama 1970Efficient Market Hypothesis, EMH1. 2. 3. Behavioral Finance

(97) Traditional Finance Welch 2000 Size Effect Overconfidence Barber and Odean 2000 Berk and Green 2004 Roston 1996 Chevalier and Ellison 1997 2008 2007 Spitz 1970 Smith 1978 Fant and O Neal 2000 Markowitz 1952 Portfolio Analysis Risk Aversion Campbell, Lettau, Malkiel and Xu 2001 Pollet and Wilson 2008 Chen, Hong, Huang and Kubik 2004 Chen et al. 2004 Chen et al. 2004 Pollet and Wilson 2008Liquidity Constraints

(98) 1. 2. 3. 4. 5. 6. log

(99) Gruber 1996 1985 1 1994 12 10 Sirri and Tufano 1998 1971-1990 20 690 Matthew 2000Morningstar 1991 9 2000 9 9 Heaney 2007 Zheng 1998 Grinblatt and Titman 1989 Louis, Chan and Chen 1999 Ciccotell and Grant 2001

(100) Sawicki and Finn 2002 1980-1995 16 Chen et al. 2004Center for Research in Security CRSP 1962-1999 38 Heaney 2007Chan et al. 2008 1997 2005 2006 2004 9 24 2006 4 24 Roston 1996 Chevalier and Ellison 1997 Sirri and Tufano 1998 1971 12 1990 12 690 Lynch and Muato 2002 Berk and Green 2004 Chen et al. 2004 TNA Johnson 2005 2002

(101) 2007 89 7 94 12 66 2008 2001 2004 38 Campbell et al. 2001 Chen et al. 2004 Hany and David 2005 Trade-Off 1992-2000 9 Pollet and Wilson 2008 CRSP CDA 1975-2000 26

(102) 1. TEJ Pollet and Wilson 2008Style TEJ 170 TNA 2. 170 3. TEJ 2002 7 1999 1 2008 12 40 10 H1 H2 H3 H4 H5 H6 Pollet and Wilson 2008 Style (2)

(103) cap 1=1 cap 1=0 1 S it 1 Pollet and Wilson 2008 1 S it 1 1 S it 1 Style VIF Variance Inflation Factor 1 VIF= 2 >10 j j=1~p 1 R j 1. TNAit log flit = log log(1 + Rit ) (1) TNAit 1 flit i t TNA i t it Rit i t - i t / i t R it i t TEJ t+1 t t t 2. Pollet and Wilson 2008 TNA Style Style Style Style Style it ijt jt j = w mcap (2)

(104) wijt TEJ i t j mcap jt t j 3. Sawicki and Finn 2002 R R R = β + γ age + ε (3) it 0 1 it it = β + γ TNA + ε (4) it 0 1 it it = β + γ cap + ε (5) it 0 1 it it R = β + γ age + γ TNA + γ cap + ε (6) R it 0 1 it 2 it 3 it it = β (1 ) 0 + γ1 S + ε (7) it it it R (1 ) it = β0 + γ1 Sit TNAit + εit (8) R = β + γ (1 S ) + γ (1 S ) TNA+ γ (1 S ) cap + ε (9) it 0 1 it 2 it 3 it 1 it it R = β + γ age + γ TNA + γ cap + γ (1 S ) + γ (1 S ) TNA it 0 1 it 2 it 3 it 4 it 5 it it + γ (1 S ) cap + ε 6 it it it (10) Rit i t ageit 5 1 0 TNAit i t 1 S it i t capk Style cap k = 1

(105) Pollet and Wilson 2008 4-1 4-2 4-1 4-2 4-1 1999 2008 1999~2000 117 2007~2008 170 1999~2000 134,302.212 2007~2008 190,157.000 2001~2002 2003~2004 33.233 32.657 4-2 1999 2008 1999~2000 117 2007~2008 170 1999~2000 1,260.559 2007~2008 1,576.039 4-1 4-2 Pollet and Wilson 2008 4-1 1999~2000 117 134,302.212 386,643.712 14,184.380 99,304.460 15,579,053.000 26.112 2001~2002 135 112,559.394 374,608.383 4,340.030 106,974.239 14,970,399.420 33.233 2003~2004 144 178,749.890 531,732.047 11,166.856 123,867.966 25,561,234.330 32.657 2005~2006 151 183,490.910 580,797.215 10,012.133 140,152.365 27,523,632.790 33.833 2007~2008 170 190,157.000 503,505.000 6,011.902 125,320.500 32,326,695.400 35.229

(106) 4-2 1999~2000 117 1,260.559 7,044.422 42.350 1,202.148 146,224.900 26.112 2001~2002 135 1,315.2581 7,843.946 32.883 1,207.249 176,244.591 33.233 2003~2004 144 1,454.059 8,598.463 26.431 1,403.685 207,930.400 32.657 2005~2006 151 1,564.129 10,412.360 83.708 1,631.163 234,619.400 33.833 2007~2008 170 1,576.039 11,302.480 125.549 1,633.740 233,926.700 35.229 4-3 4-4 4-3 1999~2000 2001~2002 2005 2008 1999~2006 2005 2008 1% 2005 2008 4-4 1999~2000 2001~2002 2003~2004 2005~2006 2007~2008 1% 4-4 % 4-3 4-4 4-5 1999~ 2000 2001~ 2002 4-3 39 76,202.458 (48655.764) 77 70,022.410 (35870.605) 46 34,469,262 (232050571) TNA 1,438.113 (1519.021) 1,170.630 (1004.327) 1,229.388 (1026.870) -0.184 (0.086) -0.751 (3.729) -1.835 (2.642) 25.970 (8.785) 26.180 (8.076) 30.250 (9.736) t 0.207 0.127 3.716 1.585

(107) TNA 88 39,581.418 (26924.737) 1,360.145 (1294.878) -1.372 (8.757) 33.970 (11.117) 2003~ 71 283,516.070 (87205.631) 1,505.912 (1535.835) -1.866 (6.744) 31.110 (9.734) 1.789 0.977 2004 71 75,438.801 (37274.327) 1,402.926 (1268.726) -0.239 (5.549) 32.900 (9.475) 2005~ 2006 77 652,951.520 (3104147.50) 1,859.426 (1967.396) 1.265 (6.516) 99.460 (14.723) -64.454** -16.635 76 67,021.598 (35615.449) 1,860.676 (2433.488) 0.236 (1.803) 35.010 (10.187) 2007~ 2008 98 273,877.740 (97503.449) 1,274.759 (1413.611) -0.189 (0.360) 36.180 (10.884) -2.253** -3.428 72 76,203.846 (39391.671) 1,513.893 (1894.658) -0.215 (2.778) 33.930 (29.466) t * 5%** 1% t 4-4 TNA % 1999~ 44 2,355.430 139,323.330-2.789 28.362-3.621** -2.332 2000 (1325.803) (98973.185) (5.921) (8.124) 72 591.472 (281.661) 131,233.700 (100074.360) -2.926 (6.879) 24.741 (8.131) 2001~ 60 2,236.571 120,544.510 2.005 37.351-7.592** -4.395 2002 (1280.668) (110955.620) (5.279) (11.129) 74 568.248 (257.794) 21,376,169.000 (182972976) -0.303 (5.434) 29.762 (8.873) 2003~ 63 2,541.253 183,155.130 2.467 36.981-7.731** -3.889 2004 (1505.217) (120208.350) (2.380) (15.697) 80 597.893 (280.325) 175,280.770 (127321080) 1.502 (3.080) 29.252 (7.445) 2005~ 69 2,718.130 183,250.130 0.446 35.971-3.961** -2.732 2006 (1801.856) (130581.670) (2.033) (8.250) 81 581.092 (262.311) 183,695.970 (148628.970) 0.299 (0.579) 32.011 (9.319) 2007~ 2008 61 2,892.162 (1939.638) 170,974.320 (113465.670) -1.804 (0.134) 41.561 (35.026) -9.872** -2.776 109 527.567 (248.350) 200,892.310 (130763.700) -1.895 (2.273) 31.692 (9.339) t * 5%** 1% t

(108) Pearson () Pearson () Pearson () Pearson () Pearson () Pearson () ** 0.01 * 0.05 4-5 1 0.020-0.018 0.008 0.015-0.026 0.800 0.814 0.914 0.842 0.736 0.020 0.800 1 0.102 0.187-0.034 0.658 0.114 0.138 0.004 0.956-0.018 0.102 1 0.023 0.114 0.105 0.814 0.187 0.763 0.138 0.171 0.008-0.034 0.023 1 0.047 0.041 0.914 0.658 0.763 0.539 0.599 0.015 0.114 0.114 0.047 1 0.011 0.842 0.138 0.138 0.539 0.892-0.026 0.004 0.105 0.041 0.011 1 0.736 0.956 0.171 0.599 0.892 4-6 t 5 5 4-6 140 30 10.918 2.053 1.558%-7.946% 1% Sirri and Tufano 1998 Gruber 1996Zheng 1998 Heaney 2007 4-6 N % t 5 140 10.918 1.558 (1.168) -9.505** -14.781 5 30 2.053-7.946 (7.256) t * 5%** 1%

(109) 4-7 4-7 t 69 101 1.201% 0.959% 80 90 1.699% 0.545% 1% Grinblatt and Titman 1989Louis et al. 1999Sawicki and Finn 2002Chen et al. 2004 Heaney 2007 4-7 N % t - 80 1.699-1.154** -6.042 (1.142) - 90 0.545 (1.302) - 69 1.201 (1.029) -0.242-1.121-101 0.959 (1.513) t * 5%** 1% 4-8 101 69 9,620.6748 1,015.5773-0.0062 1,009.0318 125.5491-0.0092-0.003 80

(110) 90 39,555,326.236 145,563.603 0.002 142,067.518 28,971.542-0.0169-0.0189 1% 4-9 4-9 101 0.003 0.870% 69-0.036-1.567-2.437 1% N 4-8 - 101 9,620.675 1,015.577-0.006 (0.073) - 69 1,009.032 125.549-0.009 (0.042) Style- 80 39,555,326.236 145,563.603 0.002 (0.047) Style- 90 142,067.518 28,971.542-0.017 (0.063) t -0.003-0.340-0.019** -2.179 t * 5%** 1% 4-9 N % 101 0.003 0.870 (3.464) 69-0.036-1.567 (6.069) t -2.437** -3.323 t * 5%** 1%

(111) t 4-10 4-10 VIF Variance Inflation Factor VIF =1.032 VIF =1.028 VIF =1.001 VIF =1.028 VIF =1.004 VIF 10 (1) (2) (3) 1% (4) 1% (1) (2) (3) (4) (5) (6) (7) (5) (6) (7) (8)

(112) 4-10 i t (1) (2) (3) (4) (5) (6) (7) (8) age it 9.505** (0.643) 9.113** (0.646) 9.910** (0.638) TNA it 2.471** (0.723) 1.256** (0.491) 2.553 (2.369) cap it 1.530** (0.735) 0.688 (0.486) 0.623 (0.482) 1/ S it -12.444** (4.910) -9.810** (4.898) -13.062** (4.259) (1/ S ) TNA it it 0.019** (0.009) 7.071** (2.295) 10.208 (7.121) (1/ S ) cap1 it it 1.128E-06 2.635E-07 (0.000) (0.000) 2 R 0.565 0.572 0.025 0.586 0.037 0.067 0.090 0.610 R 2 0.563 0.567 0.019 0.579 0.031 0.062-0.073 0.595 1- -age TNAit 1 capit 1 1/ Sit 1 (1/ S ) TNA it 1 it 1 (1/ S ) cap1 it 1 it 1 t * 5%** 1% 2 VIF Variance Inflation Factorage=1.032 TNA=1.028 Cap=1.001 1/S=1.028 Flow=1.004 1999 1 2008 12 10 t t

(113) (1) 5 5 (2) Pollet and Wilson 2008 Style (3) Pollet and Wilson 2008 (4) (5) (6) 2002 1. 20084 65-69 2. 1997 17 97-112 3. 2002 4. 2007-74 41-65 5. 2006 485 24-25 6. 2005 11 620-624

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