II 7

1. 2. 3. 4. : 5. 6.

7

* * ?

* - - - = : - ?

7 1.

(1)* - -(limited liability)

* : , , - ( ) : - 1555 Muscovy Company. -1720 (South Sea bubble) (Bubble Act)(1720-1825)

7 1.

(2)

- - - -

7 2.

*(common stock) , (cash flow) , =>

* : () (, ) - =>

* : --(price-earning ratio method, PER method)-(dividend discount model)

7 2.

(1)-(PER)

* PER (price- earning ratio, P/E) - * PER=3,000*15=45,000- - - , ,

7 2. (2)()

- ( )

1)1

) P1(1 )=60,000, D1=160, (ke)=12% P0= 160/1.12 + 60,000/1.12 = 53,714- 50,000

7 2. (2)()

2) ()-

-(2) . , P0 Pn . Pn P0 - . .

7 2.

(2)()

2) ()

- - . ? - =>

7 2. 3) (Gordon growth model)* : (g)

- (g) (g) (ke) Miron Gordon

7 2. 4)

* - (2)

- (PER )

En (n )= E0 , G

-) E0=12,000, G=2% E3=

- PER 6 3 (P3)

7 2. (2)()4)

-(2) ( 4000, 14% 3

* - , :

7 2. 4)

7 2. (2)()

5)

-

+ (capital asset pricing model: CAPM) (arbitrage pricing theory: APT)

7 2. 5)

a.(capital asset pricing model: CAPM) - ( )

-(Bj) -Rj : j , Rm: -Rf(): -(Rm-Rf)= - -)=1.2, Rf=6%, =7% Rj= 6%+1.2*7%=14.4%()

7 2. 5)

b.(arbitrage pricing theory: APT) -

- :

7 3.

* -

Ex)D1=2,000, g=3%, A( , ) kn=15%, B kn=12%, C( , ) kn=10%.

- ?A: P0=2,000/(0.15-0.03)=16,667B: P0=2,000/(0.12-0.03)=22,222C: P0=2,000/(0.10-0.03)=28,571

7 3.

* - ( ) => => =>

-

7 3.

-

, =>( )=> (ke) =>(5) P0 =>

, => =>g =>P0 =>

7 3.

2001 9.11, (Enron)

9.11-> ->g ->P0 -> 9.11-> -> (ke) -> P0 -> - 9.11 10% -> ->g , ke -> P0 - 2001 10 11 2001 -> -> g , ke -> P0->

7 4. :

* * => - ? -

(1)()

1) (static or fixed expectation theory)

- (cobweb theory)

7 4. :

1) (static or fixed expectation theory)

7 4. :

2) (adaptive expectation): 1950, 1960-

- : : :

7 4. : 3) (rational expectation theory)-J.Muth, R.Lucas, Jr., R.Barro, T.Sargent

a) * (forward-looking approach). - . (backward-looking approach)

- (all available) (optimal forecast, ) .

=>

7 4. : 3) (rational expectation)

a)

=> ()

* ?- - => (+ )

7 4. : 3)

b)

*X = (optimal forecast)*I(t-1) t-1

7 4. : 3) b)

*

.(Lucas )- .

0. Xt Xet averages zero over time

7 4. : 3) b)

* . Xt Xet displays no patterns over time -, random Xt Xet () t-1 .

* - .

7 4. : (2) (efficient market hypothesis)

1)

* .=> ()(theory of efficient capital markets)=

- : ()

7 4. : (2) (efficient market hypothesis)

1) ---

- () . - ,

7 4. : (2) (efficient market theory)

2)

- (unexploited profit opportunity) . (smart money, ) .

7 4. : (2) (efficient market theory)

3) (stronger version): (fundamental valuation efficiency)

* = ( )+ -> (fundamentals)

- : => (R. Shiller, , irrational exuberance)

-

7 4. : (2) (efficient market theory)

3) (stronger version): (fundamental valuation efficiency)

*(fundamentals) -(fundamentals) (Andre Kostolany)

7 4. : 4)

* (irrational exuberance)

* (random walks, ) -- . . = -

7 4. : 4)

-

* (above-normal) ( : ) = - .

7 4. : 5)

a) - ? No.

, . .

, . =>

b) - ( ) .- () . .

7 4. : 5)

c) - . - -

d) - - - :

7 4. : 5)

e) - day-trading (buy and hold strategy) - : no-load fund( ) - - (R. Shiller)

7 5. - ,

(1)

1)() * (above-normal)

* (mutual fund) (beat the market) . - . (dart board) . * (Technical analysis)

7 5. (1)

2) (random walks) - -> ->

*- (weak-form efficiency) : - (semi-strong-form efficiency) : - ? - (strong-form efficiency) :

7 5. (2)

*

- (pricing anomalies) (small firm effect), (January effect), (day-of-the-week effect)

-

- :

7 5. (2)

1) (pricing anomalies)

(small-firm effect)- - - : , , , ,

1 (January effect) (day-of-the-week effect) - 1 =>=> - :

7 5. (2)

2)

(mean reversion)- ->random walk -

- =

7 5.

3) (market overreaction)- - (excessive volatility)- (fundamental value) .

-> -Merton Miller( ): -

7 5. (3)

-

1)

- => - => , 1987 (circuit breakers), , (margin requirement) =>

7 5. (3)

2)(information costs)- =>=> - => (monitoring cost) - =>

7 5. (4) : ()

*1987 10 19 (Black Monday) ( 20% ) 2000 () (2000 3 2001 2002 60% )

-

7 5. (4) :

*Black Monday - : 1987 . - : = EMT -

7 5. (4) :

* (rational bubble) - (a greater fool) =>

: I. Fisher Knut Wicksell - : - (money illusion) - => => =>

7 5. (4) :

* (Rational Expectation) - (noise traders) : - (fads) . , - =>

7 5. (4) :

* (trading mechanism) -1987 *NYSE : 1987 10 19 ( specialists ) -NYSE (specialists)

7 5. (4) :

* (trading mechanism)

* - (circuit breakers: , ) (sidecar): - , (program trading)

7 5.

* (herd behavior)- (informational cascade theory: ):

-

7 6. (1)(behavioral economics)

1) -1970 - , , , -

- (homo economicus). ( )

7 6. (1)(behavioral economics)

1)

- - (preference, taste) -A. Smith : A. Marshall: J. Keynes: , animal spirit( )

7 6. (1)(behavioral economics)

1)

* - ( ) - -

7 6. (1)(behavioral economics) 1)

* , , , , , , , ,

- , ,

7 6. (1)(behavioral economics) 2)

- (heuristic and bias) (prospect theory)

- 2002 Daniel Kahneman Aver Tversky D. Kahneman and A. Tversky, Judgment under Uncertainty: Heuristics and Bias, Science 185, 1974, pp.1124-31.

7 6. 2)

(heuristic and bias)- - (bias)

, (representative heuristic)- () (event) - () -Ex)

7 6. 2)

(heuristic and bias)

, (availability heuristic)- -

Ex) ,

7 6. (1)(behavioral economics) 2) (heuristic and bias)

, (anchoring heuristic)- () . , ()

-Ex) ,

-(anchoring effect):

7 6. 2) (heuristic and bias)

- - => -, , (KOSPI), - ()

7 6. 2) (heuristic and bias)

- R. Shiller(2000) -Shiller (psychological anchor) - (quantitative anchor) (, , ) (moral anchor)- (quantitative anchor) (Ex : )- (moral anchor) : , (storytelling), (justification),

7 6. 2) (heuristic and bias)

- : -

7 6. (1)(behavioral economics) 2)

(prospect theory)

-Kahneman Tversky (prospect theory) () - - (value function) (decision weighting function)

7 6. (1)(behavioral economics) 2)

(prospect theory)*(value function): S

7 6. 2)

(prospect theory)*(value function) 3 - : (reference point) : , , (, 10kg , )- (diminishing sensitivity): .

7 6. (1)(behavioral economics) 2)

(prospect theory)*(value function) 3

- (loss aversion) : D. Kahneman A. Tversky (, 1000 1000 ) 2-2.5

7 6. (1)(behavioral economics) 2)

(prospect theory)*(decision weighting function)- - ( ) - w(p) v(x) w(p)v(x) - S

7 6. (prospect theory)*(decision weighting function)

7 6. (1)(behavioral economics) 2) (prospect theory)

*(decision weighting function)-S - . . - . 0.35

7 6. 2) (prospect theory)

* (decision weighting function)-D. Kahneman A. Tversky 4 . , ,

Ex) ,

7 6.

7 6. (2) (Behavioral Finance)

* :

* ( ) (doubts)- ( ) ()- , ( ) => (behavioral finance) : (, , )

7 6. (2)

*

, (loss aversion)

- (smart money) -, : (, short sales, , )

7 6. (2)(Behavioral Finance)

- (loss aversion). (short sales) => =>

, (overconfident) => (moral anchor) .

7 6. (2)(Behavioral Finance)

: => (, ) => ( )

- =>

7 6. (2)

- : (quantitative anchor effect)( ) => (fads) : => =>

*

7