                                             541

31    (17.13), ,   (17.11)    V^ D+ -
iD,   (/, = D + . ,  ^   (17.12)   
D + ŗ cD,        .  ,   -
 (17.13).                                               ""'"'

32   ,          
   .      ,  
        .

33      ,  (?,J]P,^[ + ^^)    
 .

34      ,     
      ,   -
 .      ,     
 ,     .    -
    ,      
.

35         .    -
 (  10)      (..  ,
  ),    .

36 .: BarrRosenbergandVinayMarathe, The Prediction of Investment Risk: Systematic and Residual
Risk, Proceeding of the Seminar on the Analysis of Security Prices, University of Chicago, November 1975.
. : Barr Rosenberg, Prediction of Common Stock Investment Risk, Journal of Portfolio
Management, 11, no. 1 (Fall 1984), pp. 4453; Prediction of Common Stock Betas, Journal of Portfolio
Management, 11, no. 2 (Winter 1985), pp. 5-14.

37  ,     ,    ,   -
    ,        
 .            -
 (,      PIE).

38        500  S &      -
     BV/MV3&   .    
         . -
       . 23.

39 Eugene F. Fama and Kenneth R. French, The Cross-Section of Expected Stock Returns, Journal of
Finance, 47, no. 2 (June 1992), pp. 427465. . : Barr Rosenberg, Kennet Reid, and Ronald Lanstein,
Persuasive Evidence of Market Inefficiency, Journal of Portfolio Management, 11, no. 3 (Spring 1985),
pp. 9-16.

40 . : S. Basu, Investment Performance of Common Stocks in Relation to Their Price-Earning Ratios:

ATestofthe Efficient Market Hypothesis, Journal of Finance, 32, no. 3 (June 1977), pp. 663-682; and The
Relationship Between Earnings' Yield, Market Value and Return for NYSE Common Stocks: Further
Evidence, Journal of Financial Economics, 12, no. 1 (June 1983), pp. 129156.

'"       : Rolf Banz, The
Relationship Between Return and Market Value of Common Stocks, Journal ofFinancial Economics, 9,
no. 1 (March 1981), pp. 3-18; and Marc R. Reinganum, Misspecification of Capital Asset Pricing:

Empirical Anomalies Based on Earnings Yields and Market Values, Journal of Financial Economics, 9,
no. 1 (March 1981), pp. 19-46.

41   , ,   ,    , 
          
 . .: Fama and French, The Cross-Section of Expected Stock Returns.

43 Marc R. Reinganum, Misspecification of Capital Asset Pricing. .  RolfW. Banz and William J.
Breen, Sample Dependent Results Using Accounting and Market Data: Some Evidence, Journal of
Finance, 41, no. 4 (September 1986), pp. 779-793.

"" ,       . .: Jeffrey Jaffe, Donald .
Keim, and Randolph Westerfield, Earning Yields, Market Values, and Stock Returns, Journal of Finance,
44, no. 1 (March 1989), pp. 135-138.

45 Fama and French, The Cross-Section of Expected Stock Returns.

46       (   
). ,         -