,PSDFWVRI)RUHLJQ'LUHFW,QYHVWPHQW)RUHLJQ$LGDQG([SRUW
9DOXHVRQ,QGXVWULDOL]DWLRQDQG(FRQRPLF*URZWKLQ%DQJODGHVK
0G6KDULI+RVVDLQ
8QLYHUVLW\RI'KDND%DQJODGHVK
$EVWUDFW
7KH SULQFLSDO SXUSRVH RI WKLV SDSHU LV WR LGHQWLI\ WKH LPSDFW RI IRUHLJQ
GLUHFW LQYHVWPHQW IRUHLJQ DLG DQG H[SRUW YDOXHV RQ VWUXFWXUDO FKDQJH IRU
LQGXVWULDOL]DWLRQDQGHFRQRPLFJURZWKLQ%DQJODGHVKWKURXJKXVHRIVW\OLVHG
IDFWV DQG PRGHUQ HFRQRPHWULFWHFKQLTXHV7KH*UDQJHUFDXVDOLW\WHVWVDUH
DSSOLHGPDLQO\WRLQYHVWLJDWHWKHFDXVDOGLUHFWLRQVRIGLIIHUHQWPDFURHFRQRPLF
YDULDEOHV DVVRFLDWHG ZLWK WKH FKDQJH RI LQGXVWULDO VWUXFWXUH DQG HFRQRPLF
JURZWK3ULRUWRDSSO\LQJWKH*UDQJHUFDXVDOLW\WHVWWKHRUGHURILQWHJUDWLRQ
IRUDOOYDULDEOHVLVH[DPLQHGE\WKHXQLWURRWVWHVWV7KHFRLQWHJUDWHGWHVWV
DUHDOVRDSSOLHGWRUHYHDOZKHWKHURUQRWGLIIHUHQWSDLUVRIYDULDEOHVVKDUHWKH
VDPHVWRFKDVWLFWUHQG)LQDOO\LQRUGHUWRH[DPLQHWKHVWDWLVWLFDODVVRFLDWLRQ
RIWKHFKDQJHRIWKHOHYHORILQGXVWULDOL]DWLRQDQGHFRQRPLFJURZWKZLWKRWKHU
VHOHFWHGPDFURHFRQRPLFYDULDEOHVWKHUHJUHVVLRQDQDO\VLVKDVDOVREHHQXVHG
.H\ZRUGV8QLW 5RRW7HVW &RLQWHJUDWHG7HVWV *UDQJHU &DXVDOLW\7HVW 6WDWLVWLFDO
$VVRFLDWLRQ5HJUHVVLRQ$QDO\VLV
,QWURGXFWLRQ
&KDUDFWHULVWLFDOO\IRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLGDQGH[SRUWYDOXHVDUHGHHPHGWR
EHVXEVWDQWLDODQGH[RJHQRXVIDFWRUVWKDWFRQWULEXWHWRVWUXFWXUDOFKDQJHDQGHFRQRPLF
JURZWK RI D QDWLRQ )RUHLJQ GLUHFW LQYHVWPHQW LV IUHTXHQWO\ GHULYHG IURP WKH EHOLHI
WKDWLWSURGXFHVH[WHUQDOLWLHVLQWKHIRUPRIWUDQVIHUULQJIDFWRUVRISURGXFWLRQJOREDOO\
FRQWUDU\WRWKHFODVVLFDOWKHRU\RILQWHUQDWLRQDOWUDGH7KHWKHRU\DVVXPHVWKDWJRRGVDQG
VHUYLFHVFDQPRYHLQWHUQDWLRQDOO\EXWWKHIDFWRUVRISURGXFWLRQLHFDSLWDOODERXUODQG
DUHUHODWLYHO\LPPRELOH2YHUWKH\HDUVWKLVWKHRU\RILQWHUQDWLRQDOWUDGHKDVEHFRPH
LQFUHDVLQJO\LUUHOHYDQWWRWKHDGYDQFHGDQGKLJKO\GHYHORSHGHFRQRPLHV,WLVFRPPRQO\
DUJXHGWKDWFDSLWDOWUDQVIRUPDWLRQFDQHDVHWKHWUDQVIHURIWHFKQRORJLFDODQGEXVLQHVV
NQRZKRZWRSRRUHUFRXQWULHVZKLFKKHOSVH[SORLWXQXWLOL]HGUHVRXUFHVPRUHHIIHFWLYHO\
IRUVWUXFWXUDOFKDQJHDQGGHYHORSPHQWRIWKHHFRQRP\)RUHLJQDLGIXQFWLRQVWKURXJKD
VLPLODUIUDPHZRUNLQSURYLGLQJYLWDOFDSLWDOWKDWZRXOGHQKDQFHWKHORQJWHUPSURVSHFWV
RI WKH UHFLSLHQW QDWLRQ$Q LPSRUWDQW REMHFWLYH RI PXFK IRUHLJQ DLG WR GHYHORSLQJ
FRXQWULHVLVWKHSURPRWLRQRIHFRQRPLFGHYHORSPHQWDQGZHOIDUHXVXDOO\PHDVXUHGE\
LWVLPSDFWRQHFRQRPLFJURZWKDQGVWUXFWXUDOFKDQJHRIDQDWLRQ5RVWRZDUJXHG
IURPKLVZHOONQRZQKLVWRULFDOSHUVSHFWLYHWKDWWKHFKDQJHRILQGXVWULDOVWUXFWXUHLV
LQGXFHGE\WKHSURFHVVRIWDNHRII LQWRVHOIVXVWDLQHGJURZWK+HHPSKDVLVHGWKDWWKH
−53−
WDNHRIIUHTXLUHVQRWRQO\HFRQRPLFEXWDOVRSROLWLFDOVRFLDODQGLQVWLWXWLRQDOFKDQJHV
WRHQDEOHLWWKHQDWLRQWRUHVSRQGWRQHZRSSRUWXQLWLHVIRUSURGXFWLYHDFWLYLWLHV2QWKH
RWKHUKDQG.X]QHWV¶REVHUYDWLRQRQWKLVLVVXHLVIXQGDPHQWDOO\GHULYHGIURPDQ
HFRQRPLFFRQVLGHUDWLRQ,QKLVSLRQHHULQJHPSLULFDODQDO\VLV.X]QHWVVKRZVWKDW
DVXEVWDQWLDOLQFUHDVHRIWKHVKDUHRIWKHPDQXIDFWXULQJVHFWRUERWKLQQDWLRQDORXWSXW
DQGLQWKHODERXUIRUFHLVSRVLWLYHO\DVVRFLDWHGZLWKULVLQJSHUFDSLWDLQFRPH0RUHRYHU
KHVXJJHVWVWKDWHFRQRPLFWUDQVIRUPDWLRQZLWKULVLQJSHUFDSLWDLQFRPHLVDFRQWLQXRXV
SURFHVVIURPDJULFXOWXUDOWRPDQXIDFWXULQJDQGWKHQIURPPDQXIDFWXULQJWRVHUYLFH
HYHQLIOHVVV\VWHPDWLFDOO\
7KHGHYHORSPHQWRILQGXVWULDOL]DWLRQIURPWKHDJUDULDQHFRQRPLFV\VWHPDQG
LWVDVVRFLDWLRQZLWKHFRQRPLFJURZWKZKLFK.X]QHWVREVHUYHGLVSHUIHFWO\FRQVLVWHQW
ZLWKWKHFDVHVWXG\RI-DSDQHVHHFRQRPLFJURZWKE\&KHQHU\DQG:DWDQDEHDQG
WKHFURVVFRXQWU\DQDO\VHVE\&KHQHU\&KHQHU\DQG7D\ORU&KHQHU\DQG
6\UTXLQDQG&KHQHU\DQG5RELQVRQ,Q%DQJODGHVKDVHYHUDOUHVHDUFKHUV
KDYHXQGHUWDNHQVWXGLHVRQHFRQRPLFJURZWKIRUH[DPSOH$ODP&KRZGKXU\
.KDQ ,VODP DQG 6DKD HWF EXW WKHUH KDYH EHHQ QR VWXGLHV
LQYHVWLJDWLQJ WKH LPSDFWV RI IRUHLJQ GLUHFW LQYHVWPHQW DQG IRUHLJQ DLG RQ VWUXFWXUDO
FKDQJHDQGHFRQRPLFJURZWKLQ%DQJODGHVK7KDWLVZK\LQWKLVSDSHUDQLQLWLDODWWHPSW
KDV EHHQ PDGH WR LGHQWLI\ WKHVH LPSDFWV E\ XVLQJ PRGHUQ HFRQRPHWULF WHFKQLTXHV
)LUVWO\ , KDYH FRQVLGHUHG WKH VW\OLVHG IDFWV LQ RUGHU WR H[DPLQH WKH ZD\ LQ ZKLFK
DJULFXOWXUDO SURGXFWLRQ PD\ HQFRXUDJH LQGXVWULDOL]DWLRQ YLD WHFKQRORJLFDO SURJUHVV
DQGWRPHDVXUHWKHDVVRFLDWLRQRIGLIIHUHQWHFRQRPLFYDULDEOHV,QVW\OLVHGIDFWVRQWKH
EDVLVRIWKHJUDSKLFDOPHWKRG,KDYHVKRZQWKDWDJULFXOWXUDOSURGXFWLRQHQFRXUDJHV
LQGXVWULDOL]DWLRQ YLD WHFKQRORJLFDO SURJUHVV , KDYH DOVR GHWHUPLQHG WKH FRUUHODWLRQ
FRHIILFLHQW LQ RUGHU WR PHDVXUH WKHDVVRFLDWLRQEHWZHHQGLIIHUHQWSDLUVRIHFRQRPLF
YDULDEOHV6HFRQGO\,KDYHDSSOLHGHFRQRPHWULFWHFKQLTXHVLQRUGHUWR¿QGWKHLPSDFWV
RIVRPHVHOHFWHGPDFURHFRQRPLFYDULDEOHVRQVWUXFWXUDOFKDQJHDQGHFRQRPLFJURZWK
LQ%DQJODGHVK$W¿UVW,KDYHDSSOLHGWKHXQLWURRWWHVWVLQRUGHUWRLQYHVWLJDWHWKHQRQ
VWDWLRQDULW\LQHDFKRIWKHYDULDEOHV7KHQ,KDYHDSSOLHGWKH*UDQJHUFDXVDOLW\WHVWVLQ
RUGHUWRLQYHVWLJDWHWKHFDXVDOGLUHFWLRQDVVRFLDWHGZLWKLQGXVWULDOL]DWLRQDQGHFRQRPLF
JURZWKLQ%DQJODGHVK,KDYHDOVRDSSOLHGWKHFRLQWHJUDWHGWHVWVLQRUGHUWRH[DPLQH
ZKHWKHUWKHGLIIHUHQWSDLUVRIYDULDEOHVVKDUHWKHVDPHVWRFKDVWLFWUHQGRUQRW)LQDOO\
, KDYH PHDVXUHG VWDWLVWLFDO DVVRFLDWLRQ EHWZHHQ LQGXVWULDOL]DWLRQ DQG VRPH VHOHFWHG
PDFURHFRQRPLFYDULDEOHVDQGEHWZHHQHFRQRPLFJURZWKDQGVRPHPDFURHFRQRPLF
YDULDEOHVE\UHJUHVVLRQDQDO\VLV
)RUHLJQ'LUHFW,QYHVWPHQW)RUHLJQGLUHFWLQYHVWPHQWLVGH¿QHGDVLQYHVWPHQWPDGHE\WUDQVQDWLRQDO
FRUSRUDWLRQVRUE\DQRQUHVLGHQWLQWKHKRVWFRXQWULHVLQZKLFKLQYHVWLQJXQLWVKDYHSRZHUWRH[HUWVRPH
FRQWURORYHUGHFLVLRQPDNLQJSURFHVVRIWKHLQYHVWHGXQLW7KHLQYHVWPHQWPD\EHPDGHLQWKHIRUP
RIHTXLW\SDUWLFLSDWLRQRUWUDQVIHUULQJRIWHFKQRORJ\DQGNQRZKRZHWFLQRUGHUWR\LHOGSULYDWHUHWXUQ
DFFRUGLQJWRKRPHDQGKRVWFRXQWULHV¶PDFURHFRQRPLFSROLFLHV
)RUHLJQ$LG)RUHLJQDLGLVGH¿QHGDVWKHPRQHWDU\YDOXHRIDLGVXFKDVHFRQRPLFVRFLDORUPLOLWDU\
DVVLVWDQFHRIIHUHGE\RQHQDWLRQWRDQRWKHU
,QGXVWULDOL]DWLRQ5DWLRRILQGXVWULDORXWSXWWRDJULFXOWXUDORXWSXW,QWKLVSDSHUWKHLQGXVWULDOVHFWRUGRHV
QRWLQGLFDWHRQO\WKHPDQXIDFWXULQJVHFWRUEXWDOVRLQFOXGHVWKHPLQLQJDQGFRQVWUXFWLRQVHFWRUV
7DNH2II7DNHRIILVGH¿QHGDVWKHLQWHUYDOGXULQJZKLFKWKHUDWHRILQYHVWPHQWLQFUHDVHVLQVXFKDZD\
WKDWUHDORXWSXWSHUFDSLWDULVHV7KLVLQLWLDOLQFUHDVHFDUULHVZLWKLWUDGLFDOFKDQJHVLQUHGXFWLRQWHFKQLTXHV
DQGWKHGLVSRVLWLRQRILQFRPHÀRZVZKLFKSHUSHWXDWHWKHQHZVFDOHRILQYHVWPHQWDQGWKHUHE\WKHULVLQJ
WUHQGLQSHUFDSLWDRXWSXW5RVWRZS
−54−
0HWKRGRORJ\IRU&ROOHFWLQJ'DWD
7KHVXFFHVVRIDQ\VWDWLVWLFDODQGHFRQRPHWULFDODQDO\VLVXOWLPDWHO\GHSHQGVRQWKH
DYDLODELOLW\RIWKHDSSURSULDWHGDWD,WLVWKHUHIRUHHVVHQWLDOWKDWZHVSHQGVRPHWLPH
GLVFXVVLQJWKHQDWXUHVRXUFHVDQGOLPLWDWLRQVRIWKHGDWDWKDWPD\DULVHLQHPSLULFDO
DQDO\VLV7KH GLIILFXOW\ OLHV LQ WKH DYDLODELOLW\ DQG QDWXUH RI WKH GDWD$ SDUWLFXODU
SUREOHP IDFLQJ WKH UHVHDUFKHU LV WKDW RI REWDLQLQJ DSSURSULDWH GDWD ,Q %DQJODGHVK
DUHOLDEOHVRXUFHRIGDWDLVDJROGHQGHHU,WLVRIWHQGLIILFXOWWRREWDLQJRRGUHOLDEOH
GDWDZLWKWKHQHFHVVDU\LQIRUPDWLRQUHTXLUHGIRUDSDUWLFXODUDQDO\VLV0LVVLQJYDOXH
LVDJUHDWSUREOHPLQVRPHGDWD(YHQLQVRPHH[SHULPHQWDOO\FROOHFWHGGDWDHUURUV
RI PHDVXUHPHQW DULVH IURP DSSUR[LPDWLRQ DQG URXQGLQJ RII %HFDXVH RI WKHVH DQG
PDQ\RWKHUSUREOHPVWKHUHVHDUFKHUVVKRXOGDOZD\VNHHSLQPLQGWKDWWKHUHVXOWRI
UHVHDUFKPD\EHDIIHFWHGE\WKHTXDOLW\RIWKHGDWD7KHUHIRUHLILQJLYHQVLWXDWLRQV
WKH UHVHDUFKHUV ILQG WKDW WKH UHVXOWV RI UHVHDUFK DUH XQVDWLVIDFWRU\ WKH H[SODQDWLRQ
PD\QRWEHWKDWWKH\XVHGWKHZURQJPRGHOEXWWKDWWKHTXDOLW\RIWKHGDWDZDVSRRU
'LI¿FXOWLHVLQ¿QGLQJVXLWDEOHGDWDDUHIUHTXHQWO\HQFRXQWHUHG7KHHPSLULFDODQDO\VLV
LQWKLVSDSHULVEDVHGRQVHFRQGDU\GDWD'DWDXVHGLQWKLVVWXG\DUHFROOHFWHGIURP
YDULRXVSXEOLFDWLRQVRIWKHJRYHUQPHQWRIWKH3HRSOH¶V5HSXEOLFRI%DQJODGHVKVXFKDV
7KH%DQJODGHVK%XUHDXRI6WDWLVWLFV7KH%DQJODGHVK%RDUGRI,QYHVWPHQWV6WDWLVWLFDO
<HDUERRNVRI%DQJODGHVK%DQJODGHVK<HDUERRNRI$JULFXOWXUDO6WDWLVWLFVHWFDVZHOO
DV:RUOG'HYHORSPHQW,QGLFDWRUVRIWKH'DWDEDVHRIWKH:RUOG%DQNJURXSDQG$QQXDO
5HSRUWVRI%DQJODGHVK%DQN7KLVVWXG\FRYHUVDYDLODEOHGDWDIURPWR
7KH6W\OLVHG)DFWV
$JULFXOWXUDOSURGXFWLRQVWLOOSOD\VDVLJQL¿FDQWUROHHVSHFLDOO\LQDFORVHGHFRQRP\DQG
SHUKDSVHYHQLQWKHPRGHUQHFRQRPLFJURZWKV\VWHPVHH5DQLV,QRUGHUWRPDNH
SULPDU\REVHUYDWLRQVRQWKHUHODWLRQVKLSEHWZHHQVWUXFWXUDOFKDQJHDQGLQGXVWULDOL]DWLRQ
DQGHFRQRPLFJURZWKILUVWO\WKHSHUFHQWDJHVKDUHVRIWKHLQGXVWULDODQGDJULFXOWXUDO
VHFWRUVLQWKHWRWDO*'3DUHSUHVHQWHGLQ)LJXUHFRUUHVSRQGLQJWRSHUFDSLWD*'3
)LJXUHSUHVHQWVWKHVHVHFWRUDOVKDUHVLQORJFRUUHVSRQGLQJWRWKHSHUFDSLWD*'3
)LJXUH 6KDUHV RI$JULFXOWXUDO DQG ,QGXVWULDO 6HFWRUV LQ WKH 7RWDO *'3
&RUUHVSRQGLQJWR3HU&DSLWD*'3
−55−
)LJXUH 6KDUHV RI$JULFXOWXUDO DQG ,QGXVWULDO 6HFWRUV LQ WKH 7RWDO *'3
&RUUHVSRQGLQJWR3HU&DSLWD*'3LQ/RJDULWKP
)LJXUH /HYHO RI ,QGXVWULDOL]DWLRQ )RUHLJQ 'LUHFW ,QYHVWPHQW )RUHLJQ$LG
([SRUW9DOXHV3HU&DSLWD*'3DQG*URZWKRI*'3LQ/RJDULWKPV
▲
)URP)LJXUHVDQGLWLVFOHDUWKDWWKHDJULFXOWXUDOVHFWRU¶VVKDUHLVGHFOLQLQJZKLOH
WKDWRIWKHLQGXVWULDOVHFWRULVLQFUHDVLQJ7KHVH¿JXUHVDOVRLQGLFDWHWKDWWKHGHFOLQLQJ
UDWHRIWKHDJULFXOWXUDOVHFWRULVKLJKHUWKDQWKHLQFUHDVLQJUDWHRIWKHLQGXVWULDOVHFWRU
0RUHRYHU WKH GHFOLQLQJ VKDUH RI WKH DJULFXOWXUDO VHFWRU LV VXEVWDQWLDOO\ RIIVHW E\
WKHLQFUHDVLQJVKDUHRIWKHLQGXVWULDOVHFWRU7KLVLQGLFDWHVWKDWWKHVRXUFHRIPDMRU
FRQWULEXWLRQWRWKHHFRQRPLFGHYHORSPHQWRI%DQJODGHVKLVVKLIWLQJIURPWKHDJULFXOWXUDO
VHFWRUWRWKHLQGXVWULDOVHFWRU7KXVLQWKLVSDSHU,KDYHIRFXVHGPRUHRQVWUXFWXUDO
FKDQJHLQWHUPVRILQGXVWULDOL]DWLRQLHIURPDJULFXOWXUDOVHFWRUWRLQGXVWULDOVHFWRU
DQGHFRQRPLFJURZWK7KHOHYHOVRILQGXVWULDOL]DWLRQIRUHLJQGLUHFWLQYHVWPHQWIRUHLJQ
DLGH[SRUWYDOXHVJURZWKRI*'3DQGSHUFDSLWD*'3LQORJDULWKPVDUHSUHVHQWHGLQ
)LJXUH)URPWKLV)LJXUHLWFDQEHVDLGWKDWWKHVHYDULDEOHVGLVSOD\DQXQPLVWDNDEOH
XSZDUGWUHQG7KHTXHVWLRQLVZKHWKHUWKHWUHQGDULVHVIURPWKHSRVLWLYHGULIWWHUPRU
QRWRIDUDQGRPZDON7RH[SORUHWKLVDQHPSLULFDOLQYHVWLJDWLRQKDVEHHQFRQGXFWHG
LQWKLVSDSHU)RUHPSLULFDOYHUL¿FDWLRQWKUHHFDVHVKDYHEHHQFRQVLGHUHG,QFDVHRQH
FRQVWDQWDQGWUHQGWHUPVDUHLQFOXGHGLQWKHPRGHOLQFDVHWZRRQO\FRQVWDQWWHUPLV
LQFOXGHGLQWKHPRGHODQGLQFDVHWKUHHQRFRQVWDQWDQGWUHQGWHUPVDUHLQFOXGHGLQ
WKHPRGHO,QDGGLWLRQLQRUGHUWRPHDVXUHWKHGHJUHHRIDVVRFLDWLRQRIGLIIHUHQWSDLUV
−56−
RIPDFURHFRQRPLFYDULDEOHVWKHFRUUHODWLRQFRHIILFLHQWVKDYHEHHQHVWLPDWHG7KHVH
HVWLPDWHGYDOXHVDUHUHSRUWHGLQ7DEOH
7DEOH7KH&RUUHODWLRQ0DWUL[RI'LIIHUHQW3DLUVRI9DULDEOHV
9DULDEOHV
/3*'3
&RUUHODWLRQRI/3*'3
7HVW6WDWLVWLF
SYDOXH
&RUUHODWLRQRI/,1'86
7HVW6WDWLVWLF
SYDOXH
/,1'86
/)$,'
/)',1
&RUUHODWLRQRI/)',1
7HVW6WDWLVWLF
SYDOXH
&RUUHODWLRQRI/(;32
7HVW6WDWLVWLF
SYDOXH
/**'3
&RUUHODWLRQRI/)$,'
7HVW6WDWLVWLF
SYDOXH
&RUUHODWLRQRI/**'3
7HVW6WDWLVWLF
SYDOXH
/(;32
'LVFXVVLRQRI5HVXOWV：)URPWKHHVWLPDWHGYDOXHVRIFRUUHODWLRQFRHIILFLHQWVZKLFK
DUHUHSRUWHGLQ7DEOHLWKDVEHHQIRXQGWKDWDOOWKHSDLUVRIYDULDEOHVDUHSRVLWLYHO\
DVVRFLDWHG,WKDVDOVREHHQIRXQGWKDWUHODWLRQVKLSVRIJURZWKRI*'3ZLWKGLIIHUHQW
YDULDEOHVDUHQRWVWDWLVWLFDOO\VLJQLILFDQW$SDUWIURPWKLVWKHUHODWLRQVKLSVEHWZHHQ
GLIIHUHQWSDLUVRIYDULDEOHVDUHVWDWLVWLFDOO\VLJQL¿FDQW
(FRQRPHWULF0HWKRGRORJ\
7KH SULQFLSDO HFRQRPHWULF DQDO\VLV LQYROYHV WHVWLQJ ZKHWKHU WKH PDFURHFRQRPLF
YDULDEOHVVXFKDVWKHOHYHORILQGXVWULDOL]DWLRQIRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLG
H[SRUWYDOXHVJURZWKRI*'3DQGDOVRWKHSHUFDSLWD*'3LQGLYLGXDOO\FRQWDLQDXQLW
URRWRUQRWDQGZKHWKHUDQXQGHUO\LQJFRLQWHJUDWLRQUHODWLRQH[LVWV,IDYDULDEOHGRHV
QRWFRQWDLQDXQLWURRWWKHQDQ\LQQRYDWLRQVWRWKHVHULHVDUHWHPSRUDU\DQGKDYHVKRUW
UXQFRQVHTXHQFHV2WKHUZLVHDQ\VKRFNVWRLWZLOOEHSHUPDQHQWDQGWKXVKDYHDORQJ
WHUPHIIHFW7RWHVWIRUWKHVWDWLRQDULW\RIDYDULDEOHDQXPEHURIHFRQRPHWULFWHFKQLTXHV
KDYHEHHQGHYHORSHGZKLFKDUHFDOOHGXQLWURRWWHVWV$OVRLQRUGHUWR¿QGWKHFDVXDO
GLUHFWLRQDVVRFLDWHGZLWKWKHFKDQJHRILQGXVWULDOVWUXFWXUHDQGZLWKHFRQRPLFJURZWK
KHUHWKH*UDQJHU&DXVDOLW\WHVWVDUHDSSOLHG1HVWXQLWURRWWHVWVDUHGLVFXVVHG
/3*'3SHUFDSLWD*'3LQORJDULWKP/,1'86/HYHORILQGXVWULDOL]DWLRQPHDQVUDWLRRILQGXVWULDO
RXWSXWWRDJULFXOWXUDORXWSXWLQORJDULWKP/)$,'IRUHLJQDLGLQORJDULWKP/)',1)RUHLJQGLUHFW
LQYHVWPHQWLQORJ/(;32H[SRUWYDOXHVLQORJDULWKP/**'3JURZWKRI*'3LQ/RJDULWKP*URZWK
RI*'3LVGH¿QHGDV * ' 3 W * ' 3 W î *'3W
−57−
8QLW5RRW7HVWVZLWKRXW6WUXFWXUDO%UHDNV
,QLWLDOO\ WKH *UDQJHU &DXVDOLW\ WHVWV DUH DSSOLHG LQ RUGHU WR LQYHVWLJDWH WKH FDXVDO
GLUHFWLRQDVVRFLDWHGZLWKWKHFKDQJHRILQGXVWULDOVWUXFWXUHDQGHFRQRPLFJURZWK3ULRU
WRWKH*UDQJHUFDXVDOLW\WHVWVLWLVQHFHVVDU\WRH[DPLQHWKHRUGHURILQWHJUDWLRQIRUDOO
YDULDEOHVE\WKHXQLWURRWWHVW,WLVZHOONQRZQWKDWWKHXVXDOWHFKQLTXHVRIUHJUHVVLRQ
DQDO\VLVFDQUHVXOWLQKLJKO\PLVOHDGLQJFRQFOXVLRQVZKHQYDULDEOHVFRQWDLQVVWRFKDVWLF
WUHQGV 6WRFN DQG:DWVRQ *UDQJHU DQG 1HZEROG ,Q SDUWLFXODU LI WKH
GHSHQGHQWYDULDEOHDQGDWOHDVWRQHLQGHSHQGHQWYDULDEOHFRQWDLQVWRFKDVWLFWUHQGDQG
LIWKH\DUHQRWFRLQWHJUDWHGWKHUHJUHVVLRQUHVXOWVDUHVSXULRXV3KLOOLSV*UDQJHU
DQG1HZEROG7RLGHQWLI\WKHFRUUHFWVSHFL¿FDWLRQRIWKHPRGHODQLQYHVWLJDWLRQ
RI WKH SUHVHQFH RI VWRFKDVWLF WUHQG LQ WKH YDULDEOHV LV QHHGHG7KH 'LFNH\)XOOHU
$XJPHQWHG'LFNH\)XOOHUDQG3KLOOLSV3HUURQWHVWVDUHDSSOLHGLQRUGHUWRLQYHVWLJDWH
ZKHWKHURUQRWHDFKRIWKHYDULDEOHVFRQWDLQVWRFKDVWLFWUHQG7KHYDULDEOHVZKLFKDUH
DSSOLHGKHUHDUHWKHOHYHORILQGXVWULDOL]DWLRQLQORJ/,1'86IRUHLJQGLUHFWLQYHVWPHQW
LQORJ/)',1IRUHLJQDLGLQORJ/)$,'H[SRUWYDOXHVLQORJ/(;32SHUFDSLWD
*'3LQORJ/3*'3DQGJURZWKRI*'3LQORJ/**'3
7KHIROORZLQJWKUHHFDVHVKDYHEHHQFRQVLGHUHGIRUWKH'LFNH\)XOOHUWHVW
&DVH2QH&RQVWDQWDQGWUHQGWHUPVDUHLQFOXGHGLQWKHHTXDWLRQ
ǻ; W ＝α＋α W ＋ ș ; W ＋ X W
&DVH7ZR2QO\FRQVWDQWWHUPLVLQFOXGHGLQWKHHTXDWLRQ
ǻ; W ＝α＋ ș ; W ＋ X W
&DVH7KUHH1HLWKHUFRQVWDQWQRUWUHQGWHUPVDUHLQFOXGHGLQWKHHTXDWLRQ
ǻ; W ＝ ș ; W ＋ X W
)RUWKH$XJPHQWHG'LFNH\)XOOHU7HVWWKHIROORZLQJHTXDWLRQVKDYHEHHQFRQVLGHUHG
&DVH2QH&RQVWDQWDQGWUHQGWHUPVDUHLQFOXGHGLQWKHHTXDWLRQ
P
ǻ; W ＝α＋α W ＋ ș ; W Σ ij ǻ; W L ＋ X W
L &DVH7ZR2QO\FRQVWDQWWHUPLVLQFOXGHGLQWKHHTXDWLRQ
P
ǻ; W ＝α＋ ș ; W Σ ijL ǻ; W L ＋ X W
L &DVH7KUHH1HLWKHUWUHQGQRUFRQVWDQWWHUPVDUHLQFOXGHGLQWKHHTXDWLRQ
P
ǻ; W ＝ ș ; W Σ ijL ǻ; W L ＋ X W
L ;LVWKHVHULHVXQGHULQYHVWLJDWLRQDQGǻVWDQGVIRU¿UVWGLIIHUHQFH,Iș WKHQWKH
VHULHV;FRQWDLQVDXQLWURRWDQGWKHUHIRUHDQ,SURFHVVJRYHUQHGE\DVWRFKDVWLF
WUHQG6LQFHWKHHVWLPDWHGșGRHVQRWKDYHWKHXVXDODV\PSWRWLFGLVWULEXWLRQWKHYDOXHV
WDEXODWHGE\0DF.LQQRQDUHXVHGWKHVHYDOXHVDUHPRUHDFFXUDWHWKDQWKHRQHV
RULJLQDOO\WDEXODWHGE\)XOOHUDQG'LFNH\)XOOHU:HFDQDOVRXVHWKH
3KLOOLSV3HUURQWHVW3KLOOLSVDQG3HUURQJHQHUDOL]HGWKHIROORZLQJUHVXOWVWRWKH
−58−
FDVHZKHQWKHUDQGRPHUURUWHUPXWLVVHULDOO\FRUUHODWHGDQGSRVVLEO\KHWHURVFHGDVWLF
DVZHOO7KH3KLOOLSV3HUURQWHVWIRUWKHQXOOK\SRWKHVLV+：ρ＝1
+：θ＝0 LV
JLYHQE\
σρ
=ρ＝7［ρ-1］
7 ［λ -γ
］
V
［
］
ZKHUHWKHHVWLPDWHGDXWRFRYDULDQFHVRIWKH2/6UHVLGXDOVX
V DUHJLYHQDV
7
γ ＝
Σ
X
W ;
7W γM ＝
7
T
M
í
γ
γM；
T
；
Σ
Σ
＝ ＋
X
X
WM
λ
T
M 7 W M W
［
］
7KHXVXDO2/6IRUPXODIRUWKHYDULDQFHRIWKHUHVLGXDOVIURPWKHLUUHJUHVVLRQLVJLYHQ
E\
7
s ＝ ΣXW
í
7 W 7RH[DPLQHWKHRUGHURILQWHJUDWLRQIRUDOOYDULDEOHVE\WKHXQLWURRWWHVWVWKH'LFNH\
)XOOHU')$XJPHQWHG'LFNH\)XOOHU$')DQG3KLOOLSV3HUURQ33WHVWVUHVXOWVDUH
UHSRUWHGLQWKHIROORZLQJ7DEOH
7DEOH'LFNH\)XOOHU$XJPHQWHG'LFNH\)XOOHUDQG3KLOOLSV3HUURQ7HVWV5HVXOWV
9DULDEOHV
')7HVW
$')7HVW
337HVW
&DVH
&DVH
&DVH
&DVH
&DVH
&DVH
/,1'86
/)',1
/)$,'
/3*'3
/**'3
/(;32
&DVH
&DVH
&DVH
'LVFXVVLRQRIUHVXOWV)URPWKHVHWHVWUHVXOWVLWFDQEHFRQFOXGHGWKDWDOOWKHYDULDEOHV
DUHLQWHJUDWHGRIRUGHUWKDWLV,7KXVIURPRXUDQDO\WLFDOUHVXOWVLWFDQEHFRQFOXGHG
WKDWDOOWKHYDULDEOHVDUHQRQVWDWLRQDU\DQGKDYHORQJUXQFRQVHTXHQFHV5HFHQWVWXGLHV
KDYHEHHQIRXQGWKDWWKHVWDQGDUG$')DQG33WHVWVKDYHORZSRZHUDJDLQVWVWDWLRQDU\
DOWHUQDWLYHVLQVPDOOVDPSOHVVHHHJ&DPSEHOODQG3HUURQDQG'H-RQJHWDO
7KHUHIRUHIDLOXUHWRUHMHFWWKHQXOOK\SRWKHVLVRIDXQLWURRWPD\QRWJLYHRQH
PXFKLQIRUPDWLRQUHJDUGLQJZKHWKHUWKHVHULHVLVLQGHHGVWDWLRQDU\3HUURQSRLQWV
RXWWKDWWKHVHWHVWVSHUIRUPHVSHFLDOO\SRRUO\ZKHQWKHUHLVDEUHDNLQWKHGHWHUPLQLVWLF
WUHQGDQG GULYHV WKH DV\PSWRWLF GLVWULEXWLRQRIWKHWHVWVWDWLVWLFZKLFKLQFRUSRUDWHV
VXFKDEUHDNWUHQG+RZHYHU3HUURQ¶VPHWKRGKDVUHFHLYHGVRPHFULWLFLVPVEHFDXVHKLV
EUHDNLQJSRLQWLVFKRVHQEDVHGRQSUHWHVWH[DPLQDWLRQRIWKHGDWDOHDGLQJKLVSURFHGXUH
WRRYHUVWDWHWKHOLNHOLKRRGRIWKHWUHQGEUHDNLQJDOWHUQDWLYHK\SRWKHVLV7KXVLQWKHQH[W
VHFWLRQXQLWURRWWHVWLVGLVFXVVHGZLWKEUHDNSRLQWV
$WOHYHORIVLJQL¿FDQFHWKHFULWLFDOYDOXHVRI')DQG$')7HVWVIRUFDVHDQGDUH
DQGUHVSHFWLYHO\DQGIRU3KLOLSV3HUURQWHVWWKHFULWLFDOYDOXHVIRUFDVHVDQGDUH
DQGUHVSHFWLYHO\
−59−
8QLW5RRW7HVWVZLWK6WUXFWXUDO%UHDNV
=LYRWDQG$QGUHZDPRQJRWKHUVLQWURGXFHGPHWKRGVWRHQGRJHQRXVO\VHDUFK
IRUDEUHDNSRLQWDQGWHVWIRUWKHSUHVHQFHRIDXQLWURRWZKHQWKHWLPHVHULHVSURFHVV
KDVDEUHDNLQJWUHQG,QWKLVSDSHUWKH=LYRW$QGUHZVWHFKQLTXHLVDSSOLHGWRWHVWIRUWKH
VWDWLRQDULW\RIWKHVHYDULDEOHV,QWKH=LYRW$QGUHZVWHVWWKHQXOOK\SRWKHVLVLV
χW ＝α ＋χW ＋ X W
7KHVHOHFWLRQRIWKHSRVVLEOHEUHDNSRLQWLVYLHZHGDVWKHRXWFRPHRIDQHVWLPDWLRQ
SURFHGXUHGHVLJQHGWR¿W^χW`E\DWUHQGVWDWLRQDU\SURFHVVZLWKDRQHWLPHEUHDNLQ
WKHWUHQGRFFXUULQJDWDQXQNQRZQSRLQWLQWLPH7KLVSURFHGXUHVHDUFKHVIRUWKHEUHDN
WKDWJLYHVWKHPRVWZHLJKWWRWKHWUHQGVWDWLRQDU\DOWHUQDWLYH7KHSRVVLEOHEUHDNSRLQWLQ
WKHVDPSOHLV7EZKLFKOLHVEHWZHHQDQG7LH7E7WKHUHJUHVVLRQHTXDWLRQVDUH
VSHFL¿HGDVIROORZV
N
L
ij ǻχW M ＋ X W 0RGHO $ ǻχW ＝α＋α W ＋α χW ＋α G W W ＋ Σ
M M
N
L
ij ǻχW M ＋ X W 0RGHO % ǻχW ＝α＋α W ＋α χW ＋α G W W ＋ Σ
M M
N
L
L
ij ǻχW M ＋ X W 0RGHO & ǻχW ＝α＋α W ＋α χW ＋α G W W ＋α G W W ＋ Σ
M M
ZKHUHχWLVWKHVHULHVXQGHULQYHVWLJDWLRQRIXQLWURRWDQGǻVWDQGVIRUWKH¿UVWGLIIHUHQFH
DQGWKHODJJHGGLIIHUHQFHWHUPVRQWKHULJKWKDQGVLGHRIWKHHTXDWLRQVDQG
+HUHG WL IRUW ««««L
IRUW LLL7 0RGHO$DOORZVIRUDEUHDNSRLQWLQWKHLQWHUFHSWPRGHO%DOORZVIRUDEUHDNSRLQW
LQWKHWUHQGIXQFWLRQDQGPRGHO&LQFOXGHVDK\EULGRIWKHWZR,QHDFKPRGHOWKHN
H[WUDUHJUHVVRUVDUHLQFOXGHGWRHOLPLQDWHSRVVLEOHQXLVDQFHSDUDPHWHUGHSHQGHQFLHVLQ
WKHDV\PSWRWLFGLVWULEXWLRQVRIWKHWHVWVWDWLVWLFFDXVHGE\VHULDOFRUUHODWLRQLQWKHHUURU
WHUPV$VIRUWKHSURFHGXUHRIGHWHUPLQLQJWKHEUHDNDQGFRPSXWLQJWKHWHVWVWDWLVWLF
KHUHDQ2/6LVDSSOLHGWRHDFKPRGHOZLWKDEUHDNSRLQWDW7EZKHUH7E UDQJHVIURP
WR7IRUPRGHO&DQGWR7IRU0RGHO$DQG%)RUHDFKYDOXHRI7EWKH
QXPEHURIH[WUDUHJUHVVRUVNLVGHWHUPLQHGXVLQJWKHSURFHGXUHVXJJHVWHGE\&DPSEHOO
DQG3HUURQ)LGHQRWHVWKH)VWDWLVWLFIRUWHVWLQJWKHQXOOK\SRWKHVLV+：Į IRUPRGHO$WKDWLVWKHUHLVQREUHDNDWLQWHUFHSWDQG+：Į IRUPRGHO%WKDW
WKHUHLVQRWUHQGEUHDNLQSHULRGWDQG+：Į＝Į IRUPRGHO&WKDWWKHUHLVQR
WLPHWUHQGEUHDNLQWKHSHULRGW L)RUHDFKPRGHOIRUL «««7,KDYH
HVWLPDWHG))«««)77KHHVWLPDWHGYDOXHVRI)WHVWVWDWLVWLFFRUUHVSRQGLQJWR
WKHLUEUHDNSRLQWVIRU0RGHO$%DQG&DUHUHSRUWHGLQ7DEOH
−60−
7DEOH5HVXOWVRI)7HVW6WDWLVWLFZLWK%UHDN3RLQWVDQG=LYRW$QGUHZV7HVWIRUD
8QLW5RRW
%UHDN3RLQW7%
)7HVW
=LYRW7HVWRI %UHDN3RLQW7%
)7HVW
=LYRW7HVWRI %UHDN3RLQW7%
)7HVW
=LYRW7HVWRI
)RUHLJQ$LG
3HU&DSLWD*'3
/HYHORI,QGXVWULDOL]DWLRQ
0RGHO$
0RGHO$
0RGHO$
0RGHO%
0RGHO%
0RGHO%
0RGHO&
*URZWKRI*'3
0RGHO$
0RGHO&
0RGHO&
0RGHO%
0RGHO&
([SRUW9DOXHV
0RGHO%
)RUHLJQ'LUHFW,QYHVWPHQW
0RGHO$
0RGHO&
0RGHO%
0RGHO&
)RU HDFK FKRLFH RI WKH EUHDNLQJ SRLQW 7 WKH RSWLPXP ODJ OHQJWK N LV VHOHFWHG DV VXJJHVWHG E\
E
&DPSEHOODQG3HUURQ)RUHDFKPRGHOVSHFL¿FDWLRQWKHFULWLFDOYDOXHLVREWDLQHGIURP=LYRW
DQG$QGUHZV$WOHYHORIVLJQL¿FDQFHWKHFULWLFDOYDOXHIRU0RGHO$LVIRU0RGHO%
LVDQGIRU0RGHO&LVLQGLFDWHVVLJQL¿FDQWDWOHYHORIVLJQL¿FDQFHRUOHVV
−61−
5HVXOWV 'LVFXVVLRQ ZLWK %UHDN 3RLQWV , KDYH FRQILQHG WKH DQDO\VLV WR D VFHQDULR
LQZKLFKVWUXFWXUDOEUHDNVZKLFKDUHHLWKHUDRQHWLPHSDUDOOHOVKLIWRUDVKLIWLQWKH
WUHQGRUDFRPELQDWLRQRIWKHWZRDUHUXOHGRXW7KLVSUHVXPSWLRQLVSUREOHPDWLFRQ
GLIIHUHQWIURQWV$FWXDOO\IRUHLJQDLGIRUHLJQGLUHFWLQYHVWPHQWH[SRUWYDOXHVWKH
OHYHORILQGXVWULDOL]DWLRQSHUFDSLWD*'3DQGJURZWKRI*'3DUHDIIHFWHGE\GLIIHUHQW
IDFWRUVVXFKDVIORRGVF\FORQHVSROLWLFDODQGLGHRORJLFDOFRQIOLFWVSROLF\FKDQJHRI
WKHJRYHUQPHQWFKDQJHLQSROLFLHVDQGYLHZVRIGLIIHUHQWIRUHLJQDLGLQVWLWXWLRQVVXFK
DV$'%,0):RUOG%DQNDQG(8HWFDQGSROLF\FKDQJHVLQGLIIHUHQWDLGFRXQWULHV
7KDWLVZK\LQWKLVVHFWLRQDQDWWHPSWKDVEHHQPDGHWRLQYHVWLJDWHZKHWKHURUQRWRXU
QRQVWDWLRQDU\UHVXOWLVVHQVLWLYHWRVWUXFWXUDOEUHDNV,QVWHDGRIFKRRVLQJDEUHDNSRLQW
DUELWUDULO\RQSUHWHVWH[DPLQDWLRQRIWKHGDWDKHUHWKH=LYRW$QGUHZVSURFHGXUH
KDVEHHQDSSOLHGWRVHDUFKHQGRJHQRXVO\IRUDEUHDNSRLQWDQGWHVWIRUDXQLWURRWLQ
HDFKRIWKHYDULDEOHV6LQFHLWLVXQNQRZQDSULRULZKHWKHUWKHEUHDNLVLQWKHLQWHUFHSW
LQWKHWLPHWUHQGRULQERWKWKHLQWHUFHSWDQGWUHQG,UXQDOOWKUHHHTXDWLRQV
DQG7KHEUHDNVSRLQWVIRUHDFKVHULHVDQGWKHHVWLPDWHGYDOXHVRIWHVWVDUHUHSRUWHG
LQ7DEOH)URPHVWLPDWHGUHVXOWVLWKDVEHHQIRXQGWKDWWKHQRQVWDWLRQDU\UHVXOWVDUH
VHQVLWLYHIRUWKHYDULDEOHVIRUHLJQDLGDQGSHUFDSLWD*'3ZLWKWKHVWUXFWXUDOEUHDNV
,QHDFKPRGHOVSHFL¿FDWLRQWKH=LYRWWHVWVWDWLVWLFVDUHPXFKVPDOOHULQDEVROXWHYDOXH
WKDWWKHDVVRFLDWHGFULWLFDOYDOXHVIRUWKHYDULDEOHVIRUHLJQGLUHFWLQYHVWPHQWH[SRUW
YDOXHVOHYHORILQGXVWULDOL]DWLRQDQGJURZWKRI*'37KXVWKHHVWLPDWHGUHVXOWVLQGLFDWH
WKDWWKHYDULDEOHVIRUHLJQGLUHFWLQYHVWPHQWH[SRUWYDOXHVOHYHORILQGXVWULDOL]DWLRQDQG
JURZWKRI*'3LQGLYLGXDOO\FRQWDLQDXQLWURRWVWLOOREWDLQHGHYHQZKHQDEUHDNSRLQW
LVDSSURSULDWHO\WDNHQLQWRDFFRXQW,WLVDSSDUHQWWKDWRXUFRQFOXVLRQLVLQYDULDQWWR
VWUXFWXUDOEUHDNV)LQDOO\IURPERWKWHVW¶VUHVXOWVLWFDQEHFRQFOXGHGWKDWWKHYDULDEOHV
IRUHLJQGLUHFWLQYHVWPHQWH[SRUWYDOXHVOHYHORILQGXVWULDOL]DWLRQDQGJURZWKRI*'3
FRQWDLQXQLWURRWLHWKHVHVHULHVDUHQRQVWDWLRQDU\ZLWKRXWDQGZLWKVWUXFWXUDOEUHDNV
7KXVLWFDQEHVDLGWKDWWKHVHYDULDEOHVKDYHDORQJUXQHIIHFWIRUHFRQRPLFGHYHORSPHQW
LQ%DQJODGHVK)URPWKHHVWLPDWHGUHVXOWVDOVRLWFDQEHFRQFOXGHGWKDWWKHYDULDEOHV
IRUHLJQDLGDQGSHUFDSLWD*'3GRQRWFRQWDLQXQLWURRWZLWKVWUXFWXUDOEUHDNV,WLVDOVR
HVVHQWLDOWRHQTXLUHLQWRWKHVHFRQGRUGHUXQLWURRWLQHDFKVHULHV7KHWHVWUHVXOWVIRUWKH
VHFRQGRUGHUXQLWURRWDUHUHSRUWHGLQ7DEOH
7DEOH'LFNH\)XOOHU$XJPHQWHG'LFNH\)XOOHUDQG3KLOOLSV3HUURQ7HVWV5HVXOWV
IRU6HFRQG2UGHU8QLW5RRW
9DULDEOHV
ǻ/,1'86
ǻ/)$,'
ǻ/)',1
ǻ/(;32
ǻ/3*'3
ǻ/**'3
')7HVW
&DVH
&DVH
$')7HVW
&DVH
337HVW
&DVH
&DVH
&DVH
&DVH
&DVH
&DVH
LQGLFDWHVVLJQL¿FDQWDWOHYHORIVLJQL¿FDQFHLQGLFDWHVVLJQL¿FDQWDWOHYHORIVLJQL¿FDQFH
−62−
'LVFXVVLRQRIUHVXOWV)URPDOOWKHWHVWUHVXOWVLWKDVEHHQIRXQGWKDWWKHQXOOK\SRWKHVLV
RIVHFRQGRUGHUXQLWURRWIRUDOOWKHYDULDEOHVZLOOEHUHMHFWHGDWDQ\VLJQL¿FDQFHOHYHO
7KXVLWKDVEHHQIRXQGWKDWQRQHRIWKHYDULDEOHVFRQWDLQVHFRQGXQLWURRW7KXVIURP
WKHWHVWUHVXOWVLWFDQEHFRQFOXGHGWKDWDOOWKHYDULDEOHVDUHLQWHJUDWHGRIRUGHURQHWKDW
LV,
&RLQWHJUDWLRQ7HVWIRU*UDQJHU&DXVDOLW\,QYHVWLJDWLRQ
7KH QRWLRQ RI FRLQWHJUDWLRQ DPRQJ YDULDEOHV KDV LQWURGXFHG D QHZ IOH[LELOLW\
LQWRWKHPRGHOLQJRIHFRQRPLFWLPHVHULHV$VGHILQHGE\(QJOHDQG*UDQJHU
WZRYDULDEOHVDUHVDLGWREHFRLQWHJUDWHGRIRUGHULIHDFKYDULDEOHLQGLYLGXDOO\
LVVWDWLRQDU\LQILUVWGLIIHUHQFHVLQWHJUDWHGRIRUGHUEXWOLQHDUFRPELQDWLRQRIWKH
YDULDEOHVLVVWDWLRQDU\LQOHYHOLQWHJUDWHGRIRUGHU0DQ\HFRQRPLFYDULDEOHVPLJKW
SODXVLEO\EHFRLQWHJUDWHGZKHQFRUUHFWO\PHDVXUHGVRPHWLPHVLQQDWXUDORUVRPHWLPHV
LQORJXQLWV7KHFRQFHSWRIFRLQWHJUDWLRQDQGHUURUFRUUHFWLRQDUHFORVHO\UHODWHG$Q
HUURUFRUUHFWLRQPRGHOIRUWZRYDULDEOHVUHODWHVWKHFKDQJHLQWKHYDULDEOHVWRODJJHG
FKDQJHVDQGDODJJHGOLQHDUFRPELQDWLRQRIOHYHOV7KLVW\SHRIPRGHOZDVLQWURGXFHG
E\3KLOOLSDQG6DUJDQDQGKDVEHHQSURPRWHGE\+HQGU\'DYLGVRQDQG
RWKHUVLQDVHULHVRISDSHUV+HQGU\'DYLGVRQ'DYLGVRQDQG+HQGU\+HQGU\
DQG5LFKDUG+HQGU\(QJOHDQG*UDQJHUIROORZLQJWKHZRUN
RI*UDQJHUKDVVKRZQWKDWWZRYDULDEOHVZKLFKDUHFRLQWHJUDWHGRIRUGHU
KDYHDQHUURUFRUUHFWLRQUHSUHVHQWDWLRQ7KHOLQHDUFRPELQDWLRQRIOHYHOVZKLFK
HQWHUVWKHHUURUFRUUHFWLRQPRGHOLVMXVWWKDWFRPELQDWLRQZKLFKLVVWDWLRQDU\LQOHYHOV
7KHUHLVDOVRDOHVVIRUPDOOLQNEHWZHHQFRLQWHJUDWLRQDQGHUURUFRUUHFWLRQ7KHVDPH
NLQGRIVWRU\LVRIWHQXVHGWRPRWLYDWHERWKWKHVHFRQFHSWV,QWKHZRUGVRI*UDQJHU
IRUH[DPSOH³DWWKHOHDVWVRSKLVWLFDWHGOHYHORIHFRQRPLFWKHRU\OLHVWKHEHOLHI
WKDWFHUWDLQSDLUVRIHFRQRPLFYDULDEOHVVKRXOGQRWGLYHUJHIURPHDFKRWKHUE\WRRJUHDW
DQH[WHQWDWOHDVWLQWKHORQJUXQ´7KXVVXFKYDULDEOHVPD\GULIWDSDUWLQWKHVKRUW
UXQRUDFFRUGLQJWRVHDVRQDOIDFWRUVEXWLIWKH\FRQWLQXHWREHWRRIDUDSDUWLQWKHORQJ
UXQWKHQHFRQRPLFIRUFHVVXFKDVDPDUNHWPHFKDQLVPRUJRYHUQPHQWLQWHUYHQWLRQ
ZLOO EHJLQ WR EULQJ WKHP WRJHWKHU DJDLQ7KHUH LV D VXJJHVWLRQ KHUH WKDW ³HFRQRPLF
IRUFHV´DWOHDVWWKRVHWKDWZHXQGHUVWDQGDUHEHWWHUDWH[SODLQLQJORQJUXQWHQGHQFLHV
WKDQVKRUWUXQWHQGHQFLHVLQWKHVHULHV(FRQRPLFWKHRU\*UDQJHUVHHPVWRVD\LVYDOLG
IRUGHVFULELQJWKHORQJUXQHTXLOLEULXPEXWUDQGRPVKRFNVNQRFNWKHHFRQRP\DZD\
IURPWKHHTXLOLEULXPDQGLWVPRYHVEDFNRQO\VORZO\:K\LVWKHDGMXVWPHQWEDFNWR
HTXLOLEULXPQRWLQVWDQWDQHRXV"*UDQJHUGRHVQRWVD\:HVXSSRVHWKDWKHPD\LQWHQG
VXFKWKLQJVDVVWLFN\SULFHVORQJWHUPFRQWUDFWVFRVWVRIDGMXVWPHQWDQGRWKHUIDFWRUV
WKDWPD\EHGLI¿FXOWWRPRGHO(QJOHDQG*UDQJHULQWURGXFHGVRPHWHUPLQRORJ\
ZKLFK¿WVQDWXUDOO\ZLWKWKLVDFFRXQW7KH\GHVFULEHFRLQWHJUDWLRQYDULDEOHVDVEHLQJLQ
HTXLOLEULXPZKHQWKHVWDWLRQDU\OLQHDUFRPELQDWLRQRIWKHLUOHYHOVLVDWLWVXQFRQGLWLRQDO
PHDQDVVXPHGHTXDOWR]HURIRUVLPSOLFLW\0RVWRIWKHWLPHWKLVFRPELQDWLRQRI
0RUH JHQHUDOO\ D VHW RI YDULDEOHV LV FRLQWHJUDWHG RI RUGHU G E LI HDFK YDULDEOH LQGLYLGXDOO\ LV
LQWHJUDWHGRIRUGHUGEXWDWOHDVWRQHOLQHDUFRPELQDWLRQH[LVWVZKLFKLVRIRUGHUGE0RVWRIWKH
OLWHUDWXUHIRFXVHVRQWKHFDVHG DQGE DQG,ZLOOGRWKHVDPHKHUH
7KLVGH¿QLWLRQIROORZV(QJOHDQG*UDQJHU0XFKRIWKHOLWHUDWXUHXVHVDVLQJOHHTXDWLRQUHODWLQJ
WKHFKDQJHLQRQHYDULDEOHWRWKHFRQWHPSRUDU\FKDQJHLQWKHRWKHUODJJHGFKDQJHVLQERWKYDULDEOHVDQG
DODJJHGOLQHDUFRPELQDWLRQRIOHYHOV
−63−
OHYHOVLVQRW]HURDQGWKHV\VWHPLVRXWRIHTXLOLEULXPEXWEHFDXVHWKHFRPELQDWLRQRI
OHYHOVLVVWDWLRQDU\WKHUHLVDWHQGHQF\IRUWKHV\VWHPWRUHWXUQWRHTXLOLEULXP(QJOH
DQG*UDQJHUFDOOWKHVWDWLRQDU\FRPELQDWLRQRIOHYHOVWKH³HTXLOLEULXPHUURU´$QHUURU
FRUUHFWLRQPRGHOFDQWKHQEHWKRXJKWRIDVDGHVFULSWLRQRIWKHVWRFKDVWLFSURFHVVE\
ZKLFKWKHHFRQRP\HOLPLQDWHVRUFRUUHFWVWKHHTXLOLEULXPHUURU7KLVPRWLYDWLRQIRU
HUURUFRUUHFWLRQPRGHOVVXJJHVWVDZRUGLQZKLFKHFRQRPLFWKHRU\GHVFULEHVWKHORQJ
UXQUDWKHUWKDQWKHVKRUWUXQDQGLQZKLFKXQVSHFLILHGIDFWRUVFDXVHWKHHFRQRP\WR
UHVSRQGVORZO\WRUDQGRPVKRFNV7KHWHUPLQRORJ\PDNHVLWQDWXUDOWRWKLQNWKDWWKH
HTXLOLEULXPHUURUDSSHDUVLQWKHHTXDWLRQGHVFULELQJFKDQJHVRIHFRQRPLFYDULDEOHV
EHFDXVH WKHVH YDULDEOHV UHVSRQG WR WKH HUURU LQ RUGHU WR HOLPLQDWH LW$V 'DYLGVRQ
DQG+HQGU\SXWLWWKHUHLVDVHUYRPHFKDQLVPZKLFKUHWXUQVWKHHFRQRP\WR
HTXLOLEULXP(QJOHDQG*UDQJHU¶VILQGLQJVWKDWFRLQWHJUDWHGYDULDEOHVKDYHDQHUURU
FRUUHFWLRQUHSUHVHQWDWLRQFDQEHWKRXJKWRIDVDVWDWHPHQWDERXW*UDQJHU&DXVDOLW\
WKHVWDWLRQDU\OLQHDUFRPELQDWLRQRIOHYHOVPXVW*UDQJHU&DXVHWKHFKDQJHLQDWOHDVW
RQHRIWKHFRLQWHJUDWHGYDULDEOHV1RZLWLVZHOONQRZQWKDW*UDQJHUFDXVDOLW\IURPD
YDULDEOH=WRDYDULDEOH=FDQDULVHIRUWZRUHDVRQV7KHYDULDEOH=PD\FDXVH=LQ
WKHFRPPRQODQJXDJHVHQVHRULQVWHDGWKHYDULDEOH=PD\DQWLFLSDWHWRIRUHFDVW=,Q
WKHIRUPHUFDVHDQLQWHUYHQWLRQZKLFKFKDQJHVWKHVWRFKDVWLFSURFHVVIRU=ZLOOFKDQJH
WKHEHKDYLRXURI=ZKLOHLQWKHODWWHUFDVHDQLQWHUYHQWLRQZKLFKFKDQJHVWKHVWRFKDVWLF
SURFHVVIRU=ZLOOFKDQJHWKHEHKDYLRXURI=,Q6LPVWHUPLQRORJ\ZKLOHERWK
VKRZFDXVDORUGHULQJIURP=WR=LQWKHIRUPHUFDVHWKHUHLVDVWUXFWXUDORUGHULQJ
IURP=WR=ODWWHUFDVHDVWUXFWXUDORUGHULQJIURP=WR= 7KHPRWLYDWLRQIRUFR
LQWHJUDWLRQJLYHQDERYHVWUHVVHVWKHLGHDWKDWWKHHTXLOLEULXPHUURUFDXVHVFKDQJHVLQWKH
YDULDEOHVRIWKHPRGHO,ZLVKWRHPSKDVL]HLQVWHDGWKHSRVVLELOLW\WKDWWKHHTXLOLEULXP
HUURUUHVXOWVIURPDJHQWV³IRUHFDVW´RIWKHVHFKDQJHV
,QRUGHUWRGRWKH*UDQJHUFDXVDOLW\WHVWLWLVQHFHVVDU\WRH[DPLQHWKHFRLQWHJUDWLQJ
UHODWLRQVKLSVEHWZHHQWKHSDLUVRIVHULHV7RIDFLOLWDWHWKHH[SRVLWLRQZHVSHFLI\WKH
IROORZLQJFRLQWHJUDWLQJUHJUHVVLRQLQOHYHOV
&DVH&RQVWDQWDQGWUHQGWHUPVDUHLQFOXGHGLQWKHPRGHO
; W ＝α＋α W ＋α < W＋ X W
DQG
< W ＝β＋β W ＋β ; W＋ X W
&DVH2QO\FRQVWDQWWHUPLVLQFOXGHGLQWKHPRGHO
; W ＝α＋α < W＋ X W
DQG
< W ＝β＋β ; W＋ X W
ZKHUH;DQG<DUHWKHYDULDEOHVXQGHULQYHVWLJDWLRQ
7RWHVWIRUFRLQWHJUDWLRQWKH$XJPHQWHG(QJOH*UDQJHUDQG3KLOOLSVDQG2XOLDULV
WHVW PHWKRGVDUHDSSOLHG7KHFRLQWHJUDWHG WHVWV UHVXOWVRI YDULDEOH ;RQ WKH
YDULDEOH<DQGDOVRWKHFRLQWHJUDWHGWHVWVUHVXOWVRIWKHYDULDEOH<RQ;DUHJLYHQEHORZ
(QJOHDQG*UDQJHUVD\WKDWWKHLUQRWLRQRIHTXLOLEULXPLVMXVW³DVWDWLRQDU\SRLQWFKDUDFWHUL]HGE\IRUFHV
ZKLFKWHQGWRSXVKWKHHFRQRP\EDFNWRZDUGHTXLOLEULXPZKHQHYHULWPRYHVDZD\´7KHLUQRWLRQRI
HTXLOLEULXPLVVSHFL¿FWRWKHHUURUFRUUHFWLRQPRGHOWKH\GH¿QHDQGKDVQRFOHDUUHODWLRQWRRWKHUFRQFHSWV
RIHTXLOLEULXPLQHFRQRPLFV
−64−
7DEOH 7KH$XJPHQWHG(QJOH*UDQJHUDQG3KLOOLSV2XOLDULV7HVWV5HVXOWVIRU
&RLQWHJUDWLRQ%HWZHHQ'LIIHUHQW3DLUVRI9DULDEOHV
$XJPHQWHG(QJOH*UDQJHU7HVW5HVXOWV
&DVHV
'(/,1'86
(;/)',1
'(/,1'86
(;/)$,'
'(/,1'86
(;/(;32
'(/,1'86
(;/**'3
&DVH
&DVH
'(/**'3
(;/,1'86
'(/**'3
(;/)$,'
'(/**'3
(;/)',1
'(/**'3
(;/(;32
&DVH
&DVH
'(/)',1
(;/)$,'
'(/)',1
(;/(;32
'(/)',1
(;/,1'86
'(/)',1
(;/**'3
&DVH
&DVH
'(/)$,'
(;/)',1
'(/)$,'
(;/(;32
'(/)$,'
(;/,1'86
'(/)$,'
(;/**'3
&DVH
&DVH
'(/(;32
(;/)$,'
'(/(;32
(;/)',1
'(/(;32
(;/,1'86
'(/(;32
(;/**'3
&DVH
&DVH
'(/3*'3
(;/)$,'
'(/3*'3
(;/)',1
'(/3*'3
(;/,1'86
'(/3*'3
(;/**'3
'(/,1'86
(;/3*'3
'(/**'3
(;/3*'3
'(/)',1
(;/3*'3
'(/)$,'
(;/**'3
'(/(;32
(;/3*'3
'(/3*'3
(;/(;32
&DVH
&DVH
3KLOOLSVDQG2XOLDULV7HVW5HVXOWV
'(/,1'86
(;/)',1
'(/,1'86
(;/)$,'
'(/,1'86
(;/**'3
'(/,1'86
(;/(;32
'(/,1'86
(;/3*'3
&DVH
&DVH
'(/**'3
(;/,1'86
'(/**'3
(;/)$,'
'(/**'3
(;/)',1
'(/**'3
(;/(;32
'(/**'3
(;/3*'3
&DVH
&DVH
'(/)',1
(;/,1'86
'(/)',1
(;3/)$,'
'(/)',1
(;3/**'3
'(/)',1
(;3/(;32
'(/)',1
(;3/3*'3
&DVH
&DVH
'(/)$,'
(;/,1'86
'(/)$,'
(;/)',1
'(/)$,'
(;/**'3
'(/)$,'
(;/(;32
'(/)$,'
(;3/3*'3
&DVH
&DVH
'(/(;32
(;/,1'86
'(/(;32
(;/)$,'
'(/(;32
(;/)',1
'(/(;32
(;/**'3
&DVH
&DVH
'(/3*'3
(;/,1'86
'(/3*'3
(;/)$,'
'(/3*'3
(;/)',1
'(/3*'3
(;/(;32
'(/3*'3
(;/**'3
&DVH
&DVH
'(/(;32
(;/3*'3
$WOHYHORIVLJQLILFDQFHWKHFULWLFDOYDOXHVIRU$XJPHQWHG(QJOH*UDQJHU7HVWIRUFDVHDQG
DUHDQGUHVSHFWLYHO\)RUWKH3KLOOLSV2XOLDULVWHVWWKHFULWLFDOYDOXHVDWOHYHORI
VLJQL¿FDQFHIRUFDVHDQGDUHDQGUHVSHFWLYHO\'(LQGLFDWHVGHSHQGHQWYDULDEOH(;
LQGLFDWHVLQGHSHQGHQWYDULDEOHLQGLFDWHVVWDWLVWLFDOO\VLJQL¿FDQWDWOHYHORIVLJQL¿FDQFHRUOHVV
−65−
'LVFXVVLRQRIUHVXOWV,QWKHSUHFHGLQJDQDO\VLVLWKDVEHHQIRXQGWKDWDOOWKHYDULDEOHV
FRQWDLQDXQLWURRW,WLVYHU\LPSRUWDQWWRNQRZWKDWWKHGLIIHUHQWSDLUVRIYDULDEOHV
PD\VWLOOVKDUHDFRPPRQWUHQGWKXV,KDYHFRQGXFWHGDQDOWHUQDWLYHDQDO\VLVE\XVLQJ
WKH FRQLQWHJUDWLRQ WHFKQLTXHV +HUH , KDYH DSSOLHG WKH$XJPHQWHG (QJOH *UDQJHU
DQG3KLOOLSV±2XOLDULVWHVWVWDWLVWLFVLQRUGHUWR¿QGFRLQWHJUDWHGUHODWLRQVKLSVEHWZHHQ
GLIIHUHQWSDLUVRIYDULDEOHV)URPERWKWHVWV¶UHVXOWVLWKDVEHHQIRXQGWKDWWKHJURZWKRI
*'3LVFRLQWHJUDWHGZLWKDOOWKHYDULDEOHV7KXVLWFDQEHVDLGWKDWWKHJURZWKRI*'3
VKDUHVWKHVDPHVWRFKDVWLFWUHQGZLWKWKHVHYDULDEOHV$OVRIURPWHVWUHVXOWVLWKDVEHHQ
IRXQGWKDWWKHH[SRUWYDOXHLVFRLQWHJUDWHGZLWKRQO\SHUFDSLWD*'37KXVLWFDQEHVDLG
WKDWWKLVSDLURIYDULDEOHVKDVDORQJUXQFRQVHTXHQFH1H[W,ZLOOPRYHWRWKH*UDQJHU
&DXVDOLW\WHVWLQRUGHUWR¿QGWKHFDXVDOUHODWLRQVKLSEHWZHHQYDULDEOHV
7KH*UDQJHU&DXVDOLW\7HVW
,Q RUGHU WR LQYHVWLJDWH WKH FDXVDO GLUHFWLRQV RI GLIIHUHQW PDFURHFRQRPLF YDULDEOHV
DVVRFLDWHGZLWKWKHFKDQJHRILQGXVWULDOVWUXFWXUH±LHWKHOHYHORILQGXVWULDOL]DWLRQ
DQG ZLWK HFRQRPLF JURZWK ± LH JURZWK RI *'3 DQG SHU FDSLWD *'3 LQ WKLV SDSHU
LQLWLDOO\,KDYHXVHGWKH*UDQJHUFDXVDOLW\WHVWV3ULRUWRWKH*UDQJHUFDXVDOLW\WHVW,
KDYHH[DPLQHGWKHRUGHURILQWHJUDWLRQIRUDOOYDULDEOHVE\WKHXQLWURRWVWHVWV)URP
WKH'LFNH\)XOOHU')$XJPHQWHG'LFNH\)XOOHU$')DQGWKH3KLOLSV3HUURQWHVWV
UHVXOWVLWKDVEHHQIRXQGWKDWDOOWKHYDULDEOHVDUHLQWHJUDWHGRIRUGHULH,,KDYH
DOVRH[DPLQHGWKHFRLQWHJUDWLRQUHODWLRQVKLSEHWZHHQGLIIHUHQWSDLUVRIVHULHVZKLFKDUH
XVHGIRUWKH*UDQJHUFDXVDOLW\WHVW7KHHVWLPDWHGFRLQWHJUDWHGUHVXOWVIRUGLIIHUHQWSDLUV
RIYDULDEOHVDUHSUHVHQWHGLQ7DEOH)URPWKHVHHVWLPDWHGUHVXOWV,KDYHIRXQGWKDW
VRPHSDLUVRIYDULDEOHVLQGLFDWHWKHFRLQWHJUDWLRQUHODWLRQVKLS7KH*UDQJHU&DXVDOLW\
WHVWWDNHVWKHIROORZLQJIRUPIRUWKHYDULDEOHVZKLFKDUHFRLQWHJUDWHG
P
Q
X ＝α＋ΣD X ＋βΣY ＋X
W
M M WM
W
L L WL
2QWKHRWKHUKDQGLIWKHSDLUVRIVHULHVGRQRWDSSHDUWREHFRLQWHJUDWHGWKH*UDQJHU
FDXVDOLW\ WHVW WDNHV D GLIIHUHQW IRUP EHORZ LQ RUGHU WR DYRLG SURGXFLQJ SRWHQWLDOO\
VSXULRXVUHVXOWV
P
Q
ΔX ＝α＋ΣD Δ
XWL＋βMΣΔYWM＋XW
W
M L
M ,QWKLVSDSHUPRUHRYHU,KDYHWDNHQGLIIHUHQWODJVLQHTXDWLRQVDQGLH
Q P 7DNLQJFRQWLQXRXVODJVLVVRPHZKDWFRQYHQWLRQDO,KDYHDOVRLQYHVWLJDWHG
WKHFDVXDOGLUHFWLRQIRUKLJKHUODJYDOXHVEXWWKHUHLVQRFDXVDOUHODWLRQVKLSEHWZHHQWKH
YDULDEOHVIRUKLJKHUODJYDOXHVDQGWKH$,&DQG6%,&DUHJUHDWHUIRUKLJKHUODJVWKDW
LVZK\WKHWHVWUHVXOWVIRUKLJKHUODJYDOXHVDUHQRWUHSRUWHG7KHHVWLPDWHGYDOXHVDUH
UHSRUWHGLQWKHIROORZLQJ7DEOH
−66−
7DEOH*UDQJHU&DXVDOLW\7HVW5HVXOWVRI'LIIHUHQW3DLUVRI9DULDEHV
/DJV
5
/DJ
/DJ
/DJ
/DJ
/DJ
/DJ
/DJ
/DJ
/DJ
/DJ
*UDQJHU)7HVW
/DJUDQJH0XOWLSOLHU7HVW
7HVW9DOXH
SYDOXH
7HVW9DOXH
SYDOXH
ǻ/)',1 → ǻ/,1'86
ǻ/)$,1 → ǻ/,1'86
ǻ/(;32 → ǻ/,1'86
ǻ/**'3 → ǻ/,1'86
ǻ/3*'3 → ǻ/,1'86
/,1'86 → /**'3
/)',1 → /**'3
/)$,' → /**'3
/(;32 → /**'3
/3*'3 → /**'3
ǻ/,1'86 → ǻ/3*'3
ǻ/)',1 → ǻ/3*'3
ǻ/)$,' → ǻ/3*'3
ǻ/(;32 → ǻ/3*'3
$,&
6%,&
$ → % LQGLFDWHV WKH FDXVDO GLUHFWLRQ IURP$ WR %$,& $NDLNH ,QIRUPDWLRQ &ULWHULRQ 6%,& 6FKZDU]%D\VLDQ,QIRUPDWLRQ&ULWHULRQ5 LQGLFDWHVJRRGQHVVRI¿WSYDOXHLQGLFDWHVWKHORZHVW
VLJQL¿FDQFHOHYHODWZKLFKDQXOOK\SRWKHVLVFDQEHUHMHFWHGǻPHDQV¿UVWGLIIHUHQFHLQGLFDWHVWKH
VWDWLVWLFDOO\VLJQL¿FDQWDWOHYHORIVLJQL¿FDQFHRUOHVVLQGLFDWHVVWDWLVWLFDOO\VLJQL¿FDQWDW
OHYHORIVLJQL¿FDQFH
−67−
'LVFXVVLRQ RI WKH *UDQJHU &DXVDOLW\ 7HVW UHVXOWV 7KH UHVXOWV RI WKH *UDQJHU
&DXVDOLW\WHVWVIRUGLIIHUHQWSDLUVRIYDULDEOHVDUHUHSRUWHGLQ7DEOH)URPERWKWKH
WHVWV¶UHVXOWVLWKDVEHHQIRXQGWKDWWKHIRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLGDQGH[SRUW
YDOXHVFDXVHWKHVWUXFWXUDOFKDQJHWKDWOHDGVWRLQGXVWULDOL]DWLRQLQ%DQJODGHVK)URP
WKHERWKWHVWVUHVXOWVLWKDVEHHQIRXQGWKDWWKHOHYHORILQGXVWULDOL]DWLRQIRUHLJQGLUHFW
LQYHVWPHQWIRUHLJQDLGH[SRUWYDOXHVGRQRWFDXVHWKHJURZWKRI*'3LQ%DQJODGHVK
,W KDV DOVR EHHQ IRXQG WKDW WKH YDULDEOHV IRUHLJQ GLUHFW LQYHVWPHQW IRUHLJQ DLG DQG
H[SRUWYDOXHVFDXVHWKHGHYHORSPHQWRISHUFDSLWDLQFRPHLQ%DQJODGHVK)LQDOO\IURP
ERWKWKH*UDQJHUFDXVDOLW\WHVWV¶UHVXOWVLWFDQEHFRQFOXGHGWKDWWKHYDULDEOHVIRUHLJQ
GLUHFWLQYHVWPHQWIRUHLJQDLGDQGH[SRUWYDOXHVKDYHLPSDFWVIRUVWUXFWXUDOFKDQJH
LHIRULQGXVWULDOL]DWLRQLQ%DQJODGHVK%XWLWKDVQRWEHHQIRXQGWKDWDQ\YDULDEOHLVD
VLJQL¿FDQWFDXVHRIJURZWKRI*'3LQWKHFDVHRI%DQJODGHVK$OVRLWKDVEHHQIRXQG
WKDWIRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLGDQGH[SRUWYDOXHVKDYHVLJQL¿FDQWLPSDFWVIRU
GHYHORSPHQWRISHUFDSLWDLQFRPHLQ%DQJODGHVK
,Q RUGHU WR VKRZ WKH VWDWLVWLFDO DVVRFLDWLRQ RI OHYHO RI LQGXVWULDOL]DWLRQ JURZWK RI
*'3DQGSHUFDSLWD*'3ZLWKRWKHUVHOHFWHGPDFURHFRQRPLFYDULDEOHV,KDYHGRQHD
UHJUHVVLRQDQDO\VLV7KHQH[WVHFWLRQGLVFXVVHVWKHUHJUHVVLRQDQDO\VLVIRUWLPHVHULHV
GDWD
5HJUHVVLRQ$QDO\VLVIRU7LPH6HULHV'DWD
7KHWLPHVHULHVGDWDVHWVLQHFRQRPLFVSURYLGHDQLPSRUWDQWVRXUFHRILQIRUPDWLRQ
,Q WKLV VHFWLRQ UHJUHVVLRQ DQDO\VLV KDV EHHQ FRQGXFWHG WR LQYHVWLJDWH WKH HFRQRPLF
DVVRFLDWLRQ RI WKH FKDQJH LQ LQGXVWULDO VWUXFWXUH DQG HFRQRPLF JURZWK ZLWK RWKHU
PDFURHFRQRPLFYDULDEOHV,QWKLVSDSHU,KDYHSUHVXPHGWKHOHYHORILQGXVWULDOL]DWLRQ
DVWKHUDWLRRILQGXVWULDORXWSXWWRDJULFXOWXUDORXWSXWDVDSUR[\IRUVWUXFWXUDOFKDQJHLQ
WKHHFRQRP\,QWKLVVHFWLRQ,KDYHHVWLPDWHGWKHSDUDPHWHUYDOXHVIRUGHWHUPLQLQJWKH
HFRQRPLFDVVRFLDWLRQEHWZHHQLQGXVWULDOL]DWLRQDQGRWKHUPDFURHFRQRPLFYDULDEOHV
+HUHWKHIROORZLQJUHJUHVVLRQHTXDWLRQKDVEHHQFRQVLGHUHG
ǻ/,1'86W α＋αǻ/)',1W＋αǻ/)$,'W＋αǻ/(;32W＋αǻ/3*'3W＋αǻ/,1'86W＋ uW
,QWKLVVHFWLRQ,KDYHDOVRUHJUHVVHGWKHJURZWKRI*'3RQGLIIHUHQWPDFURHFRQRPLF
YDULDEOHVLQRUGHUWKH¿QGWKHLULPSDFWVRQHFRQRPLFJURZWKLQ%DQJODGHVK)URPWKH
FRLQWHJUDWHGWHVWVUHVXOWVLWKDVEHHQIRXQGWKDWWKHYDULDEOH/**'3LVFRLQWHJUDWHG
ZLWKWKHYDULDEOHV/,1'86/)',1/)$,'/(;32/3*'37KLVLPSOLHVWKDWWKHUH
LV D ORQJUXQ HTXLOLEULXP UHODWLRQVKLS EHWZHHQ /**'3 DQG WKHVH PDFURHFRQRPLF
YDULDEOHV,QWKHVKRUWWHUPKRZHYHUWKH\VKRXOGEHLQGLVHTXLOLEULXP7KHUHIRUH,KDYH
XVHGWKHHUURUFRUUHFWLRQPHFKDQLVPLQWKHUHJUHVVLRQHTXDWLRQDVWKHHTXLOLEULXPHUURU
,KDYHWRXVHWKLVHUURUWHUPWRWLHWKHVKRUWUXQEHKDYLRXURI/**'3WRLWVORQJUXQ
YDOXH7KHHUURUWHUPFDQEHGH¿QHGDV
=W /**'3Wííβ/)',1Wíβ/)$,'Wíβ/(;32Wíβ/3*'3Wíβ/,1'86W＋uW
+HUHWKHIROORZLQJUHJUHVVLRQHTXDWLRQKDVEHHQXVHG
ǻ/**'3W α＋αǻ/)$,1W＋αǻ/)$,'W＋αǻ/(;32W＋αǻ/3*'3W＋αǻ/,1'86W＋ ZW＋ uW
−68−
,KDYHDOVRFRQVLGHUHGDQRWKHUUHJUHVVLRQHTXDWLRQWRPHDVXUHWKHLPSDFWVRIVHYHUDO
YDULDEOHVRQHFRQRPLFJURZWK7KHHTXDWLRQLVJLYHQE\
ǻ/3*'3W α＋αǻ/)',1W＋αǻ/)$,'W＋αǻ/(;32W＋αǻ/**'3W＋αǻ/,1'86W＋ uW
ZKHUH
/,1'86 W WKH OHYHO RI LQGXVWULDOL]DWLRQ PHDQV WKH UDWLR RI LQGXVWULDO RXWSXW WR
DJULFXOWXUDORXWSXWLQORJDWWLPHW
/(',1W IRUHLJQGLUHFWLQYHVWPHQWLQORJDWWLPH/(',1WIRUHLJQDLGLQORJDWWLPH
W/(;32WH[SRUWYDOXHVLQORJDWWLPHW/3*'3WSHUFDSLWDRXWSXW*'3LQORJDW
WLPHDQGLWLVK\SRWKHVLVHGDVGRPHVWLFGHPDQGSHUFDSLWD
/3*'3W JURZWK RI *'3 LQ ORJ DW WLPH Wǻ VWDQGV IRU WKH ILUVW GLIIHUHQFH RI WKH
YDULDEOHVXLVWKHUDQGRPHUURUWHUP
7KHHVWLPDWHGYDOXHVIRUWKHHTXDWLRQVDQGDUHJLYHQEHORZ
7DEOH3DUDPHWHU(VWLPDWHVRIWKH5HJUHVVLRQ(TXDWLRQV
9DULDEOHV
&RQVWDQW
ǻ/)',1
ǻ/)$,'
ǻ/(;32
ǻ/3*'3
ǻ/**'3
5
)7HVW
':7HVW
9DULDEOHV
&RQVWDQW
ǻ/)',1
ǻ/)$,'
ǻ/(;32
ǻ/3*'3
ǻ/**'3
=
5
)7HVW
':7HVW
9DULDEOHV
&RQVWDQW
ǻ/)',1
ǻ/)$,'
ǻ/(;32
ǻ/**'3
ǻ/,1'86
5
)7HVW
':7HVW
3DUDPHWHUV9DOXHV
3DUDPHWHUV9DOXHV
3DUDPHWHUV9DOXHV
'HSHQGHQW9DULDEOHǻ/,1'86
6(RIWKH&RHI¿FLHQWV
W7HVW9DOXHV
'HSHQGHQW9DULDEOHǻ/**'3
6(RIWKH&RHI¿FLHQWV
W7HVW9DOXHV
'HSHQGHQW9DULDEOHǻ/3*'3
6(RIWKH&RHI¿FLHQWV
W7HVW9DOXHV
−69−
S9DOXHV
S9DOXHV
S9DOXHV
'LVFXVVLRQRIUHVXOWVRI5HJUHVVLRQ$QDO\VLV)URPWKHHVWLPDWHGUHVXOWVLQ7DEOHLW
KDVEHHQIRXQGWKDWWKHYDULDEOHVIRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLGH[SRUWYDOXHV
DQGJURZWKRI*'3KDYHSRVLWLYHLPSDFWRQVWUXFWXUDOFKDQJHLHIRULQGXVWULDOL]DWLRQ
LQ %DQJODGHVK DQG WKH YDULDEOH SHU FDSLWD *'3 KDV QHJDWLYH LPSDFW IRU VWUXFWXUDO
FKDQJHLQ%DQJODGHVK7KHLPSDFWVRIIRUHLJQGLUHFWLQYHVWPHQWDQGIRUHLJQDLGDQG
JURZWKRI*'3DUHQRWVWDWLVWLFDOO\VLJQL¿FDQWEXWWKHLPSDFWVRIH[SRUWYDOXHVDQGSHU
FDSLWD*'3DUHVWDWLVWLFDOO\VLJQL¿FDQW)URPWKH)WHVWVWDWLVWLFLWKDVEHHQIRXQGWKDW
WKHLPSDFWRIWKHYDULDEOHVVLPXOWDQHRXVO\RQOHYHORILQGXVWULDOL]DWLRQLVVWDWLVWLFDOO\
VLJQL¿FDQW7KH'XUELQ:DWVRQWHVWUHVXOWLQGLFDWHVWKDWWKHUHLVLQFRQFOXVLYHHYLGHQFH
UHJDUGLQJWKHSUHVHQFHRUDEVHQFHRISRVLWLYH¿UVWRUGHUDXWRFRUUHODWLRQ
)URP WKH HVWLPDWHG UHVXOWV LW KDV DOVR EHHQ IRXQG WKDW WKH YDULDEOH IRUHLJQ DLG KDV
QHJDWLYHLPSDFWVRQJURZWKRI*'3LQ%DQJODGHVKDQGWKHYDULDEOHVIRUHLJQGLUHFW
LQYHVWPHQWH[SRUWYDOXHVSHUFDSLWD*'3DQGOHYHORILQGXVWULDOL]DWLRQKDYHSRVLWLYH
LPSDFWVRQHFRQRPLFJURZWKLQ%DQJODGHVK)URPWKHHUURUFRUUHFWLRQWHUPLWKDVEHHQ
IRXQGWKDWRIWKHGLVFUHSDQF\EHWZHHQWKHDFWXDODQGWKHORQJUXQRUHTXLOLEULXP
YDOXHRI/**'3LVDGGHGRUFRUUHFWHGWRWKHHTXDWLRQ$OVRLWKDVEHHQIRXQGWKDW
WKLVFRUUHFWHGYDOXHLVVWDWLVWLFDOO\VLJQL¿FDQWDWDQ\OHYHO)URPWKHWHVWUHVXOWVLWKDV
EHHQIRXQGWKDWWKHLPSDFWVRIWKHVHYDULDEOHVLQGLYLGXDOO\RQHFRQRPLFJURZWKDUH
QRWVWDWLVWLFDOO\VLJQLILFDQW)URPWKH)WHVWUHVXOWLWKDVEHHQIRXQGWKDWWKHHIIHFWRI
WKHVHYDULDEOHVVLPXOWDQHRXVO\RQHFRQRPLFJURZWKLVVWDWLVWLFDOO\VLJQLILFDQWDWDQ\
OHYHORIVLJQL¿FDQFH7KH'XUELQ:DWVRQWHVWUHVXOWLQGLFDWHVWKDWWKHUHLVLQFRQFOXVLYH
HYLGHQFHUHJDUGLQJWKHSUHVHQFHRUDEVHQFHRISRVLWLYH¿UVWRUGHUDXWRFRUUHODWLRQ)URP
WKHHVWLPDWHGUHVXOWVLWKDVDOVREHHQIRXQGWKDWWKHYDULDEOHOHYHORILQGXVWULDOL]DWLRQ
KDV QHJDWLYH HIIHFW RQ SHU FDSLWD *'3 DQG WKH YDULDEOHV IRUHLJQ GLUHFW LQYHVWPHQW
IRUHLJQDLGH[SRUWYDOXHVDQGJURZWKRI*'3KDYHSRVLWLYHHIIHFWVRQSHUFDSLWD*'3
7KHLPSDFWVRIIRUHLJQDLGDQGOHYHORILQGXVWULDOL]DWLRQDUHVWDWLVWLFDOO\VLJQLILFDQW
)URPWKH)WHVWUHVXOWLWKDVEHHQIRXQGWKDWWKHHIIHFWRIWKHYDULDEOHVVLPXOWDQHRXVO\
LV VWDWLVWLFDOO\ VLJQLILFDQW7KH 'XUELQ:DWVRQ WHVW UHVXOW LQGLFDWHV WKH SUHVHQFH RI
QHJDWLYH¿UVWRUGHUDXWRFRUUHODWLRQ6LQFHWKHYDULDEOHIRUHLJQDLGKDVQHJDWLYHLPSDFW
RQHFRQRPLFJURZWKLQ%DQJODGHVKWKHJRYHUQPHQWDQGSROLWLFLDQVVKRXOGPDNHSURSHU
GHFLVLRQVUHJDUGLQJIRUHLJQDLGLQ%DQJODGHVK
$Q2YHUDOO'LVFXVVLRQDQG&RQFOXVLRQ
7KHSULQFLSOHREMHFWLYHRIWKLVSDSHULVWRILQGWKHLPSDFWVRIVRPHPDFURHFRQRPLF
YDULDEOHVRQVWUXFWXUDOFKDQJHLHRQOHYHORILQGXVWULDOL]DWLRQDQGHFRQRPLFJURZWKLQ
%DQJODGHVKRQWKHEDVLVRIWKHVW\OLVHGIDFWVDQGHFRQRPHWULFDQDO\VLV)URP)LJXUHV
DQGLWFDQEHVDLGWKDWGHFOLQLQJUDWHRIWKHVKDUHRIWKHDJULFXOWXUDOVHFWRULQWRWDO
*'3LVKLJKHUWKDQWKHLQFUHDVLQJUDWHRIWKHVKDUHRIWKHLQGXVWULDOVHFWRU7KLVLQGLFDWHV
WKDW WKH FRQWULEXWLRQ WR WKH HFRQRPLF GHYHORSPHQW RI %DQJODGHVK LV VKLIWLQJ IURP
DJULFXOWXUDOVHFWRUWRLQGXVWULDOVHFWRU)URP)LJXUHLWFDQEHVHHQWKDWWKHYDULDEOHV
GHPRQVWUDWHDQXSZDUGWUHQG7KHTXHVWLRQLVZKHWKHUWKHWUHQGDULVHVIURPWKHSRVLWLYH
GULIWWHUPRUDUDQGRPZDON$QHPSLULFDOLQYHVWLJDWLRQKDVEHHQXQGHUWDNHQLQWKLV
SDSHUWRH[SORUHWKLV)LUVWO\LQRUGHUWRPHDVXUHWKHDVVRFLDWLRQEHWZHHQGLIIHUHQWSDLUV
RIYDULDEOHVWKHFRUUHODWLRQFRHI¿FLHQWVKDYHEHHQHVWLPDWHG)URPWKHHVWLPDWHGUHVXOWV
LWKDVEHHQIRXQGWKDWDOOWKHSDLUVRIYDULDEOHVDUHSRVLWLYHO\DVVRFLDWHG,WKDVDOVREHHQ
IRXQGWKDWUHODWLRQVKLSVRIJURZWKRI*'3ZLWKGLIIHUHQWYDULDEOHVDUHQRWVWDWLVWLFDOO\
−70−
VLJQLILFDQW$SDUW IURP WKLV WKH UHODWLRQVKLSV RI GLIIHUHQW SDLUV RI YDULDEOHV DUH
VWDWLVWLFDOO\VLJQL¿FDQW$QHPSLULFDOLQYHVWLJDWLRQKDVEHHQGRQHLQRUGHUWRGHWHUPLQH
ZKHWKHU RU QRW HDFK RI WKH YDULDEOHV FRQWDLQ VWRFKDVWLF WUHQGV7KH 'LFNH\)XOOHU
$XJPHQWHG'LFNH\)XOOHUDQG3KLOOLSV3HUURQWHVWVDUHDSSOLHGLQRUGHUWRLQYHVWLJDWH
WKLV)URPWKHWHVWUHVXOWVLWKDVEHHQIRXQGWKDWDOOWKHYDULDEOHVFRQWDLQVWRFKDVWLFWUHQG
DQGWKH\DUHLQWHJUDWHGRIRUGHULH,:HNQRZWKDWIRUHLJQDLGIRUHLJQGLUHFW
LQYHVWPHQWH[SRUWYDOXHVWKHOHYHORILQGXVWULDOL]DWLRQSHUFDSLWD*'3DQGJURZWKRI
*'3DUHDIIHFWHGE\GLIIHUHQWUDQGRPIDFWRUVVXFKDVIORRGVF\FORQHVSROLWLFDODQG
LGHRORJLFDOFRQIOLFWVJRYHUQPHQWDOSROLF\FKDQJHVFKDQJHVLQSROLFLHVDQGYLHZVRI
GLIIHUHQWIRUHLJQDLGLQVWLWXWHVVXFKDV$'%,0):RUOG%DQNDQG(8HWFDQGDOVR
SROLF\FKDQJHVLQGLIIHUHQWDLGFRXQWULHV7KXVWKHEUHDNFDQRFFXULQWKHVHVHULHV7KDW
LVZK\LQWKLVSDSHUDQDWWHPSWKDVEHHQPDGHWRLQYHVWLJDWHZKHWKHURUQRWRXUQRQ
VWDWLRQDU\UHVXOWLVVHQVLWLYHWRVWUXFWXUDOEUHDNV7KH=LYRW$QGUHZVSURFHGXUH
KDVEHHQDSSOLHGWRVHDUFKHQGRJHQRXVO\IRUDEUHDNSRLQWDQGWHVWIRUDXQLWURRWLQHDFK
RIWKHYDULDEOHV)URPHVWLPDWHGUHVXOWVLWKDVEHHQIRXQGWKDWWKHQRQVWDWLRQDU\UHVXOWV
DUHVHQVLWLYHWRWKHYDULDEOHVRIIRUHLJQDLGDQGSHUFDSLWD*'3ZLWKEUHDNSRLQWV,W
KDVDOVREHHQIRXQGWKDWWKHYDULDEOHVIRUHLJQGLUHFWLQYHVWPHQWH[SRUWYDOXHVOHYHO
RILQGXVWULDOL]DWLRQDQGJURZWKRI*'3LQGLYLGXDOO\FRQWDLQDXQLWURRWZKLFKLVVWLOO
REWDLQHGHYHQZKHQDEUHDNSRLQWLVDSSURSULDWHO\WDNHQLQWRDFFRXQW,WLVDSSDUHQWWKDW
RXUFRQFOXVLRQLVLQYDULDQWWRVWUXFWXUDOEUHDNV)LQDOO\IURPWKHERWKWHVWV¶UHVXOWVLW
FDQEHFRQFOXGHGWKDWWKHYDULDEOHVIRUHLJQGLUHFWLQYHVWPHQWH[SRUWYDOXHVOHYHORI
LQGXVWULDOL]DWLRQDQGJURZWKRI*'3FRQWDLQXQLWURRWLHWKHVHVHULHVDUHQRQVWDWLRQDU\
ERWKZLWKDQGZLWKRXWVWUXFWXUDOEUHDNV7KXVLWFDQEHVDLGWKDWWKHVHYDULDEOHVKDYH
ORQJUXQHIIHFWVRQHFRQRPLFGHYHORSPHQWLQ%DQJODGHVK7RGHWHUPLQHZKHWKHURUQRW
WKHGLIIHUHQWSDLUVRIYDULDEOHVVKDUHWKHVDPHVWRFKDVWLFWUHQGWZRFRLQWHJUDWHGWHVWV
ZHUHDSSOLHGWKH$XJPHQWHG(QJOH*UDQJHUDQG3KLOOLSV±2XOLDULVWHVWV)URPWKHVHFR
LQWHJUDWHGWHVWUHVXOWVLWKDVEHHQIRXQGWKDWWKHJURZWKRI*'3LVFRLQWHJUDWHGZLWK
DOOWKHYDULDEOHV7KXVLWFDQEHVDLGWKDWWKHJURZWKRI*'3VKDUHVWKHVDPHVWRFKDVWLF
WUHQGZLWKWKHVHYDULDEOHV,WKDVDOVREHHQIRXQGWKDWWKHH[SRUWYDOXHVDUHFRLQWHJUDWHG
RQO\ZLWKSHUFDSLWD*'37KXVLWFDQEHVDLGWKDWWKLVSDLURIYDULDEOHVKDVDORQJUXQ
FRQVHTXHQFH7KHUHPDLQLQJSDLUVRIYDULDEOHVDUHQRWFRLQWHJUDWHGWRHDFKRWKHU
,QWKLVSDSHUWKH*UDQJHUFDXVDOLW\WHVWVDUHDSSOLHGLQRUGHUWRLQYHVWLJDWHWKHFDXVDO
GLUHFWLRQRIGLIIHUHQWPDFURHFRQRPLFYDULDEOHVDVVRFLDWHGZLWKWKHFKDQJHRILQGXVWULDO
VWUXFWXUH ± LH ZLWK WKH OHYHO RI LQGXVWULDOL]DWLRQ DQG ZLWK HFRQRPLF JURZWK ± LH
JURZWKRI*'3DQGZLWKSHUFDSLWD*'3)URPERWKWKHWHVWV¶UHVXOWVLWKDVEHHQIRXQG
WKDWIRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLGDQGH[SRUWYDOXHVFDXVHWKHVWUXFWXUDOFKDQJH
WKDWGULYHVLQGXVWULDOL]DWLRQLQ%DQJODGHVK)URPERWKWHVWVLWKDVEHHQIRXQGWKDWWKH
OHYHORILQGXVWULDOL]DWLRQIRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLGDQGH[SRUWYDOXHVDUH
QRWFDXVHVRIJURZWKLQ*'3LQ%DQJODGHVK,WKDVDOVREHHQIRXQGWKDWWKHYDULDEOHV
IRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLGDQGH[SRUWYDOXHVFDXVHWKHGHYHORSPHQWRISHU
FDSLWDLQFRPHLQ%DQJODGHVK)LQDOO\IURPERWKWKH*UDQJHUFDXVDOLW\WHVWUHVXOWVLW
FDQEHFRQFOXGHGWKDWWKHYDULDEOHVIRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLGDQGH[SRUW
YDOXHVKDYHODUJHLPSDFWVRQVWUXFWXUDOFKDQJHLHIRULQGXVWULDOL]DWLRQLQ%DQJODGHVK
+RZHYHUWKHUHVXOWVGRQRWLGHQWLI\DQ\YDULDEOHWKDWLVDVLJQLILFDQWFDXVHRI*'3
JURZWKLQWKHFDVHRI%DQJODGHVK,WKDVDOVREHHQIRXQGWKDWIRUHLJQGLUHFWLQYHVWPHQW
IRUHLJQDLGDQGH[SRUWYDOXHVKDYHWKHVLJQL¿FDQWLPSDFWVIRUGHYHORSPHQWRISHUFDSLWD
LQFRPHLQ%DQJODGHVK$UHJUHVVLRQDQDO\VLVKDVEHHQXQGHUWDNHQLQRUGHUWRLQYHVWLJDWH
−71−
WKHVWDWLVWLFDODVVRFLDWLRQRIOHYHORILQGXVWULDOL]DWLRQJURZWKRI*'3DQGSHUFDSLWD
*'3ZLWKVRPHVHOHFWHGPDFURHFRQRPLFYDULDEOHV)URPWKHHVWLPDWHGUHVXOWVLWKDV
EHHQIRXQGWKDWWKHYDULDEOHVIRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLGH[SRUWYDOXHVDQG
JURZWKRI*'3KDYHSRVLWLYHLPSDFWVRQVWUXFWXUDOFKDQJH±LHIRULQGXVWULDOL]DWLRQLQ
%DQJODGHVKDQGWKHYDULDEOHSHUFDSLWD*'3KDVQHJDWLYHLPSDFWVIRUVWUXFWXUDOFKDQJH
LQ%DQJODGHVK7KHLPSDFWVRIIRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLGDQGJURZWKRI
*'3DUHQRWVWDWLVWLFDOO\VLJQL¿FDQWEXWWKHLPSDFWVRIH[SRUWYDOXHVDQGSHUFDSLWD*'3
DUHVWDWLVWLFDOO\VLJQL¿FDQW)URPWKH)WHVWVWDWLVWLFLWKDVEHHQIRXQGWKDWWKHLPSDFW
RIDOOYDULDEOHVRQOHYHOVRILQGXVWULDOL]DWLRQLVVWDWLVWLFDOO\VLJQLILFDQW7KH'XUELQ
:DWVRQWHVWUHVXOWLQGLFDWHVWKDWWKHUHLVLQFRQFOXVLYHHYLGHQFHUHJDUGLQJWKHSUHVHQFHRU
DEVHQFHRI¿UVWRUGHUDXWRFRUUHODWLRQ)URPWKHHVWLPDWHGUHVXOWVLWKDVDOVREHHQIRXQG
WKDWWKHYDULDEOHIRUHLJQDLGKDVQHJDWLYHLPSDFWVRQJURZWKRI*'3LQ%DQJODGHVK
DQGWKHYDULDEOHVIRUHLJQGLUHFWLQYHVWPHQWH[SRUWYDOXHVSHUFDSLWD*'3DQGOHYHO
RILQGXVWULDOL]DWLRQKDYHSRVLWLYHLPSDFWVRQHFRQRPLFJURZWKLQ%DQJODGHVK)URP
WKHHUURUFRUUHFWLRQWHUPLWKDVEHHQIRXQGWKDWRIWKHGLVFUHSDQF\EHWZHHQ
WKHDFWXDODQGWKHORQJUXQRUHTXLOLEULXPYDOXHRI/**'3LVDGGHGRUFRUUHFWHGWR
WKHHTXDWLRQ,WKDVDOVREHHQIRXQGWKDWWKLVFRUUHFWHGYDOXHLVVWDWLVWLFDOO\VLJQL¿FDQW
DWDQ\OHYHORIVLJQL¿FDQFH)URPWKHWHVWUHVXOWVLWKDVEHHQIRXQGWKDWWKHLPSDFWRI
WKHVHYDULDEOHVLQGLYLGXDOO\RQHFRQRPLFJURZWKLVQRWVWDWLVWLFDOO\VLJQL¿FDQWDQGIURP
WKH)WHVWUHVXOWLWKDVEHHQIRXQGWKDWWKHHIIHFWRIWKHVHYDULDEOHVVLPXOWDQHRXVO\RQ
HFRQRPLFJURZWKLVVWDWLVWLFDOO\VLJQLILFDQWDWDQ\OHYHORIVLJQLILFDQFH7KH'XUELQ
:DWVRQWHVWUHVXOWLQGLFDWHVWKDWWKHUHLVLQFRQFOXVLYHHYLGHQFHUHJDUGLQJWKHSUHVHQFH
RUDEVHQFHRISRVLWLYHILUVWRUGHUDXWRFRUUHODWLRQ)URPWKHHVWLPDWHGUHVXOWVLWKDV
DOVREHHQIRXQGWKDWWKHYDULDEOHOHYHORILQGXVWULDOL]DWLRQKDVDQHJDWLYHHIIHFWRQSHU
FDSLWD*'3ZKLOHWKHYDULDEOHVIRUHLJQGLUHFWLQYHVWPHQWIRUHLJQDLGH[SRUWYDOXHV
DQGJURZWKRI*'3KDYHSRVLWLYHHIIHFWVRQSHUFDSLWD*'37KHLPSDFWVRIIRUHLJQDLG
DQGOHYHORILQGXVWULDOL]DWLRQDUHVWDWLVWLFDOO\VLJQLILFDQW)URPWKH)WHVWUHVXOWLWKDV
EHHQIRXQGWKDWWKHHIIHFWRIWKHYDULDEOHVVLPXOWDQHRXVO\LVVWDWLVWLFDOO\VLJQL¿FDQW7KH
'XUELQ:DWVRQWHVWUHVXOWLQGLFDWHVWKHSUHVHQFHRIQHJDWLYH¿UVWRUGHUDXWRFRUUHODWLRQ
6LQFHWKHYDULDEOHIRUHLJQDLGKDVQHJDWLYHLPSDFWVRQHFRQRPLFJURZWKLQ%DQJODGHVK
WKHJRYHUQPHQWDQGSROLWLFLDQVVKRXOGHQGHDYRXUWRPDNHPRUHDSSURSULDWHGHFLVLRQV
UHJDUGLQJIRUHLJQDLGLQ%DQJODGHVK
5HIHUHQFHV
$ODP0G6³)RUHLJQGLUHFWLQYHVWPHQWDQGWKHSDWWHUQRIHFRQRPLFJURZWKLQ
%DQJODGHVK´-RXUQDORI%XVLQHVV6WXGLHV6RXWKHDVW8QLYHUVLW\
&DPSEHOO-DQG3HUURQ3³3LWIDOOVDQGRSSRUWXQLWLHV:KDWPDFURHFRQRPLVWV
VKRXOGNQRZDERXWXQLWURRWV´LQ1%(50DFURHFRQRPLF$QQXDO0,73UHVV
&KHQHU\+ROOLV%³3DWWHUQVRILQGXVWULDOJURZWK´$PHULFDQ(FRQRPLF5HYLHZ
&KHQHU\%DQG/DQFH7³'HYHORSPHQWSDWWHUQVDPRQJFRXQWULHVDQGRYHU
WLPH´5HYLHZRI(FRQRPLFDQG6WDWLVWLFV
&KHQHU\ % DQG 0RVKH 6 3DWWHUQV RI 'HYHORSPHQW /RQGRQ 2[IRUG
8QLYHUVLW\3UHVV
&KHQHU\%6KXQWDUR6DQG:DWDQDEH7³7KHSDWWHUQRI-DSDQHVH*URZWK
´(FRQRPHWULFD
−72−
&KHQHU\ % 5RELQVRQ 6 DQG 0RVKH 6 ,QGXVWULDOL]DWLRQ DQG *URZWK$
&RPSDUDWLYH6WXG\:DVKLQJWRQ'&2[IRUG8QLYHUVLW\3UHVV
&KRZGKXU\0G$0³+XPDQUHVRXUFHGHYHORSPHQWDQGHFRQRPLFJURZWK$
FULWLFDODQDO\VLVZLWKVSHFLDOUHIHUHQFHWR%DQJODGHVK´ -RXUQDORI%XVLQHVVDQG
(FRQRPLFV
'DYLGVRQ-DPHV(+'DYLG)+)UDQN6DQG6WHSKHQ<³(FRQRPHWULF
PRGHOLQJRIWKHDJJUHJDWHWLPHVHULHVUHODWLRQVKLSEHWZHHQFRQVXPHU
VH[SHQGLWXUH
DQGLQFRPHLQWKH8QLWHG.LQJGRP´(FRQRPLF-RXUQDO
'DYLGVRQ - ( + +HQGU\ ' ) ³,QWHUSUHWLQJ HFRQRPHWULF HYLGHQFH7KH
EHKDYLRXURIFRQVXPHU
VH[SHQGLWXUHLQWKH8.´(XURSHDQ(FRQRPLF5HYLHZ
'H-RQJ'1DQNHUYLV-&6DYLQ1(DQG:KLWHPDQ&+³7KHSRZHU
SUREOHPVRIXQLWURRWWHVWVLQWLPHVHULHVZLWKDXWRUHJUHVVLYHHUURUV´-RXUQDORI
(FRQRPHWULFV
'LFNH\ '$ DQG )XOOHU :$ ³'LVWULEXWLRQ RI WKH HVWLPDWRUV IRU WKH
DXWRUHJUHVVLYHWLPHVHULHVZLWKDXQLWURRW´-RXUQDORIWKH$PHULFDQ6WDWLVWLFDO
$VVRFLDWLRQ
'LFNH\ )XOOHU + ³(FRQRPHWULF 0HWKRGRORJ\$ 3HUVRQDO 3HUVSHFWLYH´ LQ
%HZOH\7HGV$GYDQFHVLQ(FRQRPHWULFVYRO&DPEULGJH8QLYHUVLW\3UHVV
(QJOH 5 ) DQG *UDQJHU & : - ³&RLQWHJUDWLRQ DQG HUURUFRUUHFWLRQ
5HSUHVHQWDWLRQHVWLPDWLRQDQGWHVWLQJ´(FRQRPHWULFD
)XOOHU:$,QWURGXFWLRQWR6WDWLVWLFDO7LPH6HULHV1HZ<RUN:LOH\
*LO$ODQ /$ DQG 5RELQVRQ 3 0 ³7HVWLQJ RI XQLW URRWV DQG RWKHU QRQ
VWDWLRQDU\K\SRWKHVLVLQPDFURHFRQRPLFWLPHVHULHV´-RXUQDORI(FRQRPHWULFV
*UDQJHU & : - ³&RLQWHJUDWHG YDULDEOHV DQG HUURUFRUUHFWLQJ PRGHOV´
'LVFXVVLRQ3DSHU8QLYHUVLW\RI&DOLIRUQLD6DQ'LHJR
*UDQJHU & : - ³6RPH SURSHUWLHV RI WLPH VHULHV GDWD DQG WKHLU XVH LQ
HFRQRPHWULFPRGHOVSHFL¿FDWLRQ´-RXUQDORI(FRQRPHWULFV
*UDQJHU&:-DQG1HZEROG3³6SXULRXVUHJUHVVLRQLQHFRQRPHWULFV´-RXUQDO
RI(FRQRPHWULFV
*UDQJHU &: - ³,QYHVWLJDWLQJ FDXVDO UHODWLRQV E\ HFRQRPHWULF PRGHOV DQG
FURVVVSHFLDOPHWKRGV´(FRQRPHWULFD
+HQGU\')³(FRQRPHWULFPHWKRGRORJ\$SHUVRQDOSHUVSHFWLYH´LQ,7%HZOH\
HG$GYDQFHVLQ(FRQRPHWULFVSS&DPEULGJH8QLYHUVLW\3UHVV
+HQGU\ ' ) ³(FRQRPHWULF PRGHOLQJ ZLWK FRLQWHJUDWHG YDULDEOHV´ 2[IRUG
%XOOHWLQRI(FRQRPLFVDQG6WDWLVWLFV
+HQGU\') DQG 5LFKDUG -) ³7KHHFRQRPHWULFDQDO\VLVRIHFRQRPLFWLPH
VHULHV´,QWHUQDWLRQDO6WDWLVWLFDO5HYLHZ
+RVVDLQ 0G 6 ³$Q HPSLULFDOLQYHVWLJDWLRQRQWKHWLPHVHULHVEHKDYLRURI
WUDGHGH¿FLWEHWZHHQ%DQJODGHVKDQG6UL/DQN´-RXUQDORI,QVWLWXWHRI&RVWDQG
0DQDJHPHQW$FFRXQWDQWVRI%DQJODGHVK
+RVVDLQ0G6³$UHWKH%DQJODGHVKH[SRUWVWRDQGLPSRUWVIURP,QGLDFR
LQWHJUDWHG"´ 7KH -RXUQDO RI %XVLQHVV 6WXGLHV )DFXOW\ RI %XVLQHVV 6WXGLHV
8QLYHUVLW\RI'KDND
+RVVDLQ 0G 6 ³%LODWHUDO WUDGH EHWZHHQ %DQJODGHVK DQG 3DNLVWDQ$Q
HYDOXDWLRQ´7KH-RXUQDORI%XVLQHVV6WXGLHV6RXWKHDVW8QLYHUVLW\
+RVVDLQ0G6³$QHFRQRPHWULFDQDO\VLVIRUVWUXFWXUDOFKDQJHDQGHFRQRPLF
−73−
JURZWK RI %DQJODGHVK´ 7KH$QQXDO 5HSRUW RI (FRQRPLF 6FLHQFH -DSDQ ,DODPDQG6DKD³+LVWRU\RI%DQJODGHVK´$VLDWLF6RFLHW\RI%DQJODGHVK'KDND
9RO,,
.KDQ$5³$TXDUWHUFHQWXU\RIHFRQRPLFGHYHORSPHQWLQ%DQJODGHVK6XFFHVV
DQGIDLOXUHV´7KH4XDUWHUO\-RXUQDORIWKH%DQJODGHVK,QVWLWXWHRI'HYHORSPHQW
6WXGLHV
.X]QHWV6³4XDQWLWDWLYHDVSHFWVRIWKHHFRQRPLFJURZWKRIQDWLRQV,QGXVWULDO
GLVWULEXWLRQRIQDWLRQDOSURGXFWDQGODERXUIRUFH´(FRQRPLF'HYHORSPHQWDQG
&XOWXUDO&KDQJH
/XFDV5(³2QWKHPHFKDQLFVRIHFRQRPLFGHYHORSPHQW´-RXUQDORI0RQHWDU\
(FRQRPLFV
0DF.LQQRQ-³&ULWLFDOYDOXHVIRUFRLQWHJUDWLRQWHVWV´LQ5)(QJOHDQG&:-
*UDQJHUHGV/RQJ5XQ(FRQRPLF5HODWLRQVKLS5HDGLQJLQ&RLQWHJUDWLRQ2[IRUG
8QLYHUVLW\3UHVV
1HOVRQ&5DQG3ORVVHU&³7UHQGVDQGUDQGRPZDONVLQPDFURHFRQRPLFWLPH
VHULHV´-RXUQDORI0RQHWDU\(FRQRPLFV
2VKLPD+7(FRQRPLF*URZWKLQ0RQVRRQ$VLD$&RPSDUDWLYH6XUYH\7RN\R
7RN\R8QLYHUVLW\3UHVV
3HUURQ3³7KHJUHDWFUDVK7KHRLOSULFHVKRFNDQGWKHXQLWURRWK\SRWKHVLV´
(FRQRPHWULFD
3KLOOLSV$:³6WDELOL]DWLRQSROLF\LQDFORVHGHFRQRP\´(FRQRPLF-RXUQDO
3KLOOLSV3&%³8QGHUVWDQGLQJVSXULRXVUHJUHVVLRQLQHFRQRPHWULFV´-RXUQDORI
(FRQRPHWULFV
3KLOOLSV 3 DQG +DQVHQ % ³6WDWLVWLFDO LQIHUHQFH LQ LQVWUXPHQWDO YDULDEOHV
UHJUHVVLRQZLWK,3URFHVVHV´5HYLHZRI(FRQRPLF6WXGLHV
3KLOOLSV3DQG2XOLDULV6³$V\PSWRWLFSURSHUWLHVRIUHVLGXDOEDVHGWHVWVIRUFR
LQWHJUDWLRQ´(FRQRPHWULFD
3KLOOLSV3&%DQG3HUURQ3³7HVWLQJIRUDXQLWURRWLQWLPHVHULHVUHJUHVVLRQ´
%LRPHWULND
5DQLV*³$QDO\WLFVRIWKH'HYHORSPHQW'XDOLVP´LQ&KHQHU\+DQG71
6ULQLYDVDQHGV+DQGERRNRI'HYHORSPHQW(FRQRPLFV9RO$PVWHUGDP1RUWK
+ROODQG
5RVWRY:³7KH7DNHRIILQWRVHOIVXVWDLQHGJURZWK´(FRQRPLF-RXUQDO
6DUJDQ-'³:DJHVDQGSULFHVLQWKH8QLWHG.LQJGRP$VWXG\LQHFRQRPHWULF
PHWKRGRORJ\´LQ+DUW3(0LOOV*DQG:KLWWDNHU-1HGV(FRQRPHWULF$QDO\VLV
IRU1DWLRQDO(FRQRPLF3ODQQLQJ/RQGRQ%XWWHUZRUWKV
6LPV&$³([RJHQHLW\DQGFDXVDORUGHULQJLQPDFURHFRQRPLFPRGHO1HZ
PHWKRGV LQ EXVLQHVV F\FOH UHVHDUFK´ 3URFHHGLQJ IURP D FRQIHUHQFH )HGHUDO
5HVHUYH%DQNRI0LQQHDSROLV
6WRFN-+DQG:DWVRQ0:³7HVWLQJIRUFRPPRQWUHQGV´ -RXUQDORIWKH
$PHULFDQ6WDWLVWLFDO$VVRFLDWLRQ
=LYRW(DQG$QGUHZV'³)XUWKHUHYLGHQFHRQWKHJUHDWFUDVKWKHRLOSULFH
VKRFNDQGWKHXQLWURRWK\SRWKHVLV´-RXUQDORI%XVLQHVVDQG(FRQRPLF6WDWLVWLFV
−74−