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マルチファクターモデルを用いた日本市場におけるβアノマリーの検証マルチファクターモデルを用いた日本市場におけるβアノマリーの検証
An Empirieal Test of the β-Anomaly with Multifactor Model |
"/田家, 裕介/"田家, 裕介 ,
"/名倉, 裕平/"名倉, 裕平 ,
"/池田, 直史/"池田, 直史 ,
"/井上, 光太郎/"井上, 光太郎 ,
"/TANGE, Yusuke/"TANGE, Yusuke ,
"/NAGURA, Yuhei/"NAGURA, Yuhei ,
"/IKEDA, Naoshi/"IKEDA, Naoshi ,
"/INOUE, Kotaro/"INOUE, Kotaro
62
(
4
)
, pp.95
-
106 , 2015-03-25 , 名古屋大学大学院経済学研究科
ISSN:0022-9725
内容記述
Contradicting to the CAPM theory, so-called β-anomaly (Baker, Bradley, and Wurgler 2011) is observed both in the recent US and Japanese markets. This study examines whether β-anomaly exists after controlling other risk factors than beta in Japanese market. In addition, we examine if β-anomaly can be explained by the return reversal anomaly (Iihara, Kato, and Tokunaga, 2004). Our results indicate that β-anomaly does exist in Japanese market, but we cannot deny possibility that the anomaly was a temporal phenomenon observed only around Japanese bubble period.
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https://nagoya.repo.nii.ac.jp/?action=repository_action_common_download&item_id=19357&item_no=1&attribute_id=17&file_no=1
