Departmental Bulletin Paper 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

田家, 裕介  ,  名倉, 裕平  ,  池田, 直史  ,  井上, 光太郎  ,  TANGE, Yusuke  ,  NAGURA, Yuhei  ,  IKEDA, Naoshi  ,  INOUE, Kotaro

62 ( 4 )  , pp.95 - 106 , 2015-03-25 , 名古屋大学大学院経済学研究科
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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