2024-03-28T13:36:32Z
https://nagoya.repo.nii.ac.jp/oai
oai:nagoya.repo.nii.ac.jp:00019357
2023-11-13T01:14:23Z
659:853:854:1682
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
名倉, 裕平
池田, 直史
井上, 光太郎
TANGE, Yusuke
NAGURA, Yuhei
IKEDA, Naoshi
INOUE, Kotaro
open access
Stock Market
Capital Asset Pricing Model
Multifactor Model
Efficient Market
Anomaly
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.
名古屋大学大学院経済学研究科
2015-03-25
jpn
departmental bulletin paper
VoR
https://doi.org/10.18999/ecos.62.4.95
http://hdl.handle.net/2237/21442
https://nagoya.repo.nii.ac.jp/records/19357
10.18999/ecos.62.4.95
https://www2.soec.nagoya-u.ac.jp/bulletin/proceedings/#vol62
0022-9725
経済科学
62
4
95
106
https://nagoya.repo.nii.ac.jp/record/19357/files/inoue.pdf
application/pdf
1.6 MB
2018-02-21