@article{oai:nagoya.repo.nii.ac.jp:00019357,
 author = {田家, 裕介 and 名倉, 裕平 and 池田, 直史 and 井上, 光太郎 and TANGE, Yusuke and NAGURA, Yuhei and IKEDA, Naoshi and INOUE, Kotaro},
 issue = {4},
 journal = {経済科学},
 month = {Mar},
 note = {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.},
 pages = {95--106},
 title = {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},
 volume = {62},
 year = {2015}
}