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最小分散ポートフォリオの固有リターンに関する実証分析
https://doi.org/10.18999/ecos.68.4.1
https://doi.org/10.18999/ecos.68.4.19ad091b8-5c02-44c7-8907-adb1c67f8fc7
名前 / ファイル | ライセンス | アクション |
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ecos_68_4_1.pdf (3.4 MB)
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Item type | itemtype_ver1(1) | |||||||||
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公開日 | 2021-05-28 | |||||||||
タイトル | ||||||||||
タイトル | 最小分散ポートフォリオの固有リターンに関する実証分析 | |||||||||
言語 | ja | |||||||||
その他のタイトル | ||||||||||
その他のタイトル | An Empirical Study on Specific Returns of Minimum Volatility Portfolios | |||||||||
言語 | en | |||||||||
著者 |
中島, 英喜
× 中島, 英喜
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アクセス権 | ||||||||||
アクセス権 | open access | |||||||||
アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||
キーワード | ||||||||||
主題Scheme | Other | |||||||||
主題 | Factor funds | |||||||||
キーワード | ||||||||||
主題Scheme | Other | |||||||||
主題 | Minimum volatility portfolio | |||||||||
キーワード | ||||||||||
主題Scheme | Other | |||||||||
主題 | Index | |||||||||
キーワード | ||||||||||
主題Scheme | Other | |||||||||
主題 | ETF | |||||||||
キーワード | ||||||||||
主題Scheme | Other | |||||||||
主題 | Risk premium | |||||||||
キーワード | ||||||||||
主題Scheme | Other | |||||||||
主題 | Overestimation bias | |||||||||
内容記述 | ||||||||||
内容記述 | We investigate specific returns of Minimum Volatility Portfolios (MVPs) against "factor funds" in four major markets. In analysis we use MSCI indexes referred by many investors. This enables our analysis based on the real investor's decision. In preliminary analyses we find three types of overestimation bias for the risk premiums of MVPs. These biases make our analyses wrong. Subsequently we test a hypothesis that money-inflow to MVP after the launch of MVP-Index or the inception of MVP-ETF should make the performance of MVP higher with demandsupply. Two interesting results are gotten. One is that the estimate of specific risk premium of MVP in US becomes lower between the launch of MPV-Index and the inception of MPV-ETF. This isn't good for the hypothesis. The other is that after the inception of MVP-ETF the estimate becomes much higher. Therefore we conduct exploratory analysis, with an additional hypothesis, between the shares outstanding of MVP-ETF and cumulative specific return of MVP-Index. Here a tendency is found that both of them shift in the same direction. This supports the hypothesis. Moreover this tendency becomes gradual in according with an increase of shares outstanding. This might mean that downward pressure grows gradually in the price of MVP as overpriced. | |||||||||
言語 | en | |||||||||
内容記述タイプ | Abstract | |||||||||
出版者 | ||||||||||
言語 | ja | |||||||||
出版者 | 名古屋大学大学院経済学研究科 | |||||||||
言語 | ||||||||||
言語 | jpn | |||||||||
資源タイプ | ||||||||||
資源タイプresource | http://purl.org/coar/resource_type/c_6501 | |||||||||
タイプ | departmental bulletin paper | |||||||||
出版タイプ | ||||||||||
出版タイプ | VoR | |||||||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||
ID登録 | ||||||||||
ID登録 | 10.18999/ecos.68.4.1 | |||||||||
ID登録タイプ | JaLC | |||||||||
収録物識別子 | ||||||||||
収録物識別子タイプ | PISSN | |||||||||
収録物識別子 | 0022-9725 | |||||||||
収録物識別子 | ||||||||||
収録物識別子タイプ | EISSN | |||||||||
収録物識別子 | 2434-5741 | |||||||||
書誌情報 |
ja : 経済科学 en : The Economic Science 巻 68, 号 4, p. 1-16, 発行日 2021-03 |