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  1. A400 経済学部/経済学研究科
  2. A400b 紀要
  3. 経済科学
  4. 68(4)

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.68.4.1
9ad091b8-5c02-44c7-8907-adb1c67f8fc7
名前 / ファイル ライセンス アクション
ecos_68_4_1.pdf ecos_68_4_1.pdf (3.4 MB)
Item type itemtype_ver1(1)
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

ja 中島, 英喜

en NAKASHIMA, Hideki

Search repository
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
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