@article{oai:nagoya.repo.nii.ac.jp:02000179,
 author = {中島, 英喜 and NAKASHIMA, Hideki},
 issue = {4},
 journal = {経済科学, The Economic Science},
 month = {Mar},
 note = {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.},
 pages = {1--16},
 title = {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},
 volume = {68},
 year = {2021}
}