| Project/Area Number |
02630057
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| Research Category |
Grant-in-Aid for General Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Research Field |
商学・経営学
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| Research Institution | Yokohama national university |
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Principal Investigator |
AOYAMA Mamoru Yokohama national university, Department of Management and System Science, Associate Professor, 経営学部, 助教授 (00150954)
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| Project Period (FY) |
1990 – 1991
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| Project Status |
Completed (Fiscal Year 1991)
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| Budget Amount *help |
¥2,100,000 (Direct Cost: ¥2,100,000)
Fiscal Year 1991: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 1990: ¥1,500,000 (Direct Cost: ¥1,500,000)
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| Keywords | Modern Portfolio Theory / Multifactor model / Pension funds / Index fund / benchmark / attribution analysis / financial data / investment management / 現代ポ-トフオリオ理論 / ファンダメンタルズ / マクロ要因 / 株式ポ-トフォリオ / 企業年金 / 運用パフォ-マンス / 財務分析指標 / 市場動向指標 |
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| Research Abstract |
The purpose of this research was to investigate the applicability of Modern Portfolio Theory, which had been developed in western countries, to the Japanese capital markets and to conclude some practically meaningful insights for the future investment management of the Japanese corporate pensions.
In the first year, my main task was to estimate a statistically meaningful multifactor model by using financial and market-related data of each listed corporations at the Tokyo Stock Exchange. By using such a kind of multifactor model, we can easily conduct the attribution analysis of any kind of equity funds managed by Trust and Banking Corporations or Life Insurance Companies in Japan.
In the final year, I conducted attribution analysis for the several corporate pension funds by using the multifactor model estimated in the previous year. The data of those penion funds were provided by the Japan Bond Research Institute, independent research institute in Japan. The comparison of each factor of the multifactor model between an equity fund and TOPIX (Tokyo Stock Exchange Price Index) was done. TOPIX is supposed to be a benchmark for performance measurements and evaluation of pension funds in Japan.
Partly because of the recent influence of the Western institutional investors, not a few Japanese pension funds were managed passively, although almost all the investment-related persons had pointed out that many Japanese institutional investors had managed those funds actively. I conclude that the increase of the number of index-funds in Japan of these years reflects the change of the attitude of the plan sponsors and institutional investors in Japan who have been affected by the recent popularity of Modern Portfolio Theory.
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