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A study of capital cost estimation with a term structure consistent with the capital market

Research Project

Project/Area Number 16K03755
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionMeiji University

Principal Investigator

INUI KOJI  明治大学, 総合数理学部, 専任教授 (60359825)

Project Period (FY) 2016-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2019)
Budget Amount *help
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2018: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2017: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Keywords資本コスト / ESG / リスクプレミアム / ガバナンス / 情報漏洩 / 期間構造 / 金利期間構造 / マイナス金利 / 金融論 / コーポレートファイナンス / 株式評価 / リスク管理
Outline of Final Research Achievements

No one would denay that the cost of capital is an important index in corporate management. The cost of capital has a structure that depends on the management risk of the company, but cannot be directly observed. In this research, I assume a structure in which the cost of capital of a firm is determined by various risk factors while satisfying the consistency with financial instruments in the related capital markets, I aimed to propose a method to empirically determine the capital cost of a listed company by modeling with consideration of the effects of ESG factors, etc., which are attracting the interest of investors. We clarified the relationship between governance factors and capital cost, and the relationship between governance and the probability of incidents such as information leakage in companies.

Academic Significance and Societal Importance of the Research Achievements

企業経営を評価する上で,企業が取っているリスクと得られた利益の関係に注目することが重要である.資本コストは直接的に観察できないが,当該企業のパフォーマンスを測る上での基準を与えるものである.資本コストが明らかになると,投資家と企業は客観的な数値を基準として対話できることになり,短期的な利益追求ではなく,長期的な成長戦略を相互理解することが可能となる.近年注目されているESGやSDGsは企業経営においても無視できない制約条件であり,資本コストにそれら要因が影響することが実証的に明らかになると,企業経営者をそれらを意識した経営へと向かわせるインセンティブを与えることもできる.

Report

(5 results)
  • 2019 Annual Research Report   Final Research Report ( PDF )
  • 2018 Research-status Report
  • 2017 Research-status Report
  • 2016 Research-status Report
  • Research Products

    (10 results)

All 2019 2018 2017 2016

All Journal Article (5 results) (of which Peer Reviewed: 3 results) Presentation (4 results) (of which Int'l Joint Research: 1 results) Book (1 results)

  • [Journal Article] Empirical Credit Risk Ratings of Individual Corporate Bonds and Derivation of Term Structures of Default Probabilities2019

    • Author(s)
      Takeaki Kariya, Yoshihiro Yamamura, Koji Inui
    • Journal Title

      Journal of Risk and Financial Management

      Volume: 12 Pages: 1-29

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 個人情報漏洩の損害額の新しい数理モデルの提案2019

    • Author(s)
      山田道洋,菊池浩明,松山直樹,乾孝治
    • Journal Title

      情報処理学会論文誌

      Volume: 60(9) Pages: 1528-1537

    • NAID

      170000180448

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 個人情報漏洩の損害額の新しい数理モデルの提案2018

    • Author(s)
      山田道洋,菊池浩明,松山直樹,乾孝治
    • Journal Title

      研究報告マルチメディア通信と分散処理

      Volume: DPS-174 Pages: 1-7

    • NAID

      170000180448

    • Related Report
      2018 Research-status Report
  • [Journal Article] 経営マネジメント状況による情報漏洩インシデント削減効果の評価2018

    • Author(s)
      山田道洋,菊池浩明,松山直樹,乾孝治
    • Journal Title

      研究報告セキュリティ心理学とトラスト

      Volume: SPT-29 Pages: 1-6

    • Related Report
      2018 Research-status Report
  • [Journal Article] The Pareto distribution (Type Ⅲ) gives a good first approximation to the transaction intervals of Nikkei 225 Futures in the OSE2018

    • Author(s)
      Naoki Hashimoto, Qi Wu, Limei Zhu, Koji Inui and Kazuo Kishimoto
    • Journal Title

      JSIAM Letters

      Volume: 10 Issue: 0 Pages: 9-12

    • DOI

      10.14495/jsiaml.10.9

    • NAID

      130006707902

    • ISSN
      1883-0609, 1883-0617
    • Related Report
      2017 Research-status Report
    • Peer Reviewed
  • [Presentation] Empirical Credit Risk Ratings of Individual Corporate Bonds and Derivation of Term Structures of Default Probabilities2019

    • Author(s)
      Takeaki Kariya, Yoshihiro Yamamura, Koji Inui
    • Organizer
      統計関連学会連合大会
    • Related Report
      2019 Annual Research Report
  • [Presentation] 経営マネジメント状況による情報漏洩インシデント削減効果の評価2018

    • Author(s)
      山田道洋,池上和輝,菊池浩明,乾孝治
    • Organizer
      情報処理学会 第82回研究会
    • Related Report
      2018 Research-status Report
  • [Presentation] 日本企業の資本コスト推定と予測精度の評価2017

    • Author(s)
      新堀奨,乾孝治
    • Organizer
      日本OR学会
    • Related Report
      2017 Research-status Report
  • [Presentation] Improving Forecast Ability of Lyle-Wang Model by Panel Data Analysis2016

    • Author(s)
      Koji INUI
    • Organizer
      Temple University 2016 Accounting Conference
    • Place of Presentation
      Temple University
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research
  • [Book] Innovative Mobile and Internet Services in Ubiquitous Computing2019

    • Author(s)
      Kazuki Ikegami, Hiroaki Kikuchi, Michiro Yamada and Koji Inui
    • Publisher
      Springer
    • Related Report
      2019 Annual Research Report

URL: 

Published: 2016-04-21   Modified: 2021-02-19  

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