| Project/Area Number |
23330138
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Business administration
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| Research Institution | Kwansei Gakuin University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
SHIROSHITA Kengo 山口大学, 経済学部, 教授 (20183840)
YAMASAKI Takashi 神戸大学, 経営学研究科, 准教授 (30403223)
OKAMURA Hideo 関西学院大学, 商学部, 教授 (70319606)
YAMASAKI Takahiro 大阪産業大学, 工学部, 准教授 (90340611)
OKADA Katsuhiko 関西学院大学, 経営戦略研究科, 教授 (90411793)
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| Co-Investigator(Renkei-kenkyūsha) |
HIOKI Koichi 神戸大学, 経営学研究科, 助教 (60509850)
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| Project Period (FY) |
2011-04-01 – 2014-03-31
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥19,110,000 (Direct Cost: ¥14,700,000、Indirect Cost: ¥4,410,000)
Fiscal Year 2013: ¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
Fiscal Year 2012: ¥7,670,000 (Direct Cost: ¥5,900,000、Indirect Cost: ¥1,770,000)
Fiscal Year 2011: ¥9,100,000 (Direct Cost: ¥7,000,000、Indirect Cost: ¥2,100,000)
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| Keywords | 投資家心理 / アノマリー / 日経平均株価指数 / 予想表現 / テキストマイニング / モダリティ / 大規模データ / 季節アノマリー / 形態素解析 / 係り受け解析 / 上半期効果 |
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| Research Abstract |
We report on a seasonal pattern, dubbed the Dekansho -bushi effect, that has persisted in the Japanese stock market for more than half a century: Mean stock returns are significantly positive for months during the first half of the calendar year and significantly negative for months during the second half. These seasonal pattern affects the IPOs in Japan. Average initial returns during the first half of the year are significantly higher than those of the second half. On the other hand, companies that go public in the first half of the year show poorer long-run performances, due to the higher prices around IPOs.
We also investigate media influence on stock returns that are revised by sell side analysts. First, media covered stocks demonstrate weaker post announcement returns than their non media covered counterparts. Second, our results indicate that pre event sentiment dictates short-run investor behavior and affects the post announcement return in a significant manner.
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