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Application to time-series model of stock returns and risk based on analysts' forecast

Research Project

Project/Area Number 23730305
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Public finance/Monetary economics
Research InstitutionAoyama Gakuin University

Principal Investigator

MORITA Mitsuru  青山学院大学, 大学院・国際マネジメント研究科, 准教授 (30453492)

Project Period (FY) 2011 – 2012
Project Status Completed (Fiscal Year 2012)
Budget Amount *help
¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
Fiscal Year 2012: ¥390,000 (Direct Cost: ¥300,000、Indirect Cost: ¥90,000)
Fiscal Year 2011: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Keywordsアナリスト予想 / 業績予想 / イベントスタディ / 時系列モデル / ボラティリティ / 時系列 / ファイナンス
Research Abstract

This research investigated the relationship between stock returns/risk and analysts' earnings forecast/rating/target price. First of all, we analyzed accuracy of earnings forecast and discrepancy of analysts' forecast and number of analysts' coverage. Moreover we investigated about the announcement effect of analysts' ratings by the event study approach. We have examined the effect of subjective expectations of investors on the realized return and applied the variation of target price to the time series model.

Report

(3 results)
  • 2012 Annual Research Report   Final Research Report ( PDF )
  • 2011 Research-status Report

URL: 

Published: 2011-08-05   Modified: 2019-07-29  

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