| Project/Area Number |
24530363
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Tokyo University of Science |
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Principal Investigator |
HIRAKI Takato 東京理科大学, 経営学部, 教授 (50208815)
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| Research Collaborator |
WATANABE Akiko University of Alberta
WATANABE Masahiro University of Alberta
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2012: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
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| Keywords | 株式投資戦略 / バリュー効果 / B/M効果 / 経営者予想利益 / 予想P/E効果 / ファイナンス / アッセットマネジメント / バリュープレミアム / 株式市場 / 経営者利益予想 / ＢＭ効果 / ＦＥＰ効果 / 余剰利益モデル / クリーンサープラス |
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| Outline of Final Research Achievements |
We examine the economic value of management earnings forecasts by taking advantage of the unique corporate disclosure practice in Japan where listed firms regularly announce earnings forecasts upon requests by stock exchanges and the press. A calendar-time strategy using the forecasted E/P ratio earns a premium comparable to, and separate from, the value premium based on the B/M ratio. The premium is robust to a variety of factor and characteristic adjustments including realized and forecasted earnings momentum. The result is consistent with a model in which risk-averse investors demand a discount over a firm's fundamental value that earnings forecasts reflect. The main paper, "Investment Value of Management Earnings Forecasts" by T. Hiraki, A. Watanabe, M. Watanabe (SSRN, 2013) has been under review by one of the top-tier finance journals while a few other papers derived from the this research have been published in two of the well-known finance journals, JCF (2014) and JBF(2015).
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