Cash Flow Data and Asset Prices in Japan: An Empirical Analysis
| Project/Area Number |
24730287
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Hiroshima University (2013-2014)
Okayama Shoka University (2012) |
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Principal Investigator |
YAMANE Akiko 広島大学, 社会(科)学研究科, 講師 (60580173)
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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 |
¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Fiscal Year 2014: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2013: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2012: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | ファイナンス / キャッシュフローリスク |
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| Outline of Final Research Achievements |
In this research, we adopt the perspective of a buy-and-hold investor and measure betas from firms' cash flow to explain the portfolio returns in the Japanese stock market. Our finding is that the longer the horizon of the investment is, the better the cash flow betas work for the cross-sectional tests. We also find that the CAPM betas estimated using accounting data are consistent with long-horizon portfolio returns.
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Report
(4 results)
Research Products
(1 results)
