| Project/Area Number |
25380385
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Multi-year Fund |
|---|
| Section | 一般 |
|---|
| Research Field |
Money/ Finance
|
|---|
| Research Institution | Tohoku University |
|---|
Principal Investigator |
Kanazaki Yoshio 東北大学, 経済学研究科(研究院), 教授 (30204572)
|
|---|
| Research Collaborator |
XU Donghai
Muhammad Rifqi
|
|---|
| Project Period (FY) |
2013-04-01 – 2016-03-31
|
| Project Status |
Completed (Fiscal Year 2015)
|
| Budget Amount *help |
¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2013: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
|
|---|
| Keywords | 最大収益率効果 / 市場の過剰反応 / 行動ファイナンス / 中国株式市場 / リターン・リバーサル / ボラティリティ効果 / 日本株式市場 / 財務的危機 / 最大収益率 |
|---|
| Outline of Final Research Achievements |
We make 4 set of quintile portfolios based on 4 variables, i.e. historical beta, past average return, past standard deviation, and past maximum monthly return, and compare subsequent quintile portfolio returns. We found that (1) for all variables, the portfolio consist of stocks with small value of variable has higher average subsequent return than the portfolio with large value of variable, (2) for all variables, Sharp ratio of the smallest quintile portfolio is significantly higher than the largest quintile portfolio, (3) the difference of average subsequent return between the smallest portfolio and the largest portfolio does not disappear after the risk adjustment using the Fama-French three factor model, and (4) the risk premiums are observed on the past average return factor and the past maximum return factor in Fama-Macbeth cross section regression analysis.
|
