| Budget Amount *help |
¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2015: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2014: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
Fiscal Year 2013: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Outline of Final Research Achievements |
We investigated whether institutional investors exploit anomalies to deliver excess return to their clients, using data in the Japanese Equity Market. We showed that institutional investors, on an aggregated basis, fail to deliver positive alphas relative to CAPM or well-known multi-factor models. We also showed that institutional investors do not overweight most factors that are known to yield alphas. Our evidences are not consistent with the view that institutional investors are sophisticated enough to utilize anomalies to serv e their clients.
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