Anomalies in the Japanese Equity Market and Investor Behavior
Project/Area Number |
25380412
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Research Category |
Grant-in-Aid for Scientific Research (C)
|
Allocation Type | Multi-year Fund |
Section | 一般 |
Research Field |
Money/ Finance
|
Research Institution | Nagoya University of Commerce & Business |
Principal Investigator |
|
Project Period (FY) |
2013-04-01 – 2016-03-31
|
Project Status |
Completed (Fiscal Year 2015)
|
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)
|
Keywords | アノマリー / 機関投資家 / 個人投資家 / アセット・プライシング / ベータ・アノマリー / バリュー・アノマリー / 機関投資家の投資行動 |
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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Report
(4 results)
Research Products
(14 results)