Risk and return relationships in the financial markets

2023 Fiscal Year Final Research Report

• Project/Area Number: 20K22092
• Research Category: Grant-in-Aid for Research Activity Start-up
• Allocation Type: Multi-year Fund
• Review Section: 0107:Economics, business administration, and related fields
• Research Institution: Okayama University
• Principal Investigator: Sakemoto Ryuta 岡山大学, 社会文化科学学域, 准教授 (50880275)
• Project Period (FY): 2020-09-11 – 2024-03-31
• Keywords: 通貨ポートフォリオ / ファクターモデル / バリュー / モメンタム / キャリー

Outline of Final Research Achievements

This study investigated risk-return relationships in the financial markets. In the first project, I focused on the stock market and revealed that risk was negatively associated with expected returns at a shorter frequency but was positively linked to them at a monthly frequency. The negative relationship reflected investors' overreaction. In the second project, I focused on the currency market and discovered that the sign of the risk-return relationship varied over time. This result was observed for the currency momentum and currency value portfolios. The sign of the risk-return relationship for the value portfolio was driven by flight to quality.

Free Research Field

国際金融

Academic Significance and Societal Importance of the Research Achievements

市場が安定している時には高金利通貨は理論価格以上に増価をし、通貨キャリーポートフォリオが正の収益率を持つことは広く知られている。更に市場混乱時に通貨キャリーポートフォリオが大きな損失をもたらすことも先行研究で示されている。しかし、通貨バリューポートフォリオとリスクについはまだ十分な研究がされていない分野であり、今回の発見は通貨ポートフォリオのリスク管理の高度化に貢献する。