2023 Fiscal Year Final Research Report
A Kalman Filter Approach of Market Sentiment with Attribution of Analyst Forecasts
| Project/Area Number |
21K01572
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Nanzan University |
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Principal Investigator |
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| Project Period (FY) |
2021-04-01 – 2024-03-31
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| Keywords | カルマンフィルタ |
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| Outline of Final Research Achievements |
This research considers the stock price return deviation from the AR(1) signal as the kalman gain, which is interpreted as the change in systematic risk. The information entropy estimate obtained from this gain as well as financial forecasts/ratios appeared to have a relation between the long run beta estimate.
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| Free Research Field |
ファイナンス
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| Academic Significance and Societal Importance of the Research Achievements |
株式市場のセンチメントの影響を抽出することで、市場が理性的な水準から離れて過剰評価・過小評価された際に起こるパニック売買を避けることができ、安定的かつ持続可能な投資活動（年金や社会的責任投資などの長期運用）において役立つと考えらえる情報量指標の有用性について明らかにした。
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