2011 Fiscal Year Final Research Report
The value premium in the Japanese stock market : an empirical analysis
| Project/Area Number |
22830124
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Single-year Grants |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Okayama Shoka University |
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Principal Investigator |
YAMANE Akiko 岡山商科大学, 経済学部, 講師 (60580173)
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| Project Period (FY) |
2010 – 2011
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| Keywords | ファイナンス / バリュー効果 |
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| Research Abstract |
In this research, the value premium in the Japanese stock market is related to the concept of equity duration. The empirical results show the following points. First, while growth stocks have long equity duration, value stocks have short duration. Second, the risk factor related to equity duration has similar properties with HML risk factor. Third, both the risk factors lost explanatory power after 1996.
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