| Project/Area Number |
22K01420
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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 07030:Economic statistics-related
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| Research Institution | Tohoku University |
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Principal Investigator |
KO IATMENG 東北大学, 経済学研究科, 准教授 (30939608)
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| Co-Investigator(Kenkyū-buntansha) |
松田 安昌 東北大学, 経済学研究科, 教授 (10301590)
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| Project Period (FY) |
2022-04-01 – 2026-03-31
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| Project Status |
Granted (Fiscal Year 2023)
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| Budget Amount *help |
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2025: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2024: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2023: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2022: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Keywords | Network interconnection / Arbitrage Pricing Theory / Commodity Prediction / Contagion test / COVID-19 / Capital asset pricing / EDGAR search traffic / Co-search / Spatial interaction |
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| Outline of Research at the Start |
We explore the raw data from the US Securities and Exchange Commission’s (SEC) Electronic Data-Gathering, Analysis, and Retrieval (EDGAR) website which contains visitor’s IP address, timestamp, and the company that the visitor searched. The outline is as follow.
1. Our study conducts asset pricing models based on individual stocks, see Ang, Liu, and Schwarz (2020).
2. We adopt the Spatial Arbitrage Pricing Theory (S-APT) to study asset pricing with co-search relation. We extend the S-APT model to study general information-driven relationships.
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| Outline of Annual Research Achievements |
1. Data Preparation: We downloaded the crucial datasets for our analyses. Through adept cleansing procedures, we ensured the reliability of our dataset. This phase laid a robust foundation for our subsequent analyses.
2. Development and Testing of Spatial Arbitrage Pricing Theory (SAPT): With our prepared dataset, we started developing and testing the theory. Our findings unveiled compelling insights into market dynamics, shedding light on the interplay between co-search behavior and asset returns.
3. Completion of Academic Paper: We finished a paper titled "Can Storage Momentum and Its Difference Of A Nonferrous Metal Predict Price Return?" Our paper delved into the intriguing realm of storage momentum and its predictive power in price returns. It is under reviewed in the Journal of Futures Markets.
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| Current Status of Research Progress |
Current Status of Research Progress
2: Research has progressed on the whole more than it was originally planned.
Reason
The Spatial Arbitrage Pricing Theory has been developed successfully as expected. Empirical analyses further confirm the usefulness of the pricing model. Meanwhile, a related research paper is finished and submitted to academic journal.
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| Strategy for Future Research Activity |
1. Finish all empirical analyses.
2. Finish writing the paper.
3. Present the paper in academic conference.
4. Submit the paper to academic journal.
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