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Econometrics of asset pricing models

Research Project

Project/Area Number 26380272
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Economic statistics
Research InstitutionNagoya University of Commerce & Business (2016)
Nagoya City University (2014-2015)

Principal Investigator

Hodoshima Jiro  名古屋商科大学, 経済学部, 教授 (30181514)

Project Period (FY) 2014-04-01 – 2017-03-31
Project Status Completed (Fiscal Year 2016)
Budget Amount *help
¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Fiscal Year 2016: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Keywordsパネルデータ分析 / Bootstrap / シミュレーション / Hetoroskedasticity / 福島原発の影響 / ぺネルデータ分析 / bootstrap / heteroskedasticity / 福島原発事故 / normal mixture / clustering
Outline of Final Research Achievements

I have completed two research papers related to cluster-robust variance esimators in the panel-data analysis of Fukushima disaster. I have published Hirukawa and Hodoshima (2016) on a research topic of unknown form of heteroskedasticity and autocorrelation in the panel data analysis. I have presented a study of a value measure, i.e., Hodoshima, Misawa, and Miyahara (2016), assuming data follow the class of normal mixture distributions, and have found promising research topics related to a value measure.

Report

(4 results)
  • 2016 Annual Research Report   Final Research Report ( PDF )
  • 2015 Research-status Report
  • 2014 Research-status Report
  • Research Products

    (13 results)

All 2017 2016 2015 2014 Other

All Journal Article (6 results) (of which Int'l Joint Research: 1 results,  Peer Reviewed: 2 results,  Acknowledgement Compliant: 3 results) Presentation (5 results) (of which Invited: 2 results) Book (1 results) Remarks (1 results)

  • [Journal Article] Normal mixtureのファイナンスへの応用2017

    • Author(s)
      程島次郎
    • Journal Title

      オイコノミカ

      Volume: 54

    • Related Report
      2016 Annual Research Report
  • [Journal Article] Reexamination of the Robustness of the Fama-French Three-Factor Model2016

    • Author(s)
      Masayuki Hirukawa and Jiro Hodoshima
    • Journal Title

      Far East Journal of Theoretical Statistics

      Volume: 52 Pages: 215-234

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] 期待効用無差別価格理論に基づくリスク測度のシミュレーション2016

    • Author(s)
      程島次郎、三澤哲也、宮原孝夫
    • Journal Title

      2016年度統計関連学会連合大会講演報告集

      Volume: なし Pages: 30-30

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 福島原発事故の影響を調べてみて2015

    • Author(s)
      程島次郎
    • Journal Title

      「国際地域経済研究」

      Volume: 16 Pages: 5-15

    • NAID

      40020951601

    • Related Report
      2014 Research-status Report
  • [Journal Article] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2014

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Institute of Economic Research Discussion Paper Series, Nagoya City University

      Volume: 56 Pages: 1-41

    • Related Report
      2014 Research-status Report
    • Acknowledgement Compliant
  • [Journal Article] A panel data analysis of stock returns of electric power companies in the Fukushima nuclear accident2014

    • Author(s)
      Jiro Hodoshima and Yuichi Morita
    • Journal Title

      Institute of Economic Research Discussion Paper Series, Nagoya City University

      Volume: 57 Pages: 1-20

    • Related Report
      2014 Research-status Report
    • Acknowledgement Compliant
  • [Presentation] 期待効用無差別価格理論に基づくリスク測度のシミュレーション2016

    • Author(s)
      程島次郎
    • Organizer
      統計関連学会連合大会
    • Place of Presentation
      金沢大学
    • Related Report
      2016 Annual Research Report
  • [Presentation] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2015

    • Author(s)
      程島次郎
    • Organizer
      名古屋市立大学附属経済研究所プロジェクト報告会
    • Place of Presentation
      名古屋市立大学経済学部
    • Year and Date
      2015-03-20
    • Related Report
      2014 Research-status Report
  • [Presentation] A panel data analysis of stock returns of electric power companies in the Fukushima nuclear accident2015

    • Author(s)
      Jiro Hodoshima
    • Organizer
      The eighth international conference of the Thailand econometric society
    • Place of Presentation
      Faculty of Economics, Chiang Mai University
    • Year and Date
      2015-01-08
    • Related Report
      2014 Research-status Report
    • Invited
  • [Presentation] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2014

    • Author(s)
      程島次郎
    • Organizer
      2014年度統計関連学会連合大会
    • Place of Presentation
      東京大学
    • Year and Date
      2014-09-15
    • Related Report
      2014 Research-status Report
  • [Presentation] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2014

    • Author(s)
      程島次郎
    • Organizer
      経済・ファイナンス分析のための統計的方法―刈屋武昭教授古希記念シンポジウムー
    • Place of Presentation
      学習院大学
    • Year and Date
      2014-09-12
    • Related Report
      2014 Research-status Report
    • Invited
  • [Book] 『名市大発 経済学・経営学のエッセンス』2014

    • Author(s)
      程島次郎
    • Total Pages
      5
    • Publisher
      HIME企画
    • Related Report
      2014 Research-status Report
  • [Remarks] 教員紹介 程島次郎教授

    • URL

      http://www.nucba.ac.jp/economics/faculty/entry-15570.html

    • Related Report
      2016 Annual Research Report

URL: 

Published: 2014-04-04   Modified: 2018-03-22  

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