73,, $Jensen[1968]$, CAPM, Ippolito[19891,,, $Carhart[1997]$, ,, 12 10, 4,,,, 10%, 4,,,, ( ) $Carhart[1997]$ 4,,,,, Kosowski,$Timmennan\iota_

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1580 2008 72-85 72 (Akira Kato), (Koichi Miyazaki) University of Electro-Communications, Department

1 (Akira Kato), (Koichi Miyazaki) University of Electro-Communications, Department Systems Engineerings 1,,,,,,, 3, ( ),, 3, 2 ( ),,,,,,,,,,,,,,,,,,,,,, Jensen[1968] $Jensen[1968]$ 1945 $1964$,,

$73,, $Jensen[1968]$, CAPM, Ippolito[19891,,, $Carhart[1997]$, 1962 1993,, 12 10, 4,,,, 10%, 4,,,, ( ) $Carhart[1997]$ 4,,,,, Kosowski,$Timmennan\iota_{1^{WemerS}}$ and White[2006],,, ( ) 3, 4,, 2 2$

2 73,, $Jensen[1968]$, CAPM, Ippolito[19891,,, $Carhart[1997]$, ,, 12 10, 4,,,, 10%, 4,,,, ( ) $Carhart[1997]$ 4,,,,, Kosowski,$Timmennan\iota_{1^{WemerS}}$ and White[2006],,, ( ) 3, 4,, 2 2 1, (2-1) Carhart [1997] Carhart [1997] Fama and French[1992] 3, 1 wimer loser ( ) 4,, $r_{l\prime}=\alpha_{l}+\beta_{i}rmrf_{t}+s_{l}smb_{t}+h_{i}hml_{t}+p_{j}pr1yr+\epsilon_{i1}$ (2-1) $i$ $i$, $r_{j}$,:, \alpha l: 7zlx77( ), RMfRFl: TOPIX, SMBl: ( Index)-( idex), HMLl: ( Index) ( $PRlYR_{l}:$ $($ $11r$ Index),

3 $\epsilon_{l\ell}$ 74 3O% 1 ) $-$ ( 11 30% 1 ), 2 2 1,,,, 5 5 $BBB$ (2-2) 4 3,,,,, $r_{i\int}=a_{i}+$ \beta, Indext+s, Indexl+h, Index, $+p_{l}bbb$, $+\epsilon_{tf}$ (2-2) $i$ $i$, $r_{l/}$ :, al: (, ), Indde\omega :, Index(1-3), Indext:, Index(3-7), Indext:, Index(7-), $BBB$ l: 5 5 BBB, 3, \searrow,, $O$ ( ) 1 $r_{l\prime}=a_{l}+\beta_{i}rmrf,$ $+s_{l}smb_{t}+h_{l}hml_{t}+p_{j}pr1y4+\epsilon_{j},$ $\hat{a}_{l},\hat{\beta}_{j}$ $\hat{s}_{i l},\hat{p}_{l}$,, $\text{\^{a}}_{i},\beta_{i},\hat{s},,\hat{h}_{i},\hat{p}_{i}$ 2 $\epsilon_{\iota}=r_{l} -(a, +\beta_{l}rmrf, +s_{l}smb_{t}+h_{l}hml_{t}+p_{l}pr1yr,)$, (3-1) $\{\begin{array}{l}\epsilon_{li}\epsilon_{i2}\vdots\epsilon_{\primen}\end{array}\}=\{\begin{array}{l}r_{i1}-(\alpha_{i}+\beta_{j}rmrf_{1}+s_{l}smb_{1}+h_{i}hmi_{\triangleleft}+p_{i}pr1y4)r_{i2}-(\alpha_{l}+\beta_{i}rmrf_{2}+s_{l}smb_{2}+h_{i}hml_{2}+p_{l}pr1yr_{2})\vdots r_{ln}-(\alpha_{i}+\beta_{l}rmrf_{n}+s_{l}smb_{n}+h_{i}hml_{n}+p_{l}pr1yr_{n})\end{array}\}$ (3-1)

4 75 3 (31),, (3-2) $\epsilon^{b}=\{\begin{array}{l}\epsilon_{1}^{1}\epsilon_{2}^{1}\vdots\epsilon_{n}^{l}\end{array}\},\{\begin{array}{l}\epsilon_{1}^{2}\epsilon_{2}^{2}\vdots\epsilon_{n}^{2}\end{array}\},\cdots,\{\begin{array}{l}\epsilon_{1}^{100}\epsilon_{2}^{100}\vdots\epsilon_{n}^{1\infty}\end{array}\}$ (3-2) 4 (32) (3-3) $\{\begin{array}{l}r_{l,1}r_{l2}\vdots r_{lfl}\end{array}\}=\{\begin{array}{l}\hat{\alpha}_{/}+\hat{\beta}_{l}rmrf_{t}+\hat{s}_{l}smb_{\prime}+\hat{h}_{i}hml_{t}+\hat{p}_{i}prlyr_{t}+\epsilon_{1}^{b}\hat{\alpha}_{\prime}+\hat{\beta}_{l}rmrf,+\hat{s}_{l}smb_{\prime}+\hat{h}_{i}hml_{l}+\hat{p}_{l}pr1yr_{\prime}+\epsilon_{2}^{b}\vdots\hat{a}_{i}+\hat{\beta}_{i}rmrf_{l}+\dot{s}_{j}smb_{l}+\hat{h}_{j}hml,+\hat{p}_{i}prlyr_{l}+\epsilon_{n}^{b}\end{array}\}$ (3-3) 5 (3-3) $\hat{\alpha}_{l}^{b},\hat{\beta}_{l}^{b},\hat{s}_{l}^{b},\hat{h}_{l}^{b},\hat{p}_{i}^{b}$ 2 5, $(T_{i}^{b})$ (3-5) $p$ $p$ $T_{l}^{b}$, (3-4), Standardp-Value (3-4) $= \frac{1}{2}tr_{\sqrt{\nu}b(\frac{1}{2},\frac{\nu}{2}\int 1+\frac{t^{2}}{\nu}I^{\frac{\bigwedge_{\nu+1}}{2}}}^{1} ttrightarrow Value=\frac{\hat{\alpha}_{l}-0}{se(\hat{a}_{i})}$ Bootstrappedp-Value $=, $b=100$ $\#\{T_{i}^{b}\geq \frac{1+\#\psi^{b}\geq t\}}{1+b}$ $(t>0),$ $= \frac{\iota+\#\ell_{l}^{\iota}\leq r\}}{1+b}$ t\}\cdot$ $T_{l}^{b}$ $(t<0)$ (3-5) ,

5 76,,, TOPIX( 4-1), $Russell/Nomura$ (,,, Index)( 4-2), 1998 $\text{ ^{}-}$ , Daiwa Bond Index(,, Index)( 4-3), BBB ( ) $4\cdot 4$ , 4 (,,, ), TOPIX, $O$

$60 $\nu$, 4 2 1 1 4-6, 1999 7 100% TOPIX 4-6 TOPIX,,, ToPIx,, TOPIX, $0$ 4-1,,$

6 77, 14%,,,,,,,,,,,,, $O$ 4-5 Kosowski,Timmermann,Wermers and White[2006],, 60, 60 $\nu$, , % TOPIX 4-6 TOPIX,,, ToPIx,, TOPIX, $0$ 4-1,,

78 4-1 -005%, 008%,, 4-7 2002 5 5%, 4-1 013%( 156%) 4-6 T0PIX 4-7 4-1 4 2 1 2 4-8, 1999 7

7 %, 008%,, %, %( 156%) 4-6 T0PIX , % TOPIX TOPIX,, IT 00 IT, TOPIX,, 4-2 TOPIX, %( 156%), 026%( 312%),,

$79, SMB (028) 1%,, HML 1%,, 4-9 2002 5 2%,, 4-8 T0PIX 4-9 4-2 HMLI HKM YPRI $\ovalbox{\tt\small 9334% REJECT} RSffi$ $0t\mathfrak{N}$ $OA\theta$ 1 2171 $0t$ $\sim$ $OAl$ 4\epsilon $ $\sim$$

8 79, SMB (028) 1%,, HML 1%,, %,, 4-8 T0PIX HMLI HKM YPRI $\ovalbox{\tt\small 9334% REJECT} RSffi$ $0t\mathfrak{N}$ $OA\theta$ $0t$ $\sim$ $OAl$ 4\epsilon $ $\sim$ $-1149\sim$ $\triangleleft59$ $0\infty$ Ott 57 $\frac{hmrnnl3u\% 026\%t75r10t2f70m02l4Sl\wedge-05l-1148\sim 0D00t1}{\text{ }\# R\frac \text{ }*409353\% 0t5\% 1031D12924r025462m-058\sim 14tm0D00X}$ $\frac{11mmn*l3l2l028\%t90* Dt2922m0A5451\sim \sim }{\sim:t\propto\pi-e\cdot5ll\sim-\cdott\%r-}$ , % TOPIX TOPIX,, 2000,,, IT, $=$,, 20%,,,, 2000

9 %, 4-11, TOPIX, 4-2 $=$ 0%, 013%( 156%),,, SMB 10%,, HML,,,, %, T0PIX 4-12

$81 4-3 $\ovalbox{\tt\small REJECT}^{-}WRFRMRFt-CSMBtSMBtHMLHMt-tPRlYRtPRlYRt-t$ 9534% 000% 002 OJ5 4325 $***$ 7 024 747 $0$ $\dagger90*$ $***$ $0$ $-024$ $0$ $\delta 0$ 953ZS 013% 139 095 43$t7*ll$$

10 $\ovalbox{\tt\small REJECT}^{-}WRFRMRFt-CSMBtSMBtHMLHMt-tPRlYRtPRlYRt-t$ 9534% 000% 002 OJ $***$ $0$ $\dagger90*$ $***$ $0$ $-024$ $0$ $\delta 0$ 953ZS 013% $t7*ll$ OD7 $t89$ 42 $zn$ 000 $-024$ $0l\epsilon$ 95Jl% 003% $tl$ 4034 $*ll$ 000 $ta2*$ $***$ $-0$ 1 $-OS4$ 9599% 01 f$ $t7\epsilon*$ 0$ll$ $l020**2$ ODO $*$ $-001$ $-0S4$ *:10 **:5 111: , % TOPIX 4-13 TOPIX,, TOPIX, %, -009%,,, $SMB$ 1%,,, %, $0$ 4-13 T0PIX $tdo$ $\alpha-t$ fflrf RMRF M S B H H I $Y$ $-0\uparrow 4$ V 9615% -021% $-230*\cdot$ $ll*$ 02$ 7 $-44i***$ 70 $9t1$ l% OOS $-$ $-00$ $000$ $4I40**\cdot$ Ot 4 $\ldots$ - 41 $*$ $9tD7$ -010% -tot $***$ $***$ $-010$ $-491l\cdot*$ lfd5$ 0l% $-$ $-03$ $l$ $0\theta 0$ $\epsilont7$ too $\mbox{\boldmath $\theta$} 77 $ll$ -Ot 0 $-4S9$ $l*$ $-0D2$ $-002$ $-00\dagger$ $-0Dt$ $-137$ $-13_{-}$ -1nO $\triangleleft0$ *:10 $**:5S$ $*1m*:1S$ $t4$ no

$\blacksquare$ 82 $l$ 4 2 $5$ 4-15, 1999 7 100% TOPIX 4-15 TOPIX,, TOPIX,, 4-5 -004%, 009%,,, SMB, HML,, TOPIX, 4-16 2002 5 1%, T0PIX $4-l5$ $4-t6$ 4-5 $\ovalbox{\tt\small REJECT} RMRFMHMLHMLPYt-$

11 $\blacksquare$ 82 $l$ 4 2 $5$ 4-15, % TOPIX 4-15 TOPIX,, TOPIX,, %, 009%,,, SMB, HML,, TOPIX, %, T0PIX $4-l5$ $4-t6$ 4-5 $\ovalbox{\tt\small REJECT} RMRFMHMLHMLPYt-$ $9f$ $-0t4$ $-5t0Tl$ $-001$ $-0t=$ $0D\theta$ 9745% -004% $-04t$ to $lll$ $\frac{a\frac-r211r9745s00ll11210t5223rts0d30l r*\cdot-001-0tt}{g\text{ }zn\alpha rr\circ \text{ }*tt0l741l-0d2l-030td16377rs0031d9-01i-5t\epsilon**)-0dt-05l}$ $\frac{11\hslash\alpha-ri1\hslash 9740\backslash o\iota\alpha\iota\iota\epsilon 015l7lllS003tD7-01C }{*:t0l\text{ }*:5\backslash \text{ }*\cdot\cdot:1\%\text{ }\bullet}$ ( ) 4-17,18,19, % Daiwa Bond Index( DBI ) (20%, 30%, 40%) 4-8 $DBI$,, :

12 83, DBI, 4-6,7,8 20% 002%, 30% 003%, 40% 004%,,, 4-6,7,8 1%, % % $4-19$ % $-O$ $C $-2D2$ -2A3% 20% $\ovalbox{\tt\small REJECT}_{-\iota}-\cdot\cdot\cdot$ $-009$ 54 $0lk$ t$4ts 4$t0$ $\ldots$ $l7t$ $oo $-0t0t$ $1t3a_{2 2}\ovalbox{\tt\small REJECT}^{l}$ $-\{20$ $-\uparrow$ $0$ $l\cdot*$ $lld $ $l0$ 7 $***$ $-1\backslash$ 4-7 -a $-$ $:1R$ $**S$ $*\cdot*:1s$ 30% $\ovalbox{\tt\small REJECT}--g--Is\alpha\mu\perp 050tl-002l-t23-\52\backslash \backslash \7l\cdot*lt4llt0l4\cdot\cdot t-0l0\backslash - 5t$ $\ovalbox{\tt\small REJECT}^{1}5t0 l-3l7-7\backslash 7 *ltl\backslash 004l\backslash \cdot-0l\sim $ $*:1$ $\bullet$ $:5S$ $\bullet\cdot u;\dagger 1$

$$\alpha$ -231% 84 4-8 40% $\perp 9l50l\ovalbox{\tt\small -OOIS $-0fl$ $22S31$ 052 47$01l$ 2 REJECT}$ $I7$ 2\epsilon l\mbox{\boldmath $\theta$}$5 $*$ $l7$ $ll$ $-044S-1l2l$ $r\ -rlg_{losw}1osw$ 4$

13 $\alpha$ -231% % $\perp 9l50l\ovalbox{\tt\small -OOIS $-0fl$ $22S31$ $01l$ 2 REJECT}$ $I7$ 2\epsilon l\mbox{\boldmath $\theta$}$5 $*$ $l7$ $ll$ $-044S-1l2l$ $r\ -rlg_{losw}1osw$ 4 $\blacksquare$ 9350% 004% I $J4$ 2230% $l$ $051$ 4783% 24$ $**$ 2839% 500 $tll$ -O$\ell S $-192$ $ *;1O% **:5% $**l$;1% 4 3 \searrow,, % $p$ $p$, 4-10, $p$ 1,, $p$,, 4-9 $p$ Medit Top Bottom, $p$ $p$, $p$ 50%,,, 4-10 $p$ 50%,,,,,, 4-11,12, 4-9 ( ) $\ovalbox{\tt\small REJECT}\epsilon nb10\% 20*\ovalbox{\tt\small REJECT}_{30} 0\M\cdot d\cdot \mathfrak{n}0 0\% 20\t0lTo$ -045% $-0t$ t$ 0 $02S$ 010% 016$ 023% 0$28l$ 040$ 054% $t2$3$ $43S$ 43$0$ 00utn $\Gamma P$ 6337% 49$50l$ 64 $46X$ 47 $52S$ 4950$ 5218% 52 8$ $594\uparrow S$ 57 $\ovalbox{\tt\small REJECT} S4nurd-t63lt099S3957l4500 S243St l90lS044l027l$ ( ) 4-10 $\ovalbox{\tt\small REJECT} ni\cdot 80m10 20\%\ovalbox{\tt\small REJECT}_{0ll\mathfrak{N}\mathfrak{n}4,0 0l20}\iota 0tTot t $ $Boo4tr\cdot p-\beta$ 7525% 54 $46S$ 4950$ 45 $64l$ 4257$ % 5743$ 6842$ 5248% $l$ $\ovalbox{\tt\small REJECT}_{ \% 1086\}sc- nbrd-113l1811theta 3l6 0st59\% 0S3t000l$ 4-11 ( ) $\ovalbox{\tt\small REJECT} p_{rn} Bottom10 2\Re 0ll0ln40l30 20l10l$ $Booutr\cdot p-p$ 59 $41S$ 5743$ 0436$ 4950$ 6238$ $55l5S$ 5842$ 60$40S$ 60$40l$ 5347$ $t\iota \mathfrak{n}d\cdot rd-$ 04 $160S$ 11 $\delta 4$ $0$ 8$ t747$ 3Sl7% 480$ 342$ O07% $OO$ %

14 ( ) $\ovalbox{\tt\small REJECT} Poroent obottomt0*20l\ovalbox{\tt\small REJECT}_{-}^{0l40\Med\cdot n \}10\Tot-t4t D $ Bootstrap-p 5545$ 6040% 5446% 4455$ 55$45S$ 54$46t$ 6238% 5446% 5446% 5347% $\ovalbox{\tt\small REJECT} St\epsilon \mathfrak{n}a*000l072l188l287\t461l4549l2ls8 346l103l000l$ 5, SMB, $HML$,,,,,,, \langle, [1] Jensen, Michael C, The Performance of Mutual Funds in the Period , Journal Finance 23, (1968), [2] Ippolito, RA, Efficiency with costly infomation: A study of mutual fund performance, , Quarterly Joumal of Economics 104, (1989), 1-23 [3] Carhart, M M, On Persistence in Mutual Fund Performance, Journal of Finance 52, (1997), [4] R Kosowski, A Timmermann, H White, and R Wermers, Can Mutual Fund Stars Really Pick Stocks? New Evidence ffom a Bootstrap Analysis, Joumal of Finance 61, (2006), [5] FamaE $F$ and FrenchKR, The Cross-Section of Expected Stock Retum, Joumal of Finance 47, (1992),

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