上場変更と株価：株主分散と流動性変化のインパクト
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1 Merton Amihud and Mendelson NASDAQ JASDAQ JASDAQ JASDAQ QUICK
2 JASDAQ JASDAQ Merton Amihud and Mendelson JASDAQ NASDAQ JASDAQ JASDAQ JASDAQJASDAQ Japan Securities Dealers Association Automated Quotation
3 JASDAQ JASDAQ
4 JASDAQ
5 JASDAQ JASDAQ JASDAQ JASDAQ JASDAQ Kadlec and McConnellNASDAQ NYSE investor recognition hypothesis Merton
6 Kadlec and McConnell Amihud and Mendelson NYSENASDAQ Christie and HuangNASDAQNYSE AMEX BessembergerNASDAQNYSE NASDAQNASDAQ shadow cost Clientele effects Kadlec and McConnell Sapp and YanNASDAQAMEX
7 JASDAQ JASDAQ NYSE
8 QUICKAMSUS
9
10 Sanger and McConnellKadlec and McConnell
11 + ARabnormal return CAR cumulative abnormal return JASDAQ Kadlec and McConnellAmihud, Mendelson and Lauterbach
12 R i,t = i + 1,i R tse,t + 2,i R jsd,t + i,t, t = T +31,,T R i,t i tr tse,t t TOPIX R jsd,t t JASDAQ i,t it i, 1,i, 2,i T + 31T i, 1,i, 2,i i, 1,i, 2,i T 5 T +30 AR i,s = R i,s i 1,i R tse,s 2,i R jsd,s, s = T 5,,T +30. Sanger and McConnell Kadlec and McConnell Sanger and McConnell Kadlec and McConnell
13 CARCAR CAR CAR Amihud, Mendelson and LauterbachAmihud, Mendelson and Uno
14 T 1 CAR2 i = AR it. t = 0 i t t = 0 t = T CARCARCAR CARCAR CAR AR AR CAR CARCAR CARCAR CAR CAR CAR CARCAR
15
16 TOPIX T T 35T 124 JASDAQ VOLVOL VOL VOL VOL VOL VOL VOL VOL VOL VOLVOL VOL JASDAQ
17 log log JASDAQ TT 35T 124
18 JASDAQ r i,t =i + i lnq i,t +t. r i,t (100 (ln(p t ) ln(p t 1 ))P t t lnq i,t t i d i, t i r i,t =i + i lnq i,t +d t i lnq i,t +t. i i + i i i
19 T T 124T 35T +30T +119
20 CAR VOLOLS Kadlec and McConnell j V j j V j =. SHSj TSE SHSj JASDAQ j jv j jshs TSE j SHS JASDAQ j JASDAQSHS TSE j SHS JASDAQ j SHS JASDAQ j MertonKadlec and McConnell
21 CAR2+AR
22 JASDAQ JASDAQ JASDAQ
23 JASDAQ
24 Amihud, Yakov, and Haim Mendelson, Asset Pricing and the Bid-Ask Spread, Journal of Financial Economics 17, 1986, pp ,, and Beni Lauterbach, Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange, Journal of Financial Economics, 45 (3), September, 1997, pp ,, and Jun Uno, Number of Shareholders and Stock Prices: Evidence from Japan, Journal of Finance, 54 (3), June 1999, pp Bessembinder, Hendrik, Trading Costs and Return Volatility: Evidence From Exchange Listings, SSRN Electronic Paper Collection, 1998, (http//ssrn.com/abstract=120688). Christie, William G. and Roger D. Huang, Market Structures and Liquidity: A Transactions Data Study of Exchange Listings, Journal of Financial Intermediation, 3 (3), June 1994, pp Kadlec, Gregory B. and John J. McConnell, The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings, Journal of Finance, 49 (2), June 1994, pp Merton, Robert C., A simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance, 72 (3), Sanger, Gary C. and John J. McConnell, Stock Exchange Listings, Firm Value, and Security Market Efficiency: The Impact of NASDAQ, Journal of Financial and Quantitative Analysis, 21 (3), March 1986, pp Sapp, Travis R. A. and Xuemin Yan, Should Small NASDAQ Firms Switch to AMEX? mimeo, July 2000.
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Amihud の IML ファクターを いた本邦株式市場における流動性リスクプレミアムの実証分析及び貸借銘柄選定による流動性への影響の検証 - 流動性と企業価値の関係の考察に向けて - 橋 学 学院国際企業戦略研究科 融戦略 経営財務コース飯塚賢
Amihud の IML ファクターを いた本邦株式市場における流動性リスクプレミアムの実証分析及び貸借銘柄選定による流動性への影響の検証 - 流動性と企業価値の関係の考察に向けて - 橋 学 学院国際企業戦略研究科 融戦略 経営財務コース飯塚賢 1. 研究概要 仮説 本邦株式市場に流動性リスクプレミアムが存在する (Amihud [2014] が提唱する流動性 (IML) ファクターを利 ) 結果
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