36巻目次.indd

Size: px

Start display at page:

Download "36巻目次.indd"

ゆりなこいたばし
5 years ago
Views:

1 36 12 論文知的財産評価と企業価値岩城康史 ( 関西学院大学大学院 ) 岡田克彦 ( 関西学院大学 ) 要旨キーワード 1 はじめに ,000 Griliches et al

2 36 12 Trajtenberg 1990 Weighted Patent Count, WPC Vopel et al Hall et al Lanjouw and Schankerman IPC , Hall et al Tobin Q Lanjouw and Schankerman Hall et al

3 データ ⑴ 使用データ Wisdomain 4 FOCUST-J ,500,297 4,200,280 2,664,975 Needs Financial Quest ⑵ 特許価値データベースの作成 1 4http://

4 /3/301992/4/ , , , /1/ /1/ /4/ /1 1992/4 1 ⑶ 被引用数の算出 Hall et al A B A A A A 9 DCC DCC

5 % i 1 i 10 1 i t DCC i,t DCC DCC i,t p P i,t c Cp,t 1 (1+ δ) t T 0,c t : t t388 T 0,c c t DCC i,t i t P i,t i t p P i,t C p,t t p c C i,t δδ10%/ 3 記述統計量 ⑴ 特許価値ランキングポートフォリオ DCC 1 DCC = 0 P0 DCC > 0 5 DCC P5 DCC P1 1,699 2 P0 DCC 20%P5P1 P4P5 P DCC DCC DCC ⑵ ランキングポートフォリオのパフォーマンス DCC P0 P5 6 6

6 36 12 δ δ δ P0 TOPIX 4.23% P1 P5 DCC DCC P5 20 ⑶ 特許価値の変遷 3 DCC DCC DCC

7 36 12 ⑷ DCC ランキングポートフォリオと業種 DCC 3DCC DCC 4 DCC DCC 8

8 36 12 ⑸ 特許価値に基づくポートフォリオ運用 2 Fama and French 1993 Three Factor Model 10 10http://fdsol.co.jp/ 9

9 36 12 DCC DCC DCC>0 DCC 5 6 P0 P5 DCC DCC 6 α r i,t r f,t M SMB HML α i β i β i SMB t β i HML t ε i r M,t t t= t =388 r i,t t i r M,t t r f,t t SMB t t Small Minus Big HML t t High Minus Low r f,t 4 実証結果 5 Three Factor Model CTPRCalendar Time Portfolio Regression P0 0.39%4.71% DCC > 0 Pcited 0.30% 3.58% α P5 0.32% 3.84% α P0 α P5 α P2 α P2 α 0.26% 3.11% α Spearman s ρ P5 5% P5 SMB 10

10 追加検証 ⑴ 特許価値ファクター (PCITE) による分析 DCCP0 α P5 α P1 P4 α DCC αdcc DCCDCC DCC α r Mr f α r Mr f α r Mr f

11 β M β SMB β HML α PCITEPCITE DCC ManyDCC FewMany Minus Few Three Factor Model PCITE t r p4,t r p5,t r p0,t r p1,t r i,t r f,t M SMB HML α i β i r M,t r f,t β i SMB t β i HML t β PCITE i PCITE t ε i t t= t388 r i,t t i r M,t t r f,t t SMB t t Small Minus Big HML t t High Minus Low PCITE t t 6 PCITE 1977 r Mr f r Mr f r Mr f r Mr f r Mr f 12

12 SMB PCITE ⑵ 追加検証の結果 PCITE 7 PCITE 3 β M β SMB β HML PCITE Three Factor Model α PCITE P0 β SMB P0P2P5 β HML PCITE 3 β PCITE α 0 R 2 Three Factor Model PCITE Three Factor Model α P1 P4 α DCC PCITE β PCITE Spearman s ρ おわりに DCC , DCC DCC

13 αdcc DCCDCC DCC α r Mr f α r Mr f α r Mr f 謝辞

14 36 12 ANU B 16H03668 CREST 参考文献 [1] Griliches, Zvi, Ariel Pakes, and Bronwyn H. Hall 1986The value of patents as indicators of inventive activity, NBER Working Paper Series, No [2] Fama, Eugene F. and Kenneth R. French 1993Common risk factors in the returns on stocks and bonds, Journal of financial economics, Vol. 33, No. 1, pp [3] Hall, Bronwyn H., Adam B. Jaffe, and Manuel Trajtenberg 2005Market value and patent citations, RAND Journal of economics, pp [4] Lanjouw, Jean O. and Mark Schankerman 2004Patent quality and research productivity: Measuring innovation with multiple indicators, The Economic Journal, Vol. 114, No. 495, pp [5] Trajtenberg, M. 1990A Penny for your Quotes. Patent Citations and the Value of Innovation, RAND Journal of Economics, Vol. 21, No. 1, pp [6] Vopel, Katrin, Frederic M. Scherer, Francis Narin, and Dietmar Harhoff 1997Citation Frequency and the Value of Patented Innovation, ZEW Discussion Papers. [7] 2014, Vol.97-DNo [8] 2013 RIETI Discussion Paper Series 13-E-052 [9] 2006Vol.2No.3 [10] 2007Fama-French,, No.22, 3-23 [11]

2 / 24

2 / 24 2017 11 9 1 / 24 2 / 24 Solow, 1957 total factor productivity; TFP 5% 経済成長率の要因分解 4% 3% 2.68% 2.51% 2% 1% 0% 1.63% 1.50% 0.34% 0.42% 0.55% 0.97% 1.14% 0.86% 0.13% -0.59% -0.59% -0.09% 0.01% -1% 1970-80