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2 Cross [1973]French [1980] Rogalsk [1984]Arel [1990]Arel [1987]Rozeff and Knney [1974]seasonaltycalendar structure [2004] 12 Half-Year Effect [2004] [1983] [1990]ChanHamao and Lakonshok [1991] Fama and French [ ] /B/M B/M [2004] 1
3 TOPIX 1 TOPIX [2004] TOPIX 12 TOPIX 1.189%1.249% %0.760% TOPIX TOPIX Banz [1981] Renganum [1981] [1983] Fama and French [1992] / // 1 [2003] Ogden [2003] [2003] Ogden [2003] [2004] AURORA DataLne TOPIX TOPIX
4 // % / 10% /
5 / Fama and French [ ] Fama and French [1992] / Fama and French [ ] E ( R ) R + b E( R ) [ R ] + s E( SMB) h E( HML) = f M f + R R R f M SMB HML B/M B/M E b s h E( R M ) R f t SMB HML t ( RM, t R f, t ) + ssmbt + h HMLt t R, t R f, t = α + b + ε, R ( RM, t R f, t ) + ssmbt + h HMLt + d Dt, t, t R f, t = α + b + ε D t
6 α d CAPM R f, t 10 R M, t TOPIX SMB t HML t = CAPM 3 b s h d ( R ) R + b E( R ) f [ M R f ] + s E( SMB) + h E( HML) nd E = + 3 5
7 12 = 12 FF / B/M B/M TOPIX B/M TOPIX A 30 B 30 Fama and MacBeth [1973]= B/M 4 12 B/M 6
8 ( ME ) + λ3 ( B M ) ε t R λ 0 + λ1β + λ2 ln ln +, β ln( ) ( ) = ME ln B M / λ 1 λ 2 λ ME /B/M / [2000] 12 = 3 CAPM CAPM / = Fama and French [2004] [2004] 7
9 / [ ] Arel, R. A. [1987], A Monthly Effect n Stock Returns, Journal of Fnancal Economcs, 18: Arel, R. A. [1990], Hgh Stock Returns Before Holdays: Exstence and Evdence on Possble Causes, Journal of Fnance, 45: Banz, R.W. [1981], The Relatonshp Between Return and Market Value of Common Stocks, Journal of Fnancal Economcs, 9:3-18. Chan, L. K., Hamao, Y., and Lakonshok, J. [1991], Fundamentals and stock returns n Japan, Journal of Fnance, 46: Cross, F. [1973], The Behavor of Stock Prces on Frdays and Mondays, Fnancal Analysts Journal, 29,6: Fama, E. and French, K. [1992], The Cross Secton of Expected Stock Returns, Journal of Fnance, 47: Fama, E. and French, K. [1993], Common rsk factors n the returns on stocks and bonds, Journal of Fnancal Economcs, 33:3-56. Fama, E. and French, K. [1996], Multfactor Explanatons of Asset Prcng Anomales, Journal of Fnance, 51: Fama, E. and MacBeth, J. [1973], Rsk, returns and equlbrum: Emprcal tests, Journal of Poltcal Economy, 81: French, K. [1980], Stock Returns and Weekend Effect, Journal of Fnancal Economcs, 8: [1990].,, 1990 Kato, K. and Schallhem, J. S. [1985], Seasonal and Sze Anomales n Japanese Stock Market, Journal of Fnancal and Quanttatve Analyss, 20: , [2000], Fama-French model,, 8,
10 [1996],,, 1996, Ogden, J. P. [2003], The Calendar Structure of rsk and expected returns on stocks and bonds, Journal of Fnancal Economcs, 70: Renganum, M.R. [1981], Msspecfcaton of Captal Asset Prcng Model: Emprcal Analyss Based on Earnngs Yeld and Market Value, Journal of Fnancal Economcs, 9: Rogalsk, R. [1984], New Fndngs Regardng Day-of-the-Week Returns Over Tradng and Non-Tradng Perods, Journal of Fnance, 39: Rozeff, M. S., and Knney, W. R., Jr. [1976], Captal Market Seasonalty: The Case of Stock Returns, Journal of Fnancal Economcs, 3: [1983], CAPM,, 147 5, [1994],,, 47,, 4-20,, [2003],,,, , 662, 2003, [2004],,, 190 1, 2004 Thaler, R. H. [1992], The Wnner s Curse: paradoxes and anomales of economc lfe, The Free Press,,, TOPIX r σ r σ r σ r σ [2004] 9
11 [2004] / [2004] 10
12 [2004] / [2004] 11
13 / [2004] R R ( RM, t R f, t ) + ssmbt + h HMLt + d Dt, t = α + b +, t f, t ε 12
14 B/M
15
16 2
17 * 4
1 CAPM: I-,,, I- ( ) 1 I- I- I- ( CAPM) I- CAPM I- 1 I- Jensen Fama-French 3 I- Fama-French 3 I- Fama-MacBeth I- SMB-FL, HML-FL Fama-MacBeth 1 Fama-Fr
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I- Fama-French 3, Idiosyncratic (I- ) I- ( ) 1 I- I- I- 1 I- I- Jensen Fama-French 3 SMB-FL, HML-FL I- Fama-French 3 I- Fama-MacBeth Fama-MacBeth I- S
I- Fama-French 3, Idiosyncratic (I- ) I- ( ) 1 I- I- I- 1 I- I- Jensen Fama-French 3 SMB-FL, HML-FL I- Fama-French 3 I- Fama-MacBeth Fama-MacBeth I- SMB-FL, HML-FL Fama-MacBeth 2, 3, 5 I- HML-FL 1 Fama-French
French[1993] は 高いB/P 値を示す銘柄はそれだけリスクが高く 投資家が要求するリターンも高いとした つまり B/Pとはリスクプレミアムの代理変数であるという考え方である これに対して Lakonshok, Shlefer and Vshny[1994] は 高 B/P 銘柄の相対的に
![French[1993] は 高いB/P 値を示す銘柄はそれだけリスクが高く 投資家が要求するリターンも高いとした つまり B/Pとはリスクプレミアムの代理変数であるという考え方である これに対して Lakonshok, Shlefer and Vshny[1994] は 高 B/P 銘柄の相対的に](/thumbs/92/109365735.jpg "French[1993] は 高いB/P 値を示す銘柄はそれだけリスクが高く 投資家が要求するリターンも高いとした つまり B/Pとはリスクプレミアムの代理変数であるという考え方である これに対して Lakonshok, Shlefer and Vshny[1994] は 高 B/P 銘柄の相対的に")
論文 日本株式市場におけるバリュー株効果要因分析 住友信託銀行パッシブ クオンツ運用部クオンツアナリスト西岡平太 ( 日本証券アナリスト協会検定会員 CMA ) 目 次 1. バリュー株効果とその要因 2. 過去研究 3. バリュー株効果の要因分析 4. 一時的バリュー株効果の要因分析 5. まとめ 本稿においては PBRを指標としたバリュー株効果の要因分析を行った PBRを長期平均値である 構造的バリュー
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1 Idiosyncratic,, Idiosyncratic (I- ) I- 1 I- I- Jensen I- Fama-French 3 I- Fama-French 3 1 Fama-French (FF) 3 [6] (Capital Asset Pricing Model; CAPM [12, 15]) CAPM ( [2, 10, 14, 16]) [18] Idiosyncratic
L Y L( ) Y0.15Y 0.03L 0.01L 6% L=(10.15)Y 108.5Y 6%1 Y y p L ( 19 ) [1990] [1988] 1
![L Y L( ) Y0.15Y 0.03L 0.01L 6% L=(10.15)Y 108.5Y 6%1 Y y p L ( 19 ) [1990] [1988] 1](/thumbs/88/115276552.jpg "L Y L( ) Y0.15Y 0.03L 0.01L 6% L=(10.15)Y 108.5Y 6%1 Y y p L ( 19 ) [1990] [1988] 1")
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