上場変更と株価:株主分散と流動性変化のインパクト

Size: px
Start display at page:

Download "上場変更と株価:株主分散と流動性変化のインパクト"

Transcription

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.

Vol.57 No.4 March 2008 : () 1 () () (1 ) (2 ) ( ) 1 Takagi (1989)Hamao (1992) (1998)

Vol.57 No.4 March 2008 : () 1 () () (1 ) (2 ) ( ) 1 Takagi (1989)Hamao (1992) (1998) Title Author(s) 東京証券取引所における株式取引 : 2001 年から 2003 年 太田, 亘 Citation 大阪大学経済学. 57(4) P.242-P.262 Issue Date 2008-03 Text Version publisher URL https://doi.org/10.18910/15995 DOI 10.18910/15995 rights Vol.57

More information

IMES DISCUSSION PAPER SERIES Discuss ssion Paper No. 98-J-2 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN 100-8630 203 IMES Discuss ssion Paper Series 98-J-2 1998 1 VaRVWAP E-mail: ohsawa@boj.co.uk

More information

autocorrelataion cross-autocorrelataion Lo/MacKinlay [1988, 1990] (A)

autocorrelataion cross-autocorrelataion Lo/MacKinlay [1988, 1990] (A) Discussion Paper Series A No.425 2002 2 186-8603 iwaisako@ier.hit-u.ac.jp 14 1 24 autocorrelataion cross-autocorrelataion Lo/MacKinlay [1988, 1990] 1990 12 13 (A) 12370027 13 1 1980 Lo/MacKinlay [1988]

More information

わが国企業による資金調達方法の選択問題

わが国企業による資金調達方法の選択問題 * takeshi.shimatani@boj.or.jp ** kawai@ml.me.titech.ac.jp *** naohiko.baba@boj.or.jp No.05-J-3 2005 3 103-8660 30 No.05-J-3 2005 3 1990 * E-mailtakeshi.shimatani@boj.or.jp ** E-mailkawai@ml.me.titech.ac.jp

More information

23_02.dvi

23_02.dvi Vol. 2 No. 2 10 21 (Mar. 2009) 1 1 1 Effect of Overconfidencial Investor to Stock Market Behaviour Ryota Inaishi, 1 Fei Zhai 1 and Eisuke Kita 1 Recently, the behavioral finance theory has been interested

More information

論文08.indd

論文08.indd * 1 はじめに,, TOPIX TOPIX, TOPIX TOPIX Shelor Anderson and Cross C Japan Society of Monetary Economics 図 1 東日本大震災前後の株価 (TOPIX) の推移 1,000 950 900 850 800 750 700 図 2 阪神大震災前後の株価 (TOPIX) の推移 1,650 1,550 1,450

More information

戦間期日本企業の資金調達、資本コスト、資本構成:最適資本構成理論からみた1930年代における企業財務

戦間期日本企業の資金調達、資本コスト、資本構成:最適資本構成理論からみた1930年代における企業財務 1930 Modigliani and Miller [1958] 170 1930 2008 7 16 I E-mail: takashi.nanjou@boj.or.jp E-mail: cc00881@srv.cc.hit-u.ac.jp //2009.7 81 1. 1 2 M&A 3 4 1965 1969 1995 1995 1993 1 2008 2008 1985 2006 10 ROA

More information

44-2 宮崎裕介.pwd

44-2 宮崎裕介.pwd repurchase. . JPX JPX ROE Return on Equity: JPX JPX Available at: JPX Tokyo Stock Exchange: http:// www.tse.or.jp / market / topix / jpx_nikkei.html last visited 11 / 06 / 2014. JPX JPX ROE TOPIX ROE JPX

More information

130 Oct Radial Basis Function RBF Efficient Market Hypothesis Fama ) 4) 1 Fig. 1 Utility function. 2 Fig. 2 Value function. (1) (2)

130 Oct Radial Basis Function RBF Efficient Market Hypothesis Fama ) 4) 1 Fig. 1 Utility function. 2 Fig. 2 Value function. (1) (2) Vol. 47 No. SIG 14(TOM 15) Oct. 2006 RBF 2 Effect of Stock Investor Agent According to Framing Effect to Stock Exchange in Artificial Stock Market Zhai Fei, Shen Kan, Yusuke Namikawa and Eisuke Kita Several

More information

HFT 1. はじめに A liquid market is a market where participants can rapidly execute large-volume transactions with a small impact on prices. Bank for Inter

HFT 1. はじめに A liquid market is a market where participants can rapidly execute large-volume transactions with a small impact on prices. Bank for Inter HFT 1. はじめに A liquid market is a market where participants can rapidly execute large-volume transactions with a small impact on prices. Bank for International Settlements HFT 2. 市場の流動性の特徴 Brunnermeier

More information

<96D889BA904D2E696E6464>

<96D889BA904D2E696E6464> 615 379 1 1995 10 OECD 1995 380 616 57 3 1993 4 3071 2003 1 3247 10 10 4 1 1990 2000 2003 10 617 381 2002 2 3 4 5 2 1 1990 1995 1995 12 1995 IPP Independent Power Producer 1 2004a, b 2005a, b 382 618 57

More information

取引銀行の破綻が企業経営に及ぼす影響について-阪和銀行破綻の事例分析-

取引銀行の破綻が企業経営に及ぼす影響について-阪和銀行破綻の事例分析- 2 JEL Classification: G21, G14 Key words: e-mail y-murakami@aria.ocn.ne.jp 1 The Effect of Bank Failure on Client Firms A Study on the Hanwa Bank s Failure By Yoshiko Murakami Abstract The financial theories

More information

本邦株式市場の流動性に関する動学的考察―東京証券取引所のティック・データ分析―

本邦株式市場の流動性に関する動学的考察―東京証券取引所のティック・データ分析― tightnessdepth resiliency BIS Market Liquidity: Research Findings and Selected Policy Implications BISWorld Wide Web http://www.bis.org E-mail: jun.muranaga@boj.or.jp Muranaga and Shimizu O Hara Muranaga

More information

株式保有構成と企業価値 ─コーポレート・ガバナンスに関する一考察─

株式保有構成と企業価値 ─コーポレート・ガバナンスに関する一考察─ q E-mail: kenji.nishizaki@boj.or.jp E-mail: kurasawa@ynu.ac.jp OECD Vives Tirole Shleifer and Vishny q %% %% % % Allen and Gale %% % Admati, Pfreiderer and Zechner Burkart, Gromb and Panunzi Cremer 1995Pagno

More information

46−ª3�=4�“ƒ‚S“·‚Ö‡¦

46−ª3�=4�“ƒ‚S“·‚Ö‡¦ 463420101 1. 1989, Yoshida and Rasche1990, Rasche1990, 19921997, Fujiki and Mulligan1996, 1996, Sekine1998, 2001, Fujiki2002, 2003, 2004 Bahmani-Oskooee and Shabsigh1996, Amano and Wirjanto2000, Bahmani-Oskooee

More information

ID JJF00296 Earnings management and market timing: The case of Japanese management buyouts Yasutomo Tsukioka 2-16 Japan Journal of Finance Vol.

ID JJF00296 Earnings management and market timing: The case of Japanese management buyouts Yasutomo Tsukioka 2-16 Japan Journal of Finance Vol. ID JJF00296 Earnings management and market timing: The case of Japanese management buyouts Yasutomo Tsukioka 2-16 Japan Journal of Finance 331.2 Vol.33 / No. 1.2. 201312 Dec. 2013 Japan Finance Association

More information

fiúŁÄ”s‘ê‡ÌŁª”U…−…X…N…v…„…~…A…•‡Ì ”s‘ê™´›ß…−…^†[…fiŠ‚ª›Âfl’«

fiúŁÄ”s‘ê‡ÌŁª”U…−…X…N…v…„…~…A…•‡Ì ”s‘ê™´›ß…−…^†[…fiŠ‚ª›Âfl’« 2016/3/11 Realized Volatility RV 1 RV 1 Implied Volatility IV Volatility Risk Premium VRP 1 (Fama and French(1988) Campbell and Shiller(1988)) (Hodrick(1992)) (Lettau and Ludvigson (2001)) VRP (Bollerslev

More information

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

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 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-French (FF) 3 [5] (Capital Asset Pricing Model; CAPM

More information

The Options Clearing Corporation International Securities Exchange Chicago Board Options Exchange

The Options Clearing Corporation International Securities Exchange Chicago Board Options Exchange The Options Clearing Corporation International Securities Exchange Chicago Board Options Exchange Nasdaq OMX Phlx Amex Arca Phlx Dividends Arbitrage Trade S&P 500 Russell 2000 Futures Industry Association

More information

FINANCIAL FACT BOOK 2002 CONTENTS CONTENTS Sales Data Net Sales Sales Composition Sales by Region Profit Data Cost Composition & Operating Income/Net

FINANCIAL FACT BOOK 2002 CONTENTS CONTENTS Sales Data Net Sales Sales Composition Sales by Region Profit Data Cost Composition & Operating Income/Net FINANCIAL FACT BOOK 2002 FINANCIAL FACT BOOK 2002 CONTENTS CONTENTS Sales Data Net Sales Sales Composition Sales by Region Profit Data Cost Composition & Operating Income/Net Sales Gross Profit Margin

More information

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 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

More information

東洋水産 株式会社

東洋水産 株式会社 1 1978 1980 1989 1995 1996 2 1998 2000 2003 Products Information 3 4 5 To Our Shareholders 6 7 96 085 94 218 97 163 23 407 19 234 24 275 43 023 43 626 41 669 53 46 23 133 25 192 23 643 1 726 2 096 2 013

More information

コピー ~ 5-森保.txt

コピー ~ 5-森保.txt NAOSITE: Nagasaki University's Ac Title 先物市場における高速取引が現物市場の流動性に与える影響 Author(s) 森保, 洋 Citation 経営と経済, 95(3-4), pp.95-115; 2016 Issue Date 2016-03-25 URL http://hdl.handle.net/10069/36324 Right This document

More information

Ł\”ƒ1PDFŠp

Ł\”ƒ1PDFŠp 48 2006 89 103 Keiji ABE This article investigates the first-day return and underwriter s ability on initial public offerings (IPOs). First, we find that, on average, offer prices of 405 IPOs listed on

More information

,.,.,,. [15],.,.,,., 2003 3 2006 2 3. 2003 3 2004 2 2004 3 2005 2, 1., 2005 3 2006 2, 1., 1,., 1,,., 1. i

,.,.,,. [15],.,.,,., 2003 3 2006 2 3. 2003 3 2004 2 2004 3 2005 2, 1., 2005 3 2006 2, 1., 1,., 1,,., 1. i 200520866 ( ) 19 1 ,.,.,,. [15],.,.,,., 2003 3 2006 2 3. 2003 3 2004 2 2004 3 2005 2, 1., 2005 3 2006 2, 1., 1,., 1,,., 1. i 1 1 1.1..................................... 1 1.2...................................

More information

untitled

untitled 2 book conference 1990 2003 14 Repeated Cross-Section Data 1 M1,M2 M1 Sekine(1998) Repeated Cross-Section Data 1 1. (1989), Yoshida and Rasche(1990), Rasche(1990), 19921997, Fujiki and Mulligan(1996),

More information

証券取引所と自主規制機能-東京証券取引所の上場を巡って-

証券取引所と自主規制機能-東京証券取引所の上場を巡って- (Demutualization) ( () 13 11 17 ( ) 5 1 ( 23 25 ) 2 3 4 5 6 1 4 ( 106 32) 7 5 8 9 ( ) ( ) ( ) ( ) ( ) 10 (Demutualization) 2 Demutualization) (London Stock Exchange, LSE )1986 2001 (New York Stock Exchange,

More information

本 ディスカッションペーパーの 内 容 や 意 見 は 全 て 執 筆 者 の 個 人 的 見 解 であり 金 融 庁 あるいは 金 融 研 究 センターの 公 式 見 解 を 示 すものではありません

本 ディスカッションペーパーの 内 容 や 意 見 は 全 て 執 筆 者 の 個 人 的 見 解 であり 金 融 庁 あるいは 金 融 研 究 センターの 公 式 見 解 を 示 すものではありません FSA Institute Discussion Paper Series エージェントシミュレーションを 用 いた 価 格 規 制 と ネイキッド ショート セ リングの 禁 止 の 有 効 性 の 検 証 大 井 朋 子 DP 2012-5 2012 年 12 月 金 融 庁 金 融 研 究 センター Financial Research Center (FSA Institute) Financial

More information

Tomorrow Next th draft version MEW SWET

Tomorrow Next th draft version MEW SWET Research Center for Price Dynamics A Research Project Concerning Prices and Household Behaviors Based on Micro Transaction Data Working Paper Series No.7 Tomorrow Next を用いた金融政策の分析 青野幸平 June 14, 2012 4th

More information

60 Vol. 44 No. 1 2 準市場 化の制度的枠組み: 英国 教育改革法 1988 の例 Education Reform Act a School Performance Tables LEA 4 LEA LEA 3

60 Vol. 44 No. 1 2 準市場 化の制度的枠組み: 英国 教育改革法 1988 の例 Education Reform Act a School Performance Tables LEA 4 LEA LEA 3 Summer 08 59 I はじめに quasi market II III IV V 1 II 教育サービスにおける 準市場 1 教育サービスにおける 準市場 の意義 Education Reform Act 1988 1980 Local Education Authorities LEA Le Grand 1991 Glennerster 1991 3 1 2 3 2 60 Vol. 44

More information

9 2008 September VOL.160

9 2008 September VOL.160 Vol.160 9 2008 September VOL.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160 Vol.160

More information

JAPAN MARKETING JOURNAL 111 Vol.28 No.32008

JAPAN MARKETING JOURNAL 111 Vol.28 No.32008 Vol.28 No.32008 JAPAN MARKETING JOURNAL 111 Vol.28 No.32008 JAPAN MARKETING JOURNAL 111 Vol.28 No.32008 JAPAN MARKETING JOURNAL 111 Vol.28 No.32008 JAPAN MARKETING JOURNAL 111 Vol.28 No.32008 JAPAN MARKETING

More information

JAPAN MARKETING JOURNAL 113 Vol.29 No.12009

JAPAN MARKETING JOURNAL 113 Vol.29 No.12009 JAPAN MARKETING JOURNAL 113 Vol.29 No.12009 JAPAN MARKETING JOURNAL 113 Vol.29 No.12009 JAPAN MARKETING JOURNAL 113 Vol.29 No.12009 JAPAN MARKETING JOURNAL 113 Vol.29 No.12009 Vol.29 No.12009 JAPAN MARKETING

More information

JAPAN MARKETING JOURNAL 110 Vol.28 No.22008

JAPAN MARKETING JOURNAL 110 Vol.28 No.22008 Vol.28 No.22008 JAPAN MARKETING JOURNAL 110 Vol.28 No.22008 JAPAN MARKETING JOURNAL 110 Vol.28 No.22008 JAPAN MARKETING JOURNAL 110 Vol.28 No.22008 JAPAN MARKETING JOURNAL 110 Vol.28 No.22008 JAPAN MARKETING

More information

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- 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

More information

_™rfic

_™rfic 512008 14 Ikeda Yukinori This paper examines accounting for stock issuing cost. Series of transactions from stock issuance to payment of stock issueing cost need to consider by dividing into three elements;

More information

4 ( ) NATURE SCIENCE [Battiston 16] 2008 ( ) 5 JPX [ 13] [ 15a, 15b] [ 15,Mizuta 16c] [ 15a, 15b] δt (δt =1) (δt > 1) 4 [ 09, 12] 5 [LeBaron 06,Chen 1

4 ( ) NATURE SCIENCE [Battiston 16] 2008 ( ) 5 JPX [ 13] [ 15a, 15b] [ 15,Mizuta 16c] [ 15a, 15b] δt (δt =1) (δt > 1) 4 [ 09, 12] 5 [LeBaron 06,Chen 1 1 Takanobu Mizuta 2 Kiyoshi Izumi 1 SPARX Asset Management Co., Ltd. 2 School of Engineering, The University of Tokyo 1. 2000 2010 1 () ( ) [Farmer 12, Budish 15] [Budish 15] ( ) [Budish 15] : mizutata@gmail.com

More information

Y-...W

Y-...W 259 21 1 1 2003 2 1 2 1 15 22 260 56 3 2 2. 1 2. 2 2. 3 2. 4 3 3. 1 3. 2 4 2 2. 1 1965 1999 2 Brick, Frierman, and Kim 1998 Choate 1997Fischer, Heinkel, and Zechner 1989 Gilson 1997 Mauer and Triantis

More information

スプレッド・オプション評価公式を用いた裁定取引の可能性―電力市場のケース― 藤原 浩一,新関 三希代

スプレッド・オプション評価公式を用いた裁定取引の可能性―電力市場のケース― 藤原 浩一,新関 三希代 403 81 1 Black and Scholes 1973 Email:kfujiwar@mail.doshisha.ac.jp 82 404 58 3 1 2 Deng, Johnson and Sogomonian 1999 Margrabe 1978 2 Deng, Johnson and Sogomonian 1999 Margrabe 1978 Black and Scholes 1973

More information

2_赤羽.indd

2_赤羽.indd Vol. 56, No. 1 2, April 2010 TFT-LCD AUO TFT-LCD Thin Film Transistor Liquid Crystal Display: 1990 TFT-LCD TFT-LCD 2003; 2004; 2004; 2006 TFT-LCD 2008; 2008 1) TFT-LCD TFT-LCD 2004, 2006 TFT-LCD 1 TFT-LCD

More information

To Our Shareholders C O N T E N T S

To Our Shareholders C O N T E N T S To Our Shareholders C O N T E N T S 01 02 03 03 04 04 04 04 04 05 06 07 08 09 10 10 10 11 12 14 01 Financial Highlight 02 Review of Operations 03 Review of Operations 04 05 Review of Operations 06 07 Review

More information

,255 7, ,355 4,452 3,420 3,736 8,206 4, , ,992 6, ,646 4,

,255 7, ,355 4,452 3,420 3,736 8,206 4, , ,992 6, ,646 4, 30 8 IT 28 1,260 3 1 11. 1101. 1102. 1103. 1 3 1,368.3 3 1,109.8 p.5,p.7 2 9,646 4,291 14.5% 10,p.11 3 3,521 8 p.13 45-49 40-44 50-54 019 5 3 1 2,891 3 6 1 3 95 1 1101 1102 1103 1101 1102 1103 1 6,255

More information

A Message From President 2 Kanamoto examiner vo.18

A Message From President 2 Kanamoto examiner vo.18 vol.18 2000.11.1 2001.10.31 contents A Message From President News Headline Report & Interview Annual Report 2001 At A Glance 2 3 4 6 14 Corporate Data Stock Price Range And Volume Investor Information

More information

74-2 岩間

74-2 岩間 128 74 2 21 3 128 134 Journal of the Japanese Association for Petroleum Technology Vol. 74, No. 2 March, 2009 pp. 128 134 Lecture * ** Received February 23, 2009 accepted February 26, 2009 The impact of

More information

カルマンフィルターによるベータ推定( )

カルマンフィルターによるベータ推定( ) β TOPIX 1 22 β β smoothness priors (the Capital Asset Pricing Model, CAPM) CAPM 1 β β β β smoothness priors :,,. E-mail: koiti@ism.ac.jp., 104 1 TOPIX β Z i = β i Z m + α i (1) Z i Z m α i α i β i (the

More information

濱田弘潤 : 多角化企業の利潤分析 77 多角化企業の利潤分析 多角化ディスカウントの寡占理論による説明 * 濱田弘潤 (diversification discount) Keywords: JEL classifications: D43, L13, L22, G

濱田弘潤 : 多角化企業の利潤分析 77 多角化企業の利潤分析 多角化ディスカウントの寡占理論による説明 * 濱田弘潤 (diversification discount) Keywords: JEL classifications: D43, L13, L22, G 濱田弘潤 : 多角化企業の利潤分析 77 多角化企業の利潤分析 多角化ディスカウントの寡占理論による説明 * 濱田弘潤 (diversification discount) Keywords: JEL classifications: D43, L13, L22, G34 950-2181 2 8050 Tel. and fax: 025-262-6538 E-mail: khamada@econ.niigata-u.ac.jp

More information

cover.ai

cover.ai Contents 2 3 4 5 6 To Our Shareholders Review Our Value & Core Competency Strategy What s Next To Our Shareholders 9 10 Business Frontier Data Section 12 14 15 16 17 17 Contents amanaamanagroup Our value

More information

7,447 1,384 1,62 6,886 1,474 1,79 23, 4,3 3,2 62% 66% 67% 14,334 2,859 2,142 1

7,447 1,384 1,62 6,886 1,474 1,79 23, 4,3 3,2 62% 66% 67% 14,334 2,859 2,142 1 23 234124331 7,447 1,384 1,62 6,886 1,474 1,79 23, 4,3 3,2 62% 66% 67% 14,334 2,859 2,142 1 A Message from the President 23, 4,3 3,2 19,394 3,338 21,68 1,673 23, 1,931 3,494 846 2,738 1,39 4,349 854 3,392

More information

textream ( )

textream ( ) 27 EM151010 2016 1 18 textream ( ) 1 4 2 6 3 8 4 10 5 12 5.1.......................................... 12 5.2 Comtemporary regression................................... 13 5.3........................................

More information

untitled

untitled IT (1, horiike@ml.me.titech.ac.jp) (1, jun-jun@ms.kagu.tus.ac.jp) 1. 1-1 19802000 2000ITIT IT IT TOPIX (%) 1TOPIX 2 1-2. 80 80 ( ) 2004/11/26 S-PLUS 2 1-3. IT IT IT IT 2. 2-1. a. b. (Size) c. B/M(Book

More information

1 1 1 [2000]

1 1 1 [2000] * 2000 7 26 1 1 1 [2000] 1 2 1 2 2 1 B to C 250000 億円 200000 日本米国 213,200 150000 100000 50000 0 153,600 106,900 71,100 66,620 42,700 43,860 22,500 26,940 15,340 645 3,360 7,730 1998 年 1999 年 2000 年 2001

More information

野村資本市場研究所|JOBS法の成立と米国IPO市場の今後の動向(PDF)

野村資本市場研究所|JOBS法の成立と米国IPO市場の今後の動向(PDF) JOBS IPO 1. IPO the Jumpstart Our Business Startups Act, JOBS 2012 4 5 JOBS IPO 2. Regulation 144A Emerging Growth CompaniesEGC 404(b) 3. EGC JOBS IPO JOBS 4. JOBS NASDAQ IPO JOBS JOBS IPO 125 2012 Autumn

More information

untitled

untitled 2007 2 * (i) (ii) 2006 7 1999 2 2000 8 1 (2003) Oda and Ueda (2005) 2005 Kimura and Small(2006) Iwamura, Shiratsuka and Watanabe (2006) (2006) 3 (i) (ii) (iii) 2 2 3 4 2.1 (2003) (2005) 1) (i) (ii) (i)

More information

人工知能学会研究会資料 SIG-FPAI-B Predicting stock returns based on the time lag in information diffusion through supply chain networks 1 1 Yukinobu HA

人工知能学会研究会資料 SIG-FPAI-B Predicting stock returns based on the time lag in information diffusion through supply chain networks 1 1 Yukinobu HA 人工知能学会研究会資料 SIG-FPAI-B508-08 - - Predicting stock returns based on the time lag in information diffusion through supply chain networks 1 1 Yukinobu HAMURO 1 Katsuhiko OKADA 1 1 1 Kwansei Gakuin University

More information

詳細情報 津金眞理子 mariko.tsugane@gold.org 81 3 3402 4826 01 02 03 03 03 04 TM 04 05 1 05 2 06 3 08 4 11 12 13 14 森田隆大 takahiro.morita@gold.org 81 3 3402 4825 ジュアン カルロス アルティガス juancarlos.artigas@gold.org 1 212

More information

日本株式市場における経済レジームファクターの役割

日本株式市場における経済レジームファクターの役割 1818 2012 47-67 47 Takuya Tokunaga, Koichi Miyazaki The University of Electro-Communications 1 David(1997) Veronesi$(1999)$ (2010) Veronesi(1999) Merton(1973) Merton(1973) Lo and Wang(2006) (2008) Lo and

More information

わが国証券市場、証券業界の戦後70年

わが国証券市場、証券業界の戦後70年 I 70 Kiyoshi Nikami / / 1 70 2 2 3 4 70 1 1987 1990 2 072 2015 winter / No.406 5 II 4 4 3 18 Loan Contractor 3 2011 6 391 2012 spring 70 073 4 4 originating Manager 4 M.H. 1965 6 1987 12 074 2015 winter

More information

repocost.PDF

repocost.PDF 178 2 10 8 39-52 (tax planning) [Scholes and Wolfson,1992] (tax cost saving hypothesis) (accounting choice) (economic consequences) (financial reporting costs) (1) (financial reporting cost hypothesis)

More information

M&A の経済分析:M&A はなぜ増加したのか

M&A の経済分析:M&A はなぜ増加したのか RIETI Discussion Paper Series 06-J-034 RIETI Discussion Paper Series 06-J-034 M&A の経済分析 :M&A はなぜ増加したのか 蟻川靖浩 宮島英昭 ( 早稲田大学 RIETI) 2006 年 4 月 要旨 1990 年代以降の M&A の急増の主要な要因は 産業や企業の成長性や収益性へのショックである とりわけ M&A を活発に行っている産業あるいは企業の特性としては

More information

時間割引:双曲割引と弱加法性

時間割引:双曲割引と弱加法性 Discussion aper No. 666 June 2006 The Institute of Social and Economic Research Osaka University 6-1 Mihogaoka, Ibaraki, Osaka 567-0047, Japan Time Discounting: Declining Impatience and Interval Effect

More information

202 2 9 Vol. 9 yasuhisa.toyosawa@mizuho-cb.co.jp 3 3 Altman968 Z Kaplan and Urwitz 979 Merton974 Support Vector Machine SVM 20 20 2 SVM i s i x b si t = b x i i r i R * R r (R,R, L,R ), R < R < L < R

More information

2

2 Programming of Terrestrial Broadcasters and BS Digital Broadcasters by Genre ABSTRACT This study examined the programming of terrestrial and BS digital broadcasters by genre from the viewpoint of economics,

More information

untitled

untitled IV 1 IV 2 (i) 2 0.13 0.23 1 (i) 3 ( 0.11 0.19 0.5% 2 (ii) 1% (ii) 1,000, 1,000 (1 Q) G A 0.02 {e i ) 1} Q (e 5 1) 0.02 β Ρ (iii) 1 1 QG {e ig ( i G ) 1} QG (e 5 1) Ρ e in e i G n Q e in 1 e i G n 1 1 1

More information

Management Of Technology 1

Management Of Technology 1 Management Of Technology Management Of Technology 1 1.1 1.2 1.2.1 1.2.2 1.3 1.4 [ ] 2.1 2.1.1 2.1.2 2.2 2.3 [ : ] 3.1 3.2 4.1 4.2 5.1 5.2 6.1 6.1.1 6.1.2 6.2 2 7.1 7.2 7.3 [ ] 8.1 8.2 8.2.1 8.2.2 8.3 8.4

More information

A Message From President 2

A Message From President 2 A Message From President 2 Top Information 3 Top Information 4 A View Point 5 Annual Report 2 Financial Highlight 7, 5, 12, 6, 5, 4, 3, 2, 1, 4, 3, 2, 1, 1, 8, 6, 4, 2, 6 5, 2, 8 4, 1,5 6 3, 2, 1, 1, 5

More information

, 3, 1999, 4,,

, 3, 1999, 4,, 1, 1992 2005,,, 10 2,, 1992 1998 1,,, 1998 2002 2,, 3,,, 2002, 2002 3 1 2 1 , 3, 1999, 4,, 3 14 11 2 I, 10,, 1992 2005, 2,, 3, 4,, II,, 1992 1998 1,, 1998 2002 2 2002 3 II-1: 1 1993 1998 90,, 1995 6850,,

More information

JAPAN MARKETING JOURNAL 123 Vol.31 No.32012

JAPAN MARKETING JOURNAL 123 Vol.31 No.32012 Japan Marketing Academy JAPAN MARKETING JOURNAL 123 Vol.31 No.32012 JAPAN MARKETING JOURNAL 123 Vol.31 No.32012 JAPAN MARKETING JOURNAL 123 Vol.31 No.32012 JAPAN MARKETING JOURNAL 123 Vol.31 No.32012 JAPAN

More information

JAPAN MARKETING JOURNAL 115 Vol.29 No.32010

JAPAN MARKETING JOURNAL 115 Vol.29 No.32010 Japan Marketing Academy JAPAN MARKETING JOURNAL 115 Vol.29 No.32010 JAPAN MARKETING JOURNAL 115 Vol.29 No.32010 JAPAN MARKETING JOURNAL 115 Vol.29 No.32010 JAPAN MARKETING JOURNAL 115 Vol.29 No.32010 JAPAN

More information

JAPAN MARKETING JOURNAL 110 Vol.28 No.22008

JAPAN MARKETING JOURNAL 110 Vol.28 No.22008 JAPAN MARKETING JOURNAL 110 Vol.28 No.22008 JAPAN MARKETING JOURNAL 110 Vol.28 No.22008 JAPAN MARKETING JOURNAL 110 Vol.28 No.22008 JAPAN MARKETING JOURNAL 110 Vol.28 No.22008 JAPAN MARKETING JOURNAL 110

More information

投資家の株式需要関数におけるボラティリティの限界効果と構造変化

投資家の株式需要関数におけるボラティリティの限界効果と構造変化 Fama Semi-strong form BIS TOPIX Kamesaka, Nofsinger and Kawakita Choe, Kho and Stulz Grinblatt and Keloharju Kang and Stulz Choe et al. Dahlquist and Robertsson Kalev, Nguyen and Oh Froot and Ramadorai

More information

[2], [3] Bremer [3] Fortune % Overreaction hypothesis Benou [2] 1 20% [9] 1 [10] 1 [1], [4], [5], [6], [7], [8] [1] [8] [6] [2], [3] stylized f

[2], [3] Bremer [3] Fortune % Overreaction hypothesis Benou [2] 1 20% [9] 1 [10] 1 [1], [4], [5], [6], [7], [8] [1] [8] [6] [2], [3] stylized f 1,a) 2,3 3,4 2012 1 26, 2012 7 2 1 An Analysis on the Reversal Mechanism for Large Stock Price Declines Using Artificial Markets Isao Yagi 1,a) Takanobu Mizuta 2,3 Kiyoshi Izumi 3,4 Received: January 26,

More information

,398 4% 017,

,398 4% 017, 6 3 JEL Classification: D4; K39; L86,,., JSPS 34304, 47301.. 1 01301 79 1 7,398 4% 017,390 01 013 1 1 01 011 514 8 1 Novos and Waldman (1984) Johnson (1985) Chen and Png (003) Arai (011) 3 1 4 3 4 5 0

More information

<8DEC90AC97702E657073>

<8DEC90AC97702E657073> 2008-45 株価乗数モデルに基づく企業価値評価 : サーベイ 音川和久 (Price-to-Earnings Ratio: PER) 1 (Price-to-Book Ratio: PBR) (DDM) (DCFM) (RIM) Palepu, Healy and Bernard (2004) 19203024 1-1 - Koller, Goedhart and Wessels, 2005;

More information

⑤香取 徹.indd

⑤香取 徹.indd 77 割引現在価値モデルの理論と有効性 Theory and Efficiency of Discounted Present Value Model Toru Katori FCF EVA FCF EVA RI 1 はじめに 1980 Free Cash Flow: FCF Copeland et. Al 19901990 Economic Value Added: EVA Stewart 1991

More information

........,.,.,..,.,.,.,.,.,.,.,., International Capital Market Litan et al a b c d M&A a a b E- e- Litan et al. : Table Levine World Bank Levine Greenwald et al. B R F R r R R r B R r B R r B R R Stiglitz

More information

An Empirical Study of the Securities Firms' Dilemma on Financial Innovation through Diffusion of Internet Deals Yasugi Satoshi Bower, J. L., 1999, Disruptive technologies: Catching the wave,

More information

2-栗原.TXT

2-栗原.TXT NAOSITE: Nagasaki University's Ac Title カジノ税に関する一考察 Author(s) 栗原, 克文 Citation 經營と經濟, vol.89(1), pp.17-34; 2009 Issue Date 2009-06 URL http://hdl.handle.net/10069/23392 Right This document is downloaded

More information

IMES Discussion Paper Series 98-J

IMES Discussion Paper Series 98-J IMES DISCUSSION PAPER SERIES Discuss ssion Paper No. 98-J-1 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN IMES Discussion Paper Series 98-J-1 1998 1 E-mail: tokiko.shimizu@boj.or.jp 1. 1.1.

More information

03.Œk’ì

03.Œk’ì HRS KG NG-HRS NG-KG AIC Fama 1965 Mandelbrot Blattberg Gonedes t t Kariya, et. al. Nagahara ARCH EngleGARCH Bollerslev EGARCH Nelson GARCH Heynen, et. al. r n r n =σ n w n logσ n =α +βlogσ n 1 + v n w

More information

組織の経済学:企業の境界

組織の経済学:企業の境界 2009 11 30 2009 2... 3?... 4 4... 5 6... 7!... 8... 11 12... 13... 14 Fundamental Transformation.... 15... 16... 17... 19... 20.... 21... 22?... 23... 24... 27 28... 29.... 30... 33... 35... 36... 37...

More information

2 Recovery Theorem Spears [2013]Audrino et al. [2015]Backwell [2015] Spears [2013] Ross [2015] Audrino et al. [2015] Recovery Theorem Tikhonov (Tikhon

2 Recovery Theorem Spears [2013]Audrino et al. [2015]Backwell [2015] Spears [2013] Ross [2015] Audrino et al. [2015] Recovery Theorem Tikhonov (Tikhon Recovery Theorem Forward Looking Recovery Theorem Ross [2015] forward looking Audrino et al. [2015] Tikhonov Tikhonov 1. Tikhonov 2. Tikhonov 3. 3 1 forward looking *1 Recovery Theorem Ross [2015] forward

More information

商品流動性リスクの計量化に関する一考察(その2)―内生的流動性リスクを考慮したストレス・テスト―

商品流動性リスクの計量化に関する一考察(その2)―内生的流動性リスクを考慮したストレス・テスト― E-mail: shigeru_yoshifuji@btm.co.jp E-mail: fuminobu_otake@btm.co.jp Bangia et al. G Bangia et al. exogenous liquidity risk endogenous liquidity risk et al LTCMLong Term Capital Management Fed G G T

More information

東京証券取引所グループ TOKYO STOCK EXCHANGE GROUP TSE WORKING PAPER 東証ワーキング ペーパー 2012 9 28 Vol. 01 2012 9 28 2 1 1 2 t-otsuka@tse.or.jp CFA 1 1 2007 subprime mortgage loan Bear Stearns Lehman Brothers 2009 algorithmic

More information

dvi

dvi 2017 65 1 87 111 c 2017 2016 7 15 12 27 2017 1 23 2015 9 Hawkes 10 Hawkes 1. HFT 2010 1 arrowhead 40% 2012 2012 2013 2014 2015 UFJ 107 0052 4 2 6 88 65 1 2017 1 2015 7 1 2015 12 29 2015 2015 1 2015 9 1

More information

Kobe University Repository : Kernel タイトル Title 著者 Author(s) 掲載誌 巻号 ページ Citation 刊行日 Issue date 資源タイプ Resource Type 版区分 Resource Version 権利 Rights DOI ごみ有料化は自治体の財政負担をどれだけ軽減するのか?(Does Unitbased Pricing of

More information

Title Author(s) フェア ディスクロージャー ルールとアナリスト行動 石川, 徹 Citation 大阪大学経済学. 67(2-3-4) P.40-P.50 Issue Date Text Version publisher URL

Title Author(s) フェア ディスクロージャー ルールとアナリスト行動 石川, 徹 Citation 大阪大学経済学. 67(2-3-4) P.40-P.50 Issue Date Text Version publisher URL Title Author(s) 石川, 徹 Citation 大阪大学経済学. 67(2-3-4) P.40-P.50 Issue Date 2017-12 Text Version publisher URL https://doi.org/10.18910/67219 DOI 10.18910/67219 rights Osaka University Knowledge Archive : OUKA

More information

みずほ情報総研レポートvol.2

みずほ情報総研レポートvol.2 web http://www.mizuho-ir.co.jp/publication/report/index.html 311 2011 821 15,7195,718 4,616 1 20 10001 1 1 FEMA Unified CommandUC UC Joint Information CenterJIC JIC UC UC Incident Command System ICS ICS

More information

text.dvi

text.dvi Abstract JP Morgan CreditMetrics (1) () (3) (4) 1 3 3 4 4 5 10 6 16 1 1 BIS 1 3 1 BIS 1 BIS 1 3 ALM (1) Value at Risk () (3) RAROC (Risk Ajusted Return On Capital) (4) 3 5 6 31 99% (= p ) ~x X Prf~x Xg

More information

6) 7) MBO management buy-out 2 necessity sufficiency ) 21

6) 7) MBO management buy-out 2 necessity sufficiency ) 21 1) 1997 15 02 03 751 1998 8 9 04 1996 16.1% 17.5% 26.9% 64.9% 63.3% 48.9% 2) 02 54.8% 59.0% 61.8% 78.6% 46.5% 1996 17.8% 19.9% 18.7% 42% 11.9% 3) 4) 01 3 1 3 2 03 04 1 TCL 5) Vol. 52, No. 4, October 06

More information

BB 報告書完成版_修正版)040415.doc

BB 報告書完成版_修正版)040415.doc 3 4 5 8 KW Q = AK α W β q = a + α k + βw q = log Q, k = log K, w = logw i P ij v ij P ij = exp( vij ), J exp( v ) k= 1 ik v i j = X β αp + γnu j j j j X j j p j j NU j j NU j (

More information

4402ALL-“Å‘I

4402ALL-“Å‘I 442 2007 7 IPO VC BO VC BO M&A IPO MBO VC IPO BO restructuring reorganization recapitalization VC BO GDP GDP VC 10 VC VC30 2002 12 http://www.jvca.jp/2007 3 171-8588 1-5-1 TEL DI 03-5992-4382 Fax 03-5992-1007

More information