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 value to Market value) d. (VOL) 2004/11/26 S-PLUS 3
2-1-a. (Mkt) Mkt = (TOPIX ) () IT IT IT 2-1-b. (Size) Blanz and Reinganum, 1981 13% Reinganum, 1992 () () 2004/11/26 S-PLUS 4
2-1-c. B/M() B/M B/M () () 2-1-d. (VOL) (=1100) 2004/11/26 S-PLUS 5
R 2-2. Fama and FrenchB/M 389 2-3. 4 Fama and French Fama and French rf Size B / t R rf Mkt M = t β Mkt + β Size + β B / M + β Vol + ε 0 t 1 B/M () 2004/11/26 S-PLUS 6 2 Vol β i ε 3 (1)
3. 12JASDAQ(1) 1990.42004.3 () 3-1. 1 (2004.3) IT IT IT 3-a,b19992000IT 20002001 19992001 191 308 97 / // 3-a 2004/11/26 S-PLUS 3-b 7
3-2. ITIT 1999IT IT1999 3-3. 5-a2000ITIT 4ITIT1 5-b5-b2000IT IT1 IT 4 2004/11/26 S-PLUS 8 5-a 5-b1
4. 4-1. 2 3 2(Ri-rf) (Mkt) B/M(VOL)B/M B/M(<) () 3 Mkt(size)B/M (VOL) B/M(<) IT(5) () 2004/11/26 S-PLUS 9
4-2. *** Linear Model *** Call: lm(formula = Ri-rf ~ -1 + Mkt + Size + B/M + VOL, data = all, na.action = na.exclude) Residuals: Min 1Q Median 3Q Max -1.353-0.03406-0.003119 0.02866 2.722 Coefficients: Value Std. Error t value Pr(> t ) Mkt 0.8813*** 0.0060 147.2794 0.0000 Size -0.0003*** 0.0000-23.3941 0.0000 B/M -0.0003* 0.0002-1.7341 0.0829 VOL 0.0087*** 0.0001 94.1022 0.0000 Residual standard error: 0.06917 on 173706 degrees of freedom Multiple R-Squared: 0.1943 F-statistic: 10470 on 4 and 173706 degrees of freedom, the p-value is 0 3000 observations deleted due to missing values (***, **, * 1%, 5%, 10%) 1% B/M B/M10%1% 0.2 2004/11/26 S-PLUS 10
4-3. : u u = ( R rf ) E[ β Mkt + β Size + β B / M + β VOL ] t 6 0 t 1 (2) 6IT 2000 2000 IT IT IT1 3-aIT 2004/11/26 S-PLUS 11 2 3
4-4. 4 (***, **, * 1%, 5%, 10%) ~ IT ~ T-test Sign test 4t( ) IT1998200020022003 total19981999 2000 19982000 ITtotal IT 2004/11/26 S-PLUS 12
4-5. F test for variance equality data: IT$Residuals and IT$Residuals F = 1.5129, num df = 38312, denom df = 100973, p-value = 0 alternative hypothesis: true ratio of variances is not equal to 1 data: IT$Residuals and IT$Residuals F = 1.5638, num df = 38312, denom df = 34422, p-value = 0 alternative hypothesis: true ratio of variances is not equal to 1 4-6. 0.010 0.007 0.003 0.005 0.003 0.005 7-a1998 3.079 36.935 2.034 22.938 1.419 11.472 IT ITITIT 4IT 7-a,b,c199819992000 7-a IT 1998IT 3 IT 2004/11/26 S-PLUS 13
0.004 0.014-0.001 0.006-0.003 0.006 7-b1999-0.007 0.009 0.001 0.004 0.009 0.004 7-c2000 4.502 55.015 2.444 27.167 1.258 6.782 1.510 14.024 1.307 11.423 0.661 14.447 7-b7-a IT 1999 IT IT2000 1999 2000 1999 IT2000 IT ITIT1999 IT 2004/11/26 S-PLUS 14
4-7. 4-7 IT IT (Eli Bartov, Partha Mohanram, and Chandrakanth Seethamraju) (SGR, Sales Growth Rate) (GPOS, Gross Profit On Sales)(CEOS, Capital Expenditure On Sales) (ROIC, Return On Invested Capital)(3) u 0 1 2 3 4 = α + α CEOS + α GPOS + α ROIC + α SGR (3) 2004/11/26 S-PLUS 15
4-8. 5 (***, **, * 1%, 5%, 10%) 5IT1999 (CEOS)(GPOS) 1999 IT 2004/11/26 S-PLUS 16
5. 5-1. B/M4 () 19982000 4 IT 2000(35) 19982000(4) (7) 199819992000(5) IT (6) IT (64) 2004/11/26 S-PLUS 17
5-2. 19982000IT ITIT IT 19982000ITIT 5-3. IT () 1998ITIT IT 2004/11/26 S-PLUS 18
[1] Eugene F.Fama and Kenneth R.French Multifactor Explanations of Pricing Anomalies, The Journal of Finance(19963) [2] Eli Bartov, Partha Mohanram, and Chandrakanth Seethamraju, Valuation of Internet Stocks An IPO Perspective Journal of Accounting Research, Vol. 40 No.2 (20023) [3] James L.Davis and Eugene F.Fama and Kenneth R.French Characteristic, Covariance,and Average Returns The Center for Research insecurity Prices Working Paper No.471(1999) [4] Luc Keuleneer and Willem VerhoogRecent Trends in Valuation FromStrategy to ValueRoyal NIVRA (2003) [5] (2003) [6] (1997) [7] 2004/11/26 S-PLUS 19
(S-Plus) 2 3 4-2. menudescribe(data = all, variables = "RiRf,Mkt,LNB,BtoM,VOL") menucor(data = all, variables = "RiRf,Mkt,LNB,BtoM,VOL",na.method = "Available") menulm(data = all, formula = "RiRf ~ -1 + Mkt + LNB + BtoM + VOL") 4 menudescribe(data = IT96.R, variables = "Residuals") ( XX96.RXX03.RIT, subit, nonit24total ) menuttest1(data.x = IT96.R, x = Residuals) 4-5. Fvar.test(IT$Residuals, subit$residuals) ( subitnonit2 ) 5 menulm(data = IT98.R, formula = Residuals ~ CEOS98 + GPOS98 + ROIC98 + SGR98) ( XX98.RXX00.RIT, subit, nonit9 ) 2004/11/26 S-PLUS 20
2 guiplot( PlotType = "", DataSet = "growth", Columns = "year,growth") guimodify( "LinePlot", Name = "GS1$1$1", LineStyle = "Solid", LineColor = "Lt Cyan", 6 guiplot( PlotType = "", DataSet = "Average.weekly.Residuals", Columns = "week,it, IT,IT") guimodify( "Graph2D", Name = "GS1$1", PanelType = "By Plot") LineWeight = "8", ConnectLineType = "To Y = 0") guimodify( "LinePlot", Name = "GS1$1$1", UseTextAsSymbol = T, VarySymbolText = "y Column") guimodify( "LinePlot", Name = "GS1$1$1", SymbolHeight = "0.2") guimodify( "Axis2dY", Name = "GS1$1$Axis2dY1", (ex. 1981/09/20 81.9) AxisMin = "-2", AxisMax = "Auto") 2004/11/26 S-PLUS 21