1 2 ROE PBR 1 2 3 3.1 3.2 3.3 4 2006 1 2
1906 49.5 90 M&A Brav et al.(2005) 3 2 3 4 2006 1 TOPIX Core30 4 TOPIX Core30 30 5 3 18 12 14 5 4 http://www.tse.or.jp/topix/core30/index.html 5
2001 2005 5 30 5 23 EDINET 6 1 3 7 8 7 6 https://info.edinet.go.jp/edihtml/main.htm 7 23 2006 6 7 8 2002
12 PBR ROE TOPIX Core30 115 23 5 18.12 77.85 2.94 13.74 30.86 68.46 7.22 29.86 0.89 2.65 0 1.53 4.43 0 0.58 0.99
28.12 1164-106.91 0 9 ROE 10 0.18 0 5.25 1 18.00 421.03 5.70 59.42 8.06 2.12 25.11 4.90 2.40 0.75 1 20 20-0.43 TOPIX Core30 0 PBR ROE -0.09 0 0.31-0.1 9 115 11 100 3 10 ROE ROE
0.76-0.08-0.07 0 0.44 0.37-0.24 PBR -0.35 ROE 0.20 ROE 0 11 Plain OLS Fixed effect Random effect 3 α + β + β + β + β + ε = 1 2 3 4 α + β + β + β + β + ε = i 1 2 3 4 = α + β1 + β 2 + β3 + β 4 + ui + ε Plain OLS
Hausman F Breusch and Pagan(1980) LM 9 OLS individual effect Plain OLS LM 11 LM 1 Plain OLS F 1 LM Hausman 12 (1) (1) (2) (3) 1 (3) (5) (6) 11 LM 46 12 Hausman 46
ROE ROE 2 PBR PBR 13 13
Plain OLS 2002 Brav, A., Graham, J., Campbell, H., and R.Michaely(2005), Payout policy in the 21st century, Journal of Financial Economics77, pp.483-527 Greene, William H.(2002), Econometric analysis(5th edion), Prentice Hall.