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 1970 1977 2009 33 旨 キーワード 1 はじめに 400 120 1 2013 9 6 1,000 Griliches et al. 1986 1 2014 6 22 2
36 12 Trajtenberg 1990 Weighted Patent Count, WPC Vopel et al. 1997 Hall et al. 2005 2006 2010 Lanjouw and Schankerman 2004 2 IPC 3 1 2006 1970 1,240 266 2 Hall et al. 2005 3 Tobin Q 3 1977 2009 2 Lanjouw and Schankerman 2004 3 Hall et al. 2005 2013 3
36 12 2 3 4 5 6 2 データ ⑴ 使用データ Wisdomain 4 FOCUST-J 1970 12,500,297 4,200,280 2,664,975 Needs Financial Quest 5 6 1977 8 2009 12 388 ⑵ 特許価値データベースの作成 1 4http://www.wisdomain.com/wis_html/jp/ 5 1 6 4
36 12 7 1 10239591979/3/301992/4/20 2002-216937, 2002-216937, 05-211028, 05-211028 8 2002-216937 05-211028 2 2001/1/19 1992/1/30 1992/4/21 1023959 1992/1 1992/4 1 ⑶ 被引用数の算出 Hall et al. 2005 A B A A A A 9 DCC DCC 1.0 7 8 91969 12 20 1990 1977 5
36 12 1.0 10% 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 : 1977 8 t1 2009 12 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 P4 6.0 16.5 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
36 12 δ δ δ 2 1977 2009 33 P0 TOPIX 4.23% P1 P5 DCC DCC P5 20 ⑶ 特許価値の変遷 3 DCC 10 7 30 10 30 DCC 7 1977 1997 2007 1977 12 DCC 54.47 30 1001 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 7 2007 3 7 DCC 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
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 t1977 8 t=1 2009 12 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 1977 2009 P0 0.39%4.71% DCC > 0 Pcited 0.30% 3.58% α P5 0.32% 3.84% α 2014 1990 P0 α P5 α P2 α P2 α 0.26% 3.11% α Spearman s ρ 0.77 1989 1990 2009 P5 5% P5 SMB 10
36 12 11 5 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
36 12 3 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 1977 8 t=1 2009 12 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
36 12 2009 SMB PCITE -0.51 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 0.25 0.26P0P2P5 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 0.94 0.88 6 おわりに DCC 1970 1,240 266 DCC DCC 1977 1990 1990 13
36 12 14 αdcc DCCDCC DCC α r Mr f α r Mr f α r Mr f 謝辞
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. 2083. [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. 3-56. [3] Hall, Bronwyn H., Adam B. Jaffe, and Manuel Trajtenberg 2005Market value and patent citations, RAND Journal of economics, pp. 16-38. [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. 441-465. [5] Trajtenberg, M. 1990A Penny for your Quotes. Patent Citations and the Value of Innovation, RAND Journal of Economics, Vol. 21, No. 1, pp. 172-187. [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.3700 702 [8] 2013 RIETI Discussion Paper Series 13-E-052 [9] 2006Vol.2No.3 [10] 2007Fama-French,, No.22, 3-23 [11] 2010 61 3 203-213 15