兼松セミナー (Kanematsu Seminar)
| 日時： （Date&Time) |
2008年2月22日（金）午後3時半から (Friday, February 22, 2008, 3:30pm〜） |
| 報告者： （Speaker） |
祝迫 得夫 （IWAISAKO Tokuo） |
| 所属： （Affiliation） |
一橋大学経済研究所 （Institute of Economic Research, Hitotsubashi University） |
| 論題： （Topic） |
Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market 消費-資産比率、不動産資産と日本の株式市場 |
| 概要： (Abstract) |
We examine whether the consumption-wealth ratio can explain Japanese stock market data following the work of Lettau and Ludvigson (2001a,b). We carefully construct the data series of the Japanese consumption--wealth ratio and find that it does not predict future Japanese stock returns, but it does help to explain the cross-section of Japanese stock returns. For the second contribution, we construct the new consumption-wealth ratio data for which we include aggregate real estate wealth to the definition of aggregate Japanese household wealth. Such a real estate augumented consumption-wealth ratio works in the similar way, but performs better than the conventional consumption-wealth ratio calculated with only financial wealth. In the US case, the consumption-wealth ratio is used as a scaling variable that explains time variation in the market beta. In the Japanese case, its movement is interpreted as the change in the constant terms, hence the change in average stock returns for the long-run. |
| 会場： (Place) |
神戸大学経済経営研究所 調査室 （兼松記念館1階） Seminar Room at RIEB (Kanematsu Memorial Hall 1st Floor) |
| 対象： （Intended Audience) |
教員、院生および同等の知識をお持ちの方 Faculty, Graduate Students and People with Equivalent Knowledge |
| 使用言語： （Language) |
日本語 Japanese |
| 備考： (Note) |
論文のコピーは研究助成室にご用意いたします。 |