兼松セミナー
Kanematsu Seminar

日時：
(Date&Time)		 2010年6月4日（金）午後3時30分から（Friday, June 4, 2010, 3:30pm〜）
報告者：
(Speaker)		 山根　明子（Akiko YAMANE）
所属：
(Affiliation)		 岡山商科大学経済学部
（Department of Economics, Okayama Shoka University）
論題：
(Topic)		 Value Premium and Implied Equity Duration in the Japanese Stock Market
概要：
(Abstract)		 This paper compares the performance of three asset pricing models, the CAPM and the Fama-French three factor model and a model including the risk factor related to equity duration. To obtain the duration risk factor model, we compute implied equity duration of the Japanese equity securities and construct the risk factor related to the computed equity duration. Our empirical results indicate the following points. First, while growth stocks have long implied equity duration, value stocks have short duration. Second, the duration model has the similar performance for the Japanese stock returns to the Fama- French model. Third, these two models have better performance than the CAPM. Fourth, while the duration model and the Fama-French model have good performance before 1997, both models lose the explanatory power after 1997.
会場：
(Place)		 神戸大学経済経営研究所　会議室（研究所新館2階）
RIEB Meeting Room (New Building 2nd floor)
対象：
(Intended Audience)		 教員，院生，学部生，および同等の知識をお持ちの方
Faculty, Graduate Students, Undergraduates, and People with Equivalent Knowledge
使用言語：
(Language)		 日本語
Japanese
備考：
(Note)

論文のコピーは共同研究推進室にご用意しております。
Copies of the paper are available at Office of Promoting Research Collaboration.