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〈論文〉日中株式市場におけるアノマリー ―バリュー株効果,小型株効果,ボラティリティー効果―
https://kindai.repo.nii.ac.jp/records/19607
https://kindai.repo.nii.ac.jp/records/19607a524d7a3-b9e1-453e-b474-507ae3c56921
名前 / ファイル | ライセンス | アクション |
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AN10437975-20180731-0001.pdf (1.0 MB)
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Item type | ☆紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2018-10-10 | |||||
タイトル | ||||||
タイトル | 〈論文〉日中株式市場におけるアノマリー ―バリュー株効果,小型株効果,ボラティリティー効果― | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | 〈Articles〉The value investing effect, the small-cap effect, the volatility effect as an anomaly in the Japanese and Chinese stock markets | |||||
著者 |
桂, 眞一
× 桂, 眞一× 石, 金霞 |
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言語 | ||||||
言語 | jpn | |||||
キーワード | ||||||
主題 | アノマリー, バリュー株効果, 小型株効果, ボラティリティー効果 Anomaly, Value Investing effect, Small-cap effect, Volatility effect |
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資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
著者(英) | ||||||
en | ||||||
Katsura, Shinichi | ||||||
著者(英) | ||||||
en | ||||||
Shi, Jinxia | ||||||
著者 所属 | ||||||
近畿大学経営学部; 教授 | ||||||
著者 所属 | ||||||
近畿大学大学院商学研究科; 博士前期課程修了生 | ||||||
著者所属(翻訳) | ||||||
Kindai University | ||||||
著者所属(翻訳) | ||||||
Kindai University | ||||||
版 | ||||||
出版タイプ | NA | |||||
出版タイプResource | http://purl.org/coar/version/c_be7fb7dd8ff6fe43 | |||||
出版者 名前 | ||||||
出版者 | 近畿大学商経学会 | |||||
書誌情報 |
商経学叢 en : Shokei-gakuso: Journal of Business Studies 巻 65, 号 1, p. 1-18, 発行日 2018-07-31 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 04502825 | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | [要旨]本稿では,アノマリーとしてのバリュー株効果,小型株効果,ボラティリティー効果について日本と中国の株式市場における実証検証を試みた。実証検証の結果,日本市場と中国市場の双方で,PBR, PER, 配当利回りに関して,強いバリュー株効果が検出された。また,サイズに関しても強い小型株効果が検出された。ボラティリティー効果に関しては,日本市場では低ボラティリティー株が優位であり,逆に,中国市場では高ボラティリティー株が優位な結果が検出された。 [Abstract] In this paper, we attempted to verify the value investing effect, the smallcap effect, the volatility effect as an anomaly in the Japanese and Chinese stock markets. As a result of the verification test, a strong value investing effect was detected with respect to PBR, PER and dividend yield in both the Japanese market and the Chinese market. Also, regarding the size, a strong small-cap effect was detected. Regarding the volatility effect, low volatility stocks dominated in the Japanese market, and on the contrary, high-volatility stocks dominated in the Chinese market. |
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フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf |