WEKO3
アイテム
利益情報の有用性と市場の効率性
http://hdl.handle.net/2261/18404
http://hdl.handle.net/2261/18404632bfb6c-561c-4249-b430-a17ab9f63713
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | 利益情報の有用性と市場の効率性 | |||||
| 言語 | ||||||
| 言語 | jpn | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | value relevance | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | anomaly | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | market efficiency | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | valuation | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| その他のタイトル | ||||||
| その他のタイトル | Usefulness of Earnings and Market Efficiency | |||||
| 著者 |
大日方, 隆
× 大日方, 隆 |
|||||
| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 96621 | |||||
| 姓名 | Obinata, Takashi | |||||
| 著者所属 | ||||||
| 著者所属 | 東京大学大学院経済学研究科 | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | This paper investigates the value relevance of earnings and the explanatory power of earnings for subsequent returns. This analysis, at the same time, examines the efficiency of capital markets. The targets of this paper are two class of returns over different periods. Cross-sectional analysis and the panel analysis are adopted. We use both the bootstrap regression and the linear panel regression which corrects serial correlations. Our results show that the market is almost efficient regarding to earnings, special items, and dirty surplus in US and JP. Although those information have explanatory power for annual returns from the beginning of the next year, the explanatory power decreases or diminishes for annual returns from four months after the closing date. On the other hand, empirical results show the possibility that anomalies may occur. We detect that investors cannot quickly and adequately respond to losses, negative special items, and negative dirty surplus. Moreover, residuals that are estimated by regressing stock prices of closing date on earnings are negatively associated with the subsequent returns. This is the phenomenon commonly observed in US and JP. The results imply that stock prices will converge to the fundamental value of firms estimated by earnings capitalization model. Those findings provide the empirical foundation to the presumptions of studies, which investigates the value relevance of earnings. This research, which integrates the relationship between contemporary stock prices and earnings and the relationship between future returns and earnings, contributes to the further research on the usefulness of earnings and to the selection of panel analysis method. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-J 巻 CIRJE-J-198, 発行日 2008-07 |
|||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11451834 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2008/2008cj198ab.html | |||||
