WEKO3
アイテム
Power laws in market capitalization during the Dot-com and Shanghai bubble periods
http://hdl.handle.net/2261/60848
http://hdl.handle.net/2261/60848bdf03b30-e0b8-4171-8498-58b11b1c6395
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wp088.pdf (199.1 kB)
|
|
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2016-09-05 | |||||
| タイトル | ||||||
| タイトル | Power laws in market capitalization during the Dot-com and Shanghai bubble periods | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Power law | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Zipf’s law | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Market capitalization | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Asset bubble | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Stock market | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Econophysics | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| 著者 |
Mizuno, Takayuki
× Mizuno, Takayuki× Ohnishi, Takaaki× Watanabe, Tsutomu |
|||||
| 著者所属 | ||||||
| 著者所属 | National Institute of Informatics | |||||
| 著者所属 | ||||||
| 著者所属 | School of Multidisciplinary Sciences, SOKENDAI (The Graduate University for Advanced Studies) | |||||
| 著者所属 | ||||||
| 著者所属 | PRESTO, Japan Science and Technology Agency | |||||
| 著者所属 | ||||||
| 著者所属 | The Canon Institute for Global Studies | |||||
| 著者所属 | ||||||
| 著者所属 | Graduate School of Information Science and Technology, The University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, The University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The distributions of market capitalization across stocks listed in the NASDAQ and Shanghai stock exchanges have power law tails. The power law exponents associated with these distributions fluctuate around one, but show a substantial decline during the dot-com bubble in 1997-2000 and the Shanghai bubble in 2007. In this paper, we show that the observed decline in the power law exponents is closely related to the deviation of the market values of stocks from their fundamental values. Specifically, we regress market capitalization of individual stocks on financial variables, such as sales, profits, and asset sizes, using the entire sample period (1990 to 2015) in order to identify variables with substantial contributions to fluctuations in fundamentals. Based on the regression results for stocks in listed in the NASDAQ, we argue that the fundamental value of a company is well captured by the value of its net asset, therefore a price book-value ratio (PBR) is a good measure of the deviation from fundamentals. We show that the PBR distribution across stocks listed in the NASDAQ has a much heavier upper tail in 1997 than in the other years, suggesting that stock prices deviate from fundamentals for a limited number of stocks constituting the tail part of the PBR distribution. However, we fail to obtain a similar result for Shanghai stocks. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 2012～2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号：24223003) | |||||
| 書誌情報 |
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series 巻 088, 発行日 2016-09 |
|||||
| 出版者 | ||||||
| 出版者 | UTokyo Price Project | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.price.e.u-tokyo.ac.jp/researchdata/ | |||||
