{"created":"2021-03-01T07:02:52.524704+00:00","id":42922,"links":{},"metadata":{"_buckets":{"deposit":"3ffcf4f4-aef6-483b-a05f-472254bfc57f"},"_deposit":{"id":"42922","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42922"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042922","sets":["62:7433:7437","9:7435:7436"]},"item_8_alternative_title_1":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"Value Anomaly and Market Overreaction : Analysis using Earnings Forecast Data"}]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2000-04","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CJ-23","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-J"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"この研究の目的は、市場の過剰反応仮説によってどの程度バリュー株効果を説明できるかを、日本の株式市場を対象に検討することである。本研究では、業績予想に基づいて計算した市場のサプライズの符号と大きさで、市場の過剰反応をとらえる。この場合、バリュー株効果に対するもっとも直接的な解釈は、ファンダメンタルズを過小評価されがちなバリュー株は、業績サプライズがプラス方向に大きく出る傾向があり、その結果リターンは平均的に高くなる、というものである。もう一つの解釈は、バリュー株はネガティブ・サプライズに対して小さく反応する一方でポジティブ・サプライズには大きく反応し、その結果平均的なリターンは高くなるというものである。バリュー株効果に対する業績サプライズの説明力は上記いずれの解釈についても限定的で、バリュー株効果についてはそれ以外に説明要因（リスク要因）があるはずというのが、分析から得られる結論である。","subitem_description_type":"Abstract"},{"subitem_description":"We examine whether the value anomaly in the Japanese equity market can be explained by market overreactions. Using I/B/E/S market consensus data on earning forecasts, we capture market overreactions by measuring earning surprises. The typical story is that the market tends to be overly pessimistic about the fundamentals of value stocks. Therefore, positive earning surprises are observed more often than negative earning surprises on value stocks, and this causes their higher average returns. Another story is that value stocks react sharply only to positive surprises, and this raises the long-term return of value stocks above that of growth stocks, which react sharply only to negative surprises. We claim that the evidence does not give sufficient support to neither of these stories. It appears that the overreaction hypothesis is not the right answer to the value anomaly.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"『現代ファイナンス』, 9, 2001, p. 41-66.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"98703","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Watabe, Hajime"}]},{"nameIdentifiers":[{"nameIdentifier":"98704","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Kobayashi, Takao"}]}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2000/2000cj23.pdf","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11451834","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"日経QUICK情報（株）金融工学部"},{"subitem_text_value":"東京大学大学院経済学研究科"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"渡部, 肇"}],"nameIdentifiers":[{"nameIdentifier":"98701","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"小林, 孝雄"}],"nameIdentifiers":[{"nameIdentifier":"98702","nameIdentifierScheme":"WEKO"}]}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"業績予想を用いたバリュー株効果の分析","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"業績予想を用いたバリュー株効果の分析"}]},"item_type_id":"8","owner":"1","path":["7436","7437"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42922","relation_version_is_last":true,"title":["業績予想を用いたバリュー株効果の分析"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:02.134760+00:00"}