{"updated":"2025-01-21T23:22:52.193038+00:00","metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00070733","sets":["934:989:6006:6192"]},"path":["6192"],"owner":"10","recid":"70733","title":["日本におけるマクロ経済リスクと株式市場――ベータリスクモデルの提案と実証分析"],"pubdate":{"attribute_name":"公開日","attribute_value":"2010-10-25"},"_buckets":{"deposit":"bdd1d481-f96f-40fd-9440-06275df71bd5"},"_deposit":{"id":"70733","pid":{"type":"depid","value":"70733","revision_id":0},"owners":[10],"status":"published","created_by":10},"item_title":"日本におけるマクロ経済リスクと株式市場――ベータリスクモデルの提案と実証分析","author_link":["0","0"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"日本におけるマクロ経済リスクと株式市場――ベータリスクモデルの提案と実証分析"},{"subitem_title":"Macroeconomic Risk and Equity Market in Japan――Modeling and Verification of a New Beta Risk Model","subitem_title_language":"en"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"オリジナル論文","subitem_subject_scheme":"Other"}]},"item_type_id":"3","publish_date":"2010-10-25","item_3_text_3":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"電気通信大学"},{"subitem_text_value":"電気通信大学"}]},"item_3_text_4":{"attribute_name":"著者所属(英)","attribute_value_mlt":[{"subitem_text_value":"The University of Electro-Communications","subitem_text_language":"en"},{"subitem_text_value":"The University of Electro-Communications","subitem_text_language":"en"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_publisher":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"情報処理学会","subitem_publisher_language":"ja"}]},"publish_status":"0","weko_shared_id":-1,"item_file_price":{"attribute_name":"Billing file","attribute_type":"file","attribute_value_mlt":[{"url":{"url":"https://ipsj.ixsq.nii.ac.jp/record/70733/files/IPSJ-TOM0303012.pdf"},"date":[{"dateType":"Available","dateValue":"2012-10-25"}],"format":"application/pdf","billing":["billing_file"],"filename":"IPSJ-TOM0303012.pdf","filesize":[{"value":"2.2 MB"}],"mimetype":"application/pdf","priceinfo":[{"tax":["include_tax"],"price":"660","billingrole":"5"},{"tax":["include_tax"],"price":"330","billingrole":"6"},{"tax":["include_tax"],"price":"0","billingrole":"17"},{"tax":["include_tax"],"price":"0","billingrole":"44"}],"accessrole":"open_date","version_id":"cb097633-9d15-47cc-9225-e1f7daa82d76","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2010 by the Information Processing Society of Japan"}]},"item_3_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"山本, 篤"},{"creatorName":"宮崎, 浩一"}],"nameIdentifiers":[{}]}]},"item_3_creator_6":{"attribute_name":"著者名(英)","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Atsushi, Yamamoto","creatorNameLang":"en"},{"creatorName":"Koichi, Miyazaki","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_3_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11464803","subitem_source_identifier_type":"NCID"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourceuri":"http://purl.org/coar/resource_type/c_6501","resourcetype":"journal article"}]},"item_3_source_id_11":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"1882-7780","subitem_source_identifier_type":"ISSN"}]},"item_3_description_7":{"attribute_name":"論文抄録","attribute_value_mlt":[{"subitem_description":"本研究では，第 1 に，20 世紀最後の 15 年間における米国株式市場の上昇をマクロ経済リスクの観点から説明付けた Lettau らのモデルが，異なるマクロ経済リスクの下にある 1990 年代以降の日本株式市場においても説明力を有するかについて検証する．第 2 に，個別株式のベータリスク評価モデルを提案し，分析事例に基づいて個別株式のベータリスク量がマクロ経済リスクの観点から説明可能であるか検証する．検証結果から，彼らのモデルは，日本においてもマクロ経済リスクの観点から株式市場のダイナミックスを説明することが可能であり，また，個別株式のベータリスク量に関してもマクロ経済リスクの観点から説明されることが確認された．","subitem_description_type":"Other"}]},"item_3_description_8":{"attribute_name":"論文抄録(英)","attribute_value_mlt":[{"subitem_description":"In this research, we firstly examine whether the model proposed by Lettau et. al, which is able to explain long surge in US equity market from the view point of macroeconomic risk also has explanatory power for sluggish Japanese equity market under the different macroeconomic risk since 1990. Secondly, we propose a valuation model of beta risk for an individual equity and illustrate whether the beta risk amount is also explained by the macroeconomic risk with analyses for some cases. Our results indicate that their model successfully explains the dynamics of Japanese equity market from the viewpoint of macroeconomic risk and the newly introduced beta risk amount of the individual equity is also explained with the macroeconomic risk.","subitem_description_type":"Other"}]},"item_3_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"131","bibliographic_titles":[{"bibliographic_title":"情報処理学会論文誌数理モデル化と応用（TOM）"}],"bibliographicPageStart":"117","bibliographicIssueDates":{"bibliographicIssueDate":"2010-10-25","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"3","bibliographicVolumeNumber":"3"}]},"relation_version_is_last":true,"weko_creator_id":"10"},"created":"2025-01-18T23:29:48.765575+00:00","id":70733,"links":{}}