{"updated":"2025-01-21T20:24:35.160611+00:00","metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00078723","sets":["1164:2735:6337:6602"]},"path":["6602"],"owner":"10","recid":"78723","title":["流動性リスクと株価リターン：レジームスイッチングモデルによる検証"],"pubdate":{"attribute_name":"公開日","attribute_value":"2011-11-24"},"_buckets":{"deposit":"85f4acd3-8d15-4870-b155-61dd20c61be2"},"_deposit":{"id":"78723","pid":{"type":"depid","value":"78723","revision_id":0},"owners":[10],"status":"published","created_by":10},"item_title":"流動性リスクと株価リターン：レジームスイッチングモデルによる検証","author_link":["0","0"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"流動性リスクと株価リターン：レジームスイッチングモデルによる検証"},{"subitem_title":"Empirical Analyses on the Liquidity Risk Premium in the Equity Return Using Regime-switching Model","subitem_title_language":"en"}]},"item_type_id":"4","publish_date":"2011-11-24","item_4_text_3":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"電気通信大学大学院"},{"subitem_text_value":"電気通信大学大学院"},{"subitem_text_value":"三菱UFJトラスト投資工学研究所(MTEC)"}]},"item_4_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"},{"subitem_text_value":"Mitsubishi UFJ Trust investment Technology Institute Co., Ltd.","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/78723/files/IPSJ-MPS11086006.pdf"},"date":[{"dateType":"Available","dateValue":"2013-11-24"}],"format":"application/pdf","billing":["billing_file"],"filename":"IPSJ-MPS11086006.pdf","filesize":[{"value":"675.9 kB"}],"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":"8288ed72-2af7-4ee5-9c72-bba899ba6a13","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2011 by the Information Processing Society of Japan"}]},"item_4_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"伊東, 賢二"},{"creatorName":"宮崎, 浩一"},{"creatorName":"回渕, 純治"}],"nameIdentifiers":[{}]}]},"item_4_creator_6":{"attribute_name":"著者名(英)","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Kenji, Ito","creatorNameLang":"en"},{"creatorName":"Koichi, Miyazaki","creatorNameLang":"en"},{"creatorName":"Junji, Mawaribuchi","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_4_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN10505667","subitem_source_identifier_type":"NCID"}]},"item_4_textarea_12":{"attribute_name":"Notice","attribute_value_mlt":[{"subitem_textarea_value":"SIG Technical Reports are nonrefereed and hence may later appear in any journals, conferences, symposia, etc."}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourceuri":"http://purl.org/coar/resource_type/c_18gh","resourcetype":"technical report"}]},"item_4_description_7":{"attribute_name":"論文抄録","attribute_value_mlt":[{"subitem_description":"本研究では，小型株と大型株のポートフォリオリターンを対象に，株式売買のしやすさを表現する流動性指標 （流動性リスクの代用変数） と株価リターンの関係をレジームスイッチングモデルに基づき考察する．特にマーケットファクターに関する回帰係数もレジームに応じて異なる値をとることができるように既存モデルを拡張したモデルを用いて検証を行う．また，いくつかの仮定を置くことになるが，決定係数や回帰係数のｔ統計量の考え方を導入したうえで検証を行う．","subitem_description_type":"Other"}]},"item_4_description_8":{"attribute_name":"論文抄録(英)","attribute_value_mlt":[{"subitem_description":"This research attempts to examine the influence of liquidity factor (liquidity risk), which represents smoothness in trading equity, on the small-capital and the large-capital equity portfolio returns using regime-switching model. We extend the regime-switching model so as to make the regression coefficient of the market factor also dependable on the regime. We also introduce the notions of the coefficient of determination and the t-value of the regression coefficient in the regime-switching type of regression model under some assumptions.","subitem_description_type":"Other"}]},"item_4_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"6","bibliographic_titles":[{"bibliographic_title":"研究報告数理モデル化と問題解決（MPS）"}],"bibliographicPageStart":"1","bibliographicIssueDates":{"bibliographicIssueDate":"2011-11-24","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"6","bibliographicVolumeNumber":"2011-MPS-86"}]},"relation_version_is_last":true,"weko_creator_id":"10"},"created":"2025-01-18T23:33:53.156441+00:00","id":78723,"links":{}}