Research on the cause of the value effect for shares listed on the Tokyo Stock Exchange

东京证券交易所上市股票价值效应成因研究

• 批准号: 19K13743
• 负责人: 前田 ブルック
• 金额: $ 0.67万
• 依托单位: The University of Kitakyushu
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Early-Career Scientists
• 财政年份: 2019
• 资助国家: 日本
• 起止时间: 2019-04-01 至 2024-03-31
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-19K13743/
• 关键词: value effect; tokyo stock exchange; Tokyo stock exchange

This research project aims to provide insight into whether the value effect is compensation for risk or whether it is due to investors irrational behavior. Since returning to work after taking maternity leave in 2021-2022, I have resumed to the task of carrying out the analysis detailed in the first part of the original research plan. Specifically, share return data for shares traded on the Tokyo Stock Exchange is being analyzed by splitting the monthly data into several sub-periods and analyzing each sub-period separately. It is hoped that this research will provide insight into the cause of the strong value effect in long-term Japanese share data.

本研究的目的是提供洞察价值效应是风险补偿还是由于投资者的非理性行为。自2021-2022年休完产假返回工作岗位后，我重新开始执行原研究计划第一部分中详细介绍的分析任务。具体而言，在东京证券交易所交易的股票的收益率数据是通过将月度数据分为几个子期间并分别分析每个子期间来分析的。希望通过本研究能够对日本股票长期数据中价值效应强的原因进行深入分析。