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Investments and Stock Returns: Testing the Investment-based Capital Asset Pricing Model

Author

Listed:
  • Tsutomu Miyagawa
  • Miho Takizawa

Abstract

本稿は，資産収益率の要因を，投資変動を使って説明するInvestment-based Capital Asset Pricing Model（I-CAPM）を使って，日米の投資規模と資産収益率の関係及び無形資産規模の影響を考察した。I-CAPMによれば，投資規模が大きくなると投資に付帯する費用によって資産収益率が低下するが，単純に投資規模別に分けた資産収益率を調べると，日米ともにI-CAPMの妥当性が検証される。しかしFama and French（1995）によるThree Factor Modelなど他の要因も加えると，日本では投資規模が明示的に資産収益率に影響を与える効果は検出できなかった。しかし米国では無形資産規模が大きい場合，I-CAPMの妥当性が成立することがわかる。また有形資産投資に無形資産投資を加えると収益率格差が縮小する現象も見られた。このことは，有形資産投資に伴う費用を無形資産投資が一部代替している可能性を示している，日本が今後IT化を進める際にはハード面の投資だけでなく，無形資産投資も合わせて実施することで，付帯費用に伴う収益率低下を防ぐ必要がある。

Suggested Citation

  • Tsutomu Miyagawa & Miho Takizawa, 2017. "Investments and Stock Returns: Testing the Investment-based Capital Asset Pricing Model," Gakushuin Economic Papers, Gakushuin University, Faculty of Economics, vol. 54(2), pages 53-85.
    • Handle: RePEc:abc:gakuep:54-2-1
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    File URL: http://www.gakushuin.ac.jp/univ/eco/gakkai/pdf_files/keizai_ronsyuu/contents/contents2017/5402/5402miyagawa/5402miyagawa.pdf
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    More about this item

    Keywords

    Investment-based Capital Asset Pricing Model; 無形資産投資; 調整費用; 株価収益率; Three Factor Model;
    All these keywords.

    JEL classification:

    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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