Investments and Stock Returns: Testing the investment-based capital asset pricing model (Japanese)

This paper examines the relationships between the size of investments and stock returns and the influences of the size of intangible assets in Japan and the United States by using the investment-based capital asset pricing model (I-CAPM) which explains the cause of the change in stock returns with the use of variation in investments. According to I-CAPM, the larger that the size of investment becomes, the more the stock returns decrease due to the costs incidental to the investments, and a simple examination of the stock returns by the size of investment has verified the validity of I-CAPM both in the United States and in Japan. However, when other factors such as the three-factor model by Fama and French (1995) are added, the explicit effects that the influences of the size of investment have on the stock returns have not been detected in Japan. However, when the size of intangible assets is large, the validity of I-CAPM has been confirmed in the United States. Also, the reduction of the discrepancy in the stock returns by the size of investment has been observed when the investments in intangible assets are added to the investments in tangible assets. This phenomenon shows the possibility that investments in intangible assets partially offset the costs incidental to the investments in tangible assets. For enhancing the progress of IT in Japan hereafter, it is necessary to prevent the decrease of the stock returns associated with the incidental costs, by making investments in intangible assets as well as investments in hardware.