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企業間信用が株式リターンの予測可能性に与える影響

Author

Listed:
  • 柳樂, 明伸
  • 安田, 行宏
  • YASUDA, Yukihiro

Abstract

本稿の目的は、企業間信用の利用が、企業パフォーマンス、あるいは株式リターンの予測可能性に対してどのような影響を与えるのかを実証的に検証することである。本稿の分析結果によると、企業間信用の増加は、翌期の売上成長、売上総利益率あるいは総資産利益率（ROA）などで測った企業パフォーマンスと正の相関関係があることが分かった。株式リターンの予想可能性については、Goto et al. (2015) やHill et al. (2013,2015) などの先行研究と同様に、企業間信用と株式リターンの間に正の相関関係があることが分かった。特に、資金制約に直面する企業においてより強い正の相関関係が確認された。総じて、企業間信用は株式リターンの予測において情報有用性があることを示唆する結果であるといえる。

Suggested Citation

  • 柳樂, 明伸 & 安田, 行宏 & YASUDA, Yukihiro, 2018. "企業間信用が株式リターンの予測可能性に与える影響," Working Paper Series G-2-10, Hitotsubashi University Center for Financial Research.
    • Handle: RePEc:hit:hcfrwp:g-2-10
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