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投資家の認知度と資本コスト：日本における最低投資金額引下げからの証左

Author

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  • 井坂 直人
  • 吉川 浩史

    (一橋大学大学院)

Abstract

本論文は，2001年から2005年に日本の株式市場において実施されたくくり直し及び株式分割による最低投資金額の引下げにより，①市場全体のリスク(market risk)で説明できない資本コストが解消されるか，②寄り付き直後の価格効率性に変化はあるか，③個別銘柄の流動性は変化するか，④個人株主数や，価格効率性，流動性の指標が資本コストに影響を与えるかを実証的に分析している．実証結果からは，投資家の認知度が低いために高い資本コストを負担している企業は最低投資金額の引き下げにより資本コストを大きく低減させることができ，価格が効率的でない銘柄は効率性が改善することが分かる．流動性は一時的な増加しか観察されず，恒久的に向上するとはいえない．資本コストの決定要因の分析では，資本コストの高い企業は最低投資金額の引き下げによる個人投資家の増加を通じてそれを低下させることができることが示され，Merton[1987]の理論的帰結と整合的な結果が得られている．

Suggested Citation

  • 井坂 直人 & 吉川 浩史, 2007. "投資家の認知度と資本コスト：日本における最低投資金額引下げからの証左," Discussion Papers 4, Meisei University, School of Economics.
    • Handle: RePEc:mei:wpaper:4
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    More about this item

    Keywords

    資本コスト; くくり直し; 株式分割;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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