FTSEシニアアドバイザー 加藤康之 ボラティリティ …

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2 FTSE . 2013 8 23 . . FTSE . . . . . . . . . Page 2 2 FTSE . . Page 3 2 FTSE . . . . E (rM ) rf . M. . E rp . . . E (rM ) . . . . rf . . M p . Page 4 2 FTSE . . . Fama&French 1992 . . . . Schwartz(2000) & 1992 . . Fama, Eugene F., Kenneth R. French(1992), The Cross-Section of expected Returns, Journal of Finance, Vol. 47 , pp. 427-465. Schwartz T., 2000, How to beat the S&P 500 with portfolio optimization, working paper, DePaul University 1992 TOPIX Page 5 2 FTSE . . . Fama&French 1993 . Charhart(1997) . Haugen&Baker(1996) . . . . . - Fama, E. F., French, K. R., risk factors in the returns on stocks and of - Financial Economics 33, 3 56. - Carhart, M. M., 1997. On persistence in mutual fund of Finance 52, 57 82. -Haugen, , Baker, , (1996), Commonality in the Determinants of expected Stock Returns , Journal of Financial Economics, Page 6 2 FTSE.

（Schwartz(2000)、三木&小森林（1992）、他） 参考文献： Fama, Eugene F., Kenneth R. French(1992), “The Cross-Section of Expected Returns,” Journal of Finance, Vol.

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