Example: stock market

FTSEシニアアドバイザー 加藤康之 ボラティリティ …

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.

ボラティリティと資産運用 -ボラティリティをめぐる最近の研究から- 第2回ftseインデックスアカデミー 2013年8月23日 京都大学大学院 ftseシニアアドバイザー 加藤康之

Information

Domain:

Source:

Link to this page:

Please notify us if you found a problem with this document:

Other abuse

Transcription of FTSEシニアアドバイザー 加藤康之 ボラティリティ …

1 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.

2 - 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 .. Page 7 2 FTSE .. Page 8 2 FTSE .. Realized volatility .. Andersen, , and Bollerslev, T. (1998), Answering the Skeptics: Yes,Standard Volatility Models Do Provide Accurate Forecasts, . InternationalEconomic Review, 39, 4, November, 885-905.. Jiang, George J., and Yisong S. Tian, Extracting Model-Free Volatility from Option Prices: An Exam-ination of the VIX Index, Journal of Derivatives,14 (3), Spring, 2007, pp.

3 35 60. GARCH . Page 9 2 FTSE .. GARCH . It t .. ARCH . GARCH .. -Bollerslev, Tim, Generalized Autoregressive Conditional Heteroskedasticity, , Journal of Econometrics, 31(3), 1986, 327. - 2006 ARCH Realized Volatility . Value-at-Risk . Page 10 2 FTSE .. Page 11 2 FTSE .. Haugen&Baker . 10decile .. - Haugen, , Baker, , (1996), Commonality in the Determinants of Expected Stock Returns , Journal of Financial Economics, - Haugen, , Baker, , (2008), Case Closed . Page 12 2 FTSE .. (2010) . Page 13 2 FTSE .. idiosyncratic volatility .. ri = i + i rM + i.

4 * 3 .. - Ang, A., Hodrick, , Xing, Y., Zhang, X., (2006), The cross-section of volatility and expected returns , Journal of Finance 61,pp. 259 299. - Ang, A., Hodrick, , Xing, Y., Zhang, X., (2009), High Idiosyncratic Volatility and Low Returns: International and Further U. S. Evidence, Journal of Financial Economics, 91, Page 14 2 FTSE .. (2011) . Page 15 2 FTSE .. Page 16 2 FTSE .. Representativeness .. Anchoring .. Loss Aversion .. Herding .. Over-confidence .. Page 17 2 FTSE .. (2010) . Page 18 2 FTSE .. - Baker,M., Bradley,B.,Wurglar,J., (2011), Benchmarks as Limits to Arbitrage:Understanding the Low-Volatility Anomaly , Financial Analysts Journal,Vol67, , - 2013.

5 25 114 2013 . Page 19 2 FTSE .. - 2013 . 25 114 2013 . Page 20 2 FTSE .. - 2010 . - 2013 . 25 114 2013 . Page 21 2 FTSE .. Page 22 2 FTSE .. -Bandi, F. M., and B. Perron, 2008, Long-run risk-return trade-offs , Journal of Econometrics, 143 (2): 349-74. -Amenc,N.,Martellini,L.,Goltz,F.,Sahoo,D ., 2011, Is There a Risk/Return Tradeoff Across Stocks? An Answer from a Long-Horizon Perspective , EDHEC-Risk Institute Page 23 2 FTSE .. EGARCH .. - Fu, Fangjian,(2009), Idiosyncratic Risk and the Cross-Section of Expected Stock Returns, Journal of Financial Economics, 91, - Huang, W.

6 , Q. Liu, S. G. Rhee and L. Zhang,(2010), Return Reversals, Idiosyncratic Risk, and Expected Returns, Review of Financial Studies, 23, Page 24 2 FTSE .. Page 25 2 FTSE .. Small FTSE Japan Minimum Variance FTSE EDHEC Japan TOPIX . V-G S-L R2. FTSE RAFI Japan FTSE EDHEC Japan FTSE Japan Minimum Variance Value FTSE RAFI Japan Large TOPIX V-G S-L.. 2003 1 -2012 6 FTSE . Page 26 2 FTSE .. Skew Kurtosis FTSE RAFI Japan FTSE EDHEC Japan FTSE Japan Minimum Variance TOPIX 1 * . 2003 1 -2012 6 . FTSE . Page 27 2 FTSE .. Page 28 2 FTSE Chow,T., Hsu,T., Kalesnik,V.

7 , Little,B.,(2011), A Survey of Alternative Equity Index Strategies , Financial Analysts Journal,Vol67, , . Page 29 2 FTSE .. Page 30 2 FTSE .. Stoyanov,S., 2011, Advantages and shortcomings of minimum variance portfolios , EDHEC Research Page 31 2 FTSE .. Upper Stock Li mit: 1% or 20 times of the underlying index weight Lower Stock Li mit: Upper Country Li mit: min (underlying country weight x 110% + 5, 100%). Lower Country Li mit: max (underlying country weight x 90% 5, 0%). Upper ICB Industry Li mit: 20%. Diversification Target: i w i 1/1000.

8 Page 32 2 FTSE . FTSE .. Feifei Li, 2013, "Avoiding Pricey Low Volatility Investing", Resae ch Affiliates Page 33 2 FTSE .. Feifei Li, 2013, "Avoiding Pricey Low Volatility Investing", Page 34 2 FTSE . Resae ch Affiliates .. Soe, , Low-Volatility Portfolio Construction: Ranking Versus Optimization , The Journal of Portfolio Management,Winter 2012, Page 35 2 FTSE .. Soe, , Low-Volatility Portfolio Construction: Ranking Versus Optimization , The Journal of Portfolio Management,Winter 2012, Page 36 2 FTSE . Contact Details FTSE Group FTSE .. Email: Email: Tel no: 03-3581-3443 Tel no: 03-3581-2811.

9 Page 37 2 FTSE . Disclaimer FTSE is a trade mark of the London Stock Exchange Group companies and is used by FTSE. International Limited ( FTSE ) under licence. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by FTSE, Partner or their licensors for any errors or for any loss from use of this publication. Neither FTSE, Partner nor any of their licensors makes any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the name of the Index set out above or the fitness or suitability of the Index for any particular purpose to which it might be put.

10 No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of FTSE. Distribution of FTSE index values and the use of FTSE indices to create financial products requires a licence with FTSE and/or its licensors. Page 38 2 FTSE . NEW YORK LONDON HONG KONG TOKYO BEIJING BOSTON DUBAI MILAN MUMBAI PARIS SAN FRANCISCO SHANGHAI SYDNEY. Page 39 2 FTSE.


Related search queries