Transcription of 経済・産業・実務シリーズ - gpif.go.jp
1 GPIF . CMA.. 01 . GPIF 2017 157 63 . GPIF .. GPIF 17 .. 2006 . 13 . MBA .. 2007 UFJ . ALM 16 . MBA 17 11 .. 2011 . 16 . 2018 53. 2018 2 .. CPPIB . GPF-G . AP . NPS . CalPERS . GPIF . ESG . ESG ETF .. ESG . 11 . ESG .. 10 .. ESG GPIF .. GPIF ESG GPIF . GPIF . 16 .. 10% GPIF .. 54 2018. 2.. Chhaochharia and Grinstein 2008 . 2012 . Campbell et al. 2003 . GPIF .. URL .. CAPM .. AR .. 16 29 . 16 11 25 17 . 2012 . 2014 2017 .. 2018 55.. Ri, s = i + M , i R M , s + SMB, i R SMB , s + HML,i R HML, s + i, s 250 . Ri,s RM,s . RSMB,s RHML,s . Fama and French 1993 . i s . i,s .. 250 11 . 2015/ /15 2016/ /22 2016/ /25 2016/ / 2016/ / . 2015/11/11 2016/11/17 2016/11/18 2016/12/ 2016/11/28. 2016/ /27 2017/ /30 2017/ / 2017/ /18 2017/ /10.. RM RSMB RHML RM RSMB RHML. % % % % RM RSMB RHML RM RSMB RHML. RM RM RSMB RSMB RHML RHML . 1,400 130 .. 1,200 120.. 1,000. 110.
2 800. 100. 600. 90. 400. 200 80. 0 70. 1977/12 1987/12 1997/12 2007/12 2015/07 2016/01 2016/07 2017/01 2017/07.. RSMB RHML 1978 . 2007 . 2016 . 56 2018. 2.. AR AR . CAR . 1978 2017 ^ ^ ^ ^. ARi ,t = Ri ,t i + M ,i RM ,t + SMB ,i RSMB ,t + HML,i R HML,t . t CARi ,t = ARi ,m m =0.. AR CAR .. 40 AR CAR . 1,000% % .. TOPIX . 30 .. GPIF . TOPIX . 30 TOPIX.. GPIF TOPIX . AW .. TOPIX . SAW AW . 30 AW AWP . SAW 30 SAWP . SAWP .. GPIF . GPIF GPIF .. 14 2,037 . 15 2,120 16 2,207 . 50 100 . 2018 57.. AW SAW . % TOPIX . TOPIX . 1 201 401 601 801 10011201140116011801. 1 201 401 601 801 1001 1201 1401 1601 1801 .. 25 .. AW SAW 10 12 AWP 30 11 13 . 10 SAWP 30 14 16 AWP 30 . 11 15 17 SAWP 30 AR CAR .. GPIF AWP 30 . AR CAR .. % . % GPIF . % .. GPIF . GPIF GPIF .. 10 30 . 11 30 . 58 2018. 2.. 10 AWP 30 AR CAR % .. AR t CAR t AR t CAR t AR t CAR t . -5 -4 -3 -2 -1 0 1 2 3 4 5 11 SAWP 30 AR CAR %.
3 AR t CAR t AR t CAR t AR t CAR t . -5 -4 -3 -2 -1 0 1 2 3 4 5 12 AWP 30 AR 13 SAWP 30 AR . % % . -5 -4 -3 -2 -1 0 1 2 3 4 5 -5 -4 -3 -2 -1 0 1 2 3 4 5.. 2018 59.. 14 AWP 30 AR CAR .. AR t CAR t AR t CAR t AR t CAR t . -5 -4 -3 -2 -1 0 1 2 3 4 5 % . 15 SAWP 30 AR CAR .. AR t CAR t AR t CAR t AR t CAR t . -5 -4 -3 -2 -1 0 1 2 3 4 5 16 AWP 30 AR 17 SAWP 30 AR . % % . -5 -4 -3 -2 -1 0 1 2 3 4 5 -5 -4 -3 -2 -1 0 1 2 3 4 5.. 60 2018. 2.. AR .. AWP 30 SAWP 30 SAWP . 30 .. AR CAR . AWP SAWP .. 18 . SAW 30 . AR CAR 30 AR .. 16 12 . AR 30 AW 30 SAW 30 . AR . AR .. AR .. 18 AR CAR % . AR t CAR t . -5 % . -4 -3 -2 -1 0 1 2 3 -5 -4 -3 -2 -1 0 1 2 3 4 5. 4 5 % .. 2018 61.. 10% GPIF . 11 AR CAR .. GPIF 17 10 .. 11 .. GPIF .. AR CAR .. 62 2018. 2.. 2012 . 2017 . 19 2017 .. 25 . 2012 J-REIT Campbell, , Lo and Mackinlay 2003 .. J-REIT . Chhaochharia, V. and Y. Grinstein 2008.
4 2016 FF Corporate Governance and Firm Value: The . Impact of the 2002 Governance Rules, Journal 2007 Fama-French of Finance, 62, Fama, , and French 1993 Common pp. -23. Risk Factors in the Returns on Stock and Bonds, Journal of Financial Economics, 33, pp.. 2014 23 6338 -56. 2018 63.
