Updated on 2024/12/08

写真a

 
TAKEHARA, Hitoshi
 
Affiliation
Faculty of Commerce, Graduate School of Business and Finance
Job title
Professor
Degree
Ph. D. in Management Science and Engineering ( University of Tsukuba )

Professional Memberships

  •  
     
     

    Japanese Association for Research in Disclosure

  •  
     
     

    Japan Accounting Association

  •  
     
     

    Japanese Association of Financial Econometrics and Engineering

  •  
     
     

    Japan Finance Association

  •  
     
     

    Nippon Finance Association

Research Areas

  • Accounting / Business administration

Research Interests

  • Asset Pricing, Equity Valuation, Portfolio Management

Awards

  • Best Paper Award

    2022.12   Second International Conference on Business & Economics   Expected Default Frequency-Adjusted Implied Cost of Equity

    Winner: Hitoshi Takehara

  • 日本会計研究学会論文賞

    2018.09   日本会計研究学会  

  • Best Paper Award

    2017.12   Sixth International Conference on Business Management and Economics   Relationship between Technological Innovation, Corporate Social Performance and Corporate Financial Performance

    Winner: Hitoshi Takehara

  • 日経経済図書文化賞

    2016.11   日本経済研究センター  

  • 企業家研究フォーラム賞(論文の部)

    2015.07   企業家研究フォーラム   Market liquidity, private information, and the cost of capital: Market microstructure studies on family firms in Japan

    Winner: 海老原崇, 久保田敬一, 竹原 均, 横田絵里

  • Society of Interdisciplinary Business Research Best Paper Award

    2015.02  

  • Best Paper Award for a WBI Journal (Global Economy and Finance Journal)

    2013.09  

  • Best Paper Award at 22nd International Business Research Conference

    2013.09  

  • American Association of Individual Investors Best Paper Award

    2009.02  

  • Southwestern Finance Association Best Paper in Corporate Finance

    2008.03  

  • 2007 Pacific Basin Finance Journal Research Excellence Awards

    2007.07  

  • 日本オペレーションズリサーチ学会学生論文賞

    1989.10  

▼display all

 

Papers

  • 東京証券取引所市場区分変更がFama-French 3ファクターに与える影響

    竹原 均

    証券アナリストジャーナル   60 ( 9 ) 54 - 62  2022.09  [Refereed]

  • 企業成熟度、技術競争力とデフォルトリスク

    井出真吾, 竹原 均

    証券アナリストジャーナル   60 ( 7 ) 97 - 106  2022.07  [Refereed]

  • Employee-oriented corporate social responsibility, innovation, and firm value

    Corporate Social Responsibility and Environmental Management   29 ( 4 ) 765 - 778  2022  [Refereed]

  • Impact of corporate social responsibility intensity on firm-specific risk and innovation: evidence from Japan

    Megumi Suto, Hitoshi Takehara

    Social Responsibility Journal   18 ( 3 ) 484 - 500  2022  [Refereed]

  • 商標権ポートフォリオがリスク・リターン特性に与える効果: リスク削減仮説の検証

    井出真吾, 竹原 均

    経営財務研究   41 ( 1-2 ) 56 - 72  2021.12  [Refereed]

  • 特許権、商標権が企業価値に与える影響 ―特許と商標の交互作用効果の確認―

    井出真吾, 竹原 均

    証券アナリストジャーナル   59 ( 4 ) 69 - 78  2021.04  [Refereed]

  • Corporate social responsibility intensity, management earnings forecast accuracy, and investor trust: Evidence from Japan

    Megumi Suto, Hitoshi Takehara

    Corporate Social Responsibility and Environmental Management   27 ( 6 ) 3047 - 3059  2020.08  [Refereed]

    DOI

    Scopus

    14
    Citation
    (Scopus)
  • Did BOJ's ETF buying affect equity risk premiums? Empirical analysis using expected default frequency adjusted implied cost of equity

    Shingo Ide, Hitoshi Takehara

    Securities Analysts Journal   58 ( 7 ) 42 - 51  2020.07  [Invited]

  • Stock Liquidity Premium on The Tokyo Stock Exchange

    Xin Zhong, Hitoshi Takehara

    Journal of Critical Reviews   7 ( 12 ) 14 - 28  2020.06  [Refereed]

  • The Value Relevance of Trademarks: Evidence from Japanese Firms

    Shingo Ide, Hitoshi Takehara

    Securities Analysts Journal   58 ( 1 ) 81 - 90  2020.01  [Refereed]

  • On the Construction Rules of Fama and French Three Factors in Japan

    Hitoshi Takehara

    Securities Analysts Journal   57 ( 12 ) 99 - 107  2019.12  [Refereed]

  • Measuring the Components of Earnings Persistency: Applications of the VAR Model to Long-run Japanese Data

    Keiichi Kubota, Hitoshi Takehara

    Journal of Accounting, Auditing & Finance   34 ( 2 ) 329 - 342  2019.10  [Refereed]

  • Pricing Liquidity Risk on the Tokyo Stock Exchange: Empirical Analysis Using Multiple Liquidity Measures

    Xin Zhong, Hitoshi Takehara

    Journal of Accounting and Finance   19 ( 4 ) 229 - 248  2019.09  [Refereed]

  • Comparing multi-factor models: Which model should we use to calculate cost of equity?

    Hitoshi Takehara

    Securities Analysts Journal   57 ( 3 ) 8 - 16  2019.03

  • Firm-level innovation by Japanese family firms: Empirical analysis using multidimensional innovation measures

    Keiichi Kubota, Hitoshi Takehara

    Pacific Basin Finance Journal   57  2019  [Refereed]

     View Summary

    This study investigates whether innovation activities conducted by family firms in Japan can be distinguished from those carried out by non-family firms. For this purpose, we choose a sample of listed family firms and investigate four firm-level innovation measures, namely R&amp
    D intensity, the number of patents, the quality of patents, and innovation efficiency, over a sample period of 2003 to 2012. We find that innovation output by family firms in Japan is lower than that of non-family firms, although innovation input is higher in family firms. The innovation of Japanese family firms, overall, is inefficient compared with non-family firms. Our cross-sectional regression analysis shows that family shareholding is positively associated with the innovation measures after controlling for several of the characteristics of firms. On the contrary, founder CEOs enhance R&amp
    D investment, although their presence is detrimental to both the number of patents and their quality. Descendant CEOs tend to adopt low-input/low-output innovation strategies. In sum, the innovative activities of Japanese family firms continually change to accomplish their sustainable growth.

    DOI

    Scopus

    13
    Citation
    (Scopus)
  • Big Data in Accounting Research

    MURAMIYA, Katsuhiko, Hitoshi TAKEHARA

    Securities Analysts Journal   56 ( 12 ) 25 - 35  2018.12  [Invited]

  • Corporate innovation and earnings persistency: Empirical analysis based on an RNOA forecast model

    Shingo Ide, Hitoshi Takehara

    Contemporary Disclosure Research   17   1 - 15  2018.10  [Refereed]

  • Selection of asset pricing model and accrual anomaly: Counter-evidence to the functional fixation hypothesis

    Hitoshi Takehara

    Accounting Progress   19   1 - 16  2018.09  [Refereed]

  • Does the Fama and French Five-Factor Model Work Well in Japan?

    Keiichi Kubota, Hitoshi Takehara

    International Review of Finance   18 ( 1 ) 137 - 146  2018.03  [Refereed]

     View Summary

    In this study, we investigate whether the five-factor model by Fama and French (2015) explains well the pricing structure of stocks with long-run data for Japan. We conduct standard cross-section asset pricing tests and examine the additional explanatory power of the new Fama and French factors
    robust-minus-weak profitability factor and conservative-minus-aggressive investment factor. We find that robust-minus-weak and the conservative-minus-aggressive factors are not statistically significant when we conduct generalized method of moments (GMM) tests with the Hansen–Jagannathan distance measure. Thus, we conclude that the original version of the Fama and French five-factor model is not the best benchmark pricing model for Japanese data during our sampling period from the year 1978 to the year 2014.

    DOI

    Scopus

    61
    Citation
    (Scopus)
  • Conclusion-the future of corporate social responsibility and corporate finance in Japan

    Megumi Suto, Hitoshi Takehara

    Advances in Japanese Business and Economics   17   217 - 224  2018

     View Summary

    The research in this book highlights managers’ incentives for CSR activities to adapt to changing social and environmental surroundings of business and finance using a stakeholder theory approach. In the context of Japanese firms, we conducted consistent analyses to respond to our research questions on the relationships between CSP and corporate finance and governance during the period of transition toward a more market-oriented system amid the globalization of business and finance. We proposed six research questions and found some interesting results that have implications for the future development of the Japan’s CSR and corporate finance in particular and sustainable development of business in general.

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    Scopus

    1
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    (Scopus)
  • Corporate social responsibility awareness and practices of Japanese corporations

    Megumi Suto, Hitoshi Takehara

    Advances in Japanese Business and Economics   17   15 - 36  2018

     View Summary

    As addressed in Chap. 1, this book aims to investigate how Japanese companies’ awareness of social responsibility aligns with actual responsible practices in business and finance since the 2000s, when the financial system shifted from bank centered to more market oriented. Before presenting empirical analyses to explore the related issues, it is necessary to provide our theoretical approach to corporate social responsibility (CSR) and to sketch the context of CSR awareness and practices of Japanese companies.

    DOI

    Scopus

    2
    Citation
    (Scopus)
  • Corporate social performance and corporate financial performance

    Megumi Suto, Hitoshi Takehara

    Advances in Japanese Business and Economics   17   53 - 85  2018

     View Summary

    As discussed in Chap. 2, awareness and practices of corporate social responsibility (CSR) have significantly changed since the 2000s by globalization of business and stock ownership structure. Owing to the prolonged economic stagnancy since the beginning of 1990s, revitalization of the Japanese economy became the top agenda for government policy, and the economic responsibility of corporations was interpreted as their primary responsibility. Since the beginning of the 2000s, Japanese corporations seem to have begun to review CSR activities to find a new path to stakeholder relationships in revitalization of business. Interesting research questions are how CSR activities link to economic performance and risk management, and how stakeholder management contribute to performance and risk in the context of Japanese firms in the 2000s.

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    Scopus

    1
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    (Scopus)
  • Market perceptions of corporate social responsibility and cost of capital

    Megumi Suto, Hitoshi Takehara

    Advances in Japanese Business and Economics   17   119 - 154  2018

     View Summary

    This chapter investigates the influence of market perceptions of corporate social responsibility (CSR) on the cost of capital of Japanese listed firms by examining the relationships between composite corporate social performance (CSP) and the cost of capital in terms of the cost of debt, cost of equity, and weighted average cost of capital (WACC).

    DOI

    Scopus

  • Responsible investment and institutional investors

    Megumi Suto, Hitoshi Takehara

    Advances in Japanese Business and Economics   17   37 - 52  2018

     View Summary

    As discussed in Chapter 1, traditional Japanese corporations have to greater or lesser degrees become familiar with conceptualizing responsible businesses based on ethical self-discipline or guiding management precepts that are passed down in the business over generations, although these concepts of corporate social responsibility (CSR) are likely narrow.

    DOI

    Scopus

  • Corporate social responsibility awareness and management forecast bias

    Megumi Suto, Hitoshi Takehara

    Advances in Japanese Business and Economics   17   155 - 177  2018

     View Summary

    For investors, how to gain accurate and unbiased information about future earnings of an investee company is critical to demand a risk premium that is reflected in the expected rate of return. Management earnings forecasts are a major source of information about future earnings and are posited as especially important in the Japanese disclosure system. However, managers might face incentive bias toward opportunistic decisions on the forecast from a short-term view, as there is a conflict of interest between managers and investors about risk premium. The issue of how to mitigate such incentive bias is a key for disciplined pricing in the market by reducing information asymmetry. Management earnings forecasts definitely influence both the quality and quantity of information about future earnings. Responsible management forecasts are the core of the self-disciplining mechanism to provide more accurate and less biased information in the market.

    DOI

    Scopus

  • Effects of corporate social performance on default risk: Structural model-based analysis on Japanese firms

    Megumi Suto, Hitoshi Takehara

    Advances in Japanese Business and Economics   17   179 - 199  2018

    DOI

    Scopus

  • Corporate social performance and ownership structure

    Megumi Suto, Hitoshi Takehara

    Advances in Japanese Business and Economics   17   87 - 117  2018

     View Summary

    In the development of global business and increased cross-border investment, it has become important for corporate governance research to explore the effects of changing ownership structures on corporate social performance (CSP) and related issues.

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    Scopus

  • Relationship between technological innovation, corporate social performance, and corporate financial performance

    Megumi Suto, Hitoshi Takehara

    Advances in Japanese Business and Economics   17   201 - 215  2018

     View Summary

    This chapter investigates the relationship between technological innovation, corporate social performance (CSP), and corporate financial performance (CFP) of Japanese manufacturing firms. Firms that aggressively focus on research and development have to build investors’ trust and manage firm risk, including financial and social risks, since most such firms need to raise capital steadily. To achieve this risk reduction, managers of firms with technological competitiveness use activities related to their CSR as one of the instruments to manage firm risk. Empirical evidence presented in this chapter shows that both firm-level innovation and CSP are negatively associated with firm risk, which is evaluated in the stock market. Furthermore, results from the mediation analysis suggest that corporate social responsibility works as a mediator to explain the negative association between firm-level innovation and firm risk. This finding implies that mangers of firms with aggressive corporate innovative activities should be more conscious of corporate social activities in the long run to maintain the trust of participants in the capital market.

    DOI

    Scopus

    1
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    (Scopus)
  • 日本企業の技術競争力と財務戦略: デュポンシステムを用いた分析

    Shingo Ide, Hitoshi Takehara

    Japan Journal of Finance   36   28 - 43  2017.12  [Refereed]

  • How do Normative and Compliant CSR Affect the Earnings Quality of Japanese Firms?

    Zhaoyang Gu, Keiichi Kubota, Hitoshi Takehara

    The Japanese Accounting Review   7   1 - 21  2017.11  [Refereed]

     View Summary

    <p>This study investigates the empirical relation between the corporate social performance (CSP) and earnings quality of public firms in Japan. To investigate this query, we adopt several measures, including accruals-based earnings management (AEM) measures and real activities-based earnings management (REM) measures. In general, the comprehensive measurement of the CSP of Japanese firms is positively associated with earnings quality, suggesting that corporate social responsibility (CSR) activities may improve the earnings quality of Japanese firms. However, a more detailed investigation using CSP dimensional indices reveals a number of in-depth findings. First, before controlling for financial performance, normative CSR is more strongly associated with the AEM measures, whereas compliant CSR is more strongly associated with the REM measures. Second, after controlling for financial performance in the regression analysis, the regression slopes of the compliant CSR dimensions are no longer statistically significant, implying the existence of a spurious correlation between compliant CSR and earnings quality. Finally, the slopes of the normative CSR dimensions remain significant even after controlling for financial performance. Overall, these results indicate that the managers of firms that show high normative CSR values tend to avoid adopting AEM and REM measures and that those firms that are conscious of CSR are more likely to gain investor confidence.</p>

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  • CSR and cost of capital: evidence from Japan

    Social Responsibility Journal   13 ( 4 ) 794 - 816  2017.09  [Refereed]

  • Dissemination of patent information into stock prices

    Shingo Ide, Hitoshi Takehara

    証券アナリストジャーナル   54 ( 10 ) 68 - 77  2016.10  [Refereed]

    CiNii

  • The link between corporate social performance and financial performance: Empirical evidence from Japanese firms

    MegumiSuto, Hitoshi Takehara

    International Journal of Corporate Strategy and Social Responsibility   1 ( 1 ) 4 - 25  2016.06  [Refereed]

  • Estimating the hidden corporate social performance of Japanese firms

    Meumi Suto, Hitoshi Takehara

    Social Responsibility Journal    2016.06  [Refereed]

  • Information asymmetry and quarterly disclosure decisions by firms: Evidence from the Tokyo Stock Exchange

    Keiichi Kubota, Hitoshi Takehara

    International Review of Finance   16 ( 1 )  2016.03  [Refereed]

  • Accrual-based and real activities based earnings management behavior of family firms in Japan

    Tai-Yuan Chen, Zhaoyang Gu, Keiichi Kubota, Hitoshi Takehara

    The Japanese Accounting Review   5   21 - 47  2016.01  [Refereed]

  • 創業家が企業経営に与える影響 ―同族企業と非同族企業はどのように異質なのか? ―

    竹原 均

    証券アナリストジャーナル   53 ( 23 ) 17 - 26  2015.12

    CiNii

  • Family firms, accounting conservatism, and information asymmetry: Evidence from Japan

    Keiichi Kubota, Hitoshi Takehara

    Journal of Strategic and International Studies   10 ( 4 ) 5 - 21  2015.07  [Refereed]

  • Family firms, firm characteristics, and corporate social performance: A study of public firms in Japan

    Michikazu Aoi, Sigeru Asaba, Keiichi Kubota, Hitoshi Takehara

    Journal of Family Business Management   5 ( 2 ) 192 - 217  2015.06

  • Effects of a Consumption Tax Rate Increase on Equity Value: Japanese Firms Experience

    Keiichi Kubota, Hitoshi Takehara

    International Journal of Trade, Economics and Finance   6 ( 2 ) 125 - 128  2015.04

    DOI

  • 同族経営企業の収益・リスク特性

    竹原 均

    経営財務研究   34 ( 1-2 ) 53 - 71  2015.04

  • Market liquidity, private information, and the cost of capital: Market microstructure studies on family firms in Japan

    Takashi Ebihara, Keiichi Kubota, Hitoshi Takehara, Eri Yokota

    JAPAN AND THE WORLD ECONOMY   32   1 - 13  2014.11  [Refereed]

     View Summary

    We investigate cost of capital, information asymmetry, and market liquidity of listed family firms vs. non-family firms in Japan. First, we find that the cost of debt is lower and the cost of equity is higher for family firms than non-family firms, but the differences are not significant. The WACC of family firms becomes higher than that for non-family firms and the difference is significant probably because family firms in Japan use less leverage. Next, we find that the stocks of family firms are traded with higher information asymmetry than non-family firms. As for information asymmetry and illiquidity measures, we utilize the variables Adjusted PIN and Probability of Symmetric Order Flow Shocks (PSOS). Concomitantly we also estimate alternate conventional measures of market liquidity as a robustness check. Overall, the evidence on liquidity is somewhat mixed, while we find family firms show higher information asymmetry, which may affect cost of equity. As a final policy implication, we recommend family firms in Japan conduct more voluntary and timely disclosure, in particular, for the benefit of general stock investors, and may want to increase leverage to reduce the WACC. (C) 2014 Elsevier B.V. All rights reserved.

    DOI

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    12
    Citation
    (Scopus)
  • Superior corporate social performance and financial constraints: The case of Japan

    Ahamed Roshan Ajward, Hitoshi Takehara

    Global Economy and Finance Journal   7 ( 2 ) 42 - 58  2014.10

  • 基本ポートフォリオのダウンサイドリスク・推定リスク

    竹原 均

    証券アナリストジャーナル   52 ( 8 ) 52 - 57  2014.08

    CiNii

  • Effects of Corporate Tax Rate Cuts on Firms' Investment and Valuation: A Microsimulation Approach

    Keiichi Kubota, Hitoshi Takehara

    ADVANCES IN SOCIAL SIMULATION   229   155 - 165  2014  [Refereed]

     View Summary

    This paper investigates changes in firm values triggered by a hypothetical corporate tax rate cut for Japan. We use multiplicative production functions and firms' investment decision changes over time via the accumulated process of retained earnings on the simulated path. We find changes in corporate tax rates can enhance the market value of firm equity in most cases, while there are some cases in which the effects are neutral or even detrimental for firm value. We interpret that these mixed results are caused by joint effects of current provisions of tax loss carry-forward and the net balance of tax deferred accounts. We find that past profitability and variability of each firm is crucial to hit exact threshold points at which firms experience value appreciations or not. The results possess important implications to both regulators and corporate financial managers.

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  • 会計発生高アノマリーと債務不履行リスク

    須田一幸, 竹原 均

    現代ディスクロージャー研究   13 ( 13 ) 15 - 30  2013.10

    CiNii

  • Corporate financing, taxation, and Tobin's q: Evidence from Japanese firms and industries

    Keiichi Kubota, Susumu Saito, Hitoshi Takehara

    Journal of Mathematical Finance   3 ( 3A ) 27 - 45  2013.10

    DOI

  • Corporate investment, interest tax shields, and Tobin’s q: Business cycle analysis of Japanese industries and firms

    Keiichi Kubota, Susumu Saito, Hitoshi Takehara

    Journal of Strategic Management Studies   4 ( 1,2 ) 27 - 45  2013.09

  • Effects of tax rate cuts on equity valuation: Impacts of Firms’ profitability and variability

    Keiichi Kubota, Hitoshi Takehara

    経営財務研究   32 ( 1-2 ) 23 - 39  2013.04

  • 利益情報と合理的期待形成: 異常会計発生高の時系列特性とMishkinテストの頑健性

    久保田敬一, 竹原 均

    現代ディスクロージャー研究   12 ( 12 ) 21 - 37  2012.10

    CiNii

  • 株式投資: アセットプライシングの視点からの再検討

    竹原 均

    証券アナリストジャーナル   50 ( 11 ) 22 - 36  2012.10

  • Calendar cycles, infrequent decisions and the cross-section of stock returns

    Ravi Jagannathan, Srikant Marakani, Hitoshi Takehara, Yong Wang

    Management Science   58   507 - 522  2012.06

  • 市場効率性の再検証:株式市場の特性変化と予測可能性

    竹原 均

    現代ファイナンス   31   3 - 27  2012.04

  • Market efficiency, role of earnings information, and stock returns: A vector autoregressive model approach

    Keiichi Kubota, Hitoshi Takehara

    The Japanese Accounting Review   1   21 - 42  2012.02

    CiNii

  • On the relationship between earnings quality and the degree of information asymmetry

    Ahamed Roshan Ajward, Hitoshi Takehara

    Japan Jurnal of Finance   31 ( 1 ) 76 - 98  2011.09

  • トレイナー・ブラック・モデル再考: インフォメーション・レシオによる評価の問題点

    竹原 均

    証券アナリストジャーナル   49 ( 5 ) 48 - 54  2011.05

    CiNii

  • Information content of other comprehensive income and net income: Evidence for Japanese firms

    Keiichi Kubota, Kazuyuki Suda, Hitoshi Takehara

    Asia-Pacific Journal of Accounting and Economics   18 ( 2 ) 145 - 168  2011

     View Summary

    This paper investigates information content of net income, other comprehensive income items, and "pseudo" comprehensive income for Japanese firms. The relative information content test demonstrates we cannot distinguish between net income and other alternative comprehensive income numbers. The incremental information content test shows other comprehensive income items have significant information content. The signs are counterintuitive, but we find the stock market reactions to other comprehensive income items are related to the degree of firms' foreign dependency and on the magnitude of the ratio of available-for-sale securities to equities in a meaningful way. We conclude that comprehensive income and other comprehensive income are useful to disclose.

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    17
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  • Expected return, liquidity risk, and contrarian strategy: Evidence from Tokyo Stock Exchange firms

    Keiichi Kubota, Hitoshi Takehara

    Managerial Finance   36 ( 8 ) 655 - 679  2010.08

  • Dissemination of accruals information, role of semi-annual reporting, and analysts' earnings forecasts: Evidence from Japan

    Kubota Keiichi, Kazuyuki Suda, Hitoshi Takehara

    Journal of International Financial Management and Accounting   21 ( 2 ) 120 - 160  2010.04

  • Common risk factors versus a mispricing factor of Tokyo Stock Exchange firms: Inquiries into the fundamental value derived from Analyst Earnings forecasts

    Keiichi Kubota, Kazuyuki Suda, Hitoshi Takehara

    International Review of Finance   9 ( 3 ) 269 - 294  2009.09

  • 企業年金資産の投資リスクと基本ポートフォリオ

    竹原 均

    年金と経済   28 ( 2 ) 21 - 26  2009.07

    CiNii

  • 日本株の流動性測定と株式リターンとの関係 -日次データを用いた分析-

    竹原 均

    証券アナリストジャーナル   47 ( 6 ) 5 - 18  2009.06

    CiNii

  • Information based trade, the PIN variable, and portfolio style differences: Evidence from Tokyo stock exchange firms

    Keiichi Kubota, Hitoshi Takehara

    Pacific Basin Finance Journal   17 ( 3 ) 319 - 337  2009.06

  • ダウンサイドリスクモデル再考 -年金基金の基本ポートフォリオ策定への応用-

    竹原 均

    証券アナリストジャーナル   46 ( 12 ) 99 - 106  2008.12

  • 加重平均資本コスト推定上の諸問題

    久保田敬一, 竹原 均

    経営財務研究   27 ( 2 ) 2 - 25  2008.09

  • 社債市場における会計発生高と債務不履行リスクの評価

    須田一幸, 竹原 均

    現代ディスクロージャー研究   8 ( 8 ) 25 - 42  2008.03

    CiNii

  • Fama-Frenchファクターモデルの有効性の再検証

    久保田敬一, 竹原 均

    現代ファイナンス   22 ( 22 ) 3 - 23  2007.09

    CiNii

  • アナリストの情報精度と株式資本コスト

    竹原 均

    証券アナリストジャーナル   45 ( 8 ) 67 - 79  2007.08

    CiNii

  • Effects of tax rate changes on the cost of capital: The case of Japanese firms

    Keiichi Kubota, Hitoshi Takehara

    FINANZARCHIV   63 ( 2 ) 163 - 185  2007.06  [Refereed]

     View Summary

    The paper studies the effects that tax rate changes have on the cost of capital when firms follow target leverage ratios. We show that changes in individual income tax rates are neutral. The focus therefore is on the effects of changes in marginal corporate tax rates. These effects are computed for Japanese firms. Special emphasis is given to changes in statutory tax rates and provisions that allow firms to carry their losses forward.

    DOI

  • 株式収益率と経営者報酬における包括利益の情報内容

    久保田敬一, 須田一幸, 竹原 均

    経営財務研究   26 ( 1, 2 ) 53 - 69  2006.12

  • 異常会計発生高アノマリーと業績予想改訂

    竹原 均

    証券アナリストジャーナル   44 ( 5 ) 57 - 68  2006.05

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  • 行動ファイナンスへのパラダイムシフトはなぜ困難か

    竹原 均

    証券アナリストジャーナル   44 ( 2 ) 34 - 46  2006.02

    CiNii

  • フリーキャッシュフローモデルと残余利益モデルの実証研究 -株価関連性の比較 -

    竹原 均, 須田一幸

    ディスクロージャー研究   5 ( 5 ) 23 - 36  2004

    CiNii

  • On the association between accruals,operating cash flows and expected default probability

    C. Hung, H. Takehara

    Japan Journal of Finance   23   88 - 98  2004

  • Financial sector risk and the stock returns: Evidence from Tokyo stock exchange firms

    Keiichi Kubota, Hitoshi Takehara

    Asia-Pacific Financial Markets   10 ( 1 ) 1 - 28  2003.03

     View Summary

    We investigate whether the activity of financial firms creates value and/ or risk to the economy within the asset pricing framework. We use stock return data from nonfinancial firms listed in the first section of the Tokyo Stock Exchange. The value-weighted index that is solely composed of nonfinancial firms is augmented with the index of the firms from the financial sector, and we estimate multivariate asset pricing model with these two indices. We note that our procedure can simultaneously take into account the cross-holding phenomena among Japanese firms, especially between the financial sector and the nonfinancial sector. Our augmented index model performs well both with cross-sectional Fama and MacBeth regression test and GMM test. Our two index model with additional Fama and French's HML factor can capture cross-sectional variations of the returns of sample portfolios better than the original Fama and French model can, when measured by Hansen and Jagannathan distance measure. We find that this additional new sector variable can be a substitute for Fama and French's size factor, but not related to the bond index return. This variable has similar factor characteristic as money supply growth or the term structure, but the latter variables contain more information than the former. Morever, our financial sector model helps explain the return and risk structure of Japanese firms during the so-called "bubble" period. © 2004 Kluwer Academic Publishers.

    DOI

    Scopus

    9
    Citation
    (Scopus)
  • ベンチマークに対する理論的考察 -効率的市場仮説との関係を中心に-

    竹原 均

    証券アナリストジャーナル   41 ( 6 ) 4 - 18  2003

    CiNii

  • ダウンサイドリスクフレームワークでのマネージャー構造最適化

    竹原 均

    Journal of Operations Research Society of Japan   41   508 - 529  2002

  • マクロ条件付プライシングモデルを用いた株式投資信託のパフォーマンス評価

    竹原 均, 矢野 学

    経営財務研究   21   4 - 22  2001

  • 平均下方部分積率モデルのアセットアロケーションへの適用と平均分散モデルとの比較

    竹原 均

    経営財務研究   21   23 - 40  2001

  • リスクファクターモデルと財務特性モデルの判別: Fama-French modelの検証をめぐる問題

    久保田敬一, 竹原 均

    現代ファイナンス   8 ( 8 ) 3 - 16  2000

    CiNii

  • 投資パフォーマンス評価とタイミング能力の測定: 我が国の株式投資信託の評価をめぐって

    竹原 均, 矢野学

    証券アナリストジャーナル   37 ( 7 ) 76 - 91  1999.07

    CiNii

  • 株価変動, 経済成長と状態変数: 資産経済における期待リスクプレミアムの実証

    久保田敬一, 竹原 均

    ファイナンス研究   25 ( 25 ) 25 - 46  1999

    CiNii

  • Relationship between labor-income risk and average return: Empirical evidence from the Japanese stock market

    R Jagannathan, K Kubota, H Takehara

    JOURNAL OF BUSINESS   71 ( 3 ) 319 - 347  1998.07  [Refereed]

     View Summary

    In Japan as in the United States, stocks that are more sensitive to changes in the monthly growth rate of labor income earn a higher return on average. Whereas the stock-index beta can only explain 2% of the cross-sectional variation in the average return on stock portfolios, the stock-index beta and the labor beta together explain 75% of the variation. We find that the labor beta drives out the size effect but not the book-to-market-price effect that is documented in the literature.

  • オープン型投資信託のパフォーマンスとダイリューション効果

    竹原 均

    現代ファイナンス   4 ( 4 ) 41 - 56  1998

    CiNii

  • 日本株に関するファクター構造の推定とマルティベータモデル

    久保田敬一, 竹原 均

    日本経営財務学会研究双書   18   1 - 29  1998

  • CAPM : 資産の市場と株式市場

    久保田敬一, 竹原 均, ジャガナサン ラビ

    証券経済学会年報   ( 32 ) 367 - 371  1997

    CiNii

  • 下方リスクモデルの概要と実用上の諸問題

    竹原 均

    証券アナリストジャーナル   32 ( 2 ) 1 - 12  1994

    CiNii

  • An interior point algorithm for large scale portfolio optimization

    Hitoshi Takehara

    Annals of Operations Research   45 ( 1 ) 373 - 386  1993.12

     View Summary

    The minimum-norm point problem which arises in portfolio selections is discussed and an interior point algorithm to solve the problem is proposed in this paper. Three kinds of problems, the mean-variance, the index matching and the multiple factor models are viewed as variants of the minimum-norm point problem. Results of the computational experiments are attached to show the proposed algorithm as a very powerful tool for large scale portfolio optimization. © 1993 J.C. Baltzer AG, Science Publishers.

    DOI

    Scopus

    11
    Citation
    (Scopus)
  • 先物, オプション組み込みポートフォリオのリスクとヘッジ - 2パラメーター分析の再考と解決 -

    岩井千尋, 久保田敬一, 大野三郎, 竹原 均

    日本経営財務研究学会研究双書   13   53 - 81  1993

  • 多期間投資モデルによる資産配分方法 -ハカンソン法の有効性の検証 -

    竹原 均

    日本経営財務研究学会研究双書   12   79 - 94  1992

  • A DUAL INTERIOR PRIMAL SIMPLEX-METHOD FOR LINEAR-PROGRAMMING

    A TAMURA, H TAKEHARA, K FUKUDA, S FUJISHIGE, M KOJIMA

    JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF JAPAN   31 ( 3 ) 413 - 430  1988.09  [Refereed]

▼display all

Books and Other Publications

  • Corporate Social Responsibility and Corporate Finance in Japan

    Megumi Suto, Hitoshi Takehara

    Springer  2018.07

  • Building New Bridges Between Business and Society

    Lu, H, Schmidpeter, R, Capaldi, N, Zu, L( Part: Contributor)

    Springer  2018.03

  • Reform and Price Discovery at the Tokyo Stock Exchange

    Keiichi Kubota, Hitoshi Takehara

    Palgrave Macmillan  2015.06 ISBN: 9781137540386

  • 株式市場の流動性と投資家行動

    太田 亘, 宇野 淳, 竹原 均

    中央経済社  2011.03 ISBN: 9784502684302

  • 現代のディスクロージャー

    竹原 均

    中央経済社  2008.11 ISBN: 9784502289507

  • フィナンシャルテクノロジーの過去・現在・未来

    竹原 均

    三菱UFJトラスト投資工学研究所  2008.01 ISBN: 9784901146012

  • ファイナンシャル・リスクマネージメント

    竹原 均

    朝倉書店 ファイナンス講座第8巻  2000

  • 動的ポートフォリオスタイル分析: スタイルの時間変化とパフォーマンス評価

    竹原 均

    フィナンシャルテクノロジーのフロンティア  1998

  • ポートフォリオの最適化

    竹原 均

    朝倉書店 ファイナンス講座第5巻  1997

  • Common risk factors of Tokyo Stock Exchange firms: Finding mimicking portfolios

    K. Kubota, H. Takehara

    T. Boss and T. Fetherstone eds., Advances in Pacific Basin Financial Markets,JAI Press  1997

  • Cross-section risk and return of Tokyo Stock Exchange firms

    K. Kubota, H. Takehara

    T. Boss and T. Fetherstone eds., Advances in Pacific Basin Financial Markets,JAI Press  1996

  • International diversification when small firm stocks are treated as separate investment assets: An application of the multi-period model

    T. Hiraki, H. Takehara

    R. Aggarwal ed., Global Portfolio Diversification, Academic Press  1995

▼display all

Presentations

  • 商標権ポートフォリオが企業財務特性に与える効果: リスク削減仮説の検証

    竹原 均

    日本経営財務研究学会第44回全国大会 

    Presentation date: 2020.10

  • 期待倒産確率を考慮したインプライド自己資本コストの推定

    竹原 均

    日本会計研究学会第79回大会 

    Presentation date: 2020.09

  • 期待倒産確率を考慮したインプライド自己資本コストの推定

    竹原 均

    日本ファイナンス学会第28回大会 

    Presentation date: 2020.06

  • Stock Liquidity Premium on the Tokyo Stock Exchange

    Hitoshi Takehara

    Presentation date: 2019.12

  • Liquidity and Price Discovery at the Tokyo Stock Exchange

    Hitoshi Takehara

    Presentation date: 2019.12

  • 当期純利益, その他の包括利益の相対・増分情報内容の分析

    竹原 均

    日本ファイナンス学会秋季研究大会 

    Presentation date: 2019.11

  • アセットプライシング研究の新展開: アルファ追求からベータ制御へ

    竹原 均

    日本経営財務研究学会第43回全国大会 

    Presentation date: 2019.09

  • Corporate Social Responsibilityと会社利益予想の四半期変化

    竹原 均

    日本会計研究学会第78回全国大会 

    Presentation date: 2019.09

  • Innovation, CSR Intensity, and Market-based Risk: Evidence from Japan

    Hitoshi Takehara

    Presentation date: 2019.08

  • Management Earnings Forecasts and Investor Trust: Signaling Effect of Corporate Social Responsibility

    Hitoshi Takehara

    Presentation date: 2019.08

  • The Heterogeneity of Institutional Ownership and Innovation in Japanese Firms

    Hitoshi Takehara

    Presentation date: 2019.07

  • 日本銀行によるETF買入れが株価発見に与えた影響: 個別銘柄ティックデータを用いた分析

    日本ファイナンス学会第27回大会 

    Presentation date: 2019.06

  • Management Earnings Forecasts and Investor Trust: Signaling Effect of Corporate Social Responsibility

    Hitoshi Takehara

    Presentation date: 2019.05

  • Pricing Liquidity Risk on the Tokyo Stock Exchange: Empirical Analysis Using Multiple Liquidity Measures

    Hitoshi Takehara

    Presentation date: 2019.03

  • Liquidity and Stock Returns: Evidence from Tokyo Stock Exchange Firms

    Hitoshi Takehara

    Presentation date: 2019.03

  • Management Forecast Bias and Corporate Social Responsibility Awareness: Evidence from Japan

    Hitoshi Takehara

    Presentation date: 2019.01

  • Value Relevance of Trademarks: Evidence from Tokyo Stock Exchange Firms

    Hitoshi Takehara

    Presentation date: 2018.12

  • 流動性と株式リターン: 尺度の多様性の再検証

    日本経営財務研究学会第42回大会 

    Presentation date: 2018.10

  • 当期純利益, その他の包括利益の相対・増分情報内容の分析

    日本会計研究学会第77回大会 

    Presentation date: 2018.09

  • Management Forecast Bias and Corporate Social Responsibility Awareness: Evidence from Japan

    Hitoshi Takehara

    Presentation date: 2018.08

  • Relationship between Technological Innovation, Corporate Social Performance and Corporate Financial Performance

    Hitoshi Takehara

    Presentation date: 2018.06

  • Fama-French 3ファクターモデルの有効性の時間変化: ベンチマーク構築方法とリスクファクター特性の再検証

    日本ファイナンス学会第26回大会 

    Presentation date: 2018.06

  • Relationship between Technological Innovation, Corporate Social Performance and Corporate Financial Performance

    Hitoshi Takehara

    Presentation date: 2018.03

  • 日本銀行によるETF買い入れが株価発見に与えた影響: 個別銘柄ティックデータを用いた分析

    ワークショップ 「証券市場の諸問題」 

    Presentation date: 2018.03

  • Relationship between Technological Innovation, Corporate Social Performance and Corporate Financial Performance

    Hitoshi Takehara

    Presentation date: 2017.12

  • 商標権情報の価値関連性:株価と財務特性にブランドイメージが与える影

    日本ディスクロージャー研究学会第16回研究大会 

    Presentation date: 2017.12

  • 日本市場におけるスマートベータ戦略の効率性:収益安定性とアセットプライシングの視点からの再検証

    MPTフォーラム2017国際セミナー 

    Presentation date: 2017.12

  • ベンチマークプライシングモデル選択と合理的期待形成: 会計発生高アノマリーの再検証

    日本会計研究学会第76回全国大会 

    Presentation date: 2017.09

  • Effects of Corporate Social Performance on Default Risk: Structural Model-based Analysis on Japanese Firms

    Presentation date: 2017.08

  • Effects of Corporate Social Performance on Default Risk: Structural Model-based Analysis on Japanese Firms

    Presentation date: 2017.07

  • ベンチマークの平均分散効率性とアセットプライシング, 資本コスト推定

    日本経営財務研究学会東日本部会 

    Presentation date: 2017.07

  • The Heterogeneity of Institutional Ownership and Innovation in Japanese Firms

    Presentation date: 2017.06

  • Corporate Innovation in Family Business: Evidence from Japanese Public Firms

    Presentation date: 2017.03

  • The Heterogeneity of Institutional Ownership and Innovation in Japanese Firms

    Hitoshi Takehara

    Presentation date: 2017.03

  • How do Normative and Compliant CSR Affect the Earnings Quality of Japanese Firms?

    Hitoshi Takehara

    Presentation date: 2017.01

  • Innovation of Japanese Family Firms: Comparison with Non-Family Firms

    Hitoshi Takehara

    The MT International Conference on Business Research 

    Presentation date: 2016.12

  • インプライド自己資本コストからの期待リスクプレミアムの推定

    日本ディスクロージャー研究学会第14回研究大会 

    Presentation date: 2016.12

  • 日本企業の財務戦略と技術競争力: デュポンシステムを用いた分析

    竹原 均

    日本経営財務研究学会第40回全国大会 

    Presentation date: 2016.12

  • How do Normative and Compliant CSR Affect the Earnings Quality of Japanese Firms?

    Hitoshi Takehara

    2016 American Accounting Association Annual Meetings 

    Presentation date: 2016.08

  • How do Normative and Compliant CSR Affect the Earnings Quality of Japanese Firms?

    Hitoshi Takehara

    Presentation date: 2016.08

  • 特許情報の株価への浸透過程の分析

    竹原 均

    日本ファイナンス学会第24回大会 

    Presentation date: 2016.05

  • The Heterogeneity of Institutional Ownership and Innovation in Japanese Firms

    Hitoshi Takehara

    Shidler Seminar Series, University of Hawaii at Manoa 

    Presentation date: 2016.03

  • 回帰分析モデルの設定と 会計発生高アノマリーの頑健性

    竹原 均

    日本ディスクロージャー研究学会第12回研究大会 

    Presentation date: 2015.12

  • An Empirical Comparison of Asset Pricing Models for the Tokyo Stock Exchange

    Hitoshi Takehara

    2015 World Finance and Banking Symposium  (Hanoi) 

    Presentation date: 2015.12

  • Does Fama and French Five Factor Model Work Well in Japan?

    Hitoshi Takehara

    International Interdisciplinary Business Economics Advancement Conference 

    Presentation date: 2015.11

  • Does Fama and French Five Factor Model Work Well in Japan?

    Hitoshi Takehara

    39th Annual Meeting of Japan Finance Association  (Kyushu University) 

    Presentation date: 2015.10

  • Do Family Firms in Japan Possess Competitive Advantages to Innovate?

    Hitoshi Takehara

    39th Annual Meeting of Japan Finance Association 

    Presentation date: 2015.10

  • Effects of Corporate Social Performance on Default Risk: Structural Model Based Analysis

    Hitoshi Takehara

    International Workshop on Long-term Growth of Firms and Corporate Governance  (Mumbai) 

    Presentation date: 2015.09

  • Do Family Firms in Japan Possess Competitive Advantages to Innovate?

    Hitoshi Takehara

    International Workshop on Long-term Growth of Firms and Corporate Governance  (Mumbai) 

    Presentation date: 2015.09

  • 新規領域・学際領域の研究に取り組む: 同族企業研究・CSR研究を題材に

    Hitoshi Takehara

    ファイナンスキャンプ (日本経営財務研究学会) 

    Presentation date: 2015.07

  • Family Firms, Accounting Conservatism, and Information Asymmetry: Evidence from Japan

    Hitoshi Takehara

    2015 Academic OASIS - BANGKOK International Multidisciplinary Academic Conference 

    Presentation date: 2015.07

  • Price Discovery before and after the Launch of arrowhead Trading System at Tokyo Stock Exchange

    Hitoshi Takehara

    2015 Asian Finance Association Annual Meeting 

    Presentation date: 2015.06

  • An Empirical Comparison of Asset Pricing Models for the Tokyo Stock Exchange

    Hitoshi Takehara

    Presentation date: 2015.06

  • An Empirical Comparison of Asset Pricing Models for the Tokyo Stock Exchange

    Hitoshi Takehara

    54th Annual Meeting of Southwestern Finance Association 

    Presentation date: 2015.03

  • An Empirical Comparison of Asset Pricing Models for the Tokyo Stock Exchange

    Hitoshi Takehara

    The 5th International Conference of TJAR 

    Presentation date: 2014.12

  • 我が国の株式市場における特許情報の価値関連性に関する実証分析

    竹原 均

    日本ディスクロージャー研究学会第10回研究大会 

    Presentation date: 2014.12

  • Price Discovery before and after the Launch of arrowhead Trading System at Tokyo Stock Exchange

    Hitoshi Takehara

    Second Annual IFMA International Conference 

    Presentation date: 2014.12

  • Accrual Based and Real Activities Based Earnings Management Behavior of Family Firms in Japan

    Hitoshi Takehara

    2014 World Finance and Banking Symposium 

    Presentation date: 2014.12

  • Effects of a Consumption Tax Rate Increase on Equity Value: Japanese Firms Experience

    Hitoshi Takehara

    2014 International Conference on Marketing, Business and Management 

    Presentation date: 2014.11

  • The Impact of Corporate Social Performance on Financial Performance: Evidence from Japan

    Hitoshi Takehara

    Presentation date: 2014.10

  • Price Discovery before and after the Launch of arrowhead Trading System at Tokyo Stock Exchange

    Hitoshi Takehara

    Presentation date: 2014.09

  • Accuals Based and Real Activities Base Earnings Management Behavior of Japanes Firms

    Hitoshi Takehara

    Conference on Growth of Firms, Ownership, and Value: East meets West 

    Presentation date: 2014.09

  • Accuals Based and Real Activities Base Earnings Management Behavior of Japanes Firms

    Hitoshi Takehara

    2014 American Accounting Association Annual Meeting 

    Presentation date: 2014.08

  • Effects of a Consumption Tax Increase on Firm Valuation: Free Cash Flow Approach to Individual Firm Data

    Hitoshi Takehara

    20th Conference of the International Federation of Operational Research Societies 

    Presentation date: 2014.07

  • Accuals Based and Real Activities Base Earnings Management Behavior of Japanes Firms

    Hitoshi Takehara

    Presentation date: 2014.06

  • Family Firms, Firm Characteristics and Corporate Social Performance:A Study of Public Firms in Japan

    Hitoshi Takehara

    Seminar at Shidler College of Business, University of Hawaii at Manoa 

    Presentation date: 2014.05

  • 東証arrowheadの稼働と市場特性の変化: 高頻度取引が価格発見過程に与える影響

    竹原 均

    横浜国立大学 Economics Workshop 

    Presentation date: 2014.03

  • 業績予想開示と価格発見: Realized Fama-French three factor model betasを用いた分析

    竹原 均

    大阪大学金融・保険教育研究センターワークショップ 「証券市場の諸問題」 

    Presentation date: 2014.02

  • Financial and Social Performance of Japanese Family Firms

    Hitoshi Takehara

    Presentation date: 2014.01

  • Accrual Based and Real Activities Based Earnings Management Behavior of Family Firms in Japan

    Hitoshi Takehara

    Presentation date: 2014.01

  • An Examination of the Relationship between Earnings Quality and Corporate Social Performance: Evidence from Japan

    Hitoshi Takehara

    2013 Southern Finance Association Annual Meeting 

    Presentation date: 2013.11

  • 日本企業のCSRと企業特性に関する実証分析

    竹原 均

    南山大学経営研究センター講演会 

    Presentation date: 2013.10

  • 同族経営企業の収益・リスク特性

    竹原 均

    日本経営財務研究学会第37回全国大会 

    Presentation date: 2013.10

  • An Examination of the Relationship between Earnings Quality and Corporate Social Performance: Evidence from Japan

    Hitoshi Takehara

    The 22nd International Business Research Conference 

    Presentation date: 2013.09

  • 会計の保守主義と投資家のリスク認識

    竹原 均

    日本会計研究学会第72回大会 

    Presentation date: 2013.09

  • 流動性・株価発見過程の変化がファンド・パフォーマンスに及ぼす影響

    竹原 均

    年金資産運用研究会 

    Presentation date: 2013.07

  • Family Firms, Accounting Conservatism, and Information Asymmetry: Evidence from Japan

    Hitoshi Takehara

    The 7th Asia Pacific Interdisciplinary Research in Accounting Conference 

    Presentation date: 2013.07

  • The Impact of Corporate Social Performance on Financial Performance: Evidence from Japan

    Hitoshi Takehara

    Presentation date: 2013.06

  • Does Superior Corporate Social Performance Ease Financial Constraints of Companies? The Japanese Experience

    Hitoshi Takehara

    Presentation date: 2013.06

  • An Examination of the Relationship between Earnings Quality and Corporate Social Performance: Evidence from Japan

    Hitoshi Takehara

    36th Annual Congress of European Accounting Association 

    Presentation date: 2013.05

  • Stock Ownership Structure and Corporate Social Performance: Evidence from Japan

    Hitoshi Takehara

    52nd Annual Meeting of Southwestern Finance Association 

    Presentation date: 2013.03

  • 同族企業経営と会計保守主義

    竹原 均

    日本ディスクロージャー研究学会第6回研究大会 

    Presentation date: 2013.01

  • An Examination of the Relationship between Earnings Quality and Corporate Social Performance: Evidence from Japan

    Hitoshi Takehara

    25th Australian Finance and Banking Conference 

    Presentation date: 2012.12

  • An Examination of the Relationship between Earnings Quality and Corporate Social Performance: Evidence from Japan

    Hitoshi Takehara

    13th Asian Academic Accounting Association Conference 

    Presentation date: 2012.11

  • Incidence of Corporate Tax and Sales Tax Rate Changes upon Japanese Firms: Discounted Cash Flow Simulation Approach

    Hitoshi Takehara

    Presentation date: 2012.10

  • Stock Ownership Structure and Corporate Social Performance: Evidence from Japan

    Hitoshi Takehara

    Fourth International Conference on Accounting and Finance 

    Presentation date: 2012.08

  • Market Liquidity, Private Information, and the Cost of Capital: Microstructure Studies on Family Firms in Japan

    Hitoshi Takehara

    Third World Finance Conference 

    Presentation date: 2012.07

  • An Examination of the Relationship between Earnings Quality and Corporate Social Performance: Evidence from Japan

    Hitoshi Takehara

    日本ディスクロージャー研究学会大会 

    Presentation date: 2012.06

  • アクティブ・ファンドの運用パフォーマンス持続性の検証

    竹原 均

    日本ファイナンス学会第20回大会 

    Presentation date: 2012.05

  • 日本株市場のトレンド変化とアクティブ・アルファ

    竹原 均

    MPIジャパン/早稲田大学ファイナンス研究センター共催講演会「ファンド・パフォーマンス分析の新潮流」 

    Presentation date: 2012.04

  • Family Businesses and Corporate Social Performance: An Empirical Study of Public Firms in Japan

    Hitoshi Takehara

    Presentation date: 2012.03

  • Family Businesses and Corporate Social Performance: An Empirical Study of Public Firms in Japan

    Hitoshi Takehara

    Southwestern Finance Association 2012 Annual Meeti 

    Presentation date: 2012.03

  • 効率的市場仮説とModern Portfolio Theory

    竹原 均

    第3回SAAJ国際セミナー 

    Presentation date: 2012.02

  • 株式市場のトレンド変化とアルファ: 流動性向上が取引コスト及びアルファに与えた影響

    竹原 均

    日本証券投資顧問業協会主催講演会 

    Presentation date: 2011.11

  • Market Efficiency, Role of Earnings Information, and the Stock Returns: A Vector Autoregressive Model Approach

    Hitoshi Takehara

    Southern Finance Association Annual Meeting 

    Presentation date: 2011.11

  • 株式アクティブ運用における規模の不経済: ファンド・キャパシティーと運用パフォーマンス

    竹原 均

    日本経営財務研究学会第35回全国大会 

    Presentation date: 2011.10

  • Role of Earnings Information for Rationally Forecasting Stock Returns: VAR Applications to Japanese Data

    Hitoshi Takehara

    Presentation date: 2011.09

  • Corporate Social Performance and Family Businesses: The Case of Japanese Firms

    Hitoshi Takehara

    2011 Nagoya Family Business Conference 

    Presentation date: 2011.09

  • Effects of Tax Rate Cut on Firm Investment and Valuation: Microsimulation Approach

    Hitoshi Takehara

    2011 American Accounting Association Annual Meeting 

    Presentation date: 2011.08

  • 資産運用の新展開 -何を変え, 何を残すべきか-

    竹原 均

    日本CFA協会/CFAプログラム・パートナー共同カンファレンス 

    Presentation date: 2011.06

  • 異常会計発生高の測定方法が市場効率性・持続性に与える影響

    竹原 均

    日本ディスクロージャー研究学会第3回大会 

    Presentation date: 2011.05

  • 市場効率性の再検証: 株式市場に質的変化は起きたのか

    竹原 均

    日本ファイナンス学会第19回大会(会長講演) 

    Presentation date: 2011.05

  • Effects of Tax Rate Cut on Firms’ Profitability and Valuation:A Micro Foundations Approach

    Hitoshi Takehara

    60th Annual Meeting of Southwestern Finance Association 

    Presentation date: 2011.03

  • Market Efficiency, Role of Earnings Information, and the Stock Returns: A Vector Autoregressive Model Approach

    Hitoshi Takehara

    2011 TJAR Conference 

    Presentation date: 2011.01

  • 流動性, 情報の非対称性と株価形成に関する実証研究: PIN Variableをめぐる研究の動向をふまえて

    竹原 均

    大阪大学 金融・保険教育研究センター2010年度 中之島ワークショップ 「金融工学・数理計量ファイナンスの諸問題2010」 

    Presentation date: 2010.12

  • Private Information vs. Public Information of Public Traded Stocks of Family Businesses in Japan: Microstructure Study

    Hitoshi Takehara

    First Workshop on Finance and Accounting Research in the Asia Pacific Region 

    Presentation date: 2010.12

  • Effects of Tax Rate Cut on Firms’ Profitability and Valuation: A Micro-Foundation Approach

    Hitoshi Takehara

    22th Asian-Pacific Conference on International Accounting Issues 

    Presentation date: 2010.11

  • 東京証券取引所上場企業の株価形成, 流動性イントラデイ・パターンの検証

    竹原 均

    日本経営財務研究学会第34回全国大会 

    Presentation date: 2010.10

  • Effects of Tax Rate Cut on Firms’ Profitability and Valuation: A Micro Foundations Approach

    Hitoshi Takehara

    Presentation date: 2010.09

  • Private Information vs. Public Information of Public Traded Stocks of Family Businesses in Japan: Microstructure Study

    Hitoshi Takehara

    International Conference on Business Groups and Family Business: India, Japan and Thailand 

    Presentation date: 2010.09

  • Impact of Quarterly Disclosure on Information Asymmetry: Evidence from Tokyo Stock Exchange Firms

    Hitoshi Takehara

    2010 American Accounting Association Annual Meeting 

    Presentation date: 2010.08

  • Effects of Tax Rate Cut on Firms’ Profitability and Valuation: A Micro-Simulation Approach

    Hitoshi Takehara

    66th Annual Congress of the International Institute of Public Finance 

    Presentation date: 2010.08

  • Impact of Quarterly Disclosure on Information Asymmetry: Evidence from Tokyo Stock Exchange Firms

    Hitoshi Takehara

    Asian Finance Association 2010 Annual Meeting 

    Presentation date: 2010.07

  • 情報の非対称性, 流動性の日中変動パターンの分析

    竹原 均

    日本ファイナンス学会第18回大会 

    Presentation date: 2010.05

  • Impact of Quarterly Disclosure on Information Asymmetry: Evidence from Tokyo Stock Exchange Firms

    Hitoshi Takehara

    Southwestern Finance Association 49th Annual Meeting 

    Presentation date: 2010.03

  • 流動性, ディスクロージャーと株価形成

    竹原 均

    日経メディアマーケティング社主催セミナー「データから読み解く金融経済の新潮流」基調講演 

    Presentation date: 2010.03

  • Impact of Quarterly Disclosure on Information Asymmetry: Evidence from Tokyo Stock Exchange Firms

    Hitoshi Takehara

    10th Annual Conference of Asian Academic Accounting Association 

    Presentation date: 2009.11

  • 年金資産運用が母体企業の財務諸表に与える影響の評価

    Hitoshi Takehara

    ディスクロージャー研究学会第11回研究大会 

    Presentation date: 2009.11

  • 流動性尺度の相互比較と株式リターンとの関係: 日次・ティックデータを用いた分析

    竹原 均

    MPTフォーラム 

    Presentation date: 2009.10

  • 会計ディスクロージャー制度変革が情報の非対称性に与えた影響の分析

    竹原 均

    日本会計研究学会第68回大会 

    Presentation date: 2009.09

  • 株式流動性指標間の相関, および株式リターンとの関係の分析

    竹原 均

    日本経営財務研究学会第33回大会 

    Presentation date: 2009.09

  • Impact of Quarterly Disclosure on Information Asymmetry: Evidence from Tokyo Stock Exchange Firms

    Hitoshi Takehara

    Presentation date: 2009.08

  • Corporate Financing, Taxation, and Tobin’s q: Evidence from Japanese Firms and Industries

    Hitoshi Takehara

    65th Annual Congress of the Institute of Public Finance 

    Presentation date: 2009.08

  • Liquidity Pricing, Stock Returns, and Contrarian Strategy: Evidence from all the Listed Firms in Japan

    Hitoshi Takehara

    Asian Finance Association International Conference 

    Presentation date: 2009.07

  • Liquidity Pricing, Stock Returns, and Contrarian Strategy: Evidence from All Listed Firms in Japan

    Hitoshi Takehara

    Presentation date: 2009.05

  • 市場流動性ファクターのプライシング: 日次データを使用した銘柄流動性の測定と市場リスクファクターの抽出

    竹原 均

    金融サービスイノベーションプロジェクト・市場流動性研究会 

    Presentation date: 2009.02

  • Expected Return, Liquidity Risk and the Contrarian Strategy: Investigation of Tokyo Stock Exchange Firms

    Hitoshi Takehara

    Southwestern Finance Association 48th Annual Meeting 

    Presentation date: 2009.02

  • 会計数値の時系列特性とモンテカルロシミュレーションによる評価

    竹原 均

    日本ディスクロージャー研究学会大会 

    Presentation date: 2008.11

  • On the Relationship between the Accruals Anomaly and Default Risk: Evidence from Tokyo Stock Exchange Firms

    Hitoshi Takehara

    9th Annual Conference of Asian Academic Accounting Association 

    Presentation date: 2008.11

  • リターンベースで測定された会計情報の質と株式資本コスト

    竹原 均

    日本会計研究学会第67回大会 

    Presentation date: 2008.09

  • 税制度が資本コスト, Tobin’s q に与える影響の分析: 節税効果を考慮した修正q レシオ

    竹原 均

    日本経営財務研究学会第32回全国大会 

    Presentation date: 2008.09

  • Expected Return, Liquidity Risk and the Contrarian Strategy: Investigation of Tokyo Stock Exchange Firms

    Hitoshi Takehara

    2008 AsianFA/NFA International Conference 

    Presentation date: 2008.07

  • Expected Return, Liquidity Risk and the Contrarian Strategy: Investigation of Tokyo Stock Exchange Firms

    Hitoshi Takehara

    International Federation of Operational Research Societies Conference 

    Presentation date: 2008.07

  • マネージャー評価とベンチマークモデル, スタイルインデックス

    竹原 均

    シニアライフプラン機構・東証共催 年金資金運用セミナー 

    Presentation date: 2008.07

  • 年金資産運用へのダウンサイドリスクアプローチの適用

    Hitoshi Takehara

    早稲田大学/シュローダー日英年金セミナー 

    Presentation date: 2008.06

  • Corporate Investment, Taxation, and Tobin’s q: Evidence from Japanese Firms and Industries

    Hitoshi Takehara

    Southwestern Finance Association 47th Annual Meeting 

    Presentation date: 2008.03

  • Fama-French 3ファクターモデルの有効性の検証, および5ファクターモデルへの拡張

    竹原 均

    企業財務研究会 

    Presentation date: 2008.02

  • 株式リスクモデルの新潮流 Fama-Frenchから5ファクターモデルへ

    竹原 均

    NEEDSファイナンスフェア 

    Presentation date: 2008.01

  • 株式価値評価と会計発生高アノマリー: 日本市場における実証

    竹原 均

    MPTフォーラム国際セミナー 

    Presentation date: 2007.12

  • 異常会計発生高推定方法の比較

    竹原 均

    日本ディスクロージャー研究学会大会 

    Presentation date: 2007.11

  • コントラリアン戦略, 流動性リスクと期待リターン: 市場効率性の再検証

    竹原 均

    日本経営財務研究学会大会 

    Presentation date: 2007.10

  • アナリストの情報精度と株式資本コスト

    竹原 均

    日本会計研究学会大会 

    Presentation date: 2007.09

  • Information Content of Net Income and Other Comprehensive Income: Further Evidence from Tokyo Stock Exchange Firms

    Hitoshi Takehara

    Asian Academic Accounting Association 

    Presentation date: 2007.08

  • Information Based Trade, PIN Variable, and the Portfolio Style Differences: Evidence from Tokyo Stock Exchange Firms

    Hitoshi Takehara

    Asian Finance Association Conference 

    Presentation date: 2007.07

  • 異常会計発生高アノマリーと 債務不履行リスク

    竹原 均

    日本ファイナンス学会大会 

    Presentation date: 2007.06

  • Information Based Trade, PIN Variable, and the Portfolio Style Differences: Evidence from Tokyo Stock Exchange Firms

    Hitoshi Takehara

    Southwestern Finance Association Annual Meeting 

    Presentation date: 2007.03

  • 公的機関投資家の資産運用についてー 「有識者調査」を素材としてー

    竹原 均

    平成18年度公的機関投資家の資金運用・年金運用シンポジウム 

    Presentation date: 2007.02

  • 会計発生高アノマリーと 債務不履行リスク

    竹原 均

    日本ディスクロージャー研究学会大会 

    Presentation date: 2006.11

  • 利益調整行動とアナリスト業績予想改訂

    竹原 均

    日本会計研究学会大会 

    Presentation date: 2006.09

  • Reporting of the Net Income plus Other Comprehensive Income: Information Content Test of Japanese Firms and Industries

    Hitoshi Takehara

    Asian Academic Accounting Association Annual Meeting 

    Presentation date: 2006.09

  • 加重平均資本コスト推定上の諸問題

    竹原 均

    日本経営財務研究学会全国大会 

    Presentation date: 2006.09

  • 財務会計の意思決定支援機能と株式価値評価

    竹原 均

    SAAJ-日本ファイナンス学会共同セミナー 

    Presentation date: 2006.09

  • Reporting of the Current Earnings plus Other Comprehensive Income: Information Content Test of the Japanese Firms and Industries

    Hitoshi Takehara

    American Accounting Association Annual Meeting 

    Presentation date: 2006.08

  • 私的情報, 業績予想精度と株式資本コスト

    竹原 均

    日本ファイナンス学会 

    Presentation date: 2006.06

  • Cost of Capital, Economic Dynamics, and the Tax Rate Changes: Evidence from Japanese Industries and Sectors

    Hitoshi Takehara

    INFORMS International Conference 

    Presentation date: 2006.06

▼display all

Research Projects

  • 技術競争力・生産性の視点からのESG投資の再検証とファンド運用評価手法の開発

    日本学術振興会  科学研究費助成事業

    Project Year :

    2022.04
    -
    2025.03
     

    竹原 均

  • Interaction between CSR activities and R&D Investment from a Corporate Sustainability Perspective

    Project Year :

    2019.04
    -
    2022.03
     

  • 非財務情報開示が株価発見・企業財務特性に与える効果の分析

    Project Year :

    2018.04
    -
    2021.03
     

     View Summary

    2019年度においては, 前年度に続いて特許権情報, 商標権情報, Corporate Social Responsibilities (CSR)情報が, 企業の収益性, リスク, 企業(株式価値)に与える影響について実証分析を実施した. 研究結果を取りまとめ以下に述べる4編を公表した.まず井出・竹原(2019)では, 商標権情報が企業の財務リスク, 市場リスク, デフォルトリスクに与える影響を分析し, 商標権ポートフォリオが企業の直面するリスクに対して削減効果を持つことを示した. また井出・竹原(2020)では, 特許権情報と商標権情報が企業価値に与える相互作用効果を検証した. その結果として, 企業価値に対して特許権と商標権が与える効果が, 補完的である企業群と代替的である企業群の両方が存在することが明らかとなった.一方, Suto and Takehara(2019)は, CSR情報が経営者予想制度に与える影響について分析し, Corporate Social Performance (CSP)の総合評価スコアが高いほど, 経営者予想の制度が高いことを示した. またSuto and Takehara(2020)は, 企業が保有する特許ポートフォリオの質と, CSP評価スコア, リスク間の関係を調査した. その結果, 研究開発投資に積極的な企業ほど市場リスクは上昇するものの, CSR活動はそうしたリスク上昇を緩和することを, 単純傾斜分析(Simple Slope Analysis)と2段階最小二乗法を用いて示した.特許情報, 商標権情報, そしてCSR情報が, 資本市場に対してどのような影響を及ぼすかについて分析し, 2編の論文を新規に執筆, 2編について改訂した. 年度内にそのうちの1編が査読付き学術誌に掲載された.2020年度は, 研究期間の最終年度にあたり, 雇用関係が研究開発戦略の効率に与える影響について新規に研究に着手している. ただしこれ以外の論文も含めて, 国内外の学会において積極的に成果を公表し, その後に査読付き学術誌に投稿することを予定していたが, 新型コロナウィルス感染拡大に伴い, 特に国際会議の多くが不開催, あるいは2021年度以降に延期となっており, 成果公表については計画の変更を余儀なくされている

  • Relationship between Corporate Innovation, Financial Performance, and Evaluation in Capital Market: Evidence from Japan

    Project Year :

    2015.04
    -
    2018.03
     

     View Summary

    In this research project, we conduct multidimensional empirical analysis on the effects of firm-level corporate innovative activities of Japanese firms on corporate value creation and financial performance. We find that technological competitiveness by acquiring patents, and/or brand image by registering trademarks significantly increase the market value of the firm. However, the increase in the firm value can be explained by risk mitigation by corporate innovation, not by enhancement of profitability

  • Corporate Social Responsibility and Risk-Stakeholder Management and Financial Performance

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    2014.04
    -
    2017.03
     

    Suto Megumi

     View Summary

    This study empirically examines the links between corporate social performance (CSP) to various aspects of corporate financing variables including the cost of capital, financial risks and profitability, and financial constraints in the context of the Japanese firms for 2007 to 2013, explicitly controlling corporate attributes, the ownership structure and the bank dependency, and changes in corporate governance circumstances. The results suggest that CSR awareness and activities can influence on market perception of risk of the firm through mitigating information asymmetry and agency cost and have weak relation with enhancing profitability. These findings light on the points in engagement for institutional investors to discuss with corporate management so as to fulfill their stewardship responsibility

  • Setting of Long Term Objectives and Sustainable Growth of Firms: A Corporate Finance View

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    2013.10
    -
    2016.03
     

    Kubota Keiiichi, YOKOTA ERI, NIKAIDO YUKO, ASABA Shigeru, TAKEHARA HITOSHI, OSANO HIROSHI, AOI MICHIKAZU, SAWAKI KATSUSHIGE, EBIHARA TAKASHI, TOKUNAGA TOSHIFUMI, WADA KENJI, TAKAHASHI TOYOHARU

     View Summary

    Based on the original database constructed for listed family firms in Japan, we searched for the key variables to lead these firms to aim for long term sustainability. Our main finding for family firms in Japan are: 1) informational asymmetry is higher and cost of debt is lower, 2) CSP is lower but the role of CEO is positive for selected industries, 3) family firms show better earnings quality and the distance to default is longer, 4) the variability of financial indicators of family firms is lower and these firms aim for conservative and sustainable management, 5) family firms invest less on R&D expenditures, which is crucial for long-term growth, but their investment behavior is more focused, and 6) the recent various reforms conducted by Tokyo Stock Exchange helped reduce the illiquidity of listed stocks to a great extent and made the cost of equity and the hurdle for future investment lower to attract more investment

  • Reexamination of the Decision Usefulness of Accounting Information: Empirical Analysis using High Frequency Data and Stock Ownership Data

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    2012.04
    -
    2015.03
     

    TAKEHARA Hitoshi

     View Summary

    This project investigates how the accounting information is impounded into stock price and how it affects investors’ decision making. We use two market microstructure variables, the probability of information-based trades and the probability of symmetric order-flow shocks, both of them are estimated by using high frequency data. Then, we conduct several empirical studies and confirmed important findings. Most relevant results are as follows:(1) The firms with lower information asymmetry and higher liquidity had a higher tendency to disclose their quarterly financial statements. Thus, the new disclosure requirement did not necessarily improve the information asymmetry and liquidity of firms. (2) Shares held by founding family is positively associated with information asymmetry, which may affects cost of equity. Family firms in Japan conduct more voluntary and timely disclosure for the sake of minority stockholders and increase leverage to reduce the level of WACC

  • Management and Governance of Family Firms: Analyses of Corporate Financial Behavior, Efficiency, and Innovation

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    2009.04
    -
    2013.03
     

    KUBOTA Keiichi, EBIHARA Takashi, YOKOTA Eri, NIKAIDO Yuko, KAWAI Tadahiko, ASABA Shigeru, TAKEHARA Hitoshi, SAWAKI Katsushige, SAITO Susumu, MATSUMOTO Toshifumi, TOKUNAGA Toshifumi, YONEYAMA Shigemi, FURUSE Kimihiro, IWAI Chihiro, UCHIDA Kounari

     View Summary

    We established our original data base for listed family firms in Japan. Our main findings are:1) information asymmetry is higher and cost of debt is lower2) CSP is lower while the role of CEO is different between industries3) family firms show better earnings quality and its level depends on the shares held by founding families4) accounting conservatism is higher5) the variability of financial performance is lower, and6) family firms do not reduce investment during recession for the electric industry

  • Development of Analytical Methods to Improve the Reliability of accounting Information

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    2007
    -
    2009
     

    TAKEHARA Hitoshi, KUBOTA Keiichi, OKUMURA Masashi

     View Summary

    We conducted several empirical studies in this research project. In particular, we studied on the following research topics : (1) accruals anomaly and the quality of accounting earnings, (2) information contents of other comprehensive income items, (3) taxation and adjusted Tobin's q ratio, (4) time series property of accounting figures and applications of Monte-Carlo simulation method in accounting research, (5) accounting standard for retirement benefit and discovery process of stock price. Those findings we obtained in above studies are informative and helpful for accounting standard setters and auditors.

  • Management Compensation, Stock Prices, and Quality of Firms

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    2006
    -
    2008
     

    KUBOTA Keiichi, TOKUNAGA Toshifumi, SAITO Susumu, TAKEHARA Hitoshi

  • THE SYSTEMATIC STUDY OF COMPREHENSIVE INCOME : THEORETICAL ANALYSIS AND EMPIRICAL ANALYSIS

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    2002
    -
    2004
     

    MAEDA Sadayoshi, KUBOTA Keiichi, OHTA Koji, YOKOTA Eri, TSUJIYAMA Eiko, TAKEHARA Hitoshi

     View Summary

    From the theoretical point of view we have analyzed the problem from three viewpoints : accounting standards, performance measurement, and tax accounting. We have shown that the recycling is imperative to the sound income measurement, managers' good performance measurement, and the correct measurement of asset and liabilities fair value with deferred tax accounts. From the empirical point of view, we have conducted the extensive questionnaire studies among Japanese chief accounting officers and find that they think the net income reporting is important both for disclosure purposes and performance measurement purposes, even after the comprehensive income and other comprehensive income items are going to be required to be reported. Also, using the sample of Japanese firms who disclose their financial statements based on 10-K format, we have shown the other comprehensive items have additional information content With regard to the general market inefficiency questions, we have also extensively tested the information content of accounting accruals and find that the market initially overreact to the accounting reports and then gradually the stock price gets readjusted and fully incorporates the implications of earnings management behavior. The evidence is important in the sense that, in setting the sound accounting standards in the U.S.A. as well as in other countries, it is assumed that the financial assets are fairly priced. Thus the measurement of the changes in value in real assets is more controversial if reflecting the fair price information in the stock price is the imperative function that the accounting reports have to fulfill

  • Financial Engineering Research or Asset Management and Pricing

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    1996
    -
    1997
     

    KONNO Hiroshi, SUZUKI Kennichi, SHIRAKAWA Hiroshi, FURUKAWA Koichi, TAKEHARA Hitoshi, KUSUOKA Shigeo

     View Summary

    To establish the mathematical engineering technique for the financial investment decision, we researched the following five fields and attained the outcome written respectively.1) Risk Structure and asset Liability Management (Norio Hibiki, ) : WE have evaluated the activity of the firm through the total value of stocks in the security market. As a result, we can show that there exists a statistical relationship between the growth rate of the firm's total sales and the financial and management policy.2) Time Series Analysis of Asset Return Processes and their Generation Structures (Kanzuo Kishimoto and Yoshihiro Yajima) : We studied the estimation problem of the initial distribution for the ARCH or GARCH models when we apply the maximal likelihood methods. Then we showed that, using the approximation of finite Markov processes, we can avoid the dependence of the initial distribution which cannot be excluded in the past simulation approach.3) Derivative Pricing (Masamitsu Ohnishi, Masaaki Kijima and Shigeo Kusuoka) :We studied the approximation method for the path-dependent option pricing. Then we established the unified approach which enables us to evaluate the upper and lower bounds of the arbitrage free path-dependent option prices.4) Interest Rate Term Structure (Naoki Kishimoto, Hiroshi Shirakawa and Sohichiroh Moridaira) : Weconsider the basket type currency option pricing model. Then we derived the relationship of the option premiums and model parameters for the multi-currencies model.5) Large Portfolio Management (Hiroshi Konno, Kenichi Suzuki, Hitoshi Takehara and Munenori Nakasato) : we analyze the risk structure of the stocks listed in the Tokyo stock exchange market and examined the effectiveness of the multi-beta model. Then we checked that the multi-beta model can explain the relationship between the expected return and the risk structure under the stable risk premium parameters

  • 日本株収益率の持つ共通リスク属性に関する実体分析

     View Summary

    平成7年度においては以下の研究活動を行った.1.日本株収益率の共通リスク属性に関する分析東京証券取引所第1部上場企業について,1981年から1993年の株収益率および財務データを用いて実証分析を行った.同研究は裁定価格理論(Arbitrage Pricing Theory: APT)での共通リスクファクター構造を,従来のマクロ変数との関係を分析する接近法ではなく,共通リスクファクターを模倣するようなポートフォリオを構築する方法(Factor Mimicking)により明らかにした.また日本株の収益率に関する新たなファクターモデルを提示するとともに,それを用いて投資パフォーマンスの評価を行うことの妥当性を検討した.同研究は,文献〔2〕としてまとめて,日本ファイナンス学会大会,Seventh PACAP Finance Conference 等の学会において研究発表を行った.2.資産価格評価理論に関する分析先行研究1との関係において,資産価格評価モデル(Capital Asset Pricing Model: CAPM)について日本市場のデータを用いて再検証を行った.ここでは,景気変動と一人当たりの所得の株式市場に与える影響を考慮して従来のCAPMを修正するとともに,1において発見したリスクファクターとこれからの経済変数との関係について分析を行った.同研究は文献〔2〕としてまとめて,APFA Finance Confernce において発表した.この研究に関しては,検討すべき課題がいくつか残されており,現在も研究を継続中である.〔1〕K.Kubota,H.Takehara,“Common Risk Factors of Tokyo Stock Exchange Firms: In Finding the Mimicking Portfolios," Discussion Paper, Institute of Socio-Economic Planning(1995).〔2〕R.Jagannathan,K. Kubota, H.Takehara, “CAPM with Human Capital: Evidence from Japan,"(1995

  • 株価変動とビジネスサイクルに関する実証分析

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    Kubota and Takehara[1991]では,状態変数として6種類のマクロ経済変数を選択し,これらの状態変数から推定される過去の経済成長,将来の期待経済成長,及び条件付ボラティリティーと株式リスクプレミアムとの関係を検証した.実証分析の結果,日本市場において,過去の推定経済成長と将来の株式リスクプレミアムとの間に負の相関関係が,将来の期待経済成長とリスクプレミアムの間には正の相関関係が存在することが明らかになった.また将来の経済活動に関する条件付ボラティリティーの増大は,我が国の株式市場では必ずしもリスクプレミアムには結びつかないことを示し,この観測事実について,Abelにより導かれた均衡リスクプレミアム評価式をもとに,投資家のリスク態度との関係を議論した.これに続いてJagannathan,Kubota and Takehara[1998]では,マクロ変数としての賃金指数を観察不可能な市場ポートフォリオの代理変数として,加重平均株価指数に追加することにより,クロスセクションでの個別株式収益率の格差が有意に説明されることが明らかにされている.なお,これら2つの論文で得られた知見をもとに,日本の投資信託についてマクロ経済状態の変化を考慮した運用評価手法を現在開発中である

  • 企業年金及び投資信託の運用評価手法の開発

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    本研究においては,以下の2点について明らかにした.1.動的スタイル分析によるタイミング能力の評価動的なポートフォリオ戦略の存在下での投資スタイルの時間変化を推定する手法として,「動的スタイル分析法」を提案した.またこの手法のもとでのファンドマネージャーのタイミング能力の新しい尺度(ポートフォリオ変更尺度)を開発し,この尺度と従来のタイミング尺度との比較を行った.またこれらの手法を株式投資信託の運用評価に適用し,実証結果としてわが国の投資信託市場のファンドマネージャーの平均的な運用能力が低いことが示された.2.条件付プライシングモデルによる投資戦略及びオープン株式投資信託の評価これまでの運用評価においては,収益率のファクター構造は時間変化せず一定であると仮定されて来た.これに対して本研究では複数のマクロ経済変数の線形関数としてリスクファクターに対する感応度が変化することを仮定するマクロ条件付プライシングモデルを用いて,実務家が一般的に使用する投資戦略や国内株式型投資信託からの収益率を分析した.実証分析の結果から,マクロ経済変数の関数としての構造の時間変化を認めた場合に投資パフォーマンスの評価結果が大きく変更される可能性が存在することを明らかにした.しかし投資信託の評価に関しては,運用方針,手数料,信託報酬等の実務上の諸制約が大きく影響している可能性があり,こうした諸条件の運用評価への影響の分析は今後の課題とされる

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Misc

  • Introduction: Corporate social responsibility and Japanese corporations

    Megumi Suto, Hitoshi Takehara

    Advances in Japanese Business and Economics   17   1 - 13  2018

    Other  

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    Corporate social responsibility (CSR) is globally recognized as one of the core components of corporate strategy for ensuring the long-term value and sustainable growth of a firm. In the rapid globalization of business and finance since the 1980s, business corporations have had unprecedented influence on the societies and communities in which they operate, natural environment preservation, and resource allocation. Alongside financial liberalization and globalization since the 1990s, the linkage between the financial market’s perception of CSP and corporate financing has been attracting interest among researchers. In corporate financing, however, investors and financial institutions might not have a shared comprehensive understanding of CSR with their investees and borrowers, and there could be a perception gap of CSR between investors and financial institutions.

    DOI

  • Reform and price discovery at the Tokyo stock exchange: From 1990 to 2012

    Keiichi Kubota, Hitoshi Takehara

    Reform and Price Discovery at the Tokyo Stock Exchange: From 1990 to 2012     1 - 111  2015.01

    Other  

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    In the last two decades the Tokyo Stock Exchange implemented several important reforms in regulations, market trading mechanisms, and IT trading systems. In this book we analyze the impact of the evolution of the Tokyo Stock Exchange (TSE), at the same time discussing reforms in stock trading by related accounting standards and legal regulations. With daily stock return and market microstructure data, we analyze how these reforms have significantly influenced the pricing structure and price discovery process of traded stocks, as well as the trading style of institutional investors, individual investors, and high frequency traders.The research methodology we employ is primarily standard market microstructure tests as well as methods used in conventional empirical financial economics. We simultaneously use the most relevant concepts in these fields for our empirical tests and provide a comprehensive picture of trading, price discovery, pricing structure, and public vs. private information dissemination.

    DOI

 

Syllabus

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Overseas Activities

  • 高頻度データ・株式所有構造データを用いた株価形成過程の分析

    2014.03
    -
    2016.03

    米国   Univerisity of Hawaii at Manoa

Sub-affiliation

  • Affiliated organization   Global Education Center

  • Faculty of Commerce   Graduate School of Commerce

Internal Special Research Projects

  • オフバランス無形資産と株価弾力性

    2023   井出真吾, 小松原宰明

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    以下の2つの研究を実施した.&nbsp;[1] 「バリュー効果の再検証 ― Value Stock is Still Alive ―」同研究では企業が保有する特許から測定された技術競争力、構造型リスクモデルの下で計測された債務不履行リスクをコントロールした上で, バリュー効果を再検証した. 実証結果から, 簿価時価比率(PBRの逆数)と実現リターンとの関係は企業の技術競争力水準により異なり, さらにデフォルトリスクがゼロに近い企業ではバリュー効果は観察されないことが示された. これらの新たな観察事実は, 残余利益モデルやデフォルトリスクを考慮した株式価値評価モデルと整合的に説明することが可能である.&nbsp;&nbsp; &nbsp;同研究は井出真吾氏(ニッセイ基礎研究所), 小松原宰明氏(イボットソンアソシエイツジャパン)との共著論文として, 『証券アナリストジャーナル』誌に投稿し, 査読を経て2023年10月号に掲載された.&nbsp;[2] 「オフバランス無形資産と株価純資産倍率:無形資産間の交互作用の検証」オフバランス無形資産の主要構成要素である技術競争力, ブランドエクイティ, 人的資本の3要素が株価純資産倍率に与える影響について検証した. 技術競争力, ブランドエクイティと人的資本は, それぞれが株価純資産倍率と正の相関を持つと期待される. しかしながら回帰分析における説明変数として3変数を同時に使用した場合には, 技術競争力とブランドエクイティは株価純資産倍率と正の相関を持つが,その一方で人的資本の株価純資産倍率に対する直接的な効果は観察されなかった. また無形資産の特定の構成要素が, それ以外の構成要素と株価純資産倍率との関係に与える交互作用効果を検証したところ, 各構成要素の中央値付近でシナジー(あるいはアナジー)が最も強まることが明らかとなった. これは当該企業が技術競争力, ブランドエクイティ, 人的資本が特筆すべき強みを持たない場合に, 無形資産間でシナジーが働くものと解釈される.同研究については, 現在, 論文を改訂中であり, 2024年度前半には査読付き学術誌に投稿の予定である.&nbsp;

  • CSRが技術競争力と全要素生産性に与える影響の分析

    2022   首藤 恵

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    研究成果を以下の論文に取りまとめ, 2023年2月末までに査読付学術誌への投稿を予定している.&nbsp;Megumi Suto and Hitoshi Takehara(2022), "Diversity in the workplace, work–wife balance, and organizational productivity: Role of innovation capability"&nbsp;上記の研究においては, 東洋経済CSRデータを利用して独自に開発したwork-life balanceとequal opportunityの評価指標と, 企業が保有する特許情報から測定された技術競争力指標, そして個別企業の全要素生産性(Total Factor Productivity, TFP)の推定結果を使用して, Employee-oriented CSRが技術競争力を介して, 全要素生産性に与える効果について実証分析を実施した.&nbsp;

  • 研究開発活動が企業価値に与える影響に対する非金銭的報酬制度のモデレータ効果の検証

    2021   首藤 恵

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    &nbsp; &nbsp;本研究では, 企業の社会的責任(Corporate Social Responsibilityu, CSR)の一要素としての非金銭的報酬が, 人的資源管理と関連して企業価値に影響を与えるかどうか, また影響を与えるとすればどのような経路を介して企業価値に影響を与えるのかを実証的に分析した. 2006~2019年までをサンプル期間とした国内製造業に関する長期パネルデータを用いた回帰結果から, いくつかの重要な知見が得られた.&nbsp;&nbsp; &nbsp;非金銭的報酬は, 単独でも従業員のイノベーションへの動機を高めるが, 同時に金銭的報酬と相乗的効果を生んでおり, 最終的に企業価値を上昇させる. その一方で, 非金銭的報酬など従業員モティベーション以外のCSR評価は, 技術競争力と企業価値との正の相関関係を弱める. 従って従業員と株主, 債権者など従業員以外のステークホルダー間で利益相反が生じるリスクが否定できない. このことは企業のイノベーション能力を企業価値にリンクするためにはテークホルダー・エンゲージメントが重要性であることを示唆している. その意味では, 企業の持続的発展のためのイノベーションを考える上で, CSR戦略と人的資本管理の整合性を図るべきである.&nbsp;

  • 特許権, 商標権が企業価値に及ぼす相互作用効果の分析

    2020  

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    本研究では、特許権と商標権が企業価値に及ぼす影響と、それらの交互作用効果を検証した。長期パネルデータを用いた実証から、特許権、商標権の両方が企業価値を高めることを確認した。また特許権と商標権の企業価値に対する交互作用は、特定企業群に限定して有意となることを確認しており、特許、商標を企業価値評価に反映させる場合、評価対象企業の業態等に応じて、特許と商標の交互作用効果を明示的に考慮すべきである。

  • 無形資産情報が企業リスクに与える効果の分析

    2019  

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    以下の2点について研究を実施した.(1) 井出真吾, 竹原 均 「商標権情報が企業のリスク・リターン特性に与える影響」&nbsp;企業の維持している商標権情報が財務パフォーマンスに与える影響について分析した. 2007~2016年の10年間をサンプル期間とするパネルデータを用いた実証分析の結果,&nbsp; 商標権ポートフォリオは複数のリスク指標のほとんどについて, それらを低下させることが明らかとなった.&nbsp;(2) Megumi Suto and Hitoshi Takehara (2019),&nbsp;&nbsp; &nbsp; "Innovation, CSR Intensity, and Market-based Risk: Evidence from Japan".&nbsp;&nbsp; 技術競争力の獲得を目的とした企業の研究開発投資はIdiosyncratic Volatilityを上昇させるが, CSR (Corporate Social Responsibility)に優れた企業においては, イノベーション活動とリスクとの正の相関関係が緩和されることを実証的に示した.&nbsp;

  • 商標権情報が企業価値・財務特性に与える影響に関する分析

    2018   井出真吾

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    商標権情報について, 研究計画期間内において, ニッセイ基礎研究所シニアエコノミスト井出真吾氏と共同研究を実施し, 以下の2編の論文を執筆した. (1)については日本ファイナンス学会2018年大会での研究発表後に, 査読付き学術誌に投稿し, 現在, 審査中である. (2)については, 本年度日本ファイナンス学会での研究発表を予定している. (1) 井出真吾, 竹原 均 (2018), 「商標権情報の価値関連性: 株価と財務特性にブランドイメージが与える影響」(2) 井出真吾, 竹原 均 (2019), 「商標権情報と企業の財務パフォーマンス」

  • 非財務情報の価値関連性と株価形成への影響の分析

    2017   首藤 惠

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    研究期間内において,以下の2種類の研究を実施した. [1] Corporate Social Performanceと経営者業績予想, 株式市場の反応&nbsp;&nbsp; 経営者業績予想の精度とCorporate Social Performance (CSP)の関係を調査するとともに, 業績予想に対する株式市場の反応について実証分析を行った. 実証分析の結果, CSPの高い企業ほど経営者予想における予測バイアスが低いことが示された. したがってCSR活動は透明性・信頼性を高め, 結果として企業の持続的成長につながる可能性があることが示唆された. またCSPの高い企業ほどインプライド自己資本コストは低く, したがって資本市場における株価評価にもCSPが織り込まれていると言える. [2] 企業の技術競争力とCorporate Social Performance,Corporate Social Performance&nbsp; 特許情報を用いて企業の技術競争力を測定し, 企業の技術競争力, Corporate Social Performance (CSP),Corporate Social Performance (CFP)間の相互関係を構造方程式モデルを用いて分析した. 実証の結果, 技術競争力が高いほど企業のリスクは低いが, このような技術競争力とリスクの負の相関は, CSPを媒介変数として説明されることが示された. すなわち研究開発投資に積極的な企業は, 資本市場において投資家からの信頼を獲得するためにCSR活動にも積極的であり, その結果として市場におけるリスク評価が低下するものと考えられる.

  • 株式所有構造と企業パフォーマンス・長期戦略

    2016  

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    研究課題 「株式所有構造と企業パフォーマンス・長期戦略」研究課題「コーポレート・イノベーションと企業特性・資本市場評価に関する多面的研究」(科研費基盤C, 平成27-29年)において, 株式所有構造と特許情報との関係について検証し, 研究論文としてとりまとめた. そこでの分析から, 従来の多くの研究においては機関投資家として一括りとされている, 金融機関とその他企業(非金融)による株式保有比率の間に統計的に有意な負の相関が有ることが明らかとなった. そこで本研究課題では, 株式所有構造が,社会的パフォーマンス(Corporate Social Performance, CSP), 研究開発戦略, 市場流動性に与える影響を分析することを主たる目的とした. 研究成果としては, 以下の論文2編を執筆し, 現在, 査読付学術誌に投稿し, 審査中である[1] Kubota, K. and H. Takehara (2016), "Innovation by Japanese family firms: Comparison with non-family firms." 株式所有構造のうち, 特に創業家持ち株比率に焦点をあて, 同族企業と非同族企業間での研究開発戦略の違いについて分析した. [2] Suto, M.and H.Takehara (2016), "CSR and cost of capital: Evidence from Japan." 法人株式所有比率, 負債の銀行依存度が企業のCSR活動を介して, 資本コストにどのような影響を与えるかについて分析した.

  • 会計の保守主義に関する理論・実証研究: 市場参加者のリスク認識の視点から

    2013  

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    以下の論文2編を執筆し, それぞれについて研究発表を行い, 現在, 学術誌に投稿して審査中である. (1)「会計の保守主義と投資家のリスク認識」 保守主義は我が国において現在, 企業会計原則の一つであるものの, IFRS, FASBの概念フレームワークにおいては, 保守主義は中立性に反するものとして会計測定値が持つべき属性からは除外されており, 討議資料財務会計の概念フレームワークにおいても注において別の観点であると言及されているのみである. 保守主義はかねてから会計情報の信頼性が損なわれる点が指摘されてきている (Hendriksen, 1982). 本研究では, 完備市場においてリスク中立確率(risk neutral probability)が一意に存在する状況を仮定し, 保守主義が株式リターンの期待値とリスクとの関係に及ぼす影響を分析する. そして, もっとも簡単化された設定としての2資産完備市場のもとで, 実証分析において広く用いられてきたBasu (1997)のTimely Loss Recognition (TLR) measureによって保守主義の度合いが必ずしも正しく測定されているわけではないことを示した. これはPatatoukas and Thomas (2009, 2010)による実証的批判を理論的に補完するものでもある. さらに, その結果, 本分析のフレームワークの中では, 保守主義が会計情報の信頼性を低下させ, 投資家のリスク認識に歪みを与えることになる構造が明らかとされた. (2) "Family Firms, Accounting Conservatism, and Information Asymmetry: Evidence from Japan" 同研究においては, 同族企業が非同族企業と比較して保守的な会計手続きを選択するかどうかを, Basu (1997)によるモデルに情報の非対称性の一尺度であるEasley, Hvidkjaer and O'Hara(2002)のPIN Variableを付加して拡張したモデルを用いて検証した. 分析の結果, PINにより測定された情報の非対称性の度合いは同族企業において大きく, 同族企業の経営者は投資家間の情報の非対称性を緩和するために, 保守的な会計手続きを選択する傾向が明らかとされた. なお, 上記の研究(1)については, 完備市場でリスク中立確率が一意に定まるという前提条件を緩和して, 資本資産価格評価モデル(Capital Asset Pricing Model, CAPM)に代表される均衡モデルが成立し, 対応する確率的ディスカウントファクター(Stochastic Discount Factor, SDF)が存在するjでの分析の枠組みを検討中である.

  • 年金基金が直面する要検討課題に対する産学連携研究:制度の安定継続を目指して

    2010   首藤 惠, 森平爽一郎, 宇野 淳, 米澤康博

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    本研究課題は, 公的年金制度に関する研究と, 企業年金制度に関する研究の2部門から構成される. このうち前者の公的年金制度に関する研究については, 厚生労働科学研究費補助金(政策科学推進研究事業)「公的年金の直面する要検討課題に対する理論・実証研究」の初年度研究と研究組織・内容においてその多くが重複している. これに対して, 本研究課題における独自部分として実施されたのが, 企業年金制度, および企業年金資産運用に関する後者の部分である. 公的年金制度に関する研究については, 臼杵政治(名古屋市立大学), 井出真吾(ニッセイ基礎研究所), 大森孝造(中央三井アセットマネジメント)の3名を学外研究研究者として迎え, 研究代表者, 連携研究者との共同研究を含む論文6編から成る厚生労働科学研究費補助金・平成22年度研究報告書を刊行した. また企業年金制度に関する研究では, 矢野 学(住友信託銀行)を研究協力者として加え, 退職給付会計に関する研究を実施した他, 竹原 均(研究代表者)がリスク・バランスシート構築のための基礎技術となる企業業績と株価推定のためのモンテカルロ・シミュレーションに関する研究を実施した. また竹原は久保田敬一(中央大学)とともに, 株式市場の効率性と会計利益の時系列特性特性に関する研究を実施した. この他, 年金資産運用全般, 年金ガバナンス, 運用評価に関する研究を, 平成23年度以降に継続して実施していく上での基盤となるデータベースの整備を行い, 本研究課題を出発点として, 研究を発展させていくことを計画している.

  • 企業財務情報の時系列特性分析とモンテカルロ・シュミレーション

    2006  

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    以下の内容について研究を実施した. 1) 実効法人税率計算のためのモンテカルロシミュレーション 課税所得が1階の自己回帰モデルに従うとの仮定の下で, 実効法人税率を計算するためのモンテカルロシミュレーション法を実装し, 東京証券取引所全上場企業について, 実効法人税率を具体的に測定した. この結果の一部を論文として取りまとめた. 2) 加重平均資本コストデータベースの整備 実効法人税率の測定結果をもとに, 加重平均資本コスト(Weigted Average Cost of Capital, WACC)の測定を行い, 産業間平均について時系列での振る舞いを確認した. その結果については論文として取りまとめた.3) 会計利益, キャッシュフローの時系列特性の分析 当期純利益, 営業キャッシュフロー, アクルーアルズについて, 時系列特性を再検証した. 具体的には直近までのデータを使用して, 個別企業ベースで単位根検定を実施し, これらの会計数値の持続性, 変動性の程度を検証した. しかしこの部分については, これから論文を執筆の予定.

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