024-31

| Topic path: Top / 024-31

[[第24回研究会>024]]

*経済因果チェーンを用いたリードラグ効果の実証分析 [#sdfaa6c1]

**著者 [#ta652fe0]
中川慧, 指田晋吾(野村アセットマネジメント), 坂地泰紀, 和泉潔(東京大学)

**概要 [#qc3f2714]
A lead-lag effect in stock markets describes the situation where one (leading) stock return is cross-correlated with another (lagging) stock return at later times. 
There are various methods for stock return forecasting based on such a lead-lag effect. 
One of the most representative methods is based on the supply chain network. 
In this research, we propose a stock return forecasting method with an economic causal chain. 
The economic causal chain refers to a cause and effect network structure constructed by extracting a description indicating a causal relationship from the texts of Japanese financial statement summaries. 
We examine the following lead-lag effect. 
(1) whether lead-lag effect spreads to the 'effect' stock group when there is a large stock fluctuation in the 'cause' stock group in the causal chain. 
(2) whether lead-lag effect spreads to the 'cause' stock group when there is a large stock fluctuation in the 'effect' stock group in the causal chain. 
We confirm the existence of the both side of lead-lag effect and the evidence of stock return predictability across causally linked firms in the Japanese stock market. 

**キーワード [#y7dc8bec]
Economic Casual Chain, Lead-Lag Effect, Stock Return Predictability

**論文 [#qfb7ab1e]

(3月11日以降に公表いたします)
//&ref(31_SIG-FIN-24.pdf);
//(3月11日以降に公表いたします)
&ref(29_SIG-FIN-24.pdf);
トップ   編集 差分 バックアップ 添付 複製 名前変更 リロード   新規 一覧 単語検索 最終更新   ヘルプ   最終更新のRSS