- 追加された行はこの色です。
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[[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(29_SIG-FIN-24.pdf);