{"created":"2023-06-20T13:43:47.349038+00:00","id":1604,"links":{},"metadata":{"_buckets":{"deposit":"e873d55e-f7a8-456a-b5a4-655cbd4748a7"},"_deposit":{"created_by":2,"id":"1604","owners":[2],"pid":{"revision_id":0,"type":"depid","value":"1604"},"status":"published"},"_oai":{"id":"oai:fut.repo.nii.ac.jp:00001604","sets":["1"]},"author_link":["14762","14763"],"item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2016-07-21","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"46","bibliographicPageEnd":"225","bibliographicPageStart":"211","bibliographic_titles":[{"bibliographic_title":"福井工業大学研究紀要"}]}]},"item_10002_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"We investigate time variation in Capital Asset Pricing Model (CAPM) betas across stock market volatility regimes. For our analysis, we jointly model TOPIX Core 30 Index constituents stock returns using three-state Markov-switching process, with betas allowed to vary in low, medium, and high volatility regimes. The time-varying betas help explain market dynamics much better than the unconditional CAPM. Our empirical findings suggest strong evidence of time variation in betas across three-state volatility regimes in almost all the cases. With this perspective, it is clear that the proposed model in this study would be useful for financial practitioners who invest in stock markets.","subitem_description_type":"Abstract"}]},"item_10002_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.57375/00001598","subitem_identifier_reg_type":"JaLC"}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"福井工業大学"}]},"item_10002_relation_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"TF00010479","subitem_relation_type_select":"NCID"}}]},"item_10002_version_type_20":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"千葉, 賢"}],"nameIdentifiers":[{"nameIdentifier":"14762","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Chiba, Masaru","creatorNameLang":"en"}],"nameIdentifiers":[{"nameIdentifier":"14763","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2023-04-12"}],"displaytype":"detail","filename":"211-225.pdf","filesize":[{"value":"12.6 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"211-225.pdf","url":"https://fut.repo.nii.ac.jp/record/1604/files/211-225.pdf"},"version_id":"0e2fc664-1d8f-47db-8fe6-234f8ae258a0"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"CAPM","subitem_subject_scheme":"Other"},{"subitem_subject":"Time-varying Beta","subitem_subject_scheme":"Other"},{"subitem_subject":"Markov-switching Volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Kalman Filter","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"経時変化するベータおよび状態変化を伴うボラティリティを組み入れた資本資産評価モデルの構築","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"経時変化するベータおよび状態変化を伴うボラティリティを組み入れた資本資産評価モデルの構築"},{"subitem_title":"A Capital Asset Pricing Model with Time-varying Beta and Markov-switching Volatility","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"2","path":["1"],"pubdate":{"attribute_name":"公開日","attribute_value":"2016-07-21"},"publish_date":"2016-07-21","publish_status":"0","recid":"1604","relation_version_is_last":true,"title":["経時変化するベータおよび状態変化を伴うボラティリティを組み入れた資本資産評価モデルの構築"],"weko_creator_id":"2","weko_shared_id":-1},"updated":"2023-06-20T14:11:08.409313+00:00"}