{"created":"2023-07-27T07:45:40.219549+00:00","id":19920,"links":{},"metadata":{"_buckets":{"deposit":"d7c3e44b-d7a2-43fa-a6bf-12fc4f067575"},"_deposit":{"created_by":21,"id":"19920","owners":[21],"pid":{"revision_id":0,"type":"depid","value":"19920"},"status":"published"},"_oai":{"id":"oai:doshisha.repo.nii.ac.jp:00019920","sets":["4251:6216:6217:6296:6321","8:1944:2023:2048"]},"author_link":["540"],"item_1693811493084":{"attribute_name":"出版タイプ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_1694490770713":{"attribute_name":"権利者情報","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"DA03409702","nameIdentifierScheme":"AID"}],"rightHolderNames":[{"rightHolderLanguage":"ja","rightHolderName":"同志社大學經濟學會"},{"rightHolderLanguage":"en","rightHolderName":"The Doshisha Economic Association"}]}]},"item_1_biblio_info_14":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2006-12-20","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"3","bibliographicPageEnd":"79","bibliographicPageStart":"51","bibliographicVolumeNumber":"58","bibliographic_titles":[{"bibliographic_title":"經濟學論叢","bibliographic_titleLang":"ja"},{"bibliographic_title":"Keizaigaku-Ronso (The Doshisha University economic review)","bibliographic_titleLang":"en"}]}]},"item_1_description_12":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"本論は、日経225株価指数、及び追加型株式投資信託の日次データを用いて、価格収益率とボラティリティの関係について実証分析を行っている。危険資産のリターンが負の場合は、正の場合に比べてそのリスクが大きいという負の因果性が見られるか否か、ノンパラメトリックな回帰分析を用いて実証するとともに、その理論的分析をプロスペクト理論を用いて行っている。結果、日本の株式インッデクス、及びインデックス連動型の投資信託にはこの負の因果性が見られ、プロスペクト理論における価値関数がその投資家行動を説明しうることを示した。しかし、分配回数の多い人気投資信託や収益性を重視した投資信託には両者の明確な因果性が見られず、特に、前者はリターンの大きさに関係なく、低いリスク水準を一定に保っていることがわかった。これは、分配型投資信託が人気商品になっている要因の一つであると考えられる。","subitem_description_language":"ja","subitem_description_type":"Abstract"},{"subitem_description":"This paper investigates the correlation between the volatilities and the indices returns using daily data for Nikkei 225 and Japanese Open Stock Investment Trusts. Both a prospect theory and a nonparametric regression method are used to investigate a negative relationship between volatilities and returns.Three important features are found. First, the volatilities of both the Japanese stock index and the funds whose indices are connected with the stock market indices are found to depend negatively on the returns. This negative relationship is shown with a value function in the prospect theory. Second, the volatilities are not related to the returns of the funds with the monthly dividends and the funds whose returns are higher than the other funds. Third, the volatilities of the funds with the monthly dividends keep low levels at all the returns. This is a reason why the funds are the most popular.","subitem_description_language":"en","subitem_description_type":"Abstract"}]},"item_1_description_13":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"論説(Article)","subitem_description_language":"ja","subitem_description_type":"Other"}]},"item_1_description_25":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_1_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.14988/pa.2017.0000011125","subitem_identifier_reg_type":"JaLC"}]},"item_1_publisher_15":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"同志社大學經濟學會","subitem_publisher_language":"ja"}]},"item_1_publisher_16":{"attribute_name":"出版者（英）","attribute_value_mlt":[{"subitem_publisher":"The Doshisha Economic Association","subitem_publisher_language":"en"}]},"item_1_relation_24":{"attribute_name":"関連サイト","attribute_value_mlt":[{"subitem_relation_name":[{"subitem_relation_name_language":"ja","subitem_relation_name_text":"掲載刊行物所蔵情報へのリンク ／ Link to Contents"}],"subitem_relation_type":"isFormatOf","subitem_relation_type_id":{"subitem_relation_type_id_text":"https://doors.doshisha.ac.jp/opac/opac_link/bibid/SB00957563/?lang=0","subitem_relation_type_select":"URI"}}]},"item_1_select_10":{"attribute_name":"所属機関識別子種別","attribute_value_mlt":[{"subitem_select_item":"kakenhi"}]},"item_1_select_11":{"attribute_name":"所属機関識別子","attribute_value_mlt":[{"subitem_select_item":"34310"}]},"item_1_source_id_17":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"03873021","subitem_source_identifier_type":"PISSN"}]},"item_1_source_id_19":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00070477","subitem_source_identifier_type":"NCID"}]},"item_1_subject_27":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"338.1","subitem_subject_scheme":"NDC"}]},"item_1_text_8":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_language":"ja","subitem_text_value":"同志社大学経済学部教授"}]},"item_1_text_9":{"attribute_name":"著者所属（英）","attribute_value_mlt":[{"subitem_text_language":"en","subitem_text_value":"Doshisha University"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"open access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_abf2"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"新関, 三希代","creatorNameLang":"ja"},{"creatorName":"ニイゼキ, ミキヨ","creatorNameLang":"ja-Kana"},{"creatorName":"Niizeki, Mikiyo Kii","creatorNameLang":"en"}],"nameIdentifiers":[{},{},{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2007-06-16"}],"displaytype":"detail","filename":"034058030002.pdf","filesize":[{"value":"793.4 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"034058030002.pdf","url":"https://doshisha.repo.nii.ac.jp/record/19920/files/034058030002.pdf"},"version_id":"81955b89-46dc-458d-8215-0ae822134bc7"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Prospect Theory","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Investment Trust","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Nonparametric Regression","subitem_subject_language":"en","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":"リスクとリターンの実証分析 : 行動ファイナンスによるアプローチ","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"リスクとリターンの実証分析 : 行動ファイナンスによるアプローチ","subitem_title_language":"ja"},{"subitem_title":"リスク ト リターン ノ ジッショウ ブンセキ : コウドウ ファイナンス ニ ヨル アプローチ","subitem_title_language":"ja-Kana"},{"subitem_title":"Empirical Tests between Risks and Returns : An Analysis with a Prospect Theory","subitem_title_language":"en"}]},"item_type_id":"1","owner":"21","path":["2048","6321"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2007-06-15"},"publish_date":"2007-06-15","publish_status":"0","recid":"19920","relation_version_is_last":true,"title":["リスクとリターンの実証分析 : 行動ファイナンスによるアプローチ"],"weko_creator_id":"21","weko_shared_id":-1},"updated":"2023-11-10T01:22:54.527950+00:00"}