Influence of the Capital Structure of Company on the Stock Price

(1)

________________________________

*Department of Mathematical Sciences, Doshisha University, Kyoto Telephone: +81-774-65-6681, E-mail:[email protected]

Influence of the Capital Structure of Company on the Stock Price

Tatsuya K^AWAI^㸨^㸪Hiroshi T^SUDA^㸨 (Received July 10, 2014)

This paper estimates how the capital structure of company influences on the stock price. Which is better for company, using equity capital or liabilities to raise the business valuation? To answer this question, we estimated the optimal amount of liabilities in terms of tax benefits. Then we analyzed how the gap between the optimal amount and the actual amount concerning liabilities influences on the stock price.

.H\ZRUGVoptimal capital structure, quantitative finance, decision theory

࣮࣮࢟࣡ࢻ᭱㐺㈨ᮏᵓᡂ㸪ィ㔞ࣇ࢓࢖ࢼࣥࢫ㸪Ỵᐃ⌮ㄽ

௻ᴗࡢ㈨ᮏᵓᡂࡀᰴ౯࡟୚࠼ࡿᙳ㡪

Ἑྜ ❳ஓ㸪ὠ⏣ ༤ྐ

ࡣࡌࡵ࡟

௻ᴗࡢ⤒Ⴀ⪅ࡸ㈈ົᢸᙜ⪅࡟࡜ࡗ࡚㸪௻ᴗάື࡟

ᚲせ࡞㈨㔠ࢆ㈇മ࡛ㄪ㐩ࡍࡿ࠿᪂ᰴⓎ⾜࡟ࡼࡾㄪ㐩ࡍࡿ࠿ࡣᴟࡵ࡚㔜せ࡞㑅ᢥ࡛࠶ࡿ㸬㈇മ࡟ࡼࡗ࡚

㈨㔠ㄪ㐩ࢆ⾜࠺࡜㸪⠇⛯ຠᯝࡀ࠶ࡿ୍᪉࡛㸪ಽ⏘ࣜ

ࢫࢡࡀ㧗ࡲࡿ㸬ࡇࡢ㈇മࡢ࣓ࣜࢵࢺ࡜ࢹ࣓ࣜࢵࢺࡢ ୧≉ᚩࢆ⪃៖ࡋࡓୖ࡛㸪௻ᴗ౯್ࡀ᭱኱࡜࡞ࡿ㈨ᮏ ᵓᡂࡢࡇ࡜ࢆ㸪᭱㐺㈨ᮏᵓᡂ࡜࿧ࡪ㸬ከࡃࡢᐇドศ ᯒ࡟࠾࠸࡚㸪௻ᴗࡢ㈨ᮏᵓᡂࡣ᭱㐺࡜ᛮࢃࢀࡿ㈨ᮏ ᵓᡂ࡟ᅇᖐࡍࡿ࡜࠸࠺◊✲ሗ࿌ࡀ࡞ࡉࢀ࡚࠸ࡿ㸬୍

᪉㸪᭱㐺㈨ᮏᵓᡂ࡟㏆࠸ࡶࡋࡃࡣ㸪㞳ࢀࡓ㈨ᮏᵓ ᡂࢆᣢࡘ௻ᴗࡀᰴᘧᕷሙ࡟࡝ࡢࡼ࠺࡟ホ౯ࡉࢀ࡚

࠸ࡿ࠿࡜࠸࠺ඛ⾜◊✲ሗ࿌ࡣከࡃ࡞࠸㸬

ࡑࡇ࡛㸪ᮏ◊✲ࡢ➨୍ࡢ┠ⓗ࡜ࡋ࡚㸪᭱㐺㈨ᮏᵓ ᡂࢆ⪃៖ࡋࡓ㈨ᮏᵓᡂࢆ⾲ࡍGrahamࡢKinkࢆ⏝

࠸࡚㸪㈨ᮏᵓᡂࡀᰴ౯࡟୚࠼ࡿᙳ㡪ࢆᐇドศᯒ࡟ࡼ

ࡗ᳨࡚ドࡍࡿ㸬ḟ࡟㸪ᐇドศᯒࡼࡾ㸪Kink ࡜ᰴᘧ

཰┈⋡࡜ࡢ㛫࡟᭷ព࡞㛵ಀࡀ࠶ࡗࡓࡓࡵ㸪ᮏ◊✲ࡢ

➨஧ࡢ┠ⓗ࡜ࡋ࡚㸪KinkࡀFama-French3ࣇ࢓ࢡࢱ

࣮ࣔࢹࣝࡢ࢔ࣀ࣐࣮ࣜࢆㄝ᫂ࡍࡿࡢ࡟㐺ࡋࡓኚᩘ

࡛࠶ࡿ࠿࡝࠺࠿᳨ドࡍࡿ㸬

⫼ᬒ ᭱㐺㈨ᮏᵓᡂ࡜Kink

㈨ᮏᵓᡂ࡟㛵ࡍࡿ◊✲ࡢṔྐࡣ㛗࠸㸬᭱ࡶྂ࠸ࡶ

ࡢ࡛ࡣ㸪Modigliani and Miller࡟ࡼࡿMM⌮ㄽ࡛࠶

ࡿ㸬ࡇࢀࡣ㸪᏶඲㈨ᮏᕷሙ㸦฼Ꮚ⋡ࡀ୍ᚊ㸪⛯ไ࡞

ࡋ㸪ᕷሙཧຍ⪅ࡣ඲ဨྠࡌ᝟ሗࢆ฼⏝ྍ⬟࡜ࡍࡿ㸪

⌮᝿ⓗᕷሙ㸧ࢆ௬ᐃࡍࡿሙྜ㸪௻ᴗ౯್ࡣ㈨㔠ㄪ㐩 ᪉ἲ࡟౫Ꮡࡋ࡞࠸࡜࠸࠺ࡶࡢ࡛࠶ࡿ㸬ࡋ࠿ࡋ㸪⌧ᐇ

࡟ࡣ⛯ไࡣᏑᅾࡋ᏶඲ᕷሙ࡛ࡣ࡞࠸㸬ࡑࡇ࡛㸪 Modigliani and Miller࡛ࡣ㸪ἲே⛯ࢆ⪃៖ࡍࡿሙྜ㸪

㈇മࡀቑ࠼ࡿ࡟ᚑ࠸㸪௻ᴗ౯್ࡀቑ኱ࡍࡿ㸬ࡑࢀࡣ㸪

⠇⛯ຠᯝࢆ኱ࡁࡃࡋ㸪௻ᴗ౯್ࢆ㧗ࡵࡿ㸬࡜࠸࠺⪃

࠼࡟ࡼࡿࡶࡢ࡛࠶ࡿ㸬ࡋ࠿ࡋ㸪㈇മࢆ㧗ࡵࡿࡇ࡜ࡣ㸪 ಽ⏘ࣜࢫࢡࡶ㧗ࡵࡿ㸬ࡘࡲࡾ㸪㈇മ࡟ࡼࡿ⠇⛯ຠᯝ ࡢୖ᪼࡜ಽ⏘ࣜࢫࢡࡢୖ᪼ࡣ㸪㈨ᮏᵓᡂ࡟࠾࠸࡚ࢺ

࣮ࣞࢻ࢜ࣇࡢ㛵ಀ࡟࠶ࡿ㸬ࡇࡢࢺ࣮ࣞࢻ࢜ࣇࡢ㛵ಀ

࠿ࡽ㸪௻ᴗ౯್ࢆ᭱኱࡟ࡍࡿ᭱㐺㈨ᮏᵓᡂࡀᏑᅾࡍ

ࡿ㸬ᐇ㝿㸪௻ᴗࡀ㈨ᮏᵓᡂࢆ᭱㐺㈨ᮏᵓᡂ࡟㏆࡙ࡅ

ࡿࣇ࢓࢖ࢼࣥࢫ⾜ືࡣከࡃࡢᐇドศᯒ࡟ࡼࡗ࡚☜

ㄆࡉࢀ࡚࠸ࡿ㸬୍᪉㸪㈨ᮏᵓᡂࡀᐇ㝿ࡢ௻ᴗ౯್࡟

࡝ࡢࡼ࠺࡞ᙳ㡪ࢆ୚࠼࡚࠸ࡿࡢ࠿࡜࠸࠺ほⅬ࠿ࡽ

ࡢ◊✲ࡣࡑࢀ࡯࡝ከࡃ࡞࠸㸬ᡃࡀᅜ࡟࠾࠸࡚ࡶ㸪ⲡ

ሙࡣ㸪㈈ົࣞࣂࣞࢵࢪ࡜ᰴᘧࡢ㛵ಀࢆᅇᖐศᯒ࡟

ࡼࡗ࡚ศᯒࡋࡓࡀ㸪௒ᚋࡢㄢ㢟࡜ࡋ࡚ࠕ஦ᴗ⎔ቃࡢ

ࡵࡲࡄࡿࡋ࠸ኚ໬࡟కࡗ࡚㸪᭱㐺㈨ᮏᵓᡂࡶࢲ࢖ࢼ

࣑ࢵࢡ࡟ኚ໬ࡍࡿࡇ࡜ࡣ࠸࠺ࡲ࡛ࡶ࡞࠸㸬ࢫࢱࢸ࢕

ࢵࢡୟࡘᖹᆒᴫᛕ࡟ᇶ࡙࠸࡚㆟ㄽࡍࡿᮏ✏ࡣ㸪ࡑࡢ

Ⅼ࡛㝈⏺ࡀ࠶ࡿ㸬ࠖ࡜㏙࡭࡚࠸ࡿ㸬

ࡑࡇ࡛㸪ᮏ◊✲࡛ࡣ㸪㈨ᮏᵓᡂ࡜᭱㐺㈨ᮏᵓᡂ࡜

ࡢ㛵ಀࢆ⾲ࡍGrahamࡢKinkࢆ⏝࠸࡚㸪㈨ᮏᵓᡂ

࡜ᰴ౯࡜ࡢ㛵ಀࢆ᫂ࡽ࠿࡟ࡍࡿࡇ࡜ࢆヨࡳࡓ㸬௻ᴗ ౯್ࡢᵓᡂせ⣲࡜ࡋ୍࡚⯡ⓗ࡟฼⏝ࡉࢀࡿᰴᘧ᫬

౯⥲㢠࡜ࡢ㛵ಀ࠿ࡽ㸪ᑗ᮶ࡢᰴᘧࣜࢱ࣮ࣥ࡟ᑐࡋ㸪

㈨ᮏᵓᡂࡀ࡝ࡢࡼ࠺࡞ᙳ㡪ࢆ୚࠼࡚࠸ࡿࡢ࠿ࢆㄪ

࡭࡚࠸ࡃ㸬ࡑࡢ㐣⛬࡛㸪௻ᴗࡢ㈨ᮏᵓᡂࢆ⾲ࡍᣦᶆ

࡜ࡋ࡚Kinkࢆ౑⏝ࡍࡿ㸬Kinkࡣ㸪ᚑ᮶ࡢ㈨ᮏ࡜㈇

മࡢ༢࡞ࡿẚ⋡ࢆ♧ࡍ㈇മẚ⋡࡞࡝ࡢᣦᶆ࡜ࡣ␗

࡞ࡾ㸪᭱㐺㈨ᮏᵓᡂ࡜ࡢ㛵ಀࢆ㋃ࡲ࠼ࡓᣦᶆ࡛࠶ࡿ㸬

᪥ᮏᕷሙ࡟࠾ࡅࡿ Fama-French3 ࣇ࢓ࢡࢱ࣮ࣔ

ࢹࣝ

ࣇ࢓࢖ࢼࣥࢫࡢศ㔝࡟࠾࠸࡚㸪㈨ᮏࢥࢫࢺࡢ᥎ᐃ ࡣ᭱ࡶ㔜せ࡞ㄢ㢟ࡢࡦ࡜ࡘ࡛࠶ࡿ㸬㈨ᮏࢥࢫࢺࢆ᥎ ᐃࡍࡿࣔࢹࣝࡢ㸯ࡘ࡜ࡋ࡚㸪Fama-French3ࣇ࢓ࢡࢱ

࣮ࣔࢹࣝࡀ࠶ࡿ㸬ࡋ࠿ࡋ㸪ᙜࣔࢹࣝࡣ⡿ᅜᰴᘧᕷሙ

࡛ࡢඛ⾜◊✲ࡀከࡃࡳࡽࢀࡿࡶࡢࡢ㸪᪥ᮏᕷሙ࡟㐺

⏝ࡉࢀࡓ◊✲ࡣᑡ࡞࠸㸬ᐇ㝿࡟㸪ኴ⏣࡛๭Ᏻᛶせ ᅉ࡜ࡋ࡚⮬ᕫ㈨ᮏ¹᫬౯⥲㢠ࢆᇶ‽࡜ࡋࡓᣦᶆ

HML㸦High Minus Low㸧ࡣ㸪⡿ᅜᕷሙ࡜᪥ᮏᕷሙࡢ

୧ᅜ࡟࠾࠸࡚᭷ຠ࡛࠶ࡿ࡜㏙࡭ࡽࢀ࡚࠸ࡿࡀ㸪௻ᴗ つᶍせᅉ࡜ࡋ࡚᫬౯⥲㢠ࢆᇶ‽࡟ồࡵࡓつᶍᣦᶆ SMB㸦Small Minus Big㸧ࡣ㸪᪥ᮏᕷሙ࡟࠾࠸࡚࠶ࡲ

ࡾ᭷ຠ࡛ࡣ࡞࠸࡜ࡋ࡚࠸ࡿ㸬ࡑࡇ࡛㸪ᮏ◊✲࡛ࡣ

Fama-French3ࣇ࢓ࢡࢱ࣮ࣔࢹࣝ࡟Kink࡜࠸࠺᪂ࡋ

࠸ࣇ࢓ࢡࢱ࣮ࢆຍ࠼ࡿࡇ࡜࡛㸪Fama-French3ࣇ࢓ࢡ ࢱ࣮ࣔࢹࣝࡢ⢭ᗘྥୖࢆ┠ᣦࡋ㸪Kink ࡀᰴᘧᕷሙ ࡢ࢔ࣀ࣐࣮ࣜࢆㄝ᫂ࡍࡿ࠿ࢆ᳨ドࡍࡿ㸬

ศᯒ᪉ἲ࡜ศᯒᑐ㇟ࢹ࣮ࢱ 㝈⏺⛯⋡ࡢ᥎ᐃ᪉ἲ

㝈⏺⛯⋡ࡢᐃ⩏ࡣ㸪ࠕほ ᫬Ⅼ࠿ࡽࡳࡓᑗ᮶࡟࠾

ࡅࡿᨭᡶ฼ᜥࡢ⌧ᅾ౯್(Present value, PV)ࡢྜィ

౯್ࡀ1༢఩ቑຍࡍࡿ࡜ࡁࡢ㸪ほ ᫬Ⅼ࠿ࡽᑗ᮶࡟

࠾ࡅࡿ⛒⛯മົࡢ⌧ᅾ౯್ࡢྜィ౯್ࡢኚ໬ࠖ࡜ࡍ

ࡿ㸬ᐇ㝿࡟⾲ࢆ౑ࡗ࡚ㄝ᫂ࡍࡿ㸬⡆༢ࡢࡓࡵ㸪㝈⏺

⛯⋡ࡢ᥎ᐃ౛ࡣ ᮇ㛫࡛⾜࠺㸬࡞࠾㸪ᐇド◊✲࡛ࡣ㸪 ᮇ㛫࡛⾜ࡗ࡚࠸ࡿ㸬

Table 1. Example taxable income and interest payment Period 0 Period 1

Taxable income

Interest

Table 2. Example discount rate and tax rate Discount rate 10%

Tax rate 40%

Table 3. In case of “Interest payment1”

Period 0 Period 1

Taxable income and

interest payment -100 400

Less: Interest payment 100 120 Sum PV of interest payment 100 108 208

Taxable income -200 280

Less: Tax carryover 200

Pretax profit 0 80

Tax payment 0 32 Sum

PV of tax payment 0 29 29

Table 4. In case of “Interest payment1.2”

Period 0 Period 1

Taxable income and

Less: Interest payment 120 142 sum PV of interest payment 120 128 248

Pretax profit 0 38

Tax payment 0 15 sum

ᘧ㸦1㸧㝈⏺⛯⋡=(29-14)/(248-208)=0.375 Kinkࡢ᥎ᐃ᪉ἲ

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________________________________

*Department of Mathematical Sciences, Doshisha University, Kyoto Telephone: +81-774-65-6681, E-mail:[email protected]

Influence of the Capital Structure of Company on the Stock Price

Tatsuya K^AWAI^㸨^㸪Hiroshi T^SUDA^㸨 (Received July 10, 2014)

This paper estimates how the capital structure of company influences on the stock price. Which is better for company, using equity capital or liabilities to raise the business valuation? To answer this question, we estimated the optimal amount of liabilities in terms of tax benefits. Then we analyzed how the gap between the optimal amount and the actual amount concerning liabilities influences on the stock price.

.H\ZRUGVoptimal capital structure, quantitative finance, decision theory

࣮࣮࢟࣡ࢻ᭱㐺㈨ᮏᵓᡂ㸪ィ㔞ࣇ࢓࢖ࢼࣥࢫ㸪Ỵᐃ⌮ㄽ

௻ᴗࡢ㈨ᮏᵓᡂࡀᰴ౯࡟୚࠼ࡿᙳ㡪

Ἑྜ ❳ஓ㸪ὠ⏣ ༤ྐ

ࡣࡌࡵ࡟

௻ᴗࡢ⤒Ⴀ⪅ࡸ㈈ົᢸᙜ⪅࡟࡜ࡗ࡚㸪௻ᴗάື࡟

ᚲせ࡞㈨㔠ࢆ㈇മ࡛ㄪ㐩ࡍࡿ࠿᪂ᰴⓎ⾜࡟ࡼࡾㄪ㐩ࡍࡿ࠿ࡣᴟࡵ࡚㔜せ࡞㑅ᢥ࡛࠶ࡿ㸬㈇മ࡟ࡼࡗ࡚

㈨㔠ㄪ㐩ࢆ⾜࠺࡜㸪⠇⛯ຠᯝࡀ࠶ࡿ୍᪉࡛㸪ಽ⏘ࣜ

ࢫࢡࡀ㧗ࡲࡿ㸬ࡇࡢ㈇മࡢ࣓ࣜࢵࢺ࡜ࢹ࣓ࣜࢵࢺࡢ ୧≉ᚩࢆ⪃៖ࡋࡓୖ࡛㸪௻ᴗ౯್ࡀ᭱኱࡜࡞ࡿ㈨ᮏ ᵓᡂࡢࡇ࡜ࢆ㸪᭱㐺㈨ᮏᵓᡂ࡜࿧ࡪ㸬ከࡃࡢᐇドศ ᯒ࡟࠾࠸࡚㸪௻ᴗࡢ㈨ᮏᵓᡂࡣ᭱㐺࡜ᛮࢃࢀࡿ㈨ᮏ ᵓᡂ࡟ᅇᖐࡍࡿ࡜࠸࠺◊✲ሗ࿌ࡀ࡞ࡉࢀ࡚࠸ࡿ㸬୍

᪉㸪᭱㐺㈨ᮏᵓᡂ࡟㏆࠸ࡶࡋࡃࡣ㸪㞳ࢀࡓ㈨ᮏᵓ ᡂࢆᣢࡘ௻ᴗࡀᰴᘧᕷሙ࡟࡝ࡢࡼ࠺࡟ホ౯ࡉࢀ࡚

࠸ࡿ࠿࡜࠸࠺ඛ⾜◊✲ሗ࿌ࡣከࡃ࡞࠸㸬

ࡑࡇ࡛㸪ᮏ◊✲ࡢ➨୍ࡢ┠ⓗ࡜ࡋ࡚㸪᭱㐺㈨ᮏᵓ ᡂࢆ⪃៖ࡋࡓ㈨ᮏᵓᡂࢆ⾲ࡍGrahamࡢKinkࢆ⏝

࠸࡚㸪㈨ᮏᵓᡂࡀᰴ౯࡟୚࠼ࡿᙳ㡪ࢆᐇドศᯒ࡟ࡼ

ࡗ᳨࡚ドࡍࡿ㸬ḟ࡟㸪ᐇドศᯒࡼࡾ㸪Kink ࡜ᰴᘧ

཰┈⋡࡜ࡢ㛫࡟᭷ព࡞㛵ಀࡀ࠶ࡗࡓࡓࡵ㸪ᮏ◊✲ࡢ

➨஧ࡢ┠ⓗ࡜ࡋ࡚㸪KinkࡀFama-French3ࣇ࢓ࢡࢱ

࣮ࣔࢹࣝࡢ࢔ࣀ࣐࣮ࣜࢆㄝ᫂ࡍࡿࡢ࡟㐺ࡋࡓኚᩘ

࡛࠶ࡿ࠿࡝࠺࠿᳨ドࡍࡿ㸬

⫼ᬒ ᭱㐺㈨ᮏᵓᡂ࡜Kink

㈨ᮏᵓᡂ࡟㛵ࡍࡿ◊✲ࡢṔྐࡣ㛗࠸㸬᭱ࡶྂ࠸ࡶ

ࡢ࡛ࡣ㸪Modigliani and Miller࡟ࡼࡿMM⌮ㄽ࡛࠶

ࡿ㸬ࡇࢀࡣ㸪᏶඲㈨ᮏᕷሙ㸦฼Ꮚ⋡ࡀ୍ᚊ㸪⛯ไ࡞

ࡋ㸪ᕷሙཧຍ⪅ࡣ඲ဨྠࡌ᝟ሗࢆ฼⏝ྍ⬟࡜ࡍࡿ㸪

⌮᝿ⓗᕷሙ㸧ࢆ௬ᐃࡍࡿሙྜ㸪௻ᴗ౯್ࡣ㈨㔠ㄪ㐩 ᪉ἲ࡟౫Ꮡࡋ࡞࠸࡜࠸࠺ࡶࡢ࡛࠶ࡿ㸬ࡋ࠿ࡋ㸪⌧ᐇ

࡟ࡣ⛯ไࡣᏑᅾࡋ᏶඲ᕷሙ࡛ࡣ࡞࠸㸬ࡑࡇ࡛㸪 Modigliani and Miller࡛ࡣ㸪ἲே⛯ࢆ⪃៖ࡍࡿሙྜ㸪

㈇മࡀቑ࠼ࡿ࡟ᚑ࠸㸪௻ᴗ౯್ࡀቑ኱ࡍࡿ㸬ࡑࢀࡣ㸪

⠇⛯ຠᯝࢆ኱ࡁࡃࡋ㸪௻ᴗ౯್ࢆ㧗ࡵࡿ㸬࡜࠸࠺⪃

࠼࡟ࡼࡿࡶࡢ࡛࠶ࡿ㸬ࡋ࠿ࡋ㸪㈇മࢆ㧗ࡵࡿࡇ࡜ࡣ㸪 ಽ⏘ࣜࢫࢡࡶ㧗ࡵࡿ㸬ࡘࡲࡾ㸪㈇മ࡟ࡼࡿ⠇⛯ຠᯝ ࡢୖ᪼࡜ಽ⏘ࣜࢫࢡࡢୖ᪼ࡣ㸪㈨ᮏᵓᡂ࡟࠾࠸࡚ࢺ

࣮ࣞࢻ࢜ࣇࡢ㛵ಀ࡟࠶ࡿ㸬ࡇࡢࢺ࣮ࣞࢻ࢜ࣇࡢ㛵ಀ

࠿ࡽ㸪௻ᴗ౯್ࢆ᭱኱࡟ࡍࡿ᭱㐺㈨ᮏᵓᡂࡀᏑᅾࡍ

ࡿ㸬ᐇ㝿㸪௻ᴗࡀ㈨ᮏᵓᡂࢆ᭱㐺㈨ᮏᵓᡂ࡟㏆࡙ࡅ

ࡿࣇ࢓࢖ࢼࣥࢫ⾜ືࡣከࡃࡢᐇドศᯒ࡟ࡼࡗ࡚☜

ㄆࡉࢀ࡚࠸ࡿ㸬୍᪉㸪㈨ᮏᵓᡂࡀᐇ㝿ࡢ௻ᴗ౯್࡟

࡝ࡢࡼ࠺࡞ᙳ㡪ࢆ୚࠼࡚࠸ࡿࡢ࠿࡜࠸࠺ほⅬ࠿ࡽ

ࡢ◊✲ࡣࡑࢀ࡯࡝ከࡃ࡞࠸㸬ᡃࡀᅜ࡟࠾࠸࡚ࡶ㸪ⲡ

ሙࡣ㸪㈈ົࣞࣂࣞࢵࢪ࡜ᰴᘧࡢ㛵ಀࢆᅇᖐศᯒ࡟

ࡼࡗ࡚ศᯒࡋࡓࡀ㸪௒ᚋࡢㄢ㢟࡜ࡋ࡚ࠕ஦ᴗ⎔ቃࡢ

ࡵࡲࡄࡿࡋ࠸ኚ໬࡟కࡗ࡚㸪᭱㐺㈨ᮏᵓᡂࡶࢲ࢖ࢼ

࣑ࢵࢡ࡟ኚ໬ࡍࡿࡇ࡜ࡣ࠸࠺ࡲ࡛ࡶ࡞࠸㸬ࢫࢱࢸ࢕

ࢵࢡୟࡘᖹᆒᴫᛕ࡟ᇶ࡙࠸࡚㆟ㄽࡍࡿᮏ✏ࡣ㸪ࡑࡢ

Ⅼ࡛㝈⏺ࡀ࠶ࡿ㸬ࠖ࡜㏙࡭࡚࠸ࡿ㸬

ࡑࡇ࡛㸪ᮏ◊✲࡛ࡣ㸪㈨ᮏᵓᡂ࡜᭱㐺㈨ᮏᵓᡂ࡜

ࡢ㛵ಀࢆ⾲ࡍGrahamࡢKinkࢆ⏝࠸࡚㸪㈨ᮏᵓᡂ

࡜ᰴ౯࡜ࡢ㛵ಀࢆ᫂ࡽ࠿࡟ࡍࡿࡇ࡜ࢆヨࡳࡓ㸬௻ᴗ ౯್ࡢᵓᡂせ⣲࡜ࡋ୍࡚⯡ⓗ࡟฼⏝ࡉࢀࡿᰴᘧ᫬

౯⥲㢠࡜ࡢ㛵ಀ࠿ࡽ㸪ᑗ᮶ࡢᰴᘧࣜࢱ࣮ࣥ࡟ᑐࡋ㸪

㈨ᮏᵓᡂࡀ࡝ࡢࡼ࠺࡞ᙳ㡪ࢆ୚࠼࡚࠸ࡿࡢ࠿ࢆㄪ

࡭࡚࠸ࡃ㸬ࡑࡢ㐣⛬࡛㸪௻ᴗࡢ㈨ᮏᵓᡂࢆ⾲ࡍᣦᶆ

࡜ࡋ࡚Kinkࢆ౑⏝ࡍࡿ㸬Kinkࡣ㸪ᚑ᮶ࡢ㈨ᮏ࡜㈇

മࡢ༢࡞ࡿẚ⋡ࢆ♧ࡍ㈇മẚ⋡࡞࡝ࡢᣦᶆ࡜ࡣ␗

࡞ࡾ㸪᭱㐺㈨ᮏᵓᡂ࡜ࡢ㛵ಀࢆ㋃ࡲ࠼ࡓᣦᶆ࡛࠶ࡿ㸬

᪥ᮏᕷሙ࡟࠾ࡅࡿ Fama-French3 ࣇ࢓ࢡࢱ࣮ࣔ

ࢹࣝ

ࣇ࢓࢖ࢼࣥࢫࡢศ㔝࡟࠾࠸࡚㸪㈨ᮏࢥࢫࢺࡢ᥎ᐃ ࡣ᭱ࡶ㔜せ࡞ㄢ㢟ࡢࡦ࡜ࡘ࡛࠶ࡿ㸬㈨ᮏࢥࢫࢺࢆ᥎ ᐃࡍࡿࣔࢹࣝࡢ㸯ࡘ࡜ࡋ࡚㸪Fama-French3ࣇ࢓ࢡࢱ

࣮ࣔࢹࣝࡀ࠶ࡿ㸬ࡋ࠿ࡋ㸪ᙜࣔࢹࣝࡣ⡿ᅜᰴᘧᕷሙ

࡛ࡢඛ⾜◊✲ࡀከࡃࡳࡽࢀࡿࡶࡢࡢ㸪᪥ᮏᕷሙ࡟㐺

⏝ࡉࢀࡓ◊✲ࡣᑡ࡞࠸㸬ᐇ㝿࡟㸪ኴ⏣࡛๭Ᏻᛶせ ᅉ࡜ࡋ࡚⮬ᕫ㈨ᮏ¹᫬౯⥲㢠ࢆᇶ‽࡜ࡋࡓᣦᶆ

HML㸦High Minus Low㸧ࡣ㸪⡿ᅜᕷሙ࡜᪥ᮏᕷሙࡢ

୧ᅜ࡟࠾࠸࡚᭷ຠ࡛࠶ࡿ࡜㏙࡭ࡽࢀ࡚࠸ࡿࡀ㸪௻ᴗ つᶍせᅉ࡜ࡋ࡚᫬౯⥲㢠ࢆᇶ‽࡟ồࡵࡓつᶍᣦᶆ SMB㸦Small Minus Big㸧ࡣ㸪᪥ᮏᕷሙ࡟࠾࠸࡚࠶ࡲ

ࡾ᭷ຠ࡛ࡣ࡞࠸࡜ࡋ࡚࠸ࡿ㸬ࡑࡇ࡛㸪ᮏ◊✲࡛ࡣ

Fama-French3ࣇ࢓ࢡࢱ࣮ࣔࢹࣝ࡟Kink࡜࠸࠺᪂ࡋ

࠸ࣇ࢓ࢡࢱ࣮ࢆຍ࠼ࡿࡇ࡜࡛㸪Fama-French3ࣇ࢓ࢡ ࢱ࣮ࣔࢹࣝࡢ⢭ᗘྥୖࢆ┠ᣦࡋ㸪Kink ࡀᰴᘧᕷሙ ࡢ࢔ࣀ࣐࣮ࣜࢆㄝ᫂ࡍࡿ࠿ࢆ᳨ドࡍࡿ㸬

ศᯒ᪉ἲ࡜ศᯒᑐ㇟ࢹ࣮ࢱ 㝈⏺⛯⋡ࡢ᥎ᐃ᪉ἲ

㝈⏺⛯⋡ࡢᐃ⩏ࡣ㸪ࠕほ ᫬Ⅼ࠿ࡽࡳࡓᑗ᮶࡟࠾

ࡅࡿᨭᡶ฼ᜥࡢ⌧ᅾ౯್(Present value, PV)ࡢྜィ

౯್ࡀ1༢఩ቑຍࡍࡿ࡜ࡁࡢ㸪ほ ᫬Ⅼ࠿ࡽᑗ᮶࡟

࠾ࡅࡿ⛒⛯മົࡢ⌧ᅾ౯್ࡢྜィ౯್ࡢኚ໬ࠖ࡜ࡍ

ࡿ㸬ᐇ㝿࡟⾲ࢆ౑ࡗ࡚ㄝ᫂ࡍࡿ㸬⡆༢ࡢࡓࡵ㸪㝈⏺

⛯⋡ࡢ᥎ᐃ౛ࡣ ᮇ㛫࡛⾜࠺㸬࡞࠾㸪ᐇド◊✲࡛ࡣ㸪 ᮇ㛫࡛⾜ࡗ࡚࠸ࡿ㸬

Table 1. Example taxable income and interest payment Period 0 Period 1

Taxable income

Interest

Table 2. Example discount rate and tax rate Discount rate 10%

Tax rate 40%

Table 3. In case of “Interest payment1”

Period 0 Period 1

Taxable income and

Less: Interest payment 100 120 Sum PV of interest payment 100 108 208

Pretax profit 0 80

Tax payment 0 32 Sum

Table 4. In case of “Interest payment1.2”

Period 0 Period 1

Taxable income and

Less: Interest payment 120 142 sum PV of interest payment 120 128 248

Pretax profit 0 38

Tax payment 0 15 sum

ᘧ㸦1㸧㝈⏺⛯⋡=(29-14)/(248-208)=0.375 Kinkࡢ᥎ᐃ᪉ἲ

(3)

Kinkࡣ௨ୗࡢᘧ࡛ᐃ⩏ࡉࢀࡿ㸬

ᘧ㸦㸧Kink=(optimal interest)/(actual interest) Kink ࡣ᭱㐺࡞ᨭᡶ㔠฼㢠࡜ᐇ㝿ࡢᨭᡶ㔠฼㢠ࡢ ẚ⋡࡞ࡢ࡛㸪ᨭᡶ㔠฼ࡣ㈇മࡢ㢠࡟ᛂࡌ࡚ỴࡲࡿⅬ

ࢆ⪃៖ࡍࡿ࡜㸪Kink ࡣ᭱㐺࡞㈇മ㢠࡜ᐇ㝿ࡢ㈇മ 㢠ࡢẚ⋡ࢆ⾲ࡍ࡜⪃࠼ࡽࢀࡿ㸬

ᮏ◊✲࡛ᐃ⩏ࡍࡿKinkࡢ᥎ᐃ್ࡣ㸪௨ୗࡢFig. 1

࡛♧ࡉࢀࡿಸ⋡ ࡢⅬ࡛࠶ࡿ㸬ᨭᡶ฼Ꮚࡀ኱ࡁࡃ࡞

ࢀࡤ㸪㉥Ꮠࡢᮇࡀ⌧ࢀ㸪ࡑࡢ㉥Ꮠࡀ⧞㉺Ḟᦆ㔠࡟ࡼ

ࡾ㸪ḟࡢᮇ࡟ᣢࡕ㉺ࡉࢀࡿ㸬ࡑࡋ࡚㸪⧞㉺Ḟᦆ㔠࡟

ࡼࡾḟࡢᮇࡢ฼┈ࡀῶࡿ㸬

ࡘࡲࡾ㸪㝈⏺⛯⋡ࡀୗࡀࡿ࡜ᨭᡶ฼Ꮚࡢቑຍ࡟ᑐ ࡍࡿ⠇⛯ຠᯝࡢ๭ྜࡀୗࡀࡿࡇ࡜࡟࡞ࡿࡢ࡛㸪㝈⏺

⛯⋡ࡀୗࡀࡾጞࡵࡿⅬ㸦Fig. 1ࡢ౛࡛ࡣಀᩘ 㸧ࡀ Kinkࡢ᥎ᐃ್࡛࠶ࡿ㸬

Fig. 1. Marginal tax rate.

Kinkࡢᖹᆒᅇᖐᛶ

ᗎㄽ࡛ࡶ㏙࡭ࡓࡼ࠺࡟㸪Kink ࡟ᖹᆒᅇᖐᛶࡀᏑ ᅾࡍࡿ࠿ࢆ᳨ドࡍࡿ㸬ᐇ㝿࡟⡿ᅜ࡛ࡣ㸪Caskey et al⁶⁾ ࡀKinkࡢᖹᆒᅇᖐᛶࢆ☜ㄆࡋ࡚࠸ࡿ㸬ᮏ◊✲࡛ࡣ㸪 ᐇ㝿࡟ᡃࡀᅜࡢ௻ᴗࡀᐇ᪋ࡋࡓࣇ࢓࢖ࢼࣥࢫ⾜ື

࡟࠾࠸࡚㸪ᖹᆒᅇᖐᛶࡀぢࡽࢀࡿࡢ࠿ࢆ᳨ドࡍࡿ㸬 ᖹᆒᅇᖐᛶࡢศᯒ᪉ἲࡣ㸪Kinkࡢ್ࢆ ẖ࡟ࡲ

࡜ࡵ࡚ศᯒࡍࡿ㸬ලయⓗ࡟ࡣྑୖࡢTable 5ࡢࡼ࠺

࡟࡞ࡾ㸪ࡇࢀࡣ㸪ᙜᮇ࡟Kinkࡀ ࡛࠶ࡗࡓ௻ᴗ

ࢆ㞟ࡵ㸪ࡑࡢ⩣ᮇ࡜⩣ࠎᮇࡢKinkࡢ್ࢆ♧ࡋࡓ⾲

࡛࠶ࡿ㸬

Table 5. Example regression toward the mean Period 0 Kink 1.5 Period 1 Period 2

Company A 1.3 1.4

Company B 1.8 1.7

Company C 1.7 1.8

Company D 1.4 1.5

Average 1.55 1.6

Tbale 5ࡼࡾ㸪ᙜᮇࡢKinkࡢ್ࡀ1.5࡛࠶ࡗࡓ௻

ᴗ⩌ࡢ⩣ᮇࡢKinkࡢᖹᆒ್ࡣ1.55㸪⩣ࠎᮇࡢKink ࡢᖹᆒ್ࡣ1.6࡜࡞ࡗࡓ㸬ࡇࢀࡣ㸪ᙜᮇࡢKinkࡢ

್ࡀ1.5ࡢ௻ᴗ⩌ࡣ㸪⩣ᮇ㸪⩣ࠎᮇ࡜ᖹᆒⓗ࡟⠇⛯

ຠᯝࡢ฼⏝ࡀୗࡀࡗ࡚࠸ࡿࡇ࡜࡟࡞ࡿ౛࡛࠶ࡿ㸬

Kink࡜ᰴᘧ཰┈⋡ࡢ㛵ಀࡢศᯒ㸦༢ᅇᖐ㸧 ᥎ᐃࡉࢀࡓKink࡟ᑐࡋ㸪ᰴᘧᕷሙࡀ࡝ࡢࡼ࠺࡞

ホ౯ࢆ⾜ࡗ࡚࠸ࡿࡢ࠿ࢆ᳨ドࡋࡓ㸬Kink ࡀ᭱㐺㈨ ᮏᵓᡂ࡜ࡢ㛵ಀࢆ⾲ࡍᣦᶆ࡞ࡢ࡛㸪ᮏ᮶Kink=1ࡢ

᫬ࡀᰴᘧᕷሙ࠿ࡽⰋ࠸ホ౯ࢆࡉࢀࡿࡣࡎࡔ㸬ࡋ࠿ࡋ㸪 ᡃࠎࡣ᭱㐺࡞Kinkࡢ್࡜㸪ᕷሙࡀホ౯ࡍࡿKinkࡢ

್ࡣ␗࡞ࡗ࡚࠸ࡿ࡜௬ᐃࡋ࡚࠸ࡿ㸬ࡘࡲࡾ㸪Kink ࡀ ௨እࡢ୍ᐃࡢ್࡟㏆࡙ࡃ࡟ࡘࢀ࡚㸪ᰴᘧ཰┈⋡

ࡀ㧗ࡲࡿ࡜௬ᐃࡋࡓ㸬

ࡑࡇ࡛㸪Kinkࢆ 㹼 ࡲ࡛ ้ࡳ࡛ศࡅ㸪ᖺᗘẖ

࡟ࢡࣟࢫࢭࢡࢩࣙࣥ༢ᅇᖐศᯒࢆ⾜࠺㸬ࡇࢀࡣ㸪

Graham ࡀ♧ࡍ᭱㐺㈨ᮏᵓᡂKink ࡜㸪ᕷሙࡀホ

౯ࡍࡿ㈨ᮏᵓᡂࡀ␗࡞ࡿྍ⬟ᛶࡀ࠶ࡿ࠿ࡽ࡛࠶ࡿ㸬 ḟ࡟㸪⿕ㄝ᫂ኚᩘ࡛࠶ࡿᰴᘧ཰┈⋡ࡔࡀ㸪 ᭶ᮎ

ࢆᇶ‽࡟㸪 ᭶ᮎ࠿ࡽ⩣ᖺࡢ ᭶ᮎࡲ࡛ࡢ ㏻ࡾ

ࡢᰴᘧ཰┈⋡࡟ᑐࡋ࡚ᅇᖐศᯒࢆ⾜࠺㸬ࡇࢀࡣ㸪᭷

౯ドๆሗ࿌᭩ࡢබ㛤᫬ᮇࡀỴ⟬᪥࠿ࡽ⣙ ࠿᭶ᚋ

࡛࠶ࡿⅬ࡜㸪㈨ᮏᵓᡂࡣ୰㛗ᮇⓗ࡟ᰴᘧ཰┈⋡࡟ᙳ 㡪ࢆཬࡰࡍ࡜௬ᐃࡋ࡚࠸ࡿⅬࢆ㋃ࡲ࠼࡚ศᯒࡍࡿ

ࡓࡵ࡛࠶ࡿ㸬

ࡲ࡜ࡵࡿ࡜㸪ᖺᗘࡈ࡜࡟Kinkࡢศࡅ᪉ࡀ ㏻ࡾ㸪 ᮇ㛫ࡢศࡅ᪉ࡀ ㏻ࡾ࠶ࡿࡢ࡛㸪ィ㏻ࡾࡢࢡ

ࣟࢫࢭࢡࢩࣙࣥᅇᖐࢆ⾜࠺ࡇ࡜࡟࡞ࡿ㸬

Kink ࡜ᰴᘧ཰┈⋡ࡢ㛵ಀࡢศᯒ㸦ᖹᆒ್ࡢ᳨

ᐃ㸧 0

0.1 0.2 0.3 0.4 0.5

0 0.6 1.2 1.8 2.4 3

3.6 4.2 4.8 5.4 6

6.6 7.2 7.8

marginal tax rate

magnification

(4)

ࡇࡇ࡛ࡣ㸪᥎ᐃࡉࢀࡓKinkࢆ 㹼 ࡲ࡛ ้ࡳ࡛

ィ ࡟ศࡅࡓ࡜ࡁ㸪ࡑࢀࡒࢀ࡟ᒓࡍࡿ௻ᴗ⩌ࡢ㛫

࡟ᰴᘧ཰┈⋡ࡢඃຎࡀᏑᅾࡍࡿ࠿ࢆศᯒࡍࡿ㸬౛࡜

ࡋ࡚㸪Kinkࡀ 㹼 ࡢ௻ᴗ⩌ࢆ㞟ࡵࡓሙྜ࡛ㄝ᫂ࡍ

ࡿࡀ㸪ᡃࠎࡢ௬ᐃ࡛ࡣ㸪 ࡟㏆࠸௻ᴗ࡯࡝ᰴᘧ཰┈

⋡ࡣ㧗ࡃ㸪 ࠿ࡽ㞳ࢀࡿ࡯࡝ᰴᘧ཰┈⋡ࡣపࡃ࡞ࡿ㸬 ࡑࡇ࡛㸪ᡃࠎࡢ௬ᐃࡀṇࡋ࠸ࡢ࠿ࢆศᯒࡍࡿࡓࡵ㸪㹼 ࡟ᒓࡍࡿ௻ᴗ⩌ࢆ㸪Kink ࢆᇶ‽࡟୪ࡧ᭰࠼

ศ఩࡟ศࡅࡿ㸬 ศ఩┠࡜ ศ఩┠ࡢᖹᆒ཰┈⋡ࡢ ᕪࡀ㸪ᖹᆒ್ࡢ᳨ᐃ࡟ࡼࡗ࡚᭷ព࠿࡝࠺࠿᳨ドࡍࡿ㸬 ᖹᆒࡢᕪࡀ᭷ព࡛࠶ࢀࡤ㸪ᡃࠎࡢ௬ᐃࡀṇࡋ࠸ࡇ࡜

࡟࡞ࡿ㸬

ࡇࡇ࡛ࡶྠᵝ࡟㸪⿕ㄝ᫂ኚᩘ࡛࠶ࡿᰴᘧ཰┈⋡ࡣ㸪 ᭶ᮎࢆᇶ‽࡟㸪 ᭶ᮎ࠿ࡽ⩣ᖺࡢ ᭶ᮎࡲ࡛ࡢ

㏻ࡾࡢᰴᘧ཰┈⋡࡟ᑐࡋ࡚ᅇᖐศᯒࢆ⾜࠺㸬ࡇࢀࡣ㸪

᭷౯ドๆሗ࿌᭩ࡢබ㛤᫬ᮇࡀỴ⟬᪥࠿ࡽ⣙ ࠿᭶

ᚋ࡛࠶ࡿⅬ࡜㸪㈨ᮏᵓᡂࡣ୰㛗ᮇⓗ࡟ᰴ౯࡟ᙳ㡪ࢆ

ཬࡰࡍ࡜௬ᐃࡋ࡚࠸ࡿⅬࢆ㋃ࡲ࠼࡚ศᯒࡍࡿࡓࡵ

࡛࠶ࡿ㸬

ࡲ࡜ࡵࡿ࡜㸪ᖺᗘࡈ࡜࡟Kinkࡢศࡅ᪉ࡀ ㏻ࡾ㸪 ᮇ㛫ࡢศࡅ᪉ࡀ ㏻ࡾ࠶ࡿࡢ࡛㸪ィ㏻ࡾࡢᖹ ᆒ್ࡢ᳨ᐃࢆ⾜࠺ࡇ࡜࡟࡞ࡿ㸬

࢔ࣀ࣐࣮ࣜࡢ᳨ド᪉ἲ

࢔ࣀ࣐࣮ࣜࡢ᳨ドࢆ⾜࠺㝿㸪௨ୗࡢᡭ㡰ࢆ㋃ࡴࡢ ࡀ୍⯡ⓗ࡛࠶ࡿ㸬Lᑐ㇟ࡢኚᩘࢆᇶ‽࡟ ࣏࣮ࢺ

ࣇ࢛ࣜ࢜࡟ศࡅࡿ㸬LL࣏࣮ࢺࣇ࢛ࣜ࢜ẖ࡟᫬౯⥲

㢠ຍ㔜ᖹᆒ᭶ḟࣜࢱ࣮ࣥࢆ᫬⣔ิ࡛⟬ฟࡍࡿ㸬 LLL ࡘࡢ࣏࣮ࢺࣇ࢛ࣜ࢜࡟ຍ࠼ࡓ➨ ศ఩࡜➨

ศ఩ࢫࣉࣞࢵࢻࣜࢱ࣮ࣥࡢྜィ ಶࡢࣜࢱ࣮ࣥ᫬

⣔ิࢆ⿕ㄝ᫂ኚᩘ࡜ࡋ࡚ࣄࢫࢺࣜ࢝ࣝᅇᖐศᯒࢆ

⾜࠺㸬LY ࡘࡢᅇᖐศᯒ⤖ᯝ࡟࠾ࡅࡿ㸪ษ∦࡟ࡘ

࠸࡚ ࠿࡝࠺࠿ࡢᖐ↓௬ㄝࡀᲠ༷࡛ࡁࡿ࠿ㄪ࡭ࡿ㸬 Yࢫࣉࣞࢵࢻࣜࢱ࣮ࣥࡢᅇᖐศᯒ⤖ᯝࡢษ∦࡟ࡘ

࠸࡚㸪ᖐ↓௬ㄝࢆᲠ༷࡛ࡁࡿࡇ࡜ࡀ㸪࢔ࣀ࣐࣮ࣜࡢ ᚲせ᮲௳࡛࠶ࡿ㸬

Kink ࡟ୖグࡢ᪉ἲࢆ㐺⏝ࡍࡿୖ࡛㔜せ࡞ࡢࡣ㸪 ኚᩘࡢྲྀࡾ᪉࡛࠶ࡿ㸬ࡶࡋ㸪ᡃࠎࡀ Kink ࡢ್ࡀ

࡛࠶ࡿࡇ࡜ࡀᕷሙ࠿ࡽ᭱ࡶホ౯ࡉࢀ࡚࠸ࡿ࡜௬ᐃ ࡍࡿࡢ࡛࠶ࢀࡤ㸪㹼 ࡢ௻ᴗ⩌ࢆᢳฟࡋ࡚㸪ࡑࢀ

ࡽࡢ௻ᴗ⩌ࢆ ࣏࣮ࢺࣇ࢛ࣜ࢜࡟ศࡅ㸪ୖグࡢ᳨ド ᪉ἲࢆ⾜࠺ࡇ࡜࡟࡞ࡿ㸬ࡋ࠿ࡋ㸪⧞ࡾ㏉ࡋ࡟࡞ࡿࡀ㸪 Kink ࡣ᭱㐺㈨ᮏᵓᡂ࡜ࡢ㛵ಀࢆ♧ࡍᣦᶆ࡛࠶ࡿ୍

᪉࡛㸪ᮏ᮶Kink=1ࡀ᭱㐺࡛࠶ࡿࡀ㸪ᕷሙࡀホ౯ࡍ

ࡿKinkࡢ್ࡣKink=1࡜ࡣ␗࡞ࡗ࡚࠸ࡿ࡜௬ᐃࡋ࡚

࠸ࡿ㸬ࡍ࡞ࢃࡕ㸪Kinkࡀ ௨እࡢ୍ᐃࡢ್࡟㏆࡙

ࡃ࡟ࡘࢀ࡚㸪ᰴᘧ཰┈⋡ࡀ㧗ࡲࡿ࡜௬ᐃࡋ࡚࠸ࡿࡢ

࡛㸪ࡑࡢ್ࢆ᥈ࡿࡓࡵ࡟ࡶ㸪Kinkࢆ 㹼 ࡲ࡛ ้

ࡳ࡛ィ ࡟ศࡅ㸪ศᯒࢆ⾜࠺㸬

ศᯒᑐ㇟ࢹ࣮ࢱ

ศᯒᑐ㇟ࢹ࣮ࢱࡣ㸪Table 6 ࡢࡼ࠺࡟࡞ࡗࡓࡀ㸪 ࡇࢀࡣ㸪඲ୖሙ௻ᴗ࠿ࡽ㸪ㄢ⛯ᡤᚓ㸪ᨭᡶ฼Ꮚࡀྲྀ

ᚓ୙ྍ⬟࡛࠶ࡗࡓ௻ᴗࢆ┬ࡁ㸪ࡉࡽ࡟ࢹ࣮ࢱࡢ⤫୍

ࢆᅗࡿࡓࡵ࡟㸪 ᭶Ỵ⟬௨እࡢ௻ᴗࢆ┬ࡁ㸪᭱ᚋ࡟

ᰴ౯ࡢྲྀᚓࡀᅔ㞴࡛࠶ࡗࡓ௻ᴗࢆ┬࠸ࡓ඲ࢧࣥࣉ

ࣝࢆ౑⏝ࡍࡿ㸬

Table 6. Sample data

ศᯒ⤖ᯝ ᇶᮏ⤫ィ㔞

ศᯒᑐ㇟௻ᴗࡢKinkࡢ್ࡣ㸪ᖹᆒ್ࡀ 㸪୰

ኸ್ࡣ ࡜࡞ࡗ࡚࠾ࡾ㸪࠸ࡎࢀࡢ್ࡶ᭱㐺㈨ᮏᵓ ᡂࢆ⾲ࡍ ࢆୖᅇࡗ࡚࠸ࡿ㸬ࡇࢀࡣ㸪ศᯒᑐ㇟௻ᴗ ࡢከࡃࡀ᭱㐺ࣞࣂࣞࢵࢪࡼࡾࡶప࠸㈇മẚ⋡࡛࠶

ࡾ㸪༙ᩘࡢ௻ᴗࡀᐇ㝿ࡢᨭᡶ฼Ꮚ㢠ࡀ᭱㐺࡞ᨭᡶ฼

㻭㼘㼘㻌㼟㼍㼙㼜㼘㼑㼟㻡㻡㻟㻜㻢㻤㻡㻢㻢

㼀㼔㼑㻌㼒㼕㼞㼙㼟㻌㼣㼕㼠㼔㼛㼡㼠㻌㼍㼏㼏㼑㼟㼟㻌㼠㼛㻌㼠㼍㼤㼍㼎㼘㼑㻌㼕㼚㼏㼛㼙㼑㻙㻞㻤㻡㻤㻙㻟㻝㻡㻝㻥

㻞㻢㻣㻞㻟㻣㻜㻠㻣

㼀㼔㼑㻌㼒㼕㼞㼙㼟㻌㼣㼕㼠㼔㼛㼡㼠㻌㼍㼏㼏㼑㼟㼟㻌㼠㼛㻌㼕㼚㼠㼑㼞㼑㼟㼠㻌㼜㼍㼥㼙㼑㼚㼠㻙㻠㻠㻣㻙㻡㻢㻠㻝

㻞㻞㻞㻡㻟㻝㻠㻜㻢

㻞㻜㻜㻥㻙㻞㻜㻝㻟㼥㼑㼍㼞㻙㻜㻙㻥㻤㻣㻣

㻞㻞㻞㻡㻞㻝㻡㻞㻥

㻺㼛㼚㻙㼘㼕㼟㼠㼑㼐㻌㼒㼕㼞㼙㼟㻙㻠㻜㻙㻞㻠㻜

㻞㻝㻤㻡㻞㻝㻞㻤㻥

㻱㼤㼏㼑㼜㼠㻌㻹㼍㼞㼏㼔㻌㼏㼘㼛㼟㼕㼚㼓㻌㻙㻡㻠㻥㻙㻣㻝㻥㻞

㻝㻢㻟㻢㻝㻠㻜㻥㻣

㼀㼔㼑㻌㼒㼕㼞㼙㼟㻌㼣㼕㼠㼔㼛㼡㼠㻌㼍㼏㼏㼑㼟㼟㻌㼠㼛㻌㼟㼠㼛㼏㼗㻌㼜㼞㼕㼏㼑㻙㻢㻟㻙㻝㻜㻠㻜

㻝㻡㻣㻟㻝㻟㻜㻡㻣

㼀㼔㼑㻌㼒㼕㼞㼙㼟㻌㼣㼕㼠㼔㼛㼡㼠㻌㼍㼏㼏㼑㼟㼟㻌㼠㼛㻌㻯㼍㼜㼕㼠㼍㼘㻙㻜㻙㻠㻢

㻝㻡㻣㻟㻝㻟㻜㻝㻝

㼀㼔㼑㻌㼒㼕㼞㼙㼟㻌㼣㼕㼠㼔㼛㼡㼠㻌㼍㼏㼏㼑㼟㼟㻌㼠㼛㻌㼠㼔㼑㻌㼚㼡㼙㼎㼑㼞㻌㼛㼒

㼟㼠㼛㼏㼗㼟㻌㼕㼟㼟㼡㼑㼐㻙㻜㻙㻝㻞㻥㻜

㻭㼚㼍㼘㼥㼦㼑㼐㻌㼟㼍㼙㼜㼘㼑㼟㻝㻡㻣㻟㻝㻝㻣㻞㻝

㻲㼕㼞㼙㼟㻿㼍㼙㼜㼘㼑㼟

(5)

Ꮚ㢠ࡢ ಸ௨ୖ࡟࡞ࡿ㈨ᮏᵓᡂࢆ࡜ࡗ࡚࠸ࡿ㸬

ᖹᆒᅇᖐᛶ

ḟ࡟㸪Kink ࡢᖹᆒᅇᖐᛶ࡟ࡘ࠸࡚ࡢศᯒ⤖ᯝࢆ

♧ࡍ㸬Fig. 2ࡣ㸪Kinkࢆ ࡎࡘࡢ್࡟ศࡅࡓሙྜ

ࡢྛࢢ࣮ࣝࣉࡢᖹᆒ್ࡢ⤒ᖺኚ໬ࢆ⾲ࡋ࡚࠸ࡿ㸬

Fig. 2. Regression toward the mean.

Kinkࡣ᫬㛫࡜࡜ࡶ࡟ศᯒᑐ㇟௻ᴗࡢKinkࡢᖹᆒ

್࡬࡜཰ᩡࡋ࡚࠸ࡿ࡜ゝ࠼ࡿ㸬ࡍ࡞ࢃࡕ㸪Kink ࡢ ᑠࡉ࠸௻ᴗࡣKinkࡀ኱ࡁࡃ࡞ࡿࡼ࠺࡟㸪Kinkࡢ኱

ࡁ࠸௻ᴗࡣKinkࡀᑠࡉࡃ࡞ࡿࡼ࠺࡟㸪㈨ᮏᵓᡂࢆ

ኚ໬ࡉࡏ࡚࠸ࡿ㸬ࡘࡲࡾ㸪ศᯒᑐ㇟௻ᴗࡢKinkࡢ ᖹᆒ್࡬ࡢᖹᆒᅇᖐᛶࡀぢࡽࢀࡓ㸬

Kink࡜ᰴᘧ཰┈⋡ࡢ㛵ಀࡢศᯒ㸦༢ᅇᖐ㸧 ༢ᅇᖐศᯒ⤖ᯝࡣ㸪௨ୗࡢTable 7㹼Table 18ࡢࡼ

࠺࡟࡞ࡗࡓ㸬Table 7ࡢKinkࡀ ࡢ᫬ࢆ౛࡟࡜ࡗ࡚

ㄝ᫂ࡍࡿ㸬ࡲࡎ㸪㸦t+1/t+0㸧࡜ࡣ㸪 ᭶ࢆᇶ‽࡟

࠿᭶ᚋࡢᰴᘧ཰┈⋡࡟ᑐࡋ࡚ศᯒࡋ࡚࠸ࡿ㸬ḟ࡟㸪 Kinkࡀ ࡢ᫬࡜ࡣ㸪Kinkࡀ 㹼 ࡢ௻ᴗ࡜ 㹼 ࡢ

௻ᴗ࡟஧ศࡋ࡚࠸ࡿ㸬ࠕcoefficient <ࠖࡣ㸪Kinkࡀ 㹼 ࡢ௻ᴗࡢᰴᘧ཰┈⋡࡜ Kink ࡢ್࡛༢ᅇᖐࢆࡋ ࡓ㝿ࡢಀᩘ࡛࠶ࡿ㸬ࠕt-statisticsࠖࡣ㸪ಀᩘࡢ t ್࡛

࠶ࡿ㸬ࠕcoefficient >=ࠖࡣ㸪Kinkࡀ 㹼 ࡢ௻ᴗࡢᰴ

ᘧ཰┈⋡࡜Kinkࡢ್࡛༢ᅇᖐศᯒࢆࡋࡓ㝿ࡢಀᩘ

࡛࠶ࡿ㸬ḟࡢࠕt-statisticsࠖࡶྠᵝ࡟ಀᩘࡢt್࡛࠶

ࡿ㸬඲యࡢ⾲ࢆせ⣙ࡍࡿ࡜㸪ࠕcoefficient <ࠖࡣ㸪ࡍ

࡭࡚ࡢࢹ࣮ࢱ࡛ṇࡢ್࡛࠶ࡗࡓ㸬ࠕcoefficient >=ࠖࡣ㸪 ᡤࠎ࡛㈇ࡢ್ࢆ࡜ࡿࡀ㸪ࡑࡢ㢖ᗘࡣᮇ㛫ࡀ㛗ࡃ࡞ࡿ

࡯࡝ቑ࠼ࡿ㸬ࠕcoefficient <ࠖࡢ᭷ពᛶࡣ㸪Kinkࡀ 㹼 ࡢ್ࢆྲྀࡿ᫬࡟㧗࠸㸬ࠕcoefficient >=ࠖࡢ᭷ពᛶ

ࡣ㸪඲యⓗ࡟ప࠿ࡗࡓ㸬

Table 7. Stocks return in (t+1/t+0)

㼗㼕㼚㼗㼏㼛㼑㼒㼒㼕㼏㼕㼑㼚㼠㻌㻨㼠㻙㼟㼠㼍㼠㼕㼟㼠㼕㼏㼟㼏㼛㼑㼒㼒㼕㼏㼕㼑㼚㼠㻌㻪㻩㼠㻙㼟㼠㼍㼠㼕㼟㼠㼕㼏㼟

㻝㻞㻚㻜㻞㻞㻞㻚㻠㻢㻠㻜㻚㻝㻠㻤㻠㻚㻞㻝㻞

㻞㻜㻚㻣㻣㻥㻞㻚㻢㻟㻜㻜㻚㻜㻥㻢㻞㻚㻝㻞㻥

㻟㻜㻚㻢㻠㻡㻟㻚㻢㻠㻤㻜㻚㻜㻠㻟㻜㻚㻢㻤㻥

㻠㻜㻚㻡㻣㻡㻠㻚㻡㻤㻤㻜㻚㻜㻡㻢㻜㻚㻢㻞㻣

㻡㻜㻚㻠㻟㻤㻠㻚㻢㻢㻡㻙㻜㻚㻜㻥㻠㻙㻜㻚㻢㻡㻢

㻢㻜㻚㻠㻡㻟㻢㻚㻜㻟㻥㻜㻚㻝㻣㻞㻜㻚㻢㻡㻤

㻣㻜㻚㻟㻢㻟㻡㻚㻣㻥㻠㻙㻜㻚㻟㻟㻣㻙㻜㻚㻠㻤㻟

㻝㻠㻚㻤㻜㻣㻠㻚㻜㻟㻜㻜㻚㻝㻟㻜㻞㻚㻠㻟㻞

㻞㻝㻚㻡㻡㻟㻟㻚㻡㻤㻟㻜㻚㻜㻡㻠㻜㻚㻣㻤㻝

㻟㻝㻚㻠㻜㻢㻡㻚㻠㻟㻢㻜㻚㻝㻟㻣㻝㻚㻠㻞㻣

㻠㻜㻚㻤㻠㻥㻠㻚㻢㻟㻥㻜㻚㻜㻡㻢㻜㻚㻠㻜㻣

㻡㻜㻚㻢㻠㻣㻠㻚㻢㻣㻟㻙㻜㻚㻜㻟㻣㻙㻜㻚㻝㻣㻜

㻢㻜㻚㻢㻜㻜㻡㻚㻠㻡㻟㻜㻚㻞㻥㻜㻜㻚㻣㻝㻡

㻣㻜㻚㻠㻣㻥㻡㻚㻞㻜㻤㻜㻚㻞㻠㻟㻜㻚㻞㻞㻟

㻝㻡㻚㻣㻜㻞㻟㻚㻡㻜㻢㻜㻚㻞㻣㻝㻟㻚㻢㻣㻝

㻞㻞㻚㻞㻝㻢㻟㻚㻣㻥㻟㻜㻚㻜㻟㻥㻜㻚㻠㻜㻟

㻟㻞㻚㻟㻢㻥㻢㻚㻣㻟㻠㻜㻚㻝㻞㻣㻜㻚㻥㻠㻥

㻠㻝㻚㻣㻝㻢㻢㻚㻤㻠㻥㻜㻚㻜㻡㻟㻜㻚㻞㻣㻠

㻡㻝㻚㻟㻡㻝㻣㻚㻝㻟㻞㻙㻜㻚㻜㻜㻡㻙㻜㻚㻜㻝㻢

㻢㻝㻚㻝㻣㻠㻣㻚㻣㻣㻞㻜㻚㻟㻤㻣㻜㻚㻢㻤㻡

㻣㻜㻚㻥㻠㻥㻣㻚㻡㻝㻣㻜㻚㻥㻟㻝㻜㻚㻢㻝㻡

㻝㻢㻚㻢㻤㻤㻟㻚㻝㻡㻣㻜㻚㻟㻜㻝㻟㻚㻝㻝㻢

㻞㻟㻚㻝㻟㻞㻠㻚㻝㻞㻟㻙㻜㻚㻜㻜㻥㻙㻜㻚㻜㻣㻜

㻟㻟㻚㻞㻡㻝㻣㻚㻝㻜㻞㻜㻚㻜㻢㻥㻜㻚㻟㻥㻟

㻠㻞㻚㻟㻟㻤㻣㻚㻝㻢㻡㻙㻜㻚㻜㻤㻥㻙㻜㻚㻟㻡㻝

㻡㻝㻚㻤㻟㻥㻣㻚㻠㻡㻠㻙㻜㻚㻞㻣㻝㻙㻜㻚㻢㻣㻝

㻢㻝㻚㻢㻠㻤㻤㻚㻟㻤㻤㻜㻚㻡㻠㻥㻜㻚㻣㻟㻣

㻣㻝㻚㻟㻜㻢㻣㻚㻥㻠㻝㻝㻚㻢㻢㻟㻜㻚㻤㻟㻞

㻝㻤㻚㻥㻤㻤㻟㻚㻤㻥㻞㻜㻚㻡㻣㻜㻡㻚㻟㻤㻥

㻞㻠㻚㻡㻢㻟㻡㻚㻠㻥㻠㻜㻚㻝㻤㻠㻝㻚㻟㻞㻤

㻟㻠㻚㻟㻥㻝㻤㻚㻣㻥㻡㻜㻚㻝㻢㻞㻜㻚㻤㻟㻣

㻠㻟㻚㻟㻞㻢㻥㻚㻟㻡㻞㻙㻜㻚㻜㻞㻞㻙㻜㻚㻜㻣㻤

㻡㻞㻚㻣㻠㻠㻝㻜㻚㻞㻝㻞㻙㻜㻚㻜㻤㻝㻙㻜㻚㻝㻤㻠

㻢㻞㻚㻟㻤㻠㻝㻝㻚㻝㻜㻡㻜㻚㻣㻡㻞㻜㻚㻥㻞㻞

㻣㻝㻚㻥㻟㻤㻝㻜㻚㻣㻣㻤㻞㻚㻡㻜㻥㻝㻚㻝㻠㻢

㻝㻝㻝㻚㻝㻞㻣㻠㻚㻞㻟㻜㻜㻚㻣㻥㻡㻢㻚㻢㻢㻝

㻞㻡㻚㻥㻥㻞㻢㻚㻟㻝㻞㻜㻚㻞㻢㻟㻝㻚㻢㻤㻥

㻟㻡㻚㻥㻜㻣㻝㻜㻚㻟㻜㻢㻜㻚㻞㻟㻢㻝㻚㻜㻥㻞

㻠㻠㻚㻠㻥㻢㻝㻝㻚㻜㻞㻜㻙㻜㻚㻜㻟㻜㻙㻜㻚㻜㻥㻢

㻡㻟㻚㻢㻣㻝㻝㻝㻚㻥㻞㻢㻙㻜㻚㻞㻣㻤㻙㻜㻚㻡㻢㻠

㻢㻟㻚㻝㻥㻞㻝㻟㻚㻜㻝㻞㻜㻚㻞㻤㻣㻜㻚㻟㻝㻢

㻣㻞㻚㻢㻢㻥㻝㻟㻚㻜㻜㻡㻞㻚㻡㻟㻣㻝㻚㻜㻠㻞

㻝㻝㻜㻚㻣㻣㻜㻟㻚㻣㻥㻡㻜㻚㻢㻣㻣㻡㻚㻜㻥㻢

㻞㻡㻚㻤㻟㻡㻡㻚㻢㻣㻠㻜㻚㻝㻟㻢㻜㻚㻣㻤㻢

㻟㻡㻚㻤㻢㻠㻥㻚㻠㻞㻜㻜㻚㻝㻝㻥㻜㻚㻠㻥㻜

㻠㻠㻚㻠㻝㻠㻥㻚㻥㻝㻤㻙㻜㻚㻝㻣㻝㻙㻜㻚㻠㻥㻞

㻡㻟㻚㻡㻤㻟㻝㻜㻚㻢㻡㻣㻙㻜㻚㻠㻥㻞㻙㻜㻚㻤㻥㻝

㻢㻟㻚㻝㻜㻝㻝㻝㻚㻡㻣㻞㻙㻜㻚㻟㻞㻡㻙㻜㻚㻟㻝㻤

㻣㻞㻚㻢㻠㻜㻝㻝㻚㻣㻣㻞㻞㻚㻜㻝㻠㻜㻚㻣㻟㻡

0 2 4 6 8

Period 0 Period 1 Period 2 Period 3 Period 4 Period 5

(6)

ᐃ㸧

Table 19, Table 20ࡣ㸪ྛᖺࡢ ᭶࠿ࡽ ࠿᭶ᚋࡢ

ᰴᘧ཰┈⋡࡟ࡘ࠸࡚㸪Kinkࡢ್ࡀ 㹼 ࡢ௻ᴗ⩌ࢆ

࣏࣮ࢺࣇ࢛ࣜ࢜࡟ศࡅ࡚ࡶࡢ࡜㸪Kinkࡢ್ࡀ 㹼 ࡢ௻ᴗ⩌ࢆ ࣏࣮ࢺࣇ࢛ࣜ࢜࡟ศࡅ㸪ᰴᘧ཰┈⋡

ࡢᖹᆒ್ࡢ᳨ᐃࢆ⾜ࡗࡓ⤖ᯝ࡛࠶ࡿ㸬 ᖺ࡟ᰴ

ᘧ཰┈⋡ࡢᕪࡀᑠࡉࡃ࡞ࡾ㸪᭷ពᛶࡶୗࡀࡗ࡚࠸ࡿ

ࡀ㸪ࡑࡢ௚ࡢᖺࡣ᭷ពᛶࡀ ࢆ㉸࠼ࡿ⤖ᯝ࡟࡞ࡗࡓ㸬

Table 19. Statistical significance test

Table 20. Statistical significance test

࢔ࣀ࣐࣮ࣜࡢ᳨ド

௨ୗࡢFig. 3࠿ࡽFig. 9ࡣ㸪 ᖺ㹼 ᖺࡢ᭶

ḟࡢࢫࣉࣞࢵࢻࣜࢱ࣮ࣥ࡟ᑐࡋ࡚㸪㐣ཤ࡟Ꮡᅾࡍࡿ

ࡔࡅࡢࡍ࡭࡚ࡢࢹ࣮ࢱ࡟ᑐࡋ࡚ᮇᚅ್ࢆィ⟬ࡋࡓ ࢢࣛࣇ࡛࠶ࡿ㸬Fig. 4ࢆ౛࡟ㄝ᫂ࡍࡿ㸬ࡲࡎ㸪ࠕKink 㹼ࠖ࡜ࡣ㸪Kink ࡀ 㹼 ࡢ௻ᴗ⩌ࢆᑐ㇟࡜ࡋ࡚࠸

ࡿ࡜࠸࠺ࡇ࡜㸬ࠕSpread returnࠖ࡜ࡣ㸪Kinkࡀ 㹼 ࡢ௻ᴗ⩌ࢆ㸪Kinkࢆᇶ‽࡟ ศ఩࡟ศࡅࡓ ࣏࣮

ࢺࣇ࢛ࣜ࢜ࡢ㸪 ศ఩┠ࡢ᫬౯⥲㢠ຍ㔜ᖹᆒࣜࢱ࣮

ࣥ࡜ ศ఩┠ࡢ᫬౯⥲㢠ຍ㔜ᖹᆒࣜࢱ࣮ࣥࡢᕪ࡛

࠶ࡿ㸬ᡃࠎࡢ௬ᐃ࡛ࡣ㸪᭱㐺࡞ Kinkࡢ್࡜㸪ᰴᘧ ᕷሙࡀホ౯ࡍࡿ Kinkࡢ್ࡣ␗࡞ࡗ࡚࠸ࡿࡢ࡛㸪ᰴ

ᘧᕷሙࡀホ౯ࡍࡿ್࡟㏆࠸௻ᴗࡢᰴᘧ཰┈⋡ࡀ㸪ࡑ ࡢ್࠿ࡽ㞳ࢀ࡚࠸ࡿ௻ᴗࡢᰴᘧ཰┈⋡ࡼࡾ㧗ࡃ࡞

ࡿ㸬Fig. 4࡛ࡣ㸪ᮇᚅ್ࡀṇࡢ㒊ศ࡜㈇ࡢ㒊ศࢆ⾜

ࡁ᮶ࡋ࡚࠸ࡿ㸬ࡘࡲࡾ㸪࢔ࣀ࣐࣮ࣜࢆㄝ࡛᫂ࡁ࡞࠸㸬

୍᪉࡛㸪Kinkࡀ 㹼 ࡲࡓࡣ 㹼 ࡢ௻ᴗ⩌࡟ᑐࡋ

࡚᥎ᐃࡋࡓ㸪 ศ఩┠࡜ ศ఩┠ࡢࢫࣉࣞࢵࢻࣜࢱ

࣮ࣥࡀṇࡢ್࡛᥎⛣ࡋ࡚࠸ࡿࡢࡀࢃ࠿ࡿ㸬ࡇࢀࡣ㸪

ᰴᘧᕷሙࡀホ౯ࡍࡿKinkࡢ್ࢆ ࡲࡓࡣ ࡜௬ᐃ ࡍࡿ࡜㸪ࡑࡢ್࡟㏆࠸௻ᴗ⩌ࡢᰴᘧ཰┈⋡ࡀ㸪ࡑࡢ

್࠿ࡽ㐲࠸௻ᴗ⩌ࡢᰴᘧ཰┈⋡ࡼࡾࡶ㧗ࡃ࡞ࡗࡓ

࡜࠸࠺ࡇ࡜࡛࠶ࡿ㸬ᐇ㝿࡟࢔ࣀ࣐࣮ࣜࡢ᳨ド᪉ἲ࡟

㻝㻝㻝㻚㻤㻣㻡㻠㻚㻜㻝㻝㻜㻚㻡㻟㻤㻟㻚㻥㻝㻣

㻞㻢㻚㻜㻡㻜㻡㻚㻢㻢㻠㻙㻜㻚㻜㻞㻣㻙㻜㻚㻝㻡㻜

㻟㻢㻚㻝㻠㻤㻥㻚㻡㻜㻞㻜㻚㻜㻜㻢㻜㻚㻜㻞㻡

㻠㻠㻚㻠㻥㻥㻥㻚㻣㻜㻟㻙㻜㻚㻟㻞㻟㻙㻜㻚㻥㻜㻟

㻡㻟㻚㻢㻟㻜㻝㻜㻚㻟㻢㻠㻙㻜㻚㻡㻢㻠㻙㻜㻚㻥㻥㻝

㻢㻟㻚㻜㻥㻢㻝㻝㻚㻜㻥㻥㻙㻜㻚㻟㻟㻢㻙㻜㻚㻟㻝㻥

㻣㻞㻚㻢㻝㻤㻝㻝㻚㻝㻤㻢㻞㻚㻣㻝㻥㻜㻚㻥㻢㻤

㻝㻝㻝㻚㻠㻟㻠㻟㻚㻣㻞㻡㻜㻚㻟㻤㻥㻞㻚㻢㻡㻤

㻞㻡㻚㻢㻡㻜㻡㻚㻜㻥㻤㻙㻜㻚㻞㻞㻝㻙㻝㻚㻝㻠㻥

㻟㻢㻚㻜㻣㻢㻤㻚㻥㻥㻢㻙㻜㻚㻜㻥㻢㻙㻜㻚㻟㻡㻣

㻠㻠㻚㻟㻠㻠㻤㻚㻥㻡㻣㻙㻜㻚㻟㻤㻣㻙㻝㻚㻜㻜㻢

㻡㻟㻚㻟㻤㻞㻥㻚㻞㻜㻥㻙㻜㻚㻣㻡㻥㻙㻝㻚㻞㻠㻞

㻢㻞㻚㻤㻣㻟㻥㻚㻤㻝㻜㻙㻜㻚㻣㻣㻟㻙㻜㻚㻢㻤㻠

㻣㻞㻚㻠㻡㻣㻝㻜㻚㻜㻟㻝㻞㻚㻣㻣㻟㻜㻚㻥㻝㻞

㻝㻝㻝㻚㻠㻤㻟㻟㻚㻥㻝㻤㻜㻚㻟㻠㻢㻞㻚㻠㻟㻡

㻞㻡㻚㻝㻣㻢㻠㻚㻤㻣㻡㻙㻜㻚㻞㻞㻞㻙㻝㻚㻝㻤㻠

㻟㻡㻚㻠㻣㻟㻤㻚㻠㻣㻡㻙㻜㻚㻝㻞㻠㻙㻜㻚㻠㻣㻝

㻠㻟㻚㻥㻣㻡㻤㻚㻡㻥㻟㻙㻜㻚㻟㻡㻞㻙㻜㻚㻥㻟㻟

㻡㻟㻚㻝㻟㻠㻤㻚㻥㻟㻢㻙㻜㻚㻡㻝㻠㻙㻜㻚㻤㻡㻢

㻢㻞㻚㻡㻥㻜㻥㻚㻞㻡㻟㻙㻜㻚㻢㻡㻜㻙㻜㻚㻡㻤㻠

㻣㻞㻚㻞㻝㻝㻥㻚㻠㻟㻣㻞㻚㻤㻟㻞㻜㻚㻥㻠㻢

㻝㻝㻝㻚㻜㻠㻥㻠㻚㻜㻢㻢㻜㻚㻞㻣㻤㻞㻚㻝㻡㻟

㻞㻠㻚㻢㻠㻤㻠㻚㻣㻤㻥㻙㻜㻚㻝㻡㻝㻙㻜㻚㻤㻤㻡

㻟㻠㻚㻢㻟㻠㻣㻚㻤㻠㻠㻙㻜㻚㻜㻢㻝㻙㻜㻚㻞㻡㻡

㻠㻟㻚㻞㻣㻝㻣㻚㻣㻠㻣㻙㻜㻚㻟㻞㻞㻙㻜㻚㻥㻟㻢

㻡㻞㻚㻢㻠㻝㻤㻚㻞㻠㻢㻙㻜㻚㻟㻟㻜㻙㻜㻚㻢㻜㻟

㻢㻞㻚㻝㻠㻣㻤㻚㻠㻜㻟㻙㻜㻚㻢㻜㻢㻙㻜㻚㻡㻥㻣

㻣㻝㻚㻤㻠㻤㻤㻚㻢㻠㻝㻞㻚㻜㻟㻞㻜㻚㻣㻠㻠

㻝㻣㻚㻤㻜㻥㻞㻚㻣㻜㻣㻜㻚㻞㻜㻡㻝㻚㻡㻝㻝

㻞㻟㻚㻤㻤㻟㻟㻚㻣㻢㻞㻙㻜㻚㻞㻜㻢㻙㻝㻚㻝㻡㻠

㻟㻠㻚㻝㻡㻜㻢㻚㻢㻜㻥㻙㻜㻚㻝㻝㻜㻙㻜㻚㻠㻠㻞

㻠㻞㻚㻥㻣㻡㻢㻚㻢㻡㻜㻙㻜㻚㻟㻝㻜㻙㻜㻚㻤㻢㻟

㻡㻞㻚㻟㻥㻞㻣㻚㻜㻠㻢㻙㻜㻚㻞㻢㻝㻙㻜㻚㻠㻡㻤

㻢㻝㻚㻤㻤㻟㻢㻚㻥㻡㻟㻙㻜㻚㻣㻤㻝㻙㻜㻚㻣㻠㻜

㻣㻝㻚㻢㻡㻞㻣㻚㻞㻤㻥㻝㻚㻣㻡㻠㻜㻚㻢㻝㻥

㼠㻙㼠㻗㻢㼋㼗㼕㼚㼗㻜㻙㻠㻰㻱㻯㻵㻸㻱㻡㻙㻰㻱㻯㻵㻸㻱㻝㼠㻙㼟㼠㼍㼠㼕㼟㼠㼕㼏㼟

㼅㻙㻞㻜㻜㻝㻝㻣㻚㻞㻥㻟㻡㻚㻝㻣㻥

㼅㻙㻞㻜㻜㻞㻝㻤㻚㻡㻜㻡㻢㻚㻥㻥㻞

㼅㻙㻞㻜㻜㻟㻟㻚㻝㻥㻢㻝㻚㻝㻟㻜

㼅㻙㻞㻜㻜㻠㻡㻚㻣㻟㻜㻞㻚㻞㻜㻝

㼅㻙㻞㻜㻜㻡㻢㻚㻣㻣㻞㻞㻚㻟㻠㻢

㼅㻙㻞㻜㻜㻢㻝㻜㻚㻝㻢㻠㻟㻚㻤㻥㻟

㼅㻙㻞㻜㻜㻣㻝㻞㻚㻤㻢㻟㻠㻚㻠㻞㻤

㼅㻙㻞㻜㻜㻤㻝㻞㻚㻞㻟㻤㻞㻚㻥㻞㻜

㼠㻙㼠㻗㻢㼋㼗㼕㼚㼗㻜㻙㻡㻰㻱㻯㻵㻸㻱㻡㻙㻰㻱㻯㻵㻸㻱㻝㼠㻙㼟㼠㼍㼠㼕㼟㼠㼕㼏㼟

㼅㻙㻞㻜㻜㻝㻝㻡㻚㻣㻥㻝㻡㻚㻤㻡㻥

㼅㻙㻞㻜㻜㻞㻝㻢㻚㻤㻣㻞㻢㻚㻠㻞㻜

㼅㻙㻞㻜㻜㻟㻟㻚㻟㻢㻝㻝㻚㻞㻢㻜

㼅㻙㻞㻜㻜㻠㻡㻚㻣㻝㻥㻞㻚㻟㻟㻟

㼅㻙㻞㻜㻜㻡㻣㻚㻜㻣㻥㻞㻚㻡㻝㻜

㼅㻙㻞㻜㻜㻢㻥㻚㻢㻜㻜㻟㻚㻥㻜㻢

㼅㻙㻞㻜㻜㻣㻝㻜㻚㻜㻣㻢㻟㻚㻢㻣㻥

㼅㻙㻞㻜㻜㻤㻝㻟㻚㻤㻜㻜㻟㻚㻟㻤㻢

(7)

‽ᣐࡋࡓศᯒ⤖ᯝࡶ㸪ྠ༊㛫࡟Kinkࢆ༊ษࡗࡓ᫬

ࡀ᭷ព࡞⤖ᯝ࡛࠶ࡗࡓ㸬

Fig. 3. Spread return Kink=0~1.

⪃ᐹ ᖹᆒᅇᖐᛶ

Kink ࢆࡑࡢ್࡟ࡼࡾ ࡈ࡜࡟ศࡅࡓ࡜ࡁࡢྛ

ࢢ࣮ࣝࣉࡢKinkࡢᖹᆒⓗ࡞ኚ໬ࡣFig. 2ࡢࡼ࠺࡟

࡞ࡗࡓ㸬Kinkࡢᑠࡉ࠸௻ᴗࡣKinkࡀ኱ࡁࡃ࡞ࡿࡼ

࠺࡟㸪Kinkࡢ኱ࡁ࠸௻ᴗࡣKinkࡀᑠࡉࡃ࡞ࡿࡼ࠺

࡟㸪ࡑࡢ್ࢆኚ໬ࡉࡏ࡚࠸ࡿ㸬ࡇࢀࡣࡍ࡞ࢃࡕ㸪⌧

ᅾࡢࣞࣂࣞࢵࢪࡀ᭱㐺ࣞࣂࣞࢵࢪࡼࡾࡶ㧗࠸௻ᴗ ࡣ㸪ࣞࣂࣞࢵࢪࢆῶᑡࡉࡏࡿࡇ࡜࡛ಽ⏘ࣜࢫࢡࢆῶ ᑡࡉࡏࡼ࠺࡜ࡋ࡚࠾ࡾ㸪㏫࡟㸪⌧ᅾࡢࣞࣂࣞࢵࢪࡀ

᭱㐺ࣞࣂࣞࢵࢪࡼࡾࡶప࠸௻ᴗࡣ㸪ࣞࣂࣞࢵࢪࢆቑ ຍࡉࡏࡿࡇ࡜࡛⠇⛯ຠᯝࢆ⏕ࡳฟࡑ࠺࡜ࡋ࡚࠸ࡿ

࡜ゎ㔘࡛ࡁࡿ㸬ࡋ࠿ࡋ㸪ࡇࡇ࡛ὀពࡋࡓ࠸ࡢࡣ㸪

-25 -20 -15 -10 -5 0 5 10

0 20 40 60 80 100

-12 -10 -8 -6 -4 -2 0 2 4

0 20 40 60 80 100

-4 -3 -2 -1 0 1 2 3 4 5

0 20 40 60 80 100

0 1 2 3 4 5 6 7 8

0 20 40 60 80 100

0 1 2 3 4 5 6 7

0 20 40 60 80 100

-1 0 1 2 3 4 5 6

0 20 40 60 80 100

-1 0 1 2 3 4 5 6

0 20 40 60 80 100

(8)

GrahamࡢKink࡟ࡼࡿ࡜㸪௻ᴗࡢ㈨ᮏᵓᡂࡀ᭱㐺࡞

㈨ᮏᵓᡂ࡜࡞ࡿKinkࡢ್ࡣ ࡜࠸࠺ࡇ࡜࡛࠶ࡿ㸬

Fig. 2ࡀ♧ࡍᖹᆒᅇᖐᛶࡣ࡞ࢇࡽ࠿ࡢ⠊ᅖ࡟ᅇᖐࡋ

࡚ࡣ࠸ࡿࡶࡢࡢ㸪ࡑࡢ཰ᩡඛࡣ ࡛ࡣ࡞࠸㸬ࡑࡢ⌮

⏤࡜ࡋ࡚ศᯒᑐ㇟ᮇ㛫࡟࠾࠸࡚㸪᪥ᮏ௻ᴗࡀ㈇മẚ

⋡ࢆᖺࠎపୗࡉࡏ࡚࠸ࡿࡓࡵ㸪㝈⏺⛯⋡ࡀୗࡀࡾጞ

ࡵࡿ᭱㐺㈨ᮏᵓᡂ࡜ࡣ␗࡞ࡿࡇ࡜ࡀ⪃࠼ࡽࢀࡿ㸬ᡃ ࡀᅜࡣ㸪 ᖺ௦ࡼࡾ㸪㛗ࡁ࡟Ώࡿࢹࣇ࣮ࣞࢩࣙ

ࣥ࡟㝗ࡗ࡚࠸ࡿ㸬ࢹࣇࣞࡣ௻ᴗ࡟࡜ࡗ࡚㸪ᐇ㉁฼Ꮚ ࡢୖ᪼࡜࠸࠺⌧㇟ࢆᘬࡁ㉳ࡇࡍࡇ࡜࠿ࡽ㸪௻ᴗࡀ㈇

മẚ⋡ࢆῶᑡࡉࡏ࡚ࡁࡓཎᅉࡢ㸯ࡘ࡛࠶ࡿ࡜⪃࠼

ࡽࢀࡿ㸬ࡇ࠺ࡋࡓ⌮⏤࠿ࡽ᪥ᮏࡢ௻ᴗࡢ Kink ࡀ 㹼 ࡢ್࡟཰ᩡࡋࡓ࡜⪃࠼ࡽࢀࡿ㸬

Caskey et alࡢ◊✲࡟࠾࠸࡚ࡶ㸪Kinkࡣ ࡛ࡣ࡞

࠸್࡟཰ᩡࡋ࡚࠸ࡿࡀ㸪ᡃࡀᅜࡀ 㹼 ࡢ್࡟཰ᩡ

ࡋ࡚࠸ࡿࡢ࡟ᑐࡋ࡚㸪⡿ᅜ࡛ࡣ 㹼 ࡢ್࡟཰ᩡ

ࡋ࡚࠸ࡿ㸬⡿ᅜ࡛ࡣ㛗ᮇ㛫ࡢ㛫ࢹࣇ࡛ࣞ࡞࠿ࡗࡓୖ㸪 ᡃࡀᅜࡢࡼ࠺࡟㈇മẚ⋡ࢆᖺࠎపୗࡉࡏ࡚࠸࡞࠸

ࡓࡵ㸪୧ᅜࡢ௻ᴗࡢ≉ᚩ࡟ࡇࡢࡼ࠺࡞ᕪࡀ⏕ࡌ࡚࠸

ࡿ࡜⪃࠼ࡽࢀࡿ㸬௒ᅇࡢᐇドศᯒ࡟ࡼࡾ㸪ᡃࡀᅜࡢ

௻ᴗࡀ࠶ࡿỈ‽ࡢ㈨ᮏᵓᡂ࡟㏆࡙ࡅࡿࣇ࢓࢖ࢼࣥ

ࢫ⾜ືࢆ࡜ࡗ࡚࠸ࡿ࡜࠸࠺▱ぢࡀᚓࡽࢀࡓ㸬

Kink࡜ᰴᘧ཰┈⋡ࡢ㛵ಀࡢศᯒ㸦༢ᅇᖐ㸧 ⠇⛯ຠᯝࢆ┠ⓗ࡟㈇മẚ⋡ࢆ㧗ࡵ㐣ࡂࡿ࡜ಽ⏘

ࣜࢫࢡࢆ㧗ࡵࡿ㸬ࡋ࠿ࡋ㸪㠀ᖖ࡟ Kinkࡀᑠࡉ࠸௻

ᴗࡢᐇ㝿ࡢࣇ࢓࢖ࢼࣥࢫ⾜ືࢆ⪃࠼ࡿ࡜㸪⠇⛯ຠᯝ

ࢆ㧗ࡵࡿ┠ⓗ࡜࠸࠺ࡼࡾࡶ௻ᴗࡢ⤒Ⴀࢆ⥅⥆ࡉࡏ

ࡿࡓࡵ࡟኱ࡁ࡞㈇മࢆᢪ࠼࡚࠸ࡿ࡜⪃࠼ࡿ࡯࠺ࡀ ጇᙜ࡛࠶ࡿ㸬ࡘࡲࡾ㸪ࡑࡢࡼ࠺࡞௻ᴗࡣ⤒Ⴀ୙᣺࠿

ࡽᰴᘧ཰┈⋡ࡀ࣐࢖ࢼࢫ࡟࡞ࡿྍ⬟ᛶࡀ㧗࠸㸬௨ୖ

ࡢ㆟ㄽ࠿ࡽ㸪Kink ࡀ ࠿ࡽ኱ࡁࡃ࡞ࡿ࡟ࡘࢀ࡚ᰴ

ᘧ཰┈⋡ࡀ㧗ࡲࡿࡇ࡜ࡣ㸪⤒Ⴀࡢ೺඲ᛶࡢほⅬ࠿ࡽ㸪 ṇࡢಀᩘ࡟࡞ࡿ࡜⪃࠼ࡽࢀࡿ㸬ࡇࢀࡣ㸪ศᯒ⤖ᯝ࠿

ࡽࡶண᝿㏻ࡾࡢ⤖ᯝࡀᚓࡽࢀࡓ㸬

ࡋ࠿ࡋ㸪஦๓ࡢண᝿࡛ࡣKinkࡀ࠶ࡿ୍ᐃࡢ್ࢆ

㉸࠼ࡿ࡜㸪⠇⛯ຠᯝࡢ฼⏝ࡀ୙༑ศ࡛࠶ࡾ㸪ࣇ࢓࢖

ࢼࣥࢫ⾜ືࢆᨵࡵࡿࡇ࡜࡟ࡼࡗ࡚௻ᴗ౯್ࢆ㧗ࡵ

ࡽࢀࡿࡓࡵ㸪㐣ᗘ࡟Kinkࡀ㧗࠸௻ᴗࡣ㸪ᕷሙ࠿ࡽ

࣐࢖ࢼࢫࡢホ౯ࢆཷࡅ࡚ᰴᘧ཰┈⋡ࡀ࣐࢖ࢼࢫ࡜

ண᝿ࡋࡓ㸬ࡘࡲࡾ㸪Kink ࡢ኱ࡁ࠸௻ᴗ࡟㛵ࡍࡿᰴ

ᘧ཰┈⋡ࡢᅇᖐಀᩘࡢ➢ྕࡣ㸪㈇࡟࡞ࡿ࡜ண᝿ࡋ࡚

࠸ࡓ㸬ࡋ࠿ࡋ㸪ᐇドศᯒ⤖ᯝ㸪ண ࡟཯ࡋ࡚ᅇᖐಀ

ᩘࡢ➢ྕࡣ㈇࡟࡞ࡽ࡞࠿ࡗࡓ㸬

ᐃ㸧

⤖ᯝ࡟ࡶ♧ࡋࡓ㏻ࡾ㸪Kink ࡀ 㹼 ࡲࡓࡣ 㹼

࡛࠶ࡿ௻ᴗ⩌ࢆ ࣏࣮ࢺࣇ࢛ࣜ࢜࡟ศࡅ㸪ᰴᘧ཰┈

⋡ࡣ ᭶࠿ࡽ ᭶ࡢ ࠿᭶ᚋࡢࡶࡢࢆ౑⏝ࡋ㸪 ศ఩┠࡜ ศ఩┠ࡢᖹᆒᰴᘧ཰┈⋡ࡢᕪࡢ᥎ᐃࢆ

⾜ࡗࡓ⤖ᯝ㸪ᕪࡀ᭱ࡶ㢧ⴭ࡟⾲ࢀࡓ㸬ࡇࢀࡣ㸪᪥ᮏ ࡢᰴᘧᕷሙ࡛ࡣ㸪Kinkࡀ ࡲࡓࡣ ࡛࠶ࡿ᫬ࡀ᭱

ࡶホ౯ࡉࢀࡿ㈨ᮏᵓᡂ࡛࠶ࡿࡇ࡜ព࿡ࡋ࡚࠸ࡿ㸬ࡲ

ࡓ㸪ࡑࡢ㈨ᮏᵓᡂࡀᰴ౯࡟ᙳ㡪ࡍࡿ࡟ࡣ᫬㛫ࡀ࠿࠿

ࡾ㸪ᡃࠎࡢ◊✲⤖ᯝ࡛ࡣ㸪ࡑࢀࡀ ࠿᭶㛫࡛࠶ࡿ࡜

࠸࠺⤖ᯝ࡛࠶ࡗࡓ㸬

ࡲࡓ㸪Kinkࡀ ࡲࡓ ࢆ㉸࠼ࡓ௻ᴗ⩌࡟ᑐࡋ࡚

ࡶྠᵝ࡟㸪ᖹᆒ್ࡢ᳨ᐃࢆ⾜ࡗࡓࡀ㸪ᖹᆒ್ࡢᕪ࡟

᭷ពᛶࡀぢࡽࢀ࡞࠿ࡗࡓ㸬ࡇࢀࡣ㸪⠇⛯ຠᯝࢆ฼⏝

ࡋ࡚࠸࡞࠸ࡇ࡜࡟ࡼࡿ㸪ᰴᘧᕷሙ࠿ࡽࡢ࣐࢖ࢼࢫホ ౯ࡀぢࡽࢀ࡞࠿ࡗࡓࡇ࡜࡟࡞ࡿ㸬

࢔ࣀ࣐࣮ࣜࡢ᳨ド

Kinkࡀ 㹼 ࡢ௻ᴗ⩌࡟ᑐࡋ࡚⾜ࡗࡓ᥎ᐃࡀ᭱ࡶ

᭷ព࡛࠶ࡗࡓࡇ࡜ࡣ㔜せ࡞Ⅼ࡛࠶ࡿࡀ㸪ࡶ࠺୍ࡘ㔜せ࡞Ⅼࡀ࠶ࡿ㸬ࡑࢀࡣ㸪ᮇᚅ್ࢆィ⟬ࡍࡿ㝿ࡢ㐣ཤ ࡢࢹ࣮ࢱᩘࡀ ࢆ㉸࠼ጞࡵࡿ࡜㸪ᮇᚅ್ࡢ್ࡀᏳ ᐃࡋ࡚࠸ࡿࡢࡀࢃ࠿ࡿ㸬≉࡟㔜せ࡞ࡢࡣ㸪ࡑࡢ್ࡀ ṇࡢ್࡛Ᏻᐃࡋ࡚࠸ࡿⅬ࡛࠶ࡿ㸬ኴ⏣࡛㏙࡭ࡽࢀ

࡚࠸ࡿࡼ࠺࡟㸪᪥ᮏᕷሙ࡟࠾ࡅࡿ SMB㸦ᑠᆺᰴຠ

ᯝ㸧ࡢᙜ࡚ࡣࡲࡾࡣᝏ࠸㸬ࡑࢀࡽࢆ㋃ࡲ࠼ࡿ࡜㸪 Kink ࡣ᪂ࡋ࠸࢔ࣀ࣐࣮ࣜࢆㄝ᫂ࡍࡿኚᩘࡢ㸯ࡘ࡜

ࡋ࡚ᮇᚅࡀ࡛ࡁࡿ㸬

⤖ㄽ

ᮏ◊✲ࡢ┠ⓗࡣ㸪௨ୗࡢ஧Ⅼ㸪Kink ࡜ᰴ౯࡜ࡢ 㛵ಀࢆ᫂ࡽ࠿࡟ࡍࡿࡇ࡜㸬Kink ࡀ᪂ࡋ࠸࢔ࣀ࣐ࣜ

࣮ࢆㄝ᫂ࡍࡿኚᩘ࡜ࡋ࡚᭷ຠ࡛࠶ࡿ࠿࡝࠺࠿☜࠿

ࡵࡿࡇ࡜㸪࡛࠶ࡿ㸬

(9)

➨୍ࡢ┠ⓗ࡟㛵ࡋ࡚㸪ᡃࡀᅜࡢ௻ᴗ࡟ࡣ㸪㈨ᮏᵓ ᡂ࡟࠾࠸࡚㸪࠶ࡿ⠊ᅖ࡟㏆࡙ࡅࡼ࠺࡜ࡍࡿࣇ࢓࢖ࣥ

ࢼࣥࢫ⾜ືࢆ࡜ࡗ࡚࠸ࡿࡇ࡜ࡀ☜ㄆࡉࢀࡓ㸬ࡋ࠿ࡋ㸪 ࡑࢀࡽࡢࣇ࢓࢖ࣥࢼࣥࢫ⾜ືࡣ㸪ࣜࢫࢡᅇ㑊ⓗ࡞⾜

ືࢆ࡜ࡗ࡚࠸ࡿࡇ࡜ࡀࢃ࠿ࡗࡓ㸬ࡑࢀࡣ㸪ඛ࡟ࡶ㏙

࡭ࡓࡼ࠺࡟㸪ࢹࣇࣞࡸࣂࣈࣝᮇࡢ཯┬࠿ࡽ㸪㈇മẚ

⋡ࢆపࡃ⥔ᣢࡍࡿ⾜ື࡛࠶ࢁ࠺㸬ࡲࡓᰴᘧᕷሙࡢホ ౯ࡶ㸪㈇മẚ⋡ࢆ㧗ࡵ㸪⠇⛯ຠᯝࢆ༑ศ࡟ά⏝ࡋ࡚

࠸ࡿ௻ᴗ⩌ࡼࡾࡶ㸪ಖᏲⓗ࡛ಽ⏘ࣜࢫࢡࡢⅬ࡛೺඲

࡞௻ᴗ⩌࡟㧗࠸ホ౯ࢆ୚࠼࡚࠸ࡿࡇ࡜ࡀ㸪༢ᅇᖐศ ᯒ࡜ᖹᆒ್ࡢ᳨ᐃ࡟ࡼࡾᢕᥱࡉࢀࡓ㸬

➨஧ࡢ┠ⓗ࡟㛵ࡋ࡚㸪Kinkࢆ 㹼 ࡛༊ษࡗࡓ᫬

ࡢ ศ఩࡜ ศ఩ࡢࢫࣉࣞࢵࢻࣜࢱ࣮ࣥࡢᮇᚅ್ࡀ ᐇドศᯒ࡟ࡼࡾ ࠿᭶ࢆ㉸࠼ࡓ࠶ࡓࡾ࠿ࡽᏳᐃࡋ

࡚࠸ࡿⅬࢆ㋃ࡲ࠼ࡿ࡜㸪Kinkࢆ 㹼 ࡢ༊㛫࡛༊ษ ࡗࡓሙྜ㸪ࡑࢀ࡟ྵࡲࢀࡿ௻ᴗ⩌࡟ᑐࡍࡿ࢔ࣀ࣐ࣜ

࣮ࢆㄝ᫂ࡍࡿኚᩘ࡜ࡋ࡚㸪᭷ຠ࡛࠶ࡿࡇ࡜ࡀࢃ࠿ࡗ ࡓ㸬

ཧ⪃ᩥ⊩

J. R. Graham, “How Big Are the Tax Benefits of Debt?”

The Journal of Finance, 4(5), 1901-1942(2000).

F. Modigliani, M. H. Miller, “The Cost of Capital, Corporation Finance and The Theory of Investment” The American Economic Review, 48(3), 261-297(1958).

F. Modigliani, M. H. Miller, “Corporate Income Taxes and the Cost of Capital” The American Economic Review, 53(3), 433-443(1963).

ⲡሙὒ᪉㸪㈈ົࣞࣂࣞࢵࢪ࡜ᰴᘧࡢᕷሙ౯್㸪㸦ࡳࡎ

࡯࣐࣮ࢣࢵࢺ࢖ࣥࢧ࢖ࢺ㸪ᮾி㸪2010㸧㸪p.1.

ኴ⏣ᾈྖ㸪ᩧ⸨ဴ㑻㸪ྜྷ㔝㈗ᬗ㸪ᕝ஭ᩥဢ㸪CAPM, Fama-French3ࣇ࢓ࢡࢱ࣮ࣔࢹࣝ㸪Carhart4ࣇ࢓ࢡࢱ࣮

ࣔࢹࣝ࡟ࡼࡿ㈨ᮏࢥࢫࢺࡢ᥎ᐃ᪉ἲ࡟ࡘ࠸࡚㸪㸦㛵す

኱ᏛၟᏛㄽ㞟㸪኱㜰㸪2012㸧㸪p.1.

J. Caskey, J. Hughes, J. Liu, “Leverage, Excess Leverage, and Future Returns” Review of Financial Studies, 17(2), 443-471(2011).