イヌイ　コウジ   Inui Kouji   乾　孝治    所属   明治大学  総合数理学部    職種   専任教授
発表年月日	2016/08/11
発表テーマ	Improving Forecast Ability of Lyle-Wang Model by Panel Data Analysis
会議名	Temple Accounting Conference 2016
学会区分	国際学会
発表形式	口頭（一般）
単独共同区分	単独
開催地名	Temple University
概要	In this study, we explore a capital cost model proposed Lyle and Wang (2015) regarding as a return prediction model, and propose modified procedure for the sake of consistency to the original model assumptions based on panel data analysis. As our results, one-dimensional random-effect model is selected according to statistical tests, and we confirm the model improving predictive power of expected stock returns in Japanese market as compared to the original Lyle-Wang model. Moreover, according to the fact that the random-effect model is selected, the expected value of sustainable ROE implied in current prices, which is assumed to be constant in the original model should be regarded as random variable in this framework.