Simple Portfolio Strategies Utilizing Inflation Factor in Japanese Equity Market | Zendy

Ken Sato | Zendy; Koichi Miyazaki | Zendy; Junji Mawaribuchi | Zendy

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Simple Portfolio Strategies Utilizing Inflation Factor in Japanese Equity Market

Author(s) -

Ken Sato,

Koichi Miyazaki,

Junji Mawaribuchi

Publication year - 2011

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2011.04.186

Subject(s) - capital asset pricing model , portfolio , market portfolio , economics , financial economics , econometrics , inflation (cosmology) , equity (law) , sharpe ratio , rate of return on a portfolio , portfolio optimization , physics , theoretical physics , political science , law

This research proposes asset pricing models with inflation factor and also empirically examines performance of the portfolio strategies using the model in the Japanese equity market for the deflationary period covering from 2001 to 2010. Our asset pricing models are Inflation-CAPM and Inflation-FF3 incorporating the inflation factor in the famous CAPM or the Fama-French 3factor model (FF3), respectively. Empirical result for the Inflation-CAPM portfolio strategy reports that the performance (opportunity of the portfolio strategy, accumulated return, rate of wining, average quarterly return and Sharpe ratio) of our strategy is superior to the usual alpha stragegy (CAPM portfolio strategy)

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