日本の資産価格の最近の大変動と投資家行動の理論的・実証的研究

日本资产价格近期大幅波动及投资者行为的理论与实证研究

• 批准号: 06301066
• 负责人: MIWA Yoshiro
• 金额: $ 3.14万
• 依托单位: University of Tokyo
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Co-operative Research (A)
• 财政年份: 1994
• 资助国家: 日本
• 起止时间: 1994 至 1995
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-06301066/
• 关键词: Asset market; Stock market; Land market; Investor behavior; "Bubble" economy; Institutional investor; Asset management; Fund manager; ファンド・マネージャー; ファンド、マネージャー

This project examined investor behavior both in financial markets and real estate markets in the so-called "bubble" period of the Japanese economy between 1985 and 1995. Information was gathered about actual investor behavior of that period by means of questionnaire. Taking account of basic difference in the market structure of the two asset markets, we devised market-specific questionnaires, examining what influenced actual behavior of fund managers and real estate investors in these markets. This is the first of this kind ever conducted after the turbulent fluctuation of 80's and 90's.Miwa, Kaizuka, Kurasawa, and Funaoka mainly examined the behavior of fund managers in large institutional investors. They investigated how institutional factors present at that period, such as regulations and administrative guidance of governmental agencies, affected the actual behavior of professional investors. They found considerable evidence supporting a hypothesis that Japanese institutional invest … More ors did not behave "rationally" as their American and European counterparts, but their behavior might be considered to be rational, given that their institutional constraints imposed by government agencies and, in a sense, self-imposed by themselves those investment managers worked for. They examined and confirmed their hypothesis by conducting an additional series of interviews of key playrs in the Japanese financial markets.Nishimura, Maekawa, Nakagami, and Murase investigated commercial real estate investors. They found that, lacking clear criterion of investment, these institutional investors flocked into extensive commercial investment in Tokyo and Osaka metropolitan Areas. The legacy of such bad investment is now haunting them. Based on the result of the questionnaire, a series of models of volatile market behavior is formulated and examined with respect to the consistency to data. In addition, a new set of estimates of excess returns on farmland, residential real estates, and commercial real estates is constructed from various sources such as government statistics and financial statements of real estate companies. Less

本研究对1985年至1995年日本经济“泡沫”时期的金融市场和真实的房地产市场的投资者行为进行了研究。通过问卷调查的方式收集了该时期实际投资者行为的信息。考虑到这两个资产市场的市场结构的基本差异，我们设计了针对具体市场的问卷，调查是什么影响了这两个市场的基金经理和真实的房地产投资者的实际行为。这是在80年代和90年代的剧烈波动之后进行的第一次此类研究。Miwa，Kaizuka，Kurasawa和Funaoka主要研究了大型机构投资者中基金经理的行为。他们调查了当时的制度因素，如政府机构的法规和行政指导，如何影响专业投资者的实际行为。他们发现了大量的证据支持一个假设，即日本的机构投资 ...更多信息 他们的行为并不像美国和欧洲的同行那样“理性”，但考虑到政府机构强加给他们的制度约束，从某种意义上说，他们的行为可能被认为是理性的。他们对日本金融市场的主要参与者进行了一系列访谈，以验证并证实他们的假设，西村、前川、中上和村濑调查了商业真实的房地产投资者。他们发现，由于缺乏明确的投资标准，这些机构投资者涌入东京和大坂大都市区进行广泛的商业投资。这种糟糕投资的后果现在正困扰着他们。基于问卷调查的结果，建立了一系列波动市场行为模型，并检验了模型与数据的一致性。此外，从政府统计数据和真实的房地产公司的财务报表等各种来源构建了一套新的对农田、住宅真实的房地产和商业真实的房地产超额收益的估计。少

项目成果

Miwa, Y.: Firms and Industrial Organization in Japan. Macmillan, (1995)

Miwa, Y.：日本的企业和产业组织。

Miwa, Yoshiro: ""Firms and Industrial Organization in Japan"" MACMILLAN PRESS, (1995)

Miwa, Yoshiro：“日本的企业和产业组织”，MACMILLAN PRESS，（1995 年）

西村清彦: "土地の『神話』と『現実』" 住宅問題研究. (1994)

Kiyohiko Nishimura：“土地的‘神话’和‘现实’”住房问题研究（1994）。

前川俊一: "不確実性下の地価形成メカニズムと取引価格の規制" 制度の経済学. 233-258 (1995)

前川俊一：《不确定性下的土地价格形成机制与交易价格调节》《制度经济学》233-258（1995）。

中神康博: "首都圏商業地地価の動学計量分析" 住宅土地経済. 発表予定 (199)

Yasuhiro Nakagami：“大都市区商业土地价格的动态计量分析”住宅土地经济学预定发表（199）。