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

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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