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Empirical analysis on behavioral finance-financial behavior puzzles of firm and household-

行为金融实证分析-企业与家庭的金融行为难题-

基本信息

批准号：
17330088
负责人：
SHIROSHITA Kengo
金额：
$ 4.99万
依托单位：
Yamaguchi University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (B)
财政年份：
2005
资助国家：
日本
起止时间：
2005 至 2006
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-17330088/
关键词：
disposition effect momentum effect price reversal monthly effect cross-holding entrenchment non purchase of longterm care insurance overconfidence モーメンタム価格反転月次効果 cross-shareholding entrrnchment 国民年金未加入自信過剰半年効果 R&D投資

项目摘要

We have proceeded with the research on the upper project through the review of empirical analysis on behavioral finance studies1. We analyzed the disposition effect. Disposition means the tendency to sell stocks too early that have gained value and to keep stocks too long that have lost value relative to some reference point(for example, purchase point). The effect of this tendency depends on risk and reference point. We find that subjects tended to sell winner stocks quickly and to keep loser stocks. However, the disposition effects were greatly reduced when the stocks were automatically sold after a five percent fall in price.2. We examined the 52 week-high investment strategy(George and Hwang) and the 52 week-low investment strategy in the Japanese stock market. The result showed George and Huang strategy in the stock market does not gain a positive rate of returns. On the contrary, the strategy that buying the lowest stock compared with 52 week-high stock price and selling of 52 we … More ek-high stock price gets a positive rate of return. Especially, this performance is attributed to the portfolio that include small stocks.We examined the short-term and long-term momentum effect. The result showed the one month contrarian strategy that buying the extremely worst stocks and selling the extremely best stocks got a positive return. And we showed the upper half year effect.3. We examined the overconfidence. We presented evidence that there is great improvement in the rate of correct answers in survey with punishment. This evidence may be interpreted that investor's overconfidence is not so large as the supporters of behavioral finance. And we examined several recent papers on corporate restructuring, especially the relationship between corporate restructuring and financial performance. In considering this problem, we can evaluate improvements in operating performance following downsizing actions of Japanese firms.4. We examined corporate strategies regarding cross-shareholding and the unwinding of cross-shareholding, and we presented a rationale for corporate managers to unwind cross-shareholding enhances managerial entrenchment. The model proposed here explains why cross-shareholdings among Japanese firms declined during the 1990s, a decade during which the cost of takeovers decreased because of financial market dereguration. Less

通过对行为金融学研究的实证分析的回顾，对上述课题进行了研究。我们分析了处置效应。处置指的是过早抛售增值股票的倾向，以及相对于某个参考点(例如购买点)贬值的股票持有时间过长的倾向。这种趋势的效果取决于风险和参照点。我们发现，受试者倾向于快速抛售赢家股票，并保留输家股票。然而，当股票在价格下跌5%后自动出售时，处置效应大大降低。我们考察了日本股市的52周高位投资策略(George And Hwang)和52周低位投资策略。结果表明，George和Huang策略在股票市场上并没有获得正的收益率。相反，与52周最高股价相比买入最低股票并抛售52WE…的策略股价越高，回报率就越高。特别是，这一表现归因于包括小型股在内的投资组合。我们考察了短期和长期动量效应。结果表明，买入最差股票，卖出最好股票的一个月反向策略获得了正回报。并展示了上半年度的效应。我们调查了过度自信的问题。我们提出的证据表明，在有惩罚的调查中，正确答案的比率有了很大的提高。这一证据可能被解读为投资者的过度自信没有行为金融学的支持者那么大。我们考察了最近几篇关于公司重组的论文，特别是公司重组与财务业绩之间的关系。在考虑这一问题时，我们可以评估日本公司缩减规模后经营业绩的改善。我们考察了关于交叉持股和解除交叉持股的公司策略，并提出了公司经理解除交叉持股增强管理根基的理论基础。这里提出的模型解释了为什么日本公司之间的交叉持股在20世纪90年代下降，在这十年里，由于金融市场放松管制，收购成本下降。较少