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

该项目考察了1985年至1995年日本经济所谓的“泡沫”时期金融市场和房地产市场的投资者行为。通过问卷调查的方式收集了该时期投资者的实际行为信息。考虑到两个资产市场的市场结构的基本差异，我们设计了针对特定市场的问卷，考察了在这些市场中影响基金经理和房地产投资者实际行为的因素。这是在80年代和90年代的动荡波动之后进行的第一次此类研究。Miwa、Kaizuka、Kurasawa和Funaoka主要考察了大型机构投资者中的基金经理行为。他们调查了当时存在的制度因素，如政府机构的法规和行政指导，是如何影响专业投资者的实际行为的。他们发现了相当多的证据支持一个假设，即日本机构投资者……更多的投资者不像他们的美国和欧洲同行那样表现得“理性”，但他们的行为可能被认为是理性的，因为他们的制度约束是由政府机构施加的，从某种意义上说，这些投资经理是为他们自己施加的。他们通过对日本金融市场的主要参与者进行额外的一系列采访，检验并证实了他们的假设。西村、前川、中上和村濑调查了商业房地产投资者。他们发现，由于缺乏明确的投资标准，这些机构投资者大量涌入东京和大阪都市圈进行商业投资。这种糟糕投资的后遗症现在一直困扰着他们。基于问卷调查的结果，我们制定了一系列波动市场行为的模型，并对数据的一致性进行了检验。此外，根据政府统计数据和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、住宅房地产和商业房地产超额收益的估计。少

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