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

我们通过对行为金融学研究的实证分析进行回顾，进而对上述项目进行研究。我们分析了处置效应。处置是指倾向于过早卖出已经获得价值的股票，而长期持有相对于某个参考点（例如，购买点）已经失去价值的股票。这种趋势的影响取决于风险和参考点。我们发现，受试者倾向于迅速卖出赚钱的股票，而保留亏损的股票。然而，当股票在价格下跌5%后自动出售时，处置效应就大大减弱了。我们研究了日本股市的52周高投资策略（George and Hwang）和52周低投资策略。结果表明，George和Huang策略在股票市场上并没有获得正收益率。相反，买入与52周高点相比价格最低的股票，卖出与52周高点相比价格更高的股票的策略获得正收益率。特别是，这种表现归功于包括小型股票在内的投资组合。我们研究了短期和长期的动量效应。结果表明，一个月的反向策略，即买入最差的股票，卖出最好的股票，获得了正回报。我们显示了上半年效应。我们检查了过度自信。我们提出的证据表明，在调查中有惩罚的正确率有很大的提高。这一证据可以解释为投资者的过度自信没有行为金融学的支持者那么大。我们研究了最近几篇关于公司重组的论文，特别是公司重组与财务绩效之间的关系。在考虑这个问题时，我们可以评估日本公司裁员后经营业绩的改善。我们研究了有关交叉持股和解除交叉持股的公司战略，并提出了公司经理解除交叉持股可以增强管理壕沟的理由。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年代有所下降，在这十年中，由于金融市场放松管制，收购成本下降。少

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