| Project/Area Number |
09630028
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Keio University |
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Principal Investigator |
MAKI Atsushi Keio University, Faculty of Business and Commerce, Professor, 商学部, 教授 (20051906)
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| Co-Investigator(Kenkyū-buntansha) |
YOSHINO Naoyuki Keio University, Faculty of Economics, Professor, 経済学部, 教授 (50128584)
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| Project Period (FY) |
1997 – 1999
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| Project Status |
Completed (Fiscal Year 1999)
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| Budget Amount *help |
¥2,300,000 (Direct Cost: ¥2,300,000)
Fiscal Year 1999: ¥800,000 (Direct Cost: ¥800,000)
Fiscal Year 1998: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 1997: ¥900,000 (Direct Cost: ¥900,000)
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| Keywords | equity premium puzzle / risk-free rate puzzles / trading costs / Big Bang / postal saving system / Japan's financial system / 住宅金融 / 公共投資の効果 / ハンゼン・シングルトン・モデル / 金融資産選択 / 利便性 / ビッグ・バン |
|---|
| Research Abstract |
In a series of analyses, we made an analysis on the equity premium and risk-free rate puzzles using Japanese data. The Hansen and Singleton model fails to explain the equity premium puzzle, while the trading costs model can satisfactory explain the equity premium and risk-free rate puzzles. After 1996 Big Bang, household portfolio behavior has gradually changed. Japan needs to achieve a modern financial system consistent with the goals of the Big Bang.
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