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An international study on the investment and consumption behavior of firms and households under the fewer children and aging society

Research Project

Project/Area Number 13303009
Research Category

Grant-in-Aid for Scientific Research (A)

Allocation TypeSingle-year Grants
Section一般
Research Field Business administration
Research InstitutionKobe University

Principal Investigator

SAKAKIBARA Shigeki  Kobe University, Graduate School of Business Administration, Professor, 大学院・経営学研究科, 教授 (10030719)

Co-Investigator(Kenkyū-buntansha) TAKAO Atsushi  Kobe University, Graduate School of Business Administration, Professor, 大学院・経営学研究科, 教授 (20116221)
KATO Hideaki  Kobe University, Graduate School of Business Administration, Professor, 大学院・経営学研究科, 教授 (80177435)
FUJIWARA Kenya  Kobe University, Graduate School of Business Administration, Professor, 大学院・経営学研究科, 教授 (30229067)
FUKUTA Yuichi  Osaka University, Graduate School of Economics, Associate Professor, 大学院・経済学研究科, 助教授 (00243147)
ISAGAWA Nobuyuki  Kobe University, Graduate School of Business Administration, Associate Professor, 大学院・経営学研究科, 助教授 (90273755)
Project Period (FY) 2001 – 2004
Project Status Completed (Fiscal Year 2004)
Budget Amount *help
¥32,760,000 (Direct Cost: ¥25,200,000、Indirect Cost: ¥7,560,000)
Fiscal Year 2004: ¥7,020,000 (Direct Cost: ¥5,400,000、Indirect Cost: ¥1,620,000)
Fiscal Year 2003: ¥8,060,000 (Direct Cost: ¥6,200,000、Indirect Cost: ¥1,860,000)
Fiscal Year 2002: ¥8,060,000 (Direct Cost: ¥6,200,000、Indirect Cost: ¥1,860,000)
Fiscal Year 2001: ¥9,620,000 (Direct Cost: ¥7,400,000、Indirect Cost: ¥2,220,000)
Keywordsanormaly / securitization / real option / suitable principle / cross-shareholdings / treasury stock / liquidity / kyosei / 銘柄入れ替えイベント / 非効率マーケットでの投資戦略 / 異常災害リスク証券化 / インプライドボラティリティ / winner-looser effect / 絶対優先原則 / リストラクチュアリング / 資金調達 / 上半期効果 / リアル・オプション / 特許権 / 過剰債務 / GARCH / 企業統治 / 自己資本比率規制 / 負債の再構築 / 破綻処理法制 / インデックス・ファンド / 資産運用機関 / 市場効率性 / 転換社債 / 株価長期パフォーマンス / 合理的バブル
Research Abstract

It is important to investigate the effects of the fewer children and aging society as well as the global ization on the money flow and the savings/investment process in order to consider the Japanese economy in the 21^<st> century.
In this project we made a comprehensive study on the investment and consumption behavior of firms and households both theoretically and empirically. Summary of results of this project is as follows.
1.Pension and Insurance markets and the investment-consumption behavior of firms and households
New methods such as the weather derivatives and the CAT bond as well as the real option approach are examined. Also we investigated the performance of investment trusts in Japan. In addition, we found the fact that corporate finance instruments such as the treasury stock repurchase and the callable convertible bond including the dissolution of the cross-shareholdings in Japan had significant effects on firms' value
2.Regal protection for investors (creditors) and the inves … More tment-consumption behavior of firms and households
In order to cope with both the protection of investors and the incentives of developntent of new financial products by financial institution, a general selling principle, i.e., the suitable principle, which affects the allocation of the burden of proof in case is very important. As for the protection of creditors, we focused the bankruptcy laws and found the difficulty in restructuring the bankrupt firms efficiently. Last, we examined the origin and role of the business kyosei which is a kind of business ethics or social norm in Japan.
3.Price Formation, Liquidity effect, and Anomaly in Securities market and the investment-consumption behavior of firms and households
We examined the existence of the rational bubble or the discount puzzle in the international financial markets and evaluated the liquidity effects on price formation. Furthermore, we analyzed and found the market anomaly by focusing on the event of the replacement of the Nikkei 225 index, the half year effect (calendar effect), the winner-looser effect, the divergence of the ETF share price and its per share portfolio value. Less

Report

(5 results)
  • 2004 Annual Research Report   Final Research Report Summary
  • 2003 Annual Research Report
  • 2002 Annual Research Report
  • 2001 Annual Research Report
  • Research Products

    (54 results)

All 2004 2003 2002 2001 Other

All Journal Article (39 results) Publications (15 results)

  • [Journal Article] 天候デリバティブに関する一考察-企業価値リスクマネジメントの新機軸-2004

    • Author(s)
      高尾 厚
    • Journal Title

      国民経済雑誌 189・6

      Pages: 17-30

    • NAID

      110000936885

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] Some Note on the Weather Derivatives & Temperature Swap in Japan2004

    • Author(s)
      Atushi, Takao
    • Journal Title

      Discussion Paper Series, Kobe University No.17

      Pages: 1-9

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] The Winner-Looser Effect in Japanese Stock Retunes2004

    • Author(s)
      Hideaki, Kato (共著)
    • Journal Title

      Japan and the World Economy 16・4

      Pages: 471-485

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 株価指数構成銘柄の入れ替えと株価動向-非効率なマーケットの視点-2004

    • Author(s)
      砂川 伸幸(共著)
    • Journal Title

      国民経済雑誌 190・1

      Pages: 85-99

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] 企業の破綻処理をめぐる研究の展望2004

    • Author(s)
      藤原 賢哉
    • Journal Title

      金融システム研究会ディスカッションペーパーシリーズ 2004-15

      Pages: 341-380

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] わが国株式市場における上半期効果2004

    • Author(s)
      榊原 茂樹(共著)
    • Journal Title

      国民経済雑誌 190・1

      Pages: 53-68

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Study on the Weather Derivatives : A new device of risk management on firms' value2004

    • Author(s)
      Atsushi, Takao
    • Journal Title

      Kokumin-Keizai 189.6

      Pages: 17-30

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Some note on the Weather Derivatives and Temperature Swap in Japan2004

    • Author(s)
      Atsushi, Takao
    • Journal Title

      Discussion paper (Kobe University) 17

      Pages: 1-9

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] The Winner-Looser Effect in Japanese Stock Returns2004

    • Author(s)
      Hideaki, Kato
    • Journal Title

      Japan and the World Economy 16.4

      Pages: 471-485

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Replacement of the composition of the Stock Index And the Stock Price : A view point from the inefficient market2004

    • Author(s)
      Nobuyuki, Isagawa
    • Journal Title

      Kokumin-Keizai 190.1

      Pages: 85-99

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] An Overview of Debt-restructurings of Over-debt Firms2004

    • Author(s)
      Kenya Fujiwara
    • Journal Title

      Discussion Paper, Financial System Study 2004-15

      Pages: 341-380

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] The First-half Year Effect in the Japanese Stock market2004

    • Author(s)
      Shigeki, Sakakibara
    • Journal Title

      Kokumin-Keizai 190.1

      Pages: 53-68

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Some Note on the Weather Derivatives & Temperature Swap in Japan2004

    • Author(s)
      Atushi, Takao
    • Journal Title

      Discussion Paper Series Kobe University No.17

      Pages: 1-9

    • Related Report
      2004 Annual Research Report
  • [Journal Article] 我が国株式市場における「半年効果」と投資家心理2004

    • Author(s)
      榊原 茂樹(共著)
    • Journal Title

      国民経済雑誌 190.1

      Pages: 53-68

    • Related Report
      2004 Annual Research Report
  • [Journal Article] The Winner-Looser Effect in Japanese Stock Retunes2004

    • Author(s)
      Hideaki, Kato(共著)
    • Journal Title

      Japan and the World Economy 16・4

      Pages: 471-485

    • Related Report
      2004 Annual Research Report
  • [Journal Article] The Confucian Roots of Business Kyosei2003

    • Author(s)
      Hideaki, Kato (共著)
    • Journal Title

      Journal of Business Ethics 48

      Pages: 317-333

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] リアル・オプションと特許権の評価2003

    • Author(s)
      榊原 茂樹
    • Journal Title

      国民経済雑誌 188・5

      Pages: 1-14

    • NAID

      110000445327

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 事業のリストラクチュアリングと持ち合い解消による資金調達2003

    • Author(s)
      砂川 伸幸
    • Journal Title

      ビジネス・インサイト 44

      Pages: 108-120

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] The Confucian Roots of Business Kyosei2003

    • Author(s)
      Hideaki, Kato
    • Journal Title

      Journal of Business Ethics 48

      Pages: 137-333

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Real Option and the Valuation of Patents2003

    • Author(s)
      Shigeki, Sakakibara
    • Journal Title

      Kokumin-Keizai 188.5

      Pages: 1-14

    • NAID

      110000445327

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Raising Funds by Business Restructurings and the dissolution of cross-shareholdings in Japan2003

    • Author(s)
      Nobuyuki, Isagawa
    • Journal Title

      Business Insight 44

      Pages: 108-120

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] わが国官営簡易保険事業の民営化に関する若干の考察2002

    • Author(s)
      高尾 厚
    • Journal Title

      国民経済雑誌 186・6

      Pages: 53-68

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 自己資本費率規制と貸し渋り問題2002

    • Author(s)
      福田 祐一
    • Journal Title

      ビジネスインサイト 10・2

      Pages: 42-53

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 自社株買入消却と株価動向の理論2002

    • Author(s)
      砂川 伸幸
    • Journal Title

      証券アナリスト・ジャーナル 40・3

      Pages: 110-125

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Callable Convertible Debt Under Managerial Entrenchment2002

    • Author(s)
      Nobuyuki Isagawa
    • Journal Title

      Journal of Corporate Finance 8・3

      Pages: 255-270

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 企業の破綻処理から見た不良債権問題2002

    • Author(s)
      藤原 賢哉
    • Journal Title

      ビジネスインサイト 10・2

      Pages: 24-41

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] インデックス・ファンドと金融市場の効率性2002

    • Author(s)
      藤原 賢哉
    • Journal Title

      日本の金融再生戦略(中央経済社)

      Pages: 167-195

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Test for Rational Bubbles in Stock Prices2002

    • Author(s)
      Yuichi Fukuta
    • Journal Title

      Empirical Economics 27

      Pages: 587-600

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Forward Discount Puzzle and Liquidity Effects : Some Evidence from Exchange Rates among US, Canada, and Japan2002

    • Author(s)
      Yuichi Fukuta, Makoto Saito
    • Journal Title

      Journal of Money, Credit and Banking 34・4

      Pages: 1014-1033

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Some Note on the Privatization of the Postal Life Insurance2002

    • Author(s)
      Atsushi, Takao
    • Journal Title

      Kokumin-Keizai 186.6

      Pages: 53-68

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] BIS Agreement and the Financial Restraint2002

    • Author(s)
      Yuichi, Fukuta
    • Journal Title

      Business Insight 10.2

      Pages: 42-53

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Theory of the Treasury Stock Repurchase and the Stock Price2002

    • Author(s)
      Nobuyuki, Isagawa
    • Journal Title

      Syoken Analysit Journal 40.3

      Pages: 110-125

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Callable Convertible Debt under Managerial Entrenchment2002

    • Author(s)
      Nobuyuki, Isagawa
    • Journal Title

      Journal of Corporate Finance 8.3

      Pages: 255-270

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] The Bad Loan Problem and the Debt Restructurings of Bankrupt Firms2002

    • Author(s)
      Kenya Fujiwara
    • Journal Title

      Business Insight 10.2

      Pages: 24-41

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Index Funds and the Efficiency of Financial Market2002

    • Author(s)
      Kenya Fujiwara
    • Journal Title

      Nihon-no Kinyu-Saisei Senryaku (Chuo-Keizai)

      Pages: 167-195

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Test for Rational Bubbles in Stock Price2002

    • Author(s)
      Yuichi, Fukuta
    • Journal Title

      Empirical Economics 27

      Pages: 587-600

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Forward Discout Puzzle and Liquidity Effects : Some Evidence from Exchange Rates among U.S., Canada, and Japan2002

    • Author(s)
      Yuichi, Fukuta, Makoto Saito
    • Journal Title

      Journal of money, Credit, and Banking 34.4

      Pages: 1014-1033

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] わが国投資信託のパフォーマンスについて2001

    • Author(s)
      藤原 賢哉
    • Journal Title

      国民経済雑誌 183・6

      Pages: 63-79

    • NAID

      110000445157

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] On the Performance of Investment Funds in Japan2001

    • Author(s)
      Kenya Fujiwara
    • Journal Title

      Kokumin-Keizai 18.6

      Pages: 63-79

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Publications] 榊原 茂樹: "わが国株式市場における上半期効果"神戸大学大学院経営学研究科ディスカッションペーパーシリーズ. 662. 1-21 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 榊原 茂樹: "リアル・オプションと特許権の評価"国民経済雑誌. 第188巻・第5号. 1-14 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 砂川 伸幸: "事業のリストラクチュアリングと持ち合い解消による資金調達"ビジネス・インサイト. 第44号. 108-120 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 藤原 賢哉: "不良債権問題と金融市場のガバナンス"中央経済社(未定). 260

    • Related Report
      2003 Annual Research Report
  • [Publications] 高尾 厚: "わが国官営簡易保険事業の民営化に関する若干の考察"国民経済雑誌. 186・6. 53-68 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 福田 祐一: "自己資本費率規制と貸し渋り問題"ビジネスインサイト. 10・2. 42-53 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 砂川 伸幸: "自社株買入消却と株価動向の理論"証券アナリスト・ジャーナル. 40・3. 110-125 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] Nobuyuki Isagawa: "Callable Convertible Debt Under Managerial Entrenchment"Journal of Corporate Finance. 8・3. 255-270 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 藤原 賢哉: "企業の破綻処理から見た不良債権問題"ビジネスインサイト. 10・2. 24-41 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 砂川 伸幸: "自社株買い入れ消却と株価動向の理論"証券アナリストジャーナル.

    • Related Report
      2001 Annual Research Report
  • [Publications] Nobuyuki Isagawa: "Callable Convertible Debt under Managerial Entrenchment"Journal of Corporate Finance.

    • Related Report
      2001 Annual Research Report
  • [Publications] 藤原 賢哉: "わが国投資信託のパフォーマンスについて"国民経済雑誌. 183・6. 63-79 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 藤原 賢哉: "インデックス・ファンドと金融市場の効率性"『金融システムの展望』(仮)中央経済社. (所収予定). (2002)

    • Related Report
      2001 Annual Research Report
  • [Publications] Yuichi Fukuta: "A Test for Rational Bubbles in Stock Prices"Empirical Economics.

    • Related Report
      2001 Annual Research Report
  • [Publications] Yuichi Fukuta, Makoto Saito: "Forward Discount Puzzle and Liquidity Effects : Some Evidence from Exchange Rates among US, Canada, and Japan"Journal of Money, Credit and Banking.

    • Related Report
      2001 Annual Research Report

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Published: 2001-04-01   Modified: 2016-04-21  

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