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Experimental Study about the Effects of Different Accounting Information on over Stock pricing

Research Project

Project/Area Number 15530303
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Accounting
Research InstitutionKobe University

Principal Investigator

YAMAJI Hidetoshi  Kobe University, Research Institute for Economics and Business Administration, Professor, 経済経営研究所, 教授 (40127410)

Co-Investigator(Kenkyū-buntansha) GOTOU Masatoshi  Kobe University, Business School, Professor, 経営学研究科, 教授 (70186899)
Project Period (FY) 2003 – 2004
Project Status Completed (Fiscal Year 2004)
Budget Amount *help
¥2,800,000 (Direct Cost: ¥2,800,000)
Fiscal Year 2004: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 2003: ¥2,300,000 (Direct Cost: ¥2,300,000)
KeywordsEfficient market Hypothesis / Market Epuilibrium / Experimental Method / Inappropriate Accounting / Enron / Empirical Study / Auction / Behavioral Finance / 真実な情報 / ディスクロージャー / 異質な情報 / 収束価格 / 共有知識
Research Abstract

The main purpose of this research is to find the conditions on which the efficient market hypothesis is realized in securities markets. First experiment to find such a condition is to test if markets can reflect different information concerning a security in a pricing process. Concretely in the first experiment we have eight traders in laboratory market and all of them hold one same information concerning a security. And four of eight have another information and other four also have another different information. They trade security. The final equilibrium price reflects information which all of eight have. This pricing process is not so efficient.
The second experiment is to find concrete conditions which we can see market as efficient. We fixed the traders' decision making mechanism to a simple model usually called as "zero-intelligent" traders. And we can obtain the results that the equilibrium prices approach to the real true price in markets dominated by zero-intelligent traders. The existence of zero-intelligent traders might be one of the conditions.
The third experiment is to add the common knowledge to the first experiment. The common knowledge is that the true information is held by someone in the markets. Every trader watch carefully pricing process because they suppose the true information. So the real equilibrium price approach to true equilibrium significantly better than no common knowledge context.
We can propose some words to policy makers of security regulation based on the experimental results. Security regulation agencies of developed countries must exclusively disclose accounting information with absolute confidence to traders. If not so, real equilibrium price would be deviated from the real true equilibrium prices.

Report

(3 results)
  • 2004 Annual Research Report   Final Research Report Summary
  • 2003 Annual Research Report
  • Research Products

    (8 results)

All 2005 2004 2003 Other

All Journal Article (7 results) Publications (1 results)

  • [Journal Article] コーポレート・ガバナンスの実験的分析2005

    • Author(s)
      後藤 雅敏(紘行), 山地 秀俊
    • Journal Title

      組織科学 39(近刊)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Experimental Study on Corporate Governance2005

    • Author(s)
      Masatoshi(Hiroyuki) Gotou, Hidetoshi Yamaji
    • Journal Title

      Organizational Science Vol.39(forthcoming)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 収支計算(会計学)と最大化計算(経済学)2004

    • Author(s)
      後藤 雅敏(紘行), 山地 秀俊
    • Journal Title

      会計 166

      Pages: 27-38

    • NAID

      40006470369

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Balancing (Accounting) and Maximizing (Economics)2004

    • Author(s)
      Masatoshi(Hiroyuki) Gotou, Hidetoshi Yamaji
    • Journal Title

      Zasshi Kaikei Vol.166, No.5

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 収支計算(会計学)と最大化計算(経済学)2004

    • Author(s)
      後藤紘行, 山地秀俊
    • Journal Title

      会計 第166巻第5号

      Pages: 667-678

    • NAID

      40006470369

    • Related Report
      2004 Annual Research Report
  • [Journal Article] 効率的市場仮説に基づく証券規制の功罪-ある証券に関して複数の情報があるときの均衡価格の特徴-2003

    • Author(s)
      後藤 雅敏(紘行), 山地 秀俊
    • Journal Title

      アメリカ不正会計とその分析(山地秀俊編著) 経済経営研究 叢書 63

      Pages: 107-132

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Merits and demerits of Security Regulation based on Efficient Market Hypothesis2003

    • Author(s)
      Masatoshi(Hiroyuki) Gotou, Hidetoshi Yamaji
    • Journal Title

      Analysis upon American Inappropriate Accounting RIEB(Hidetoshi Yamaji ed. )

      Pages: 107-132

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Publications] 後藤雅敏: "効率的市場仮説に基づく証券規制の功罪-ある証券に関して複数の情報があるときの均衡価格の特徴-"アメリカ不正会計とその分析、経済経営研究所叢書63. 63. 107-132 (2003)

    • Related Report
      2003 Annual Research Report

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Published: 2003-04-01   Modified: 2016-04-21  

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