| Project/Area Number |
16530214
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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 |
Public finance/Monetary economics
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| Research Institution | Osaka City University |
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Principal Investigator |
ZHAI Linyu Osaka City University, Graduate School of Business, Professor (40236964)
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| Project Period (FY) |
2004 – 2005
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| Project Status |
Completed (Fiscal Year 2005)
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| Budget Amount *help |
¥1,300,000 (Direct Cost: ¥1,300,000)
Fiscal Year 2005: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 2004: ¥800,000 (Direct Cost: ¥800,000)
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| Keywords | institution investor / individual investor / equity premium / risk allocation / risk aversion / risk pooling / information advantage / initial public offering / エージェンシー問題 / リスクの分散 / 分離均衡 |
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| Research Abstract |
In the stock markets of developed countries such as U.S. and Japan, the ratio of shares held by institutional investors is growing rapidly. In this study, it is hypothesized that compared to the case shares are directly held by individual investors, institution investors could improve the efficiency of risk allocation and then this hypothesis is studied theoretically and empirically.
As a result, I find that in an inefficient capital market, institution investors decrease unsystematic risks by pooling the risks first and then allocating them to the original individual investors. This fact may contribute to the decreasing trend of equity premium in recent decades. Besides the role of decreasing the risks of listed firms, institution investors along with the underwriters of IPO firms can also decrease the afterwards volatilities of IPO firms in some extent.
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