Empirical Analysis of Asset Pricing Models with Heterogeneous Consumers in Japan, U.S., and U.K.
Project/Area Number |
16K03754
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Research Category |
Grant-in-Aid for Scientific Research (C)
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Allocation Type | Multi-year Fund |
Section | 一般 |
Research Field |
Money/ Finance
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Research Institution | Musashi University |
Principal Investigator |
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Co-Investigator(Kenkyū-buntansha) |
和田 賢治 慶應義塾大学, 商学部(三田), 教授 (30317325)
|
Project Period (FY) |
2016-04-01 – 2020-03-31
|
Project Status |
Completed (Fiscal Year 2019)
|
Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2018: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
Fiscal Year 2017: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2016: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
|
Keywords | 家計の異質性 / アセットプライシング / 家計調査 / ファイナンス / 資産価格 |
Outline of Final Research Achievements |
We estimate a persistent income shock model using the Japanese household-level monthly consumption data (nondurables and services (NDS)) from the Family Income and Expenditure Survey produced by the Statistics Bureau of Japan. This series of cross-sections covers the period from January 1981 through December 2015. We analyze the effect of uninsurable income shocks on asset returns in Japan. The evidence is that cross-sectionally negatively skewed shocks to household consumption growth play a important role of explaining an abnormal value premium in the Tokyo Stock Exchange.
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Academic Significance and Societal Importance of the Research Achievements |
家計の異質性を考慮したアセットプライシングの分野では、米国を中心に活発に議論が展開されているが、これまで異なる研究者から異なる結果が生じている状況である。これまで、あまり活発に議論されてこなかった日本のデータを使った実証分析の結果をとおして、また、それに英国の実証分析の結果を加えることで、この現在の状況の背景を明らかにするという点で学術的な貢献がある。
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Report
(5 results)
Research Products
(1 results)