| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2020: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2019: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2018: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2016: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Outline of Final Research Achievements |
Based on the stylized facts that regret has strong influence on decision making, this research builds a regret-based capital asset pricing model. In the model, investors maximize the expected returns from chosen portfolios of assets while minimizing anticipated regrets. To analyze portfolio selection problems under risk aversion, a new “regret function” is developed. In equilibrium, a closed-form pricing formula is derived. By using “regret premium” and “regret beta”, this research illustrates the effects of regret on asset prices explicitly. The model is further extended to the situation where investors have both regret aversion and risk aversion. A two-beta asset pricing formula is derived where expected return is a linear function of regret beta and market beta. This regret-based capital asset pricing model implies that regret aversion is a possible reason for the flat security market line and high equity premium. Regret aversion can also reduce market efficiency.
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