Price formation in the bond and stock markets, and monetary policy

• Project/Area Number: 17330074
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Keio University
• Principal Investigator: MCKENZIE Colin Keio University, 経済学部, 教授 (10220980)
• Co-Investigator(Kenkyū-buntansha): KANEKO Takashi 慶應義塾大学, 商学部, 教授 (90118935) ; 岡部 光明 明治学院大学, 国際学部, 教授 (00265927) ; 鷹岡 澄子 成蹊大学, 経済学部, 専任講師 (10361677)
• Co-Investigator(Renkei-kenkyūsha): TAKAOKA Sumiko 成蹊大学, 経済学部, 准教授 (10361677)
• Project Period (FY): 2005 – 2008
• Project Status: Completed (Fiscal Year 2008)
• Budget Amount: ¥16,710,000 (Direct Cost: ¥15,000,000、Indirect Cost: ¥1,710,000); Fiscal Year 2008: ¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000); Fiscal Year 2007: ¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000); Fiscal Year 2006: ¥4,500,000 (Direct Cost: ¥4,500,000); Fiscal Year 2005: ¥4,800,000 (Direct Cost: ¥4,800,000)
• Keywords: 引受業者 / ミスプライシング / 社債 / 株式 / 自由化 / 価格形成 / 社債市場 / 株式市場 / 証券市場 / アンダープライシング / オーバープライシング / 引受業務 / IPO / 金利ボラティリティ / スプレッド

Research Abstract

研究成果として(1) 銀行子会社が社債の引受業者として認められたことによって社債の引受手数料も社債の発行スプレッドも減ったこと、(2) 社債の発行価格と最初に流通市場で取引された価格を比較すると、価格が統計的に下がること(オーバープライシングという現象)が1994年から2002年までの間に観測され、社債の発行条件が決まった時点の金利ボラティリティーや金利ボラティリティーの変化にかなり依存することが上げられることが上げられる。

Research Products

• [Journal Article] IPOの過小値付け現象-新しい解釈の試み- (2009)
  • Author(s): 金子隆
  • Journal Title: 三田商学研究 52巻2号(近刊)
  • NAID: 120002233662
• [Journal Article] IPOの過小値付け現象‐新しい解釈の試み- (2009)
  • Author(s): 金子, 隆
  • Journal Title: 三田商学研究 52巻2号(近刊印刷中)
  • NAID: 120002233662
• [Journal Article] Underwriter Reputation and Switching (2008)
  • Author(s): McKenzie, C.R. and S. Takaoka
  • Journal Title: Mathematics and Computers in Simulation 78(2-3) Pages: 215-222
  • Peer Reviewed
• [Journal Article] Underwriter Reputation and Switching (2008)
  • Author(s): McKenzie, C. R., S. Takaoka
  • Journal Title: Mathematics and Computers in Simulation 78(2-3) Pages: 215-222
  • Peer Reviewed
• [Journal Article] IPOの過小値付け現象-新しい解釈の試み- (2008)
  • Author(s): 金子 隆
  • Journal Title: 三田商学研究 未定(近刊)
  • NAID: 120002233662
• [Journal Article] EViews 5.1 (2007)
  • Author(s): McKenzie, C.R. and S. Takaoka
  • Journal Title: Journal of Applied Econometrics 22(6) Pages: 1145-1152
  • Peer Reviewed
• [Journal Article] 引受主幹事の公開価格設定行動 : 部分入札方式下の謎 (2007)
  • Author(s): 金子隆
  • Journal Title: 三田商学研究 49巻6号 Pages: 103-119
  • NAID: 120000801691
• [Journal Article] 引受主幹事の公開価格設定行動 : 部分入札方式下の謎 (2007)
  • Author(s): 金子 隆
  • Journal Title: 三田商学研究 49巻6号 Pages: 103-119
  • NAID: 120000801691
• [Journal Article] Underwriter Reputation and Switching (2007)
  • Author(s): McKenzie, C.R., S.Takaoka
  • Journal Title: Mathematics and Computers in Simulation 未定(近刊)
• [Journal Article] EViews 5.1 (2007)
  • Author(s): McKenzie, C.R., S.Takaoka
  • Journal Title: Journal of Applied Econometrics 22(6)(近刊)
• [Journal Article] The Impact of Bank Entry in the Japanese Corporate Bond Underwriting Market (2006)
  • Author(s): Takaoka, S. and C.R. McKenzie
  • Journal Title: Journal of Banking and Finance 30(1) Pages: 59-83
  • Peer Reviewed
• [Journal Article] 公開前市場の推定均衡価格と公開価格の関係 : パズルの提示と解明の試み (2006)
  • Author(s): 金子 隆
  • Journal Title: 慶應義塾大学 経商連携21世紀COEディスカッション・ペーパー DP2006-012 Pages: 1-19
• [Journal Article] The Impact of Bank Entry in the Japanese Corporate Bond Underwriting Market (2006)
  • Author(s): Takaoka, S., C.R.McKenzie
  • Journal Title: Journal of Banking and Finance 30・1 Pages: 59-83
• [Journal Article] Underwriter Switching in the Japanese Corporate Bond Market (2005)
  • Author(s): McKenzie, C.R. and S. Takaoka
  • Journal Title: in Zerger, A. and R.M. Argent (eds), MODSIM 2005 International Congress on Modelling and Simulation, Modelling and Simulation Society of Australia and New Zealand(ISBN : 0-9758400-2-9.) Pages: 580-586
  • URL: http://www.mssanz.org.au/modsim05/papers/mckenzie.pdf
  • Peer Reviewed
• [Journal Article] 銀行借入vs. 市場性負債 : アナウンスメント効果の比較と要因分析 (2005)
  • Author(s): 金子隆・渡邊智彦
  • Journal Title: 現代ファイナンス 18号 Pages: 69-95
  • NAID: 130007528247
  • Peer Reviewed
• [Journal Article] Deregulation of Bank Underwriting Activities : Impacts in the Euro-yen and Japanese Corporate Bond Markets (2005)
  • Author(s): McKenzie, C.R. and S. Takaoka
  • Journal Title: Mathematics and Computers in Simulation 68(5/6) Pages: 529-538
  • Peer Reviewed
• [Journal Article] 銀行借入vs.市場性負債:アナウンスメント効果の比較と要因分析 (2005)
  • Author(s): 金子隆, 渡邊智彦
  • Journal Title: 現代ファイナンス 18 Pages: 69-95
  • NAID: 130007528247
• [Journal Article] Underwriter Switching in the Japanese Corporate Bond Market (2005)
  • Author(s): McKenzie, C.R., S.Takaoka
  • Journal Title: MODSIM 2005 International Congress on Modelling and Simulation (Zerger, A. and R.M. Argent (eds)) Pages: 580-586
• [Presentation] Mispricing in the Japanese Corporate Bond Market (2008)
  • Author(s): McKenzie C.(Takaoka S.との共著)
  • Organizer: Australasian Meeting of the Econometric Society (ESAM08)(Takaoka S.との共著)
  • Place of Presentation: Wellington
  • Year and Date: 2008-07-10
• [Presentation] Main Bank-Firm Relationships and Volatility in the Japanese Corporate Bond Market (2008)
  • Author(s): Colin Ross McKenzie
  • Organizer: 計量経済学会のオーストラレーシア大会(ESAMO8)
  • Place of Presentation: ウェリントン市(ニュージーランド)
  • Year and Date: 2008-07-10
• [Presentation] The Role of Underwriters in the Japanese Corporate Bond Market (2007)
  • Author(s): McKenzie, C.(Takaoka S.との共著)
  • Organizer: 日本経済学会2007 年度春季大会
  • Place of Presentation: 大阪学院大学
  • Year and Date: 2007-06-02
• [Presentation] The Role of Underwriters in the Japanese Corporate Bond Market (2007)
  • Author(s): McKenzie, C.(Takaoka S.との共著)
  • Organizer: FCS Conference on Recent Developments in Econometrics
  • Place of Presentation: 下関市立大
  • Year and Date: 2007-02-11
• [Presentation] Main Bank-Firm Relationships and Volatility in the Japanese Corporate Bond Market (2006)
  • Author(s): McKenzie C.R.(Takaoka S.との共著)
  • Organizer: 10^<th> International Convention of the East Asian Economic Association
  • Place of Presentation: Peking
  • Year and Date: 2006-11-18
• [Presentation] Main Bank-Firm Relationships and Volatility in the Japanese Corporate Bond Market (2006)
  • Author(s): McKenzie C.R.(Takaoka S.との共著)
  • Organizer: Australasian Meeting of the Econometric Society-ESAM06
  • Place of Presentation: Alice Springs
  • Year and Date: 2006-07-06
• [Presentation] 公開前市場の推定均衡価格と公 開価格の関係 : パズルの提示と解明の試み (2006)
  • Author(s): 金子隆
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 東京大学
  • Year and Date: 2006-06-01
• [Presentation] Underwriter Switching in the Japanese Corporate Bond Market (2005)
  • Author(s): McKenzie C.R.(Takaoka S.との共著)
  • Organizer: International Congress on Modelling and Simulation-MODSIM05-Melbourne
  • Place of Presentation: Australia
  • Year and Date: 2005-12-15
• [Presentation] Bank-Firm Relationships in the Japanese Corporate Bond Market (2005)
  • Author(s): McKenzie C.R.(Takaoka S.との共著)
  • Organizer: 2005 年度日本ファイナス学会第13回大会
  • Place of Presentation: 横浜国立大学
  • Year and Date: 2005-06-12
• [Presentation] Mispricing in the Japanese Corporate Bond Market (2005)
  • Author(s): 鷹岡澄子(Takaoka S.との共著)
  • Organizer: 日本経済学会春季大会
  • Place of Presentation: 京都産業大学(招待論文)
  • Year and Date: 2005-06-05
• [Presentation] Bank-Firm Relationships in the Japanese Corporate Bond Market (2005)
  • Author(s): McKenzie C.R.(鷹岡澄子との共著)
  • Organizer: 日本経済学会春季大会
  • Place of Presentation: 京都産業大学
  • Year and Date: 2005-06-05