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Empirical analysis on behavioral finance-financial behavior puzzles of firm and household-

Research Project

Project/Area Number 17330088
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Business administration
Research InstitutionYamaguchi University

Principal Investigator

SHIROSHITA Kengo  Yamaguchi Univ., Economics, professor, 経済学部, 教授 (20183840)

Co-Investigator(Kenkyū-buntansha) SAKAKIBARA Shigeki  Kanseigakuin univ., Commercial science, professor, 商学部, 教授 (10030719)
ISAGAWA Nobuyuki  Univ.of Kobe, Business administration, associate professor, 大学院経営学研究科, 助教授 (90273755)
SASAKI Ichirou  Hiroshima Univ.of Economics, associate professor, 経済学部, 助教授 (60330651)
SHIMIZU Hajime  Takamatsu Univ., Business administration, assistant professor, 経営学部, 講師 (50368841)
Project Period (FY) 2005 – 2006
Project Status Completed (Fiscal Year 2006)
Budget Amount *help
¥7,800,000 (Direct Cost: ¥7,800,000)
Fiscal Year 2006: ¥3,400,000 (Direct Cost: ¥3,400,000)
Fiscal Year 2005: ¥4,400,000 (Direct Cost: ¥4,400,000)
Keywordsdisposition effect / momentum effect / price reversal / monthly effect / cross-holding / entrenchment / non purchase of longterm care insurance / overconfidence / モーメンタム / 価格反転 / 月次効果 / cross-shareholding / entrrnchment / 国民年金未加入 / 自信過剰 / 半年効果 / R&D投資
Research Abstract

We have proceeded with the research on the upper project through the review of empirical analysis on behavioral finance studies
1. We analyzed the disposition effect. Disposition means the tendency to sell stocks too early that have gained value and to keep stocks too long that have lost value relative to some reference point(for example, purchase point). The effect of this tendency depends on risk and reference point. We find that subjects tended to sell winner stocks quickly and to keep loser stocks. However, the disposition effects were greatly reduced when the stocks were automatically sold after a five percent fall in price.
2. We examined the 52 week-high investment strategy(George and Hwang) and the 52 week-low investment strategy in the Japanese stock market. The result showed George and Huang strategy in the stock market does not gain a positive rate of returns. On the contrary, the strategy that buying the lowest stock compared with 52 week-high stock price and selling of 52 we … More ek-high stock price gets a positive rate of return. Especially, this performance is attributed to the portfolio that include small stocks.
We examined the short-term and long-term momentum effect. The result showed the one month contrarian strategy that buying the extremely worst stocks and selling the extremely best stocks got a positive return. And we showed the upper half year effect.
3. We examined the overconfidence. We presented evidence that there is great improvement in the rate of correct answers in survey with punishment. This evidence may be interpreted that investor's overconfidence is not so large as the supporters of behavioral finance. And we examined several recent papers on corporate restructuring, especially the relationship between corporate restructuring and financial performance. In considering this problem, we can evaluate improvements in operating performance following downsizing actions of Japanese firms.
4. We examined corporate strategies regarding cross-shareholding and the unwinding of cross-shareholding, and we presented a rationale for corporate managers to unwind cross-shareholding enhances managerial entrenchment. The model proposed here explains why cross-shareholdings among Japanese firms declined during the 1990s, a decade during which the cost of takeovers decreased because of financial market dereguration. Less

Report

(3 results)
  • 2006 Annual Research Report   Final Research Report Summary
  • 2005 Annual Research Report
  • Research Products

    (33 results)

All 2007 2006 2005

All Journal Article (32 results) Book (1 results)

  • [Journal Article] 日本株式市場における価格モーメンタム・リバーサル効果の検証2007

    • Author(s)
      城下賢吾, 森保洋
    • Journal Title

      山口大学経済学部ディスカッションペーパー 12号

      Pages: 1-41

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Annual Research Report 2006 Final Research Report Summary
  • [Journal Article] 気質効果2007

    • Author(s)
      城下賢吾
    • Journal Title

      山口経済学雑誌 55巻・6号(掲載決定)

    • NAID

      40015460128

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] A theory of unwinding of cross-sharing under managerial entrenchment2007

    • Author(s)
      Nobuyuki Isagawa
    • Journal Title

      Journal of Financial Research (Forthcoming)

      Pages: 1-26

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] 人員削減と株価パフォーマンス2007

    • Author(s)
      清水一, 山崎尚志
    • Journal Title

      ディスカッションペーパー(神戸大学) 14号

      Pages: 1-10

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] 投資家は本当に自信過剰なのか-行動ファイナンスの仮説について-2007

    • Author(s)
      清水一
    • Journal Title

      高松大学紀要 47巻

      Pages: 1-7

    • NAID

      110006238516

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Annual Research Report 2006 Final Research Report Summary
  • [Journal Article] Momentum and reversal effect in Japanese stock market2007

    • Author(s)
      Kengo Shiroshita, Hiroshi Moriyasu
    • Journal Title

      Discussion paper(Yamaguchi university) no.12

      Pages: 1-41

    • NAID

      40015587242

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Disposition effect2007

    • Author(s)
      Kengo Shiroshita
    • Journal Title

      Yamaguchi-Keizaigaku zasshi vo155. no.6 (forthcoming)

    • NAID

      40015460128

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] A theory of unwinding of cross-shareholding under managerial entrenchment2007

    • Author(s)
      Nobuyuki Isagawa
    • Journal Title

      Journal of Financial Research, forthcoming (forthcoming)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Restructuring and stock price performance2007

    • Author(s)
      Hajime Shimizu, Takashi Yamasaki
    • Journal Title

      Discussion paper(Kobe university) no.14

      Pages: 1-10

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Are investors really overconfident in, stock market? : on the hypothesis of behavioral finance2007

    • Author(s)
      Hajime Shimizu
    • Journal Title

      Takamatu daigaku kiyou no.47

      Pages: 1-7

    • NAID

      110006238516

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] 気質効果2007

    • Author(s)
      城下賢吾
    • Journal Title

      山口経済学雑誌 55巻6号(掲載決定)

    • NAID

      40015460128

    • Related Report
      2006 Annual Research Report
  • [Journal Article] A theory of unwinding of cross-shareholding under managerial entrenchment2007

    • Author(s)
      Nobuyuki Isagawa
    • Journal Title

      Journal of Financial Research (Forthcoming)

      Pages: 1-26

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 人員削除と株価パフォーマンス2007

    • Author(s)
      清水一, 山崎尚志
    • Journal Title

      ディスカッションペーパー(神戸大学) 14号

      Pages: 10-10

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 利益情報に対する過小反応とモーメンタム効果-サーベイ研究-2006

    • Author(s)
      城下賢吾
    • Journal Title

      山口経済学雑誌 55巻・3号

      Pages: 15-34

    • NAID

      120005246169

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Annual Research Report 2006 Final Research Report Summary
  • [Journal Article] 株式市場のモーメンタム効果-わが国株式市場における実証分析-2006

    • Author(s)
      森保洋, 城下賢吾
    • Journal Title

      山口大学経済学部ディスカッションペーパー 11号

      Pages: 1-16

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Annual Research Report 2006 Final Research Report Summary
  • [Journal Article] 気質効果の追加検証2006

    • Author(s)
      城下賢吾
    • Journal Title

      ディスカッションペーパー(山口大学) 9号

      Pages: 1-22

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] 保険と老後設計2006

    • Author(s)
      佐々木一郎
    • Journal Title

      保険学雑誌 595号

      Pages: 61-78

    • NAID

      130001167207

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Annual Research Report 2006 Final Research Report Summary
  • [Journal Article] 企業のリストラクチャリングと財務パフォーマンスの関係について2006

    • Author(s)
      清水一
    • Journal Title

      高松大学紀要 45号

      Pages: 101-109

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary 2005 Annual Research Report
  • [Journal Article] underreaction to earnings information and momentum effect-survey research-2006

    • Author(s)
      Kengo Shiroshita
    • Journal Title

      Yamaguchi-keizaigaku zasshi vol.55, no.3

      Pages: 15-34

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Momentum effect in Japanese stock market-Empirical analysis-2006

    • Author(s)
      Hiroshi Moriyasu, Kengo Shiroshita
    • Journal Title

      Discussion paper(Yamaguchi university) no.11

      Pages: 1-16

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Further evidence of the disposition effect2006

    • Author(s)
      Kengo Shiroshita
    • Journal Title

      Discussion paper(Yamaguchi university) no.9

      Pages: 1-22

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] R&D and market valuation : A survey2006

    • Author(s)
      Jung Euchul, Nobuyuki Isagawa
    • Journal Title

      Kokumin Keizai Zasshi vol.192, no.6

      Pages: 71-81

    • NAID

      110002333685

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Factor analysis on national pension fund2006

    • Author(s)
      Ichiro Sasaki
    • Journal Title

      Kikan Shakaihosho kenkyu vol.41,no.3

      Pages: 263-277

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Insurance and old age planning2006

    • Author(s)
      Ichiro Sasaki
    • Journal Title

      Hokengaku zasshi no.595

      Pages: 61-77

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] On the relationship between corporate restructuring and financial performance2006

    • Author(s)
      Hajime Shimizu
    • Journal Title

      Takamatudaigaku kiyou vol.45

      Pages: 101-109

    • NAID

      110004449244

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] 気質効果の追加検証2006

    • Author(s)
      城下賢吾
    • Journal Title

      山口大学経済学部ディスカッションペーパー 9号

      Pages: 1-22

    • Related Report
      2005 Annual Research Report
  • [Journal Article] 株式投資収益率の半年効果がファーマ=フレンチ・モデルに及ぼす影響と4ファクターモデル2005

    • Author(s)
      榊原茂樹, 山崎尚志
    • Journal Title

      国民経済雑誌 192巻・3号

      Pages: 13-24

    • NAID

      110001715883

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary 2005 Annual Research Report
  • [Journal Article] R&D投資と市場の評価2005

    • Author(s)
      鄭義哲, 砂川伸幸
    • Journal Title

      国民経済雑誌 192巻・6号

      Pages: 72-82

    • NAID

      110002333685

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] 国民年金未加入行動に影響する要因の分析-大学生対象のアンケート調査から-2005

    • Author(s)
      佐々木一郎
    • Journal Title

      季刊 社会保障研究 41巻・3号

      Pages: 263-275

    • NAID

      40007152362

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] The half year effect of the stock returns and the extension of Fama and French three factor model in Japan2005

    • Author(s)
      Shigeki Sakakibara, Takashi Yamasaki
    • Journal Title

      Kokumin Keizai zasshi vol.192, no.3

      Pages: 13-24

    • NAID

      110001715883

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] R&D投資と市場の評価2005

    • Author(s)
      鄭義哲, 砂川伸幸
    • Journal Title

      国民経済雑誌 192巻・6号

      Pages: 72-82

    • NAID

      110002333685

    • Related Report
      2005 Annual Research Report
  • [Journal Article] 国民年金未加入行動に影響する要因の分析-大学生対象のアンケート調査から-2005

    • Author(s)
      佐々木一郎
    • Journal Title

      季刊 社会保障研究 第41巻3号

      Pages: 263-275

    • NAID

      40007152362

    • Related Report
      2005 Annual Research Report
  • [Book] パーソナルファイナンス入門2006

    • Author(s)
      榊原, 城下, 姜, 砂川編著
    • Total Pages
      236
    • Publisher
      中央経済社
    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Annual Research Report 2006 Final Research Report Summary

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Published: 2005-04-01   Modified: 2016-04-21  

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