The roles of institutional investors in capital markets and their impacts on asset prices
Project/Area Number |
17H07084
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Research Category |
Grant-in-Aid for Research Activity Start-up
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Allocation Type | Single-year Grants |
Research Field |
Money/ Finance
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Research Institution | Keio University |
Principal Investigator |
SATO Yuki 慶應義塾大学, 経済学部(三田), 准教授 (80365478)
|
Research Collaborator |
TOMA Raluca
|
Project Period (FY) |
2017-08-25 – 2019-03-31
|
Project Status |
Completed (Fiscal Year 2018)
|
Budget Amount *help |
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2018: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2017: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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Keywords | 金融市場 / 資産価格 / バブル / 脆弱性 / エージェンシー問題 / 評判 / 金融資本市場 / 機関投資家 / 金融論 / 経済理論 |
Outline of Final Research Achievements |
We investigate theoretically the impact of the rapid increase in the fund management industry on asset prices. In project 1, we study a model in which fund managers care not only about profits but also about reputation, i.e., the market's perception about their skill. The model yields a novel "reputation-driven" equilibrium, where the managers trade more aggressively in an effort to look skilled, leading to (i) financial fragility, (ii) high price volatility, and (iii) large wage inequality in finance. In project 2, we analyze a dynamic asset-market equilibrium model in which (1) an "innovative" asset with as-yet-unknown average payoff is traded, and (2) investors delegate investment to experts. The combination of experts' moral hazard and investors' learning generates bubble-like price dynamics: gradual upswing, overshoot, and reversal. Consistent with empirical observations, hedge funds "ride" price swings, adjusting holdings counter-cyclically to other financial intermediaries.
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Academic Significance and Societal Importance of the Research Achievements |
近年、世界の金融市場の主役は個人投資家から投資ファンド等の機関投資家に代わった。この変化が、資産価格の形成過程をどう変化させ、経済の資源配分や厚生にどう影響するかといったことについては、議論が尽くされていない。こうした問いに答える試みが、プロの投資家ならではの「評判効果」や「モラルハザード効果」を考慮した分析である。本研究では、これらの効果が市場に与える影響を考察しただけでなく、プロの投資家への社会的に最適な報酬体系を分析する理論的枠組みも構築した。こうした分析は、投資ファンドの情報公開の義務付けやマネジャーの報酬に関する規制の可否についての政策的含意を得られるという点で、重要な意義がある。
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Report
(3 results)
Research Products
(12 results)