| Project/Area Number |
17K03622
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic theory
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| Research Institution | Kyoto University |
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Principal Investigator |
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| Project Period (FY) |
2017-04-01 – 2023-03-31
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| Project Status |
Completed (Fiscal Year 2022)
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| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2019: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2018: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2017: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
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| Keywords | 理論経済学 / 意思決定論 / 資産価格理論 / 行動ファイナンス / 経済理論 |
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| Outline of Final Research Achievements |
This project is an applied research on "ambiguity aversion", that is, a tendency that a decision maker dislikes a situation where a probability of state realization is unknown. In particular, I focus on the differentiable utility function as introduced by Klibanoff et al. (2005) that clearly separates the attitude toward ambiguity from the attitude toward risk. By adapting the linearization technique uniquely designed for Klibanoff et al.'s stochastic discount factor, I derive an ambiguity-augmented factor pricing model, which has newly identified factors that capture the variation of returns due to ambiguity aversion, as well as the conventional factors that captures the variation of returns due to risk aversion. In addition, I derive the conditions that can be used to test the empirical implication of this ambiguity-augmented factor pricing model by utilizing the information obtained from the conventional factor pricing model based only on the risk factors.
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| Academic Significance and Societal Importance of the Research Achievements |
資産価格において、客観的確率がわからないという曖昧な状況を回避する傾向（曖昧性回避）による影響を実証的にとらえる研究は黎明期にあり、特に、多数の資産価格を同時に分析する研究はほとんど存在しない。本研究は、実証研究や投資運用で頻繁に用いられている「多因子モデル」を、「曖昧性回避をとらえる因子」を含む形式に拡張した。この結果、曖昧性回避の影響を実証的にとらえることが可能になり、資産価格理論の研究に大きく貢献するとともに、実際の投資運用に対して曖昧性回避にもとづく資産評価を導入する機会を提供した点に重要な社会的意義がある。
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