• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

New developments in macro-finance theory

Research Project

Project/Area Number 17K03815
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionHosei University

Principal Investigator

Yamazaki Akira  法政大学, 経営学部, 教授 (60633592)

Project Period (FY) 2017-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2019)
Budget Amount *help
¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
Fiscal Year 2019: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2018: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Keywords資産価格理論 / 資産価格パズル / プライシング・カーネル / レヴィ過程 / 確率ボラティリティ / 心理的バイアス / 主観確率分布 / 株式リスク・プレミアム / 倒産リスク / 制御変量法 / ファイナンス / 資産価格 / 投資行動 / 確率解析 / マクロ・ファイナンス / アセット・プライシング / ジャンプ
Outline of Final Research Achievements

This study proposed a new theoretical model of the macro-finance, which is a research area that explores the relationship between asset prices and economic fluctuations, and verified its validity by empirical investigation. In particular, I focused on pricing kernels, and attempted to correct the mismatch between the shape of the pricing kernels derived from the standard asset pricing theory and its observed values. The pricing kernels can be decomposed into “market factors” caused by changes in asset prices and “investor factors” caused by the behavioral principles of market participants. In this study, by introducing sudden fluctuations and stochastic volatility in asset prices and the psychological bias of investors that are not taken into consideration in the standard asset pricing theory, it was shown that it is possible to generate a pricing kernel shape, which is consistent with the observed shapes, in the new theoretical model.

Academic Significance and Societal Importance of the Research Achievements

資産価格理論の分野では、標準理論と観測値の不整合を総称して「資産価格パズル」と呼んでおり、重要な未解決問題として認識されている。最近では、資産価格パズルがプライシング・カーネルの形状と深く関係していることが指摘されており、本研究では、この問題に対する一つの解を提案した。特に、資産価格の突発的変動及びボラティリティの確率的変動と行動ファイナンスの概念を融合させることで、資産価格パズルが解ける可能性を示した点は新規性が高く、今後の更なる発展が期待できる。また本研究の成果は、これまでアノマリーとして認識されていた現実の株価の動きを深く理解するための一助となることが期待される。

Report

(4 results)
  • 2019 Annual Research Report   Final Research Report ( PDF )
  • 2018 Research-status Report
  • 2017 Research-status Report
  • Research Products

    (9 results)

All 2020 2019 2018 2017 Other

All Journal Article (4 results) (of which Peer Reviewed: 3 results) Presentation (2 results) (of which Invited: 2 results) Remarks (3 results)

  • [Journal Article] Probability weighting and default risk: A possible explanation for distressed stock puzzles2020

    • Author(s)
      Yamazaki Akira
    • Journal Title

      Quantitative Finance

      Volume: 20 Issue: 5 Pages: 745-767

    • DOI

      10.1080/14697688.2019.1698057

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A general control variate method for Levy models in finance2020

    • Author(s)
      Shiraya Kenichiro、Uenishi Hiroki、Yamazaki Akira
    • Journal Title

      European Journal of Operational Research

      Volume: 284 Issue: 3 Pages: 1190-1200

    • DOI

      10.1016/j.ejor.2020.01.043

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] ブラック・ショールズ・モデルの拡張と確率的時間変更2019

    • Author(s)
      山嵜 輝
    • Journal Title

      経営志林

      Volume: 56 Pages: 33-47

    • NAID

      40021967535

    • Related Report
      2019 Annual Research Report
  • [Journal Article] A dynamic equilibrium model for U-shaped pricing kernels2017

    • Author(s)
      Yamazaki Akira
    • Journal Title

      Quantitative Finance

      Volume: 未定 Issue: 5 Pages: 851-875

    • DOI

      10.1080/14697688.2017.1388535

    • Related Report
      2017 Research-status Report
    • Peer Reviewed
  • [Presentation] Probability Weighting and Default Risk: A Solution for Asset Pricing Puzzles2018

    • Author(s)
      山嵜 輝
    • Organizer
      一橋大学 金融研究会
    • Related Report
      2018 Research-status Report
    • Invited
  • [Presentation] A dynamic equilibrium model for U-shaped pricing kernels2017

    • Author(s)
      山嵜 輝
    • Organizer
      慶應義塾大学 計量経済セミナー
    • Related Report
      2017 Research-status Report
    • Invited
  • [Remarks] 山嵜研究室

    • Related Report
      2019 Annual Research Report
  • [Remarks] 法政大学 イノベーション・マネジメント研究センター

    • URL

      http://riim.ws.hosei.ac.jp/research/results/working_paper.html

    • Related Report
      2019 Annual Research Report
  • [Remarks] 法政大学 経営学部 山嵜 輝 研究室ホームページ

    • URL

      http://akira2yamazaki.com/

    • Related Report
      2018 Research-status Report 2017 Research-status Report

URL: 

Published: 2017-04-28   Modified: 2021-02-19  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi