A Framework for Pricing and Measuring Risk of Financial Assets and Real Estate subject to Regime Switching
Project/Area Number |
21710159
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Research Category |
Grant-in-Aid for Young Scientists (B)
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Allocation Type | Single-year Grants |
Research Field |
Social systems engineering/Safety system
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Research Institution | Chuo University |
Principal Investigator |
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Co-Investigator(Renkei-kenkyūsha) |
MAEDA Akira 東京大学, 教養学部附属教養教育高度化機構 (30317309)
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Project Period (FY) |
2009 – 2011
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Project Status |
Completed (Fiscal Year 2011)
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Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2011: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2010: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2009: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
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Keywords | ファイナンス / レジーム・スイッチング / 資産価格評価 / 不動産 / ポートフォリオ選択 / 隠れマルコフモデル / 因子分析と回帰分析 / 混合効果モデル / リスクとリターン / 価格とリスクの評価 / 金融資産 / ヘドニック・モデルの一般化 / レジーム・スイッチング(隠れマルコフ) / 地理情報システム / 企業価値 / ヘドニック・モデル / S&P Case-Shillerインデックス |
Research Abstract |
We study about pricing and measuring risk of financial assets and real estate subject to regime switching. These financial assets and real estate are the typical risky assets that most of the firm owns. One of the sources of those prices and risks may be derived from the unobservable economic regimes such as booms and recessions. We develop a theory how these regimes may affect the price and risk on the firm. We then proceed to conduct empirical analyses to show it works.
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Report
(4 results)
Research Products
(46 results)
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[Presentation] 不動産価格:理論と実証2009
Author(s)
石島博, 前田章, 廣兼匡章, 白旗慎吾, 坂本亘, 谷山智彦, 渡部育恵
Organizer
日本金融・証券計量・工学学会(JAFEE) 2009夏季大会
Place of Presentation
法政大学
Year and Date
2009-07-29
Related Report
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