The analysis of the effect of regime uncertainty on financial markets
| Project/Area Number |
26380390
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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 |
Money/ Finance
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| Research Institution | Hitotsubashi University (2016)
Yokohama National University (2014-2015) |
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Principal Investigator |
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2015: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2014: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
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| Keywords | ファイナンス / 投資戦略 / 証券の価格付け / レジーム変化 / マルコフ連鎖 / リアルオプション / 金利期間構造 / 国際研究者交流 / 国際情報交換 |
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| Outline of Final Research Achievements |
In this project, I study with theoretical models the effect of regime uncertainty on the firm's investment strategy, the asset price, and so on.It was found that the effect cannot be negligible, which indicates that we should take regime uncertainty into account when considering the above problems.
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Report
(4 results)
Research Products
(30 results)
