2004 Fiscal Year Final Research Report Summary
Experimental Study about the Effects of Different Accounting Information on over Stock pricing
| Project/Area Number |
15530303
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Accounting
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| Research Institution | Kobe University |
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Principal Investigator |
YAMAJI Hidetoshi Kobe University, Research Institute for Economics and Business Administration, Professor, 経済経営研究所, 教授 (40127410)
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| Co-Investigator(Kenkyū-buntansha) |
GOTOU Masatoshi Kobe University, Business School, Professor, 経営学研究科, 教授 (70186899)
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| Project Period (FY) |
2003 – 2004
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| Keywords | Efficient market Hypothesis / Market Epuilibrium / Experimental Method / Inappropriate Accounting / Enron / Empirical Study / Auction / Behavioral Finance |
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| Research Abstract |
The main purpose of this research is to find the conditions on which the efficient market hypothesis is realized in securities markets. First experiment to find such a condition is to test if markets can reflect different information concerning a security in a pricing process. Concretely in the first experiment we have eight traders in laboratory market and all of them hold one same information concerning a security. And four of eight have another information and other four also have another different information. They trade security. The final equilibrium price reflects information which all of eight have. This pricing process is not so efficient.
The second experiment is to find concrete conditions which we can see market as efficient. We fixed the traders' decision making mechanism to a simple model usually called as "zero-intelligent" traders. And we can obtain the results that the equilibrium prices approach to the real true price in markets dominated by zero-intelligent traders. The existence of zero-intelligent traders might be one of the conditions.
The third experiment is to add the common knowledge to the first experiment. The common knowledge is that the true information is held by someone in the markets. Every trader watch carefully pricing process because they suppose the true information. So the real equilibrium price approach to true equilibrium significantly better than no common knowledge context.
We can propose some words to policy makers of security regulation based on the experimental results. Security regulation agencies of developed countries must exclusively disclose accounting information with absolute confidence to traders. If not so, real equilibrium price would be deviated from the real true equilibrium prices.
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Research Products
(6 results)
