2022 Fiscal Year Final Research Report
Emotion and Financial Markets: Regret, Asset Price, and Market Efficiency
Project/Area Number |
16K03758
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Research Category |
Grant-in-Aid for Scientific Research (C)
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Allocation Type | Multi-year Fund |
Section | 一般 |
Research Field |
Money/ Finance
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Research Institution | Ritsumeikan University |
Principal Investigator |
Qin Jie (JieQin) 立命館大学, 経済学部, 教授 (40329751)
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Project Period (FY) |
2016-04-01 – 2023-03-31
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Keywords | 後悔 / 後悔回避 / 投資家感情 / 資産価格評価 / 投資家行動 / 証券投資 / 証券価格 / 情報効率性 |
Outline of Final Research Achievements |
Based on the stylized facts that regret has strong influence on decision making, this research builds a regret-based capital asset pricing model. In the model, investors maximize the expected returns from chosen portfolios of assets while minimizing anticipated regrets. To analyze portfolio selection problems under risk aversion, a new “regret function” is developed. In equilibrium, a closed-form pricing formula is derived. By using “regret premium” and “regret beta”, this research illustrates the effects of regret on asset prices explicitly. The model is further extended to the situation where investors have both regret aversion and risk aversion. A two-beta asset pricing formula is derived where expected return is a linear function of regret beta and market beta. This regret-based capital asset pricing model implies that regret aversion is a possible reason for the flat security market line and high equity premium. Regret aversion can also reduce market efficiency.
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Free Research Field |
行動ファイナンス
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Academic Significance and Societal Importance of the Research Achievements |
後悔などの感情が意思決定に強い影響を与える。本研究は後悔回避を資本資産価格評価モデル(CAPM)に導入して、現代ファイナンス理論の基礎を成す資産価格評価理論を拡張した。本研究が構築したモデルは、後悔が証券市場に与える影響を数量的に分析するための理論的フレームワークを提供すると同時に、検証可能なインプリケーションも提示した。新しい後悔関数の考案、閉式解の導出も重要な理論的貢献である。現実の証券市場で観察される「平坦な証券市場線」や「プレミアム・パズル」などのアノマリーの説明にも寄与する。
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