2007 Fiscal Year Final Research Report Summary
Behavioral Biases among Institutional Investors and Price Mechanism of Japanese Securities Market : Fusion of Survey and Experimental Study Approaches
| Project/Area Number |
17330075
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Waseda University |
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Principal Investigator |
UNO Jun Waseda University, Faculty of Commerce, Professor (00349218)
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| Co-Investigator(Kenkyū-buntansha) |
SUTO Megumi Waseda University, Faculty of Commerce, Professor (10206568)
TANIGAWA Yasuhiko Waseda University, Faculty of Commerce, Professor (60163622)
HIROTA Shinichi Waseda University, Faculty of Commerce, Professor (40238415)
SUSAI Masayuki Nagasaki University, Faculty of Economics, Professor (40206454)
MORIYASU Hiroshi Nagasaki University, Faculty of Economics, Associate Professor (10304924)
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| Project Period (FY) |
2005 – 2007
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| Keywords | institutional investors / myopic bias / herding / disposition effects / cognitive biase / liquidity provision / noise / cost of trading |
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| Research Abstract |
Behavioral Biases and Incentive Structure of Japanese Institutional Investors investigated relation of both explicit and implicit incentives with behavioral biases based upon the survey data of questionnaire conducted in 2005 and 2003. Longer working and research hours a week mitigates the fund managers' behavioral biases. However, we did not find the fact which indicates the Japanese fund management companies have appropriate internal incentive structure for fund managers.
Risk Consistency and Professional Fund Managers` Investment Behavior : Questionnaire-based Analysis on Japanese Market investigated risk consistency, herding behavior and disposition effect in Japanese fund managers. They found that 'risk inconsistent' fund managers have a tendency to show disposition behavior.
More Evidence of Home Bias used field surveys to show that Japanese institutional investors held relatively optimistic views for their domestic stock market than for the foreign stock market. Their one-year exp
… More
ected returns for the Nikkei Stock Average were on average much higher than those for the Dow Jones Industrial Average. Such home bias seems to be consistent with a cognitive bias hypothesis. Older and more experienced investors tended to show stronger home bias in the 2005 survey.
When does a noise trader affects stock prices? An experimental study creates laboratory stock market in which informed traders and noise traders co-exist. Their laboratory results suggest that stock prices are vulnerable to noisy information in the financial market.
Index Fund and Liquidity : Empirical and Experimental Examination examines the pattern of pricing before/after two important changes of the passive investment guideline and the timing of benchmark index revisions. The changes affect a behavior of hedge fund who provides liquidity at the events. An experimental study shows that profitability of hedged fund strategy is reduced after an index fund behavior becomes less predictable, market liquidity is lowered and it results in higher cost of rebalancing for index funds. Less
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