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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

Research Project

Project/Area Number 17330075
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionWaseda University

Principal Investigator

UNO Jun  Waseda University, Faculty of Commerce, Professor (00349218)

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)
Project Period (FY) 2005 – 2007
Keywordsinstitutional investors / myopic bias / herding / disposition effects / cognitive biase / liquidity provision / noise / cost of trading
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

  • Research Products

    (17 results)

All 2008 2007 2006 Other 0

All Journal Article (7 results) Presentation (9 results) Remarks (1 results)

  • [Journal Article] Behavioral Biases and Incentive Structure of Japanese Institutional Investors2008

    • Author(s)
      Suto, Megumi
    • Journal Title

      Waseda University Institute of Finance Working Paper Series, WIF-08-003.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] More Evidence of Home Bias2008

    • Author(s)
      Toshino, Masash
    • Journal Title

      Waseda University Institute of Finance Working Paper Series, WIF-08-002

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Behavioral Biases and Incentive Structure of Japanese Institutional Investors2007

    • Author(s)
      Suto, Megumi
    • Journal Title

      15th Annual Conference of Nippon Finance Association Proceedings

      Pages: 78-87

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Consistency of Risk Attitude and other Investment Behavior of Japanese Professional Fund Managers : Questionnaire-based Analysis2007

    • Author(s)
      Susai, Masayuki, Hiroshi Moriyasu
    • Journal Title

      Waseda University Institute of Finance Working Paper Series, WIF-07-007

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] When Do Noise Traders Affect Stock Prices? An Experimental Study

    • Author(s)
      Tanigawa, Yasuhiko, Shinichi Hirota
    • Journal Title

      Waseda University Institute of Finance Working Paper Series (forthcoming)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Index Fund and Short-term Risk Premium

    • Author(s)
      Uno, Jun
    • Journal Title

      15th Annual Conference of Nippon Finance Association Proceedings

      Pages: 135-144

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Index Fund and Liquidity : An Empirical and Experimental Studies

    • Author(s)
      Uno, Jun
    • Journal Title

      Waseda University Institute of Finance Working Paper Series (forthcoming)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Presentation] The Relationship Between Consistency of Risk Attitude and Investment Behavior:Evidence from Japanese Professional Fund Managers2008

    • Author(s)
      Susai, Masayuki and Hiroshi Moriyasu
    • Organizer
      Southwestern Finance Association
    • Place of Presentation
      Texas USA
    • Year and Date
      2008-03-06
    • Description
      「研究成果報告書概要(和文)」より
  • [Presentation] The Relationship Between Consistency of Risk Attitude and Investment Behavior : Evidence from Japanese Professional Fund Managers2008

    • Author(s)
      Susai, Masayuki, Hiroshi Moriyasu
    • Organizer
      Southwestern Finance Association 47th Annual Meeting
    • Place of Presentation
      Hyatt Regency Houston, Houston, Texas, U.S.A
    • Year and Date
      2008-03-06
    • Description
      「研究成果報告書概要(欧文)」より
  • [Presentation] ファンド・マネージャーのリスク態度の論理整合性と投資行動の特徴:アンケート調査に基づく検証2007

    • Author(s)
      須齋 正幸・森保 洋
    • Organizer
      日本金融学会
    • Place of Presentation
      同志社大学
    • Year and Date
      2007-09-09
    • Description
      「研究成果報告書概要(和文)」より
  • [Presentation] ファンド・マネージャーの行動バイアスとインセンテイブ構造2007

    • Author(s)
      首藤 恵
    • Organizer
      日本ファイナンス学会
    • Place of Presentation
      慶鷹義塾大学
    • Year and Date
      2007-06-16
    • Description
      「研究成果報告書概要(和文)」より
  • [Presentation] インデックス運用と短期リスクプレミアム2007

    • Author(s)
      宇野 淳
    • Organizer
      日本ファイナンス学会
    • Place of Presentation
      慶磨義塾大学
    • Year and Date
      2007-06-16
    • Description
      「研究成果報告書概要(和文)」より
  • [Presentation] Behavioral Biases and Incentive Structure of Japanese Institutional Investors2007

    • Author(s)
      Suto, Megumi(2008)
    • Organizer
      15th Annual Conference of Nippon Finance Association
    • Place of Presentation
      Keio University
    • Year and Date
      2007-06-16
    • Description
      「研究成果報告書概要(欧文)」より
  • [Presentation] Index Fund and Short-term Risk Premium2007

    • Author(s)
      Uno, Jun(2008)
    • Organizer
      15th Annual Conference of Nippon Finance Association
    • Place of Presentation
      Keio University
    • Year and Date
      2007-06-16
    • Description
      「研究成果報告書概要(欧文)」より
  • [Presentation] Behavioural Biases of Institutional Investors under Pressures from Customers:Japan and Germany vs the US2006

    • Author(s)
      Megumi Suto
    • Organizer
      14th Conference on the Theories and Practices of Securities and Financial Market
    • Place of Presentation
      台北
    • Year and Date
      20061215-16
    • Description
      「研究成果報告書概要(和文)」より
  • [Presentation] Consistency of Risk Attitude and other Investment Behavior of Japanese Professional Fund Managers : Questionnaire-based Analysis0

    • Author(s)
      Susai, Masayuki, Hiroshi Moriyasu(2007)
    • Organizer
      Conference of Japan Society of Monetary Economics
    • Place of Presentation
      Doshisha University
    • Year and Date
      00000909
    • Description
      「研究成果報告書概要(欧文)」より
  • [Remarks] 「研究成果報告書概要(和文)」より

    • URL

      http://www.waseda.jp/wnfs/labo/labo5.html

URL: 

Published: 2010-02-04  

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