2013 Fiscal Year Final Research Report
A Dynamic Analysis of Price Formation in Securities Markets
| Project/Area Number |
21330079
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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 | Keio University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
TAKAOKA Sumiko 成蹊大学, 経済学部, 教授 (10361677)
KANEKO Takashi 慶應義塾大学, 商学部, 教授 (90118935)
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| Project Period (FY) |
2009-04-01 – 2014-03-31
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| Keywords | 証券市場 / 社債市場 / 株式市場 / 価格決定 / 引受業者 / 評判 / マッチング |
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| Research Abstract |
This research undertakes an empirical analysis of Japan's share market and market for straight corporate bonds. A data base for initial public offerings (IPOs) of shares was constructed and publicly released. In relation to the puzzle that high initial returns are observed when an auction system where the underwriter has no incentive to underprice is adopted, a hypothesis explaining this outcome was suggested and verified using IPO data. Problems associated with the choice of "book building" as a mechanism to determine public prices were pointed out and some policy recommendations for reform were made. For the bond market, an empirical analysis of the impact of the past behavior of the issuing firm and underwriters on issuing volumes, prices etc was undertaken. To be concrete, the history of the relationship between the issuer and the underwriter was included in the empirical model, and the impact of this relationship was investigated.
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Research Products
(19 results)
