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2014 Fiscal Year Final Research Report

Valuation of corporate risk under asymmetric information

Research Project

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Project/Area Number 24530343
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Public finance/Monetary economics
Research InstitutionHitotsubashi University

Principal Investigator

NAKAMURA Hisashi  一橋大学, 大学院商学研究科, 准教授 (80418649)

Project Period (FY) 2012-04-01 – 2015-03-31
Keywordsリスク管理 / モラルハザード / 情報開示 / 資産価格 / 連続時間
Outline of Final Research Achievements

This research project analyzed corporate risk pricing under asymmetric information. Specifically, it provided a tractable framework to study optimal risk sharing between an investor and a firm in the presence of moral hazard and misreporting under diffusive and jump risks. In consequence, it made clear explicitly the structural effect of asymmetric information on the optimal allocations and the marginal utilities. In particular, the asymmetric-information effect distorts the prices of the risks.
I have had two academic articles published in refereed English journals and gave some seminars in academic conferences in Japan, the United States, Australia and Europe. The academic accomplishment in this project leads to my next Grants-in-Aid for Scientific Research (C), entitled "A Dynamic General Equilibrium Analysis of Insurance-Linked Securities and Their Effect on Financial Stability."

Free Research Field

リスク管理、資産価格、金融経済学

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Published: 2016-06-03  

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