A behavioral model of anomalous activities in security markets

2016 Fiscal Year Final Research Report

• Project/Area Number: 26330034
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Statistical science
• Research Institution: Tokyo University of Science (2016); Ryukoku University (2014-2015)
• Principal Investigator: Shoji Isao 東京理科大学, 経営学部ビジネスエコノミクス学科, 教授 (20282329)
• Project Period (FY): 2014-04-01 – 2017-03-31
• Keywords: 行動ファイナンス / 行動計量モデル / disposition effect / プロスペクト理論 / リスク許容度 / 双曲型割引関数 / 指数型割引関数

Outline of Final Research Achievements

Focusing on the so-called disposition effect observed in security markets as one of anomalous trading activities, through simulation studies we tried to find what mechanism causes the effect from behavioral point of views. The results of simulation studies show that, among behavioral properties of investors, the different risk tolerance has great influence on the cause of the effect. The risk aversion in the state of gains, however, does not play so significant role in causing the effect as expected. Rather, the risky attitude in the loss state is thought of as the most significant driving factor. This implies that the behavioral properties shown when investors are facing losses plays a key role in such an anomalous activity as the disposition effect.

Free Research Field

計量ファイナンス