An Inquiry into Interaction Between Expectations of Traders and Their Transactions in Markets, with the Aim of Designing a Mechanism to Control Mispricing
| Project/Area Number |
26380409
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Tokoha University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
赤井 研樹 島根大学, 学術研究院医学・看護学系, 講師 (20583214)
小田 秀典 京都産業大学, 経済学部, 教授 (40224240)
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| Project Period (FY) |
2014-04-01 – 2020-03-31
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| Project Status |
Completed (Fiscal Year 2019)
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| Budget Amount *help |
¥4,940,000 (Direct Cost: ¥3,800,000、Indirect Cost: ¥1,140,000)
Fiscal Year 2018: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000)
Fiscal Year 2017: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2016: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2014: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
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| Keywords | 集合知 / 資産市場実験 / 期待形成 / ミスプライシング / 異質経済主体 / 再帰性 / ファイナンス |
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| Outline of Final Research Achievements |
We investigate the interdependence between pricing and expectations. We study not only the ways in which traders' thoughts determine asset prices, but also the feedback process from prices to expectations. In our laboratory market, subjects are asked to predict the number of balls in a jar and trade an asset whose value is equal to that number. Our asset market is similar to futures markets in that transactions are eventually settled at an asset value. Subjects alternately repeat this process of guessing and transacting.
We find a downward bias in subjects' predictions, which leads to lower prices in the market. Subjects’s experiences in our laboratory markets have no systematic effect on the accuracy of predictions, but make them less heterogenous. Our subjects are likely to revise their predictions with reference to market prices and adjust them to an average price level. Prices often show a good convergence to an equilibrium price level.
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| Academic Significance and Societal Importance of the Research Achievements |
効率的な市場制度の設計のためには、価格が資産の価値をどれだけ正確に反映するかを知る必要がある。現実の市場では、資産の価値が明らかではない。実験市場では、資産価値をパラメタとして設定するので、価格と価値の乖離が観察できる。
従来の資産市場実験では、株式を模して資産を設計していたため、実験資産の価値は配当の確率分布により規定されていた。本研究では、瓶に詰まった玉の数によって、実験資産の価値を規定した。その価値は確定的であるが、被験者の視覚的認知能力の限界が、価値や価格の予測に関する不確実性を作り出している。ここには明確な確率分布は存在せず、ナイトやケインズが論じた真の意味での不確実性になっている。
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Report
(7 results)
Research Products
(7 results)
