著者

高阪 勇毅 Mardyla Grzegorz 竹中 慎二 筒井 義郎

出版者

行動経済学会

雑誌

行動経済学

巻号頁・発行日

vol.5, pp.189-192, 2012

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本論文は,気質効果の存在とその原因を経済実験によって調べた.本論文の特徴は次の3つである.第1に,現実の株式市場に似た取引環境を構築し,経済実験の環境下で現実の取引行動に近いデータを取得し,分析したことである.第2に,被験者の参照価格をアンケート調査から特定し,気質効果の存在を単独で検証していることである.第3に,損失局面と利得局面における各危険回避度を計測し,プロスペクト理論における損失回避が気質効果の原因の一つであることを検証したことである.

著者

Kurasawa Motonari Mardyla Grzegorz

出版者

行動経済学会

雑誌

行動経済学

巻号頁・発行日

vol.1, pp.41-48, 2008

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Investor confidence affects financial markets. Information, noise, market frictions cause investor confidence to influence security prices, leading to a price different from the rational expectations value. This paper presents a simple theoretical model of asset prices where investor confidence is allowed to differ across traders, and across time -depending on observed outcomes. The presence of short-sales constraints causes asset prices to behave asymmetrically: short-run returns display reversal after good news, but momentum after bad news. This can change somewhat if investor confidence varies because of biased self-attribution: good news causes returns to exhibit short-run momentum and long-run reversal. We also investigate the extent to which asset supply affects the price paths. In case of zero net supply the equilibrium prices are set unilaterally by either of two investor groups. Yet if we allow for positive asset supply we find an intermediate range of information signals and resulting prices consistent with both trader types being active in the market -this happens if news events are moderate. We further identify the <I>shrinkage effect</I>: the range of signals where both groups of traders have positive asset demands may shrink in subsequent trading due to biased self-attribution.