Collection and Analysis of the Data for an elucidation of the stock price mechanism

数据收集和分析以阐明股价机制

基本信息

批准号：
07630084
负责人：
TSUTSUI Yoshiro
金额：
$ 1.22万
依托单位：
Osaka University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
1995
资助国家：
日本
起止时间：
1995 至 1997
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-07630084/
关键词：
questionnaire stock price Japanese and U.S.investors アンケート投資行動

项目摘要

I conducted a survey twice a year, in August and February for these three years. Questionnaires that consist of about 40 questions were sent to about 400 institutional investors, i.e.banks, securities companies, investment trust, and investment consultant companies. The response rate was about 35 to 38%. In this survey, I asked their expectations on the future stoch prices in Japan and the U.S., evaluation of the current market conditions, predictions about future land prices, and so on. Responses are summarized in a ten-page report every time.This survey is a part of those conducted since 1989. Main questions have been asked in the U.S.by Professor Shiller of Yale University. A comparison of the Japanese and U.S.investors' answers gives us very interesting knowledge, and we wrote a paper elucidating the reason of the crash of the Japanese stock prices since 1990 (Review of Economics and Statistics, February 1996).I wrote an article analyzing the current situation of the U.S.stock prices (The Nikkei Daily Newspaper, October 1997). I judge that the U.S.stock prices are in a bubble situation, but the bubble is smaller than the one in the late 1980s in Japan. I also point out there that the U.S.investors are cooler than the Japanese investors in the late 1980s.Now, I am going to test whether or not the investors' expectations are rational expectation. Many previous studies argued that expectation data from surveys is not rational, and one paper argued that the deviation from rational expectation could be filled if we admit that a part of market participants is chartist. Since we asked our respondents if they are fundamentalist or chartist, we can make clear whether or not this hypothesis is valid, using our survey data ; which is now we are going to do.

这三年我每年进行两次调查，分别是八月和二月。向银行、证券公司、投资信托、投资顾问公司等约400家机构投资者发放了约40个问题的调查问卷。回应率约为35%至38%。在这次调查中，我询问了他们对日本和美国未来股票价格的预期、对当前市场状况的评价、对未来土地价格的预测等。每次的答复都会总结在一份长达十页的报告中。这项调查是自 1989 年以来进行的调查的一部分。主要问题是由耶鲁大学的席勒教授在美国提出的。通过比较日本和美国投资者的答案，我们得到了非常有趣的知识，我们写了一篇论文，阐明了自 1990 年以来日本股价暴跌的原因（经济与统计评论，1996 年 2 月）。我写了一篇分析文章美国股票价格的现状（《日经日报》，1997 年 10 月）。我判断美国股票价格处于泡沫状态，但泡沫比日本20世纪80年代后期的泡沫要小。我还指出，在20世纪80年代末，美国投资者比日本投资者要冷静。现在，我要检验一下投资者的预期是否是理性预期。之前的许多研究认为，调查中的预期数据并不理性，一篇论文认为，如果我们承认一部分市场参与者是图表主义者，那么与理性预期的偏差就可以被填补。由于我们询问了受访者是否是原教旨主义者或图表主义者，因此我们可以使用我们的调查数据来明确这一假设是否有效；这就是我们现在要做的。