{"id":872,"date":"2015-11-30T17:24:29","date_gmt":"2015-11-30T08:24:29","guid":{"rendered":"http:\/\/www.waseda.jp\/inst\/wias\/?p=872"},"modified":"2016-12-14T17:14:44","modified_gmt":"2016-12-14T08:14:44","slug":"%e9%ab%98%e7%ad%89%e7%a0%94%e7%a9%b6%e6%89%80%e3%82%bb%e3%83%9f%e3%83%8a%e3%83%bc%e3%82%b7%e3%83%aa%e3%83%bc%e3%82%ba%e3%80%90%e6%94%bf%e6%b2%bb%e3%83%bb%e7%b5%8c%e6%b8%88%e3%83%bb%e6%b3%95%e3%81%ae-4","status":"publish","type":"post","link":"https:\/\/www.waseda.jp\/inst\/wias\/news\/2015\/11\/30\/872\/","title":{"rendered":"\u9ad8\u7b49\u7814\u7a76\u6240\u30bb\u30df\u30ca\u30fc\u30b7\u30ea\u30fc\u30ba\u3010\u653f\u6cbb\u30fb\u7d4c\u6e08\u30fb\u6cd5\u306e\u8a08\u91cf\u5206\u6790\u3011
Waseda Organizational and Financial Economics Seminar
“Innovation, Delegation, and Asset Price Swings”
\u4f50\u85e4 \u7950\u5df1\uff08Assistant Professor of Finance, University of Lausanne \/ Swiss Finance Institute, Switzerland\uff09(11\/30)"},"content":{"rendered":"

\u9ad8\u7b49\u7814\u7a76\u6240\u30bb\u30df\u30ca\u30fc\u30b7\u30ea\u30fc\u30ba\u3010\u653f\u6cbb\u30fb\u7d4c\u6e08\u30fb\u6cd5\u306e\u8a08\u91cf\u5206\u6790\u3011
\nWaseda Organizational and Financial Economics Seminar
\nInnovation, Delegation, and Asset Price Swings(11\/30)<\/h3>\n\n\n\n\n\n\n\n\n\n\n
\u8b1b\u6f14\u8005<\/th>\n\u4f50\u85e4 \u7950\u5df1 (Yuki Sato)\u6c0f
\n(Assistant Professor of Finance,University of Lausanne and Swiss Finance Institute Switzerland)
\n\u8b1b\u6f14\u8005\u306e\u30d7\u30ed\u30d5\u30a3\u30fc\u30eb\u306f\u3053\u3061\u3089<\/a><\/td>\n<\/tr>\n
\u65e5\u3000\u6642<\/th>\n2015\u5e7411\u670830\u65e5\uff08\u6708\uff09\u300013:00\uff5e14:30<\/td>\n<\/tr>\n
\u4f1a\u3000\u5834<\/th>\n\u65e9\u7a32\u7530\u5927\u5b66\u3000\u65e9\u7a32\u7530\u30ad\u30e3\u30f3\u30d1\u30b911\u53f7\u992811\u968e\u30001111\u53f7\u5ba4<\/a><\/td>\n<\/tr>\n
\u4e3b\u3000\u65e8<\/th>\nThis paper studies a dynamic asset-market equilibrium model in which
\n(1) an \u201cinnovative\u201d asset with as-yet-unknown average payoff is traded, and
\n(2) investors delegate investment to experts. Experts secretly renege on investors’ orders and take on leveraged positions in the asset to manipulate investors’ beliefs, thereby attracting more orders and fees. Despite agents’ full rationality, the combination of experts’ moral hazard and investors’ learning generates bubble-like price dynamics: gradual upswing, overshoot, and reversal. Consistent with empirical observations, hedge funds \u201cride\u201d price swings, adjusting holdings counter-cyclically to other financial intermediaries. Innovative assets with highly uncertain payoff characteristics have high trading volumes.<\/td>\n<\/tr>\n
\u30d7\u30ed\u30b0\u30e9\u30e0<\/th>\n13\uff1a00
\n<\/strong>\u958b\u4f1a\u306e\u6328\u62f6\uff08\u5bae\u5cf6\u82f1\u662d\uff09
\n13\uff1a05
\n<\/strong>\u8b1b\u6f14
\n14\uff1a05
\n<\/strong>\u8cea\u7591\u5fdc\u7b54
\n14\uff1a25
\n<\/strong>\u9589\u4f1a\u306e\u6328\u62f6\uff08\u5bae\u5cf6\u82f1\u662d\uff09<\/td>\n<\/tr>\n
\u5bfe\u3000\u8c61<\/th>\n\u5b66\u90e8\u751f\u30fb\u5927\u5b66\u9662\u751f\u30fb\u7814\u7a76\u8005\u30fb\u6559\u8077\u54e1\u3000\u7b49<\/td>\n<\/tr>\n
\u4e3b\u3000\u50ac<\/th>\n\u65e9\u7a32\u7530\u5927\u5b66\u7523\u696d\u7d4c\u55b6\u7814\u7a76\u6240
\n\u65e9\u7a32\u7530\u5927\u5b66\u9ad8\u7b49\u7814\u7a76\u6240<\/td>\n<\/tr>\n
\u7533\u8fbc\u307f<\/th>\n\u4e8b\u524d\u7533\u3057\u8fbc\u307f\u4e0d\u8981\u3067\u3059\u3002\u76f4\u63a5\u4f1a\u5834\u306b\u304a\u8d8a\u3057\u304f\u3060\u3055\u3044\u3002<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

 <\/p>\n","protected":false},"excerpt":{"rendered":"

\u9ad8\u7b49\u7814\u7a76\u6240\u30bb\u30df\u30ca\u30fc\u30b7\u30ea\u30fc\u30ba\u3010\u653f\u6cbb\u30fb\u7d4c\u6e08\u30fb\u6cd5\u306e\u8a08\u91cf\u5206\u6790\u3011 Waseda Organizational and Financial Economics Seminar Innovation, Delegation, and […]<\/p>\n","protected":false},"author":1,"featured_media":2762,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[1],"tags":[24,26,28],"class_list":["post-872","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-news","tag-events","tag-general","tag-research"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/872","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/comments?post=872"}],"version-history":[{"count":4,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/872\/revisions"}],"predecessor-version":[{"id":2564,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/872\/revisions\/2564"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/media\/2762"}],"wp:attachment":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/media?parent=872"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/categories?post=872"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/tags?post=872"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}