Risk Consistency and Professional Fund Managers’ Investment Behavior: Questionnaire-based Analysis on Japanese Market*
Masayuki Susai (Nagasaki University)
Hiroshi Moriyasu (Nagasaki University)
3.Empirical Method and Results
In our paper, we divide all respondents into two groups; ‘Risk-inconsistent’ fund managers and ‘risk consistent’ fund managers. We investigate the differences between these two groups in terms of herding and disposition effect. In section 3.1, we define the risk consistent fund manager in detail. This paper’s hypothesis is discussed in section 3.2. We conduct statistical evaluations on the differences between these two groups in section 3.3. In section 3.4, we use an ordered probit model to test our hypothesis, using each fund manager’s background as a control.
Empirical Study on Asian Financial Markets
Edited by Masayuki Susai Hiromasa Okada
本書は、2006年12月に長崎大学において開催された国際カンファレンス等で報告された東アジアの金融市場を対象とした金融および会計学における実証研究の成果をまとめたものである。