| dc.contributor | 國貿系 | |
| dc.creator (作者) | Yamamoto, Ryuichi;Hirata, Hirata H. | |
| dc.creator (作者) | 山本竜市 | zh_TW |
| dc.date (日期) | 2013-10 | |
| dc.date.accessioned | 21-May-2015 15:59:49 (UTC+8) | - |
| dc.date.available | 21-May-2015 15:59:49 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-May-2015 15:59:49 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/75224 | - |
| dc.description.abstract (摘要) | This paper investigates the expectation formation process of Japanese stock market professionals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK Corporation, we sort forecasters into buy-side and sell-side professionals. We empirically demonstrate that the buy-side and sell-side professionals use either fundamental or trend-following strategies throughout their expectation formation processes and that they switch between fundamental and trend-following strategies over time. We also discuss that strategy switching can be key in understanding the persistent deviation of the TOPIX from the fundamentals. © 2013 Elsevier B.V. | |
| dc.format.extent | 457736 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Economic Dynamics and Control, 37(10), 2010-2022 | |
| dc.subject (關鍵詞) | Strategy switching; Agent-based modeling; Survey data; Expectations; Japanese stock market | |
| dc.title (題名) | Strategy switching in the Japanese stock market | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.jedc.2013.05.006 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.jedc.2013.05.006 | |
