Journal of Behavioral Economics and Finance
Online ISSN : 2185-3568
ISSN-L : 2185-3568
Volume 3
Displaying 1-46 of 46 articles from this issue
Articles
  • Naohiko Matsumura
    2010 Volume 3 Pages 1-17
    Published: 2010
    Released on J-STAGE: September 10, 2010
    JOURNAL FREE ACCESS
    Post-earnings announcement drift (PEAD) is a well-known anomaly discussed in U.S. academic literature. However, there are a limited number of studies on PEAD in the context of the Japanese stock market. Therefore, this paper examines whether PEAD can be detected in the Japanese stock market and whether or not the expectations of investors and analysts for future accounting numbers are rational. I found that although PEAD exists in the Japanese stock market, it cannot be explained by the capital asset pricing model (CAPM) or the Fama-French 3-factor model. In addition, the Mishkin test revealed that investors tend to underreact to accounting information and that they correct this underreaction gradually. These findings are consistent with the hypothesis that investors and analysts are influenced by a behavioral bias, called “anchoring and adjustment,” in the process of forming expectations about future corporate profits and that PEAD is associated with this behavioral bias.
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  • Kohei Kubota
    2010 Volume 3 Pages 18-38
    Published: 2010
    Released on J-STAGE: December 03, 2010
    JOURNAL FREE ACCESS
    The purpose of this paper is to investigate what kind of consumption model is supported using hypothetical questions which asked about the pattern of consumption changes to permanent income shocks. According to the life cycle/permanent income hypothesis (LCPIH), if people face a permanent income shock, they would change their consumption immediately. However, the proportion of respondents choosing the choice pattern which is consistent with LCPIH is only 1.6% in Japan and 3.9% in United States. The results of the hypothetical question show a variety of patterns of consumption changes to permanent income shocks. In both Japan and the U.S., many households do not change their consumption immediately even if their permanent income increases. This behavior could be explained by the asset preference model. Moreover, there are many households who choose a consumption path that is consistent with the habit formation model. Furthermore, we show that the prediction of borrowing constraint model is consistent with the choice of households who face the borrowing constraint in reality.
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  • —Based on the WTP and WTA of Power Outages—
    Fumiko Miyata
    2010 Volume 3 Pages 39-49
    Published: 2010
    Released on J-STAGE: April 08, 2011
    JOURNAL FREE ACCESS
    Since 2000, the liberalization of Japan's electrical power industry's retail market has caused a significant dip in power prices. However, I believe that any further price reduction will certainly entail supply reliability loss. I measured Japanese households' preference of supply reliability against price on the basis of the prospect theory, using data from willingness to pay (WTP) if no power outages occur and willingness to accept (WTA) if power outages occur more often owing to lower prices to provide useful insights into the Japanese electrical power policy. I discovered that Japanese households prioritize reliability, provided prices remain unchanged. Their decisions were based on a condition where power outages seldom occur and were interpreted as a result of the endowment effect of the current high supply reliability or status quo bias. Therefore, to ensure the success of the institutional reform of the electrical power industry, it is imperative that Japan maintains premium reliability.
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  • Tomoki Kitamura, Kunio Nakashima
    2010 Volume 3 Pages 50-69
    Published: 2010
    Released on J-STAGE: April 08, 2011
    JOURNAL FREE ACCESS
    We empirically analyzed factors affecting the household portfolio choices of 30- to 49-year-old male company employees in Japan. We found that whether or not households invest in stocks depends on the subjective expected return of stock, household income level, financial asset holdings, as well as financial literacy level and subjective cost of stock investment. For stockholders, the allocation to stocks depends on the subjective expected return of stock, subjective cost of stock investment, and financial literacy level. For non-stockholders, the decision of whether to begin stock investment depends mainly on the subjective expected return of stock. According to past empirical studies, household income and financial asset holdings are two major factors affecting household stock investment decisions. However, we confirmed that household stock investment decisions are also affected by behavioral factors such as financial literacy level and subjective cost of stock investment.
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Book Review
Proceedings, the 3rd Annual Meeting
  • [in Japanese], [in Japanese], [in Japanese], [in Japanese]
    2010 Volume 3 Pages 79-95
    Published: 2010
    Released on J-STAGE: April 08, 2011
    JOURNAL FREE ACCESS
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  • [in Japanese]
    2010 Volume 3 Pages 96-98
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
  • [in Japanese], [in Japanese], [in Japanese], [in Japanese], [in Japane ...
    2010 Volume 3 Pages 99-102
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
  • [in Japanese]
    2010 Volume 3 Pages 103-105
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
  • [in Japanese], [in Japanese]
    2010 Volume 3 Pages 106-108
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
  • Yoko Ohzono
    2010 Volume 3 Pages 109-113
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
    The purpose of this study is to examine differences in self-evaluation between Japanese male and female employees at the managerial posts. As the results, the total evaluation did not differ between both genders. Analysis of each of 12 self-evaluation items showed the following differences: self-evaluations were significantly higher in females than in males on “execution capacity” and “sense of responsibility,” while those on “extensive knowledge” and “judgment” were higher in males than in females. However, no significant differences were found between males and females on the remaining eight items, i.e., “negotiation skills”, “developing subordinates”, “planning capabilities”, “persuasion”, “expert knowledge/skills”, “leadership”, “creativity,” and “interpersonal-relation adjustment.” In conclusion, this study suggested that the self-evaluation was nearly at the same level between male and female managers.
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  • Kotaro Miwa, Kazuhiro Ueda
    2010 Volume 3 Pages 114-118
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
    It is reported that, in individual stocks, a large increase in trading volume indicates stronger return persistence or weaker reversal effects. A reason given for this volume-return relation has been that it can signal the existence of important fundamental news. In this study, we present another plausible explanation. Through empirical analysis, we show that the volume-return relation remains strong even if there is no important fundamental news. Applying market model simulation, we demonstrate that positive feedback in investors’ trading behaviour can cause this volume-return relation. Our findings suggest that the relation can be caused by factors not directly related to fundamental news, especially by investors’ positive feedback trading.
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  • Kohei Kubota
    2010 Volume 3 Pages 119-123
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
    The purpose of this paper is to investigate what kind of consumption model is supported using hypothetical questions which asked about the pattern of consumption changes to permanent income shocks. According to the life cycle/permanent income hypothesis (LCPIH), if people face a permanent income shock, they would change their consumption immediately. However, the proportion of respondents choosing the choice pattern which is consistent with LCPIH is only 1.6% in Japan and 3.9% in United States. The results of the hypothetical question show a variety of patterns of consumption changes to permanent income shocks.
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  • [in Japanese]
    2010 Volume 3 Pages 124-127
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
  • Shunichiro Sasaki
    2010 Volume 3 Pages 128-132
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
    This study investigates the influence of the observational learning about other peoples’behaviors on the subject’s social preference. To do this, we conducted the web-based experiment in the U.S., Japan, and China and 4200 subjects participated in the experiment.
    In the experiment subjects played the modified dictator game twice under the both circumstances where they cannot observe other people’s behaviors and where they can observe them. If a subject changes the behavior after the observational learning, we regard the subject as being influenced by it. We categorize such behavioral change into altruistic conformity, selfish conformity, altruistic nonconformity, and selfish nonconformity. Then, we measured the influence of observational learning on the subject’s social preference.
    We observed that (1) after the observational learning the Japanese subjects become more altruistic and the Chinese subjects become more selfish whereas the U.S. subjects do not change their behaviors, (2) the proportion of behavioral change toward conformity is higher than that toward nonconformity, (3) younger subjects are more likely to change their behavior altruistically than older subjects (4) female subjects are more likely to exhibit altruistic conformity than male subjects (5) subjects tend to exhibit altruistic conformity and selfish nonconformity as the number of other people who behave altruistically increases whereas they tend to exhibit selfish conformity and altruistic nonconformity as the number of other people who behave selfishly increases. These findings imply that the observational learning about other peoples’ behaviors may change subject’s social preference and it has various influences on subject’s altruism and conformity.
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  • Taiki Takahashi, Tarik Hadzibeganovic, Sergio A. Cannas, Takaki Makino ...
    2010 Volume 3 Pages 133-135
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
    We first introduce several paradoxical findings in intertemporal choice (i.e., impulsivity and preference reversal over time) and recent findings in the relationship between time-perception and intertemporal choice. Next, we address how a relatively novel temporal discounting function (i.e., the q-exponential function) can parameterize the degree of the impulsivity and deviation from exponential discounting. Based on these considerations and concepts in cultural psychology, it is predicted that Westerners and Easterners may be different in the degrees of impulsivity and decreasing impatience. Future study directions including neurogenetic analysis of the differences in temporal discounting behavior are discussed.
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  • Yoshiro Tsutsui, Uri Benzion, Shosh Shahrabani, Gregory Yom Din
    2010 Volume 3 Pages 136-137
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
    The aims of this study were to identify predictors regarding people’s willingness to be vaccinated against influenza and to determine how to improve the inoculation rate using our original large-scale survey in the USA in 2005. The main results are (a) a model of bounded rationality explains vaccination behavior fairly well, i.e., people evaluate the costs and benefits of vaccination by applying risk aversion and time preference, while the ‘status quo bias’ of those who received vaccinations in the past affect their decision to be vaccinated in the future, (b) it is recommended to increase people’s knowledge regarding flu vaccination, but not regarding influenza illness, (c) reducing the vaccination fee may be ineffective in raising the rate of vaccination.
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  • [in Japanese], [in Japanese], [in Japanese], [in Japanese], [in Japane ...
    2010 Volume 3 Pages 138-140
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
  • Ikutaro Enatsu
    2010 Volume 3 Pages 141-145
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
    In this paper, we specify the structure of perceived fairness for compensation, theoretically and empirically. In spite of its background's unclearness, some employees regard their rewards as fair. Such cases show that perceived fairness is a kind of illogical confirmation about the validness of compensation.To specify the backgrounds of perceived fairness, we must consider employees' way of cognition and their daily experience in work situation.
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  • [in Japanese], [in Japanese]
    2010 Volume 3 Pages 146-152
    Published: 2010
    Released on J-STAGE: April 26, 2011
    JOURNAL FREE ACCESS
  • Charles Yuji Horioka, Akiko Kamesaka, Kohei Kubota, Masao Ogaki, Fumio ...
    2010 Volume 3 Pages 153-155
    Published: 2010
    Released on J-STAGE: May 17, 2011
    JOURNAL FREE ACCESS
    This paper presents empirical evidence concerning the tough love model of intergenerational altruism from U.S. and Japanese survey data. Our main finding is that parents' tendencies for tough love behavior depend on different measures of discount factors. We also investigate the hypotheses that parents' tendencies for tough love behavior is affected by their religious affiliations, religiosity, and their worldviews.
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  • Shoko Yamane
    2010 Volume 3 Pages 156-159
    Published: 2010
    Released on J-STAGE: May 17, 2011
    JOURNAL FREE ACCESS
    This paper proposes a new relative income model that people choose their own reference group endogenously. This model assumes 1) the reference group effects one's performance, 2) people can be divided in two types by the direction of the effects; those who are improved their performance by the higher reference group or not. By the laboratory experiment, it shows that this model can provide a good description of the participants' behavior.
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  • [in Japanese]
    2010 Volume 3 Pages 160-161
    Published: 2010
    Released on J-STAGE: May 17, 2011
    JOURNAL FREE ACCESS
Proceedings, the 4th Annual Meeting
  • [in Japanese], [in Japanese], [in Japanese], [in Japanese]
    2010 Volume 3 Pages 162-177
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
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  • Shuzo Abe, Tuyoshi Moriguchi, Naoto Onzo, Kazuhisa Takemura
    2010 Volume 3 Pages 178-182
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
    Construal level theory predicts consumers value intrinsic attributes, such as high functionality of a product, in a distant future purchase, while in a near future purchase situation, they put more emphasis on peripheral attributes, such as the usability of the product. In most of the previous studies, however, researchers used respondents' evaluation scores to test this shift in weights. This paper tests if the tendency indicated by construal level theory is manifested in a choice situation and/or in the form of willingness to pay price. Combined with the effect of construal level theory, the authors test the effect of the direction of comparison. Based on the data collected by internet survey (n=787), in which respondents faced comparison of electronic dictionaries (ordinary easy to carry type vs. less easy to carry but with printing function type), the authors found partially supportive results for the effect of comparison direction, but no supportive results for construal level theory.
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  • [in Japanese], [in Japanese], [in Japanese]
    2010 Volume 3 Pages 183-186
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
  • [in Japanese], [in Japanese], [in Japanese], [in Japanese]
    2010 Volume 3 Pages 187-189
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
  • [in Japanese]
    2010 Volume 3 Pages 190-193
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
  • Matsuba Takafumi, Jun Sato, Kenya Kura, Takako Aoki, Hiroshi Murakami
    2010 Volume 3 Pages 194-198
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
    We tested the relationship between women's testosterone (T) concentration levels and their risk-preferences, their time discount rates, and their social behavior with dictator game. As for the risk-preferences, we utilized both choice task and matching task. We artificially decreased subjects' T levels with a dose of pure glucose and compared their economic response with the controls. We found no statistical relationship between T concentration and risk-preferences, and between T concentration and time discount rate. However, short time spontaneous changes in T levels had a positive relationship with matching task, but not with choice task. This may reflect that matching task is similar to the risk situation whereas choice task to uncertainty.
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  • Yoko Ohzono
    2010 Volume 3 Pages 199-203
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
    This study examines the differences in job satisfaction among female and male managers and female managers and female non-managers. The analysis of five parameters related to job satisfaction yielded the following results. Female managers experienced significantly higher job satisfaction than male managers in terms of “overall job satisfaction,” “wages,” “working hours,” “benefits,” and “capacity development.” In addition, female managers experienced significantly higher job satisfaction than female non-managers in terms of “overall job satisfaction” and “wages.” However, no significant differences were observed among female managers and non-managers in the remaining three categories: “working hours,” “benefits,” and “capacity development.” In conclusion, this study suggests that female managers have high job satisfaction.
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  • Lu Jie, Kan Nakajima, Hiroshi Miyai
    2010 Volume 3 Pages 204-212
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
    Dividend yield funds are popular in the Japanese investment trust fund market recently, especially in the category of “foreign bonds“. In this study, we focus on the behavior of investors who buy and sell dividend yield funds and analyze investors behavior by comparing these with non (less) -dividend yield funds in terms of addiction and time preference.
    We find that the net flow of dividend yield funds, unlike non (less) -dividend yield funds, are not sensitive to short-term fund performance. This result indicates that investors who buy and sell dividend yield funds derive utility from dividend, not only explained by traditional framework of the fund flow-performance relationship. However, the longer the measurement period, the more sensitive the net flow of dividend yield funds are to long-term fund performance. These findings suggest that preferences of dividend yeild funds investors could be represented by a non-constant rate of time preference such as hypobolic discounting.
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  • [in Japanese]
    2010 Volume 3 Pages 213
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
  • [in Japanese]
    2010 Volume 3 Pages 214-217
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
  • [in Japanese], [in Japanese]
    2010 Volume 3 Pages 218-221
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
  • Kan Takeuchi
    2010 Volume 3 Pages 222-225
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
    This paper reports behavioral biases that account for the annuity puzzle, by using controlled Internet survey. I replicate Brown et al. (2008, AER P&P 98, 304-309) in Japanese context and confirm that the framing effect keeps responders away from the annuity pension plan as well. While the annuity serves as a protection or insurance, the responders in the controlled investment framing tend to perceive an annuity as an independent financial instrument. Then, they heavily averse to the risk of the annuity, which is the risk of not fully receiving the financial benefit from the pension account if died too early. This framing effect is significant; most of the responders in the investment framing prefer fixed term pension plan to the annuity, while the expected discounted present value of those pension plans are all equivalent. This paper illustrates the important cognitive role in the annuity puzzle and in any reform of pension plans.
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  • Hiroshi Izawa, Grzegorz Mardyla
    2010 Volume 3 Pages 226-229
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
    We investigate experimentally individual random walk perception biases and the existence of decision clustering in a simple interactive prediction task. Our design is quite general and presents a series of sequential choice problems in which the subjects are asked to forecast the subsequent outcome of a discrete binary random process. The data is generated in such a way that observation of other participants' cumulated choices makes it possible to obtain a more precise estimate of the probability distribution governing the outcomes. We are mostly interested in the timing of subjects' decisions, the decision being a binary choice of a single purchase or sale of a security within a finite time sequence based on acquired information. Our data points to some compelling insights into rationality of Bayesian updating. Majority of our subjects display a type of irrational impatience: in tasks where they should optimally learn as much information as possible and wait until the last period to decide, they make their decisions too quickly, incurring excessive decision costs. This happens even when subjects can observe others' choices at no (explicit) cost whatsoever. This finding contrasts with a setting where explicit delay costs are incorporated.
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  • Masato Ishibe, Yasuo Kakuta, Satoshi Sakamaki
    2010 Volume 3 Pages 230-234
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
    We study how downside risk(DR) concern the volatility effect that stocks with low volatility earn high returns. We examine measures of DR for order-consistency, risk-return trade-off, accessibility and show the desirability of zero-targeted semivariance. In Japanese stock market, we find empirical evidences of DR involves a trade-off between risk and return, but upsiderisk(UR) does “reverse" trade-off. This suggests that investors require positive premium for DR and negative for UR. Our results provide new explanations for return-reversal and the volatility effect anomalies.
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  • Kohei Kubota, Charles Yuji Horioka, Akiko Kamesaka, Masao Ogaki, Fumio ...
    2010 Volume 3 Pages 235-238
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
    This proceedings paper introduces our work in progress, in which we present empirical evidence concerning effects of cultural differences on parents' attitudes toward children from unique U.S. and Japanese survey data. These data sets have been collected by Osaka University, and contain questions concerning worldviews and religions, hypothetical questions about parental behavior, and questions about socioeconomic variables. The data show that U.S. parents tend to be tougher than Japanese parents toward young children. Our empirical evidence indicates that people who are confident about issues related to worldviews tend to show tough attitudes toward their children. Our evidence also suggests that contents of worldview beliefs held by parents affect parent's attitudes toward children. Because U.S. parents are much more confident than Japanese parents in worldview issues, this cultural difference helps explain why U.S. parents are much tougher than Japanese.
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  • Kohei Daido, Takeshi Murooka
    2010 Volume 3 Pages 239-241
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
    This paper studies a multi-agent moral hazard model in which the agents have expectation-based reference-dependent preferences developed by Köszegi and Rabin (2006, 2007). The agents' utilities depend not only on the realized outcomes but also on the comparisons of them with the reference outcomes. Due to loss aversion, the agents dislike wage uncertainty, and reducing it by partially compensating their failure may be beneficial for a principal. We show that when the agents are loss-averse, the optimal contract is based on team incentives (joint performance evaluation or relative performance evaluation) in which the agents partly share their wage uncertainty. Our results provide a new insight that team incentives serve as a loss-sharing device among agents.
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  • [in Japanese]
    2010 Volume 3 Pages 242-245
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
  • [in Japanese], [in Japanese]
    2010 Volume 3 Pages 246-249
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
  • [in Japanese]
    2010 Volume 3 Pages 250-261
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
  • [in Japanese]
    2010 Volume 3 Pages 262-265
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
  • Michiyoshi Hirota
    2010 Volume 3 Pages 266-268
    Published: 2010
    Released on J-STAGE: June 27, 2011
    JOURNAL FREE ACCESS
    This presentation is devoted to the study of whether or not a bilateral trading process which is recently proposed by Gintis (2007) can converge to a general equilibrium price as Gintis has asserted in his paper. Gintis assumed to have their private prices initially which are distributed uniformly, and as trading goes on, each agent tries to imitate the private price of some other agent whose utility will be larger than his own utility. His assertion is that according as transactions proceed, the average of distribution of transaction prices tends to approach a general equilibrium price. However, our presentation asserts that his assertion is not necessarily true.
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