In this paper, we investigate the asymmetry in effects of changes in regional risk rankings on relative land prices by exploiting the fact that the urban redevelopment proceeding during the 2000s changed dramatically regional risk rankings in the Tokyo metropolitan area. We find that in previously safe areas, a decrease in risk rankings (being even safer) has significantly positive impacts on relative land prices, while in previously dangerous areas, an increase in risk rankings (being even riskier) has substantially negative effects on them. These findings may be interpreted according to some implications of prospect theory; the former as a preference for zero risk and the latter as status-quo effects.

View full abstract

Prices of stock markets sometimes rebound after a sharp fall. Many empirical studies show that the rebounds reach statistical significance and propose an Over Reaction Hypothesis. In this study shows that TOPIX include dividends, a Japanese stock market index, also rebounds statistical significantly after a sharp fall and build a theoretical model consistent with previous simulation study results. The result shows that a market price fall down less than a fundamental price, which means most fundamentalist agents estimate by fundamentals, after that, the market price rebounds to the fundamental price. Therefore the rebound mechanism does not need to include the Over Reaction Hypothesis. In addition, there is a possibility that even if there are only fundamental agents, we can explain a volatility clustering which is not explained by Efficient Market Hypothesis. We emphasize that this study build the theoretical model consistent with simulation studies and empirical studies, and few such study has yet been conducted.

View full abstract

Behavioral economics has not yet developed a basis of systematic policy evaluation such as Pareto efficiency in traditional economics. Pareto efficiency is a good basis if preferences are assumed to be stable and exogenous as in traditional economics. In behavioral economics, however, preferences are often considered unstable and endogenous as in the case for prospect theory due to the reference point. For value judgment in policy evaluation, it is desirable to have a basis that is unchanging and exogenous. “Unconditional love" is unchanging and exogenous unlike conditional love such as “I love you because you are my child," “I love you because you belong to the same religion," or “I love you because you are young and beautiful." If we assume that at least most people are not able to unconditionally love, then a policy that helps them to learn to unconditionally love can be judged to be good. For example, if a person is too poor to have opportunities to learn, then to help him is a good policy. To try to obtain pleasure from high utility level can be considered one tool for learning rather than the objective.

View full abstract

Mood changes about economic conditions could be extracted from enormous textual information on the Web. Recently, some text-mining researches try to find relationship between textual information and market trends. These studies can be expected to reveal information that cannot be extorted from numerical data. This paper introduces recent results of financial text-mining researches.

View full abstract

We examine that the gender differences in the sensitivity of the influence from others using swimming data. We focus on the existence of competitor and existence of co-worker, and measure the impact of both effects. Using absent-competitor data, we can compare directly the performance of individual swimmers with and without an adjacent competitor. We found female swims faster with competitors than male. We also compare the records of medley relay records and that of the individual event, and found female cannot do better with co-workers than alone.

View full abstract

[in Japanese]

View full abstract

[in Japanese]

View full abstract

Due to the developments in information technology, it has become possible to utilize the Internet and websites in order to complement the incompleteness of market functionality. In this backdrop, we have studied how to design a web council system, a web-based social optimization technique. This paper points out spam-voting as issues involving the web council system. In addition, we propose a stratified estimation method as a learning method that will improve the reliability of predicting the results of voting on the basis of a straw poll. This study has verified and calculated the results of the stratified estimation method against those of simple estimation and Bayesian estimation. Community functionality provided by the Internet should be utilized to complement market functionality and build a national consensus.

View full abstract

Focusing on the behavior of stock prices around seasoned equity offerings, we examine three competing explanations: downward-sloping demand curves, temporary price pressure and information effects. Using the short covered ratio as a proxy for the type of short seller, we examine stock prices around the offer price determination day. We find the amount of shares offered as a proportion of the number of shares outstanding is negatively related to abnormal returns on both the announcement and the issue day. These results are consistent with the downward-sloping demand curve hypothesis. We find evidence of manipulative short selling as well. Manipulative short selling is concentrated before and on the price determination day. We observe price recovery after the price determination day that is consistent with the price pressure hypothesis.

View full abstract

[in Japanese]

View full abstract

[in Japanese]

View full abstract

It is widely known that stocks with higher historical volatility tend to produce lower subsequent return in equity markets across the world. We show that “volatility anomaly” in the Japanese equity market is attributable to foreign institutional investors and domestic individual investors who trade stocks on margin. First, the anomaly weakens or disappears when investments of foreign investors and domestic individual investors who trade stocks on margin increase, while it strengthens when their investments decrease. Second, when investments by foreign investors rise, they buy stocks with high historical volatility more than stocks with low historical volatility, whereas when their investments shrink, they sell stocks with high historical volatility more than stocks with low historical volatility. When investments of domestic individual investors who trade stocks on margin shrink, they also sell stocks with high historical volatility more than stocks with low historical volatility.

View full abstract

Twenty one healthy and right handed dentists underwent functional magnetic resonance imaging (3T-fMRI) under risk and uncertainty while viewing blocks of unpleasant images and neutral images. This study used the Balloon Analogue Risk Task (BART). The subjects knew the probability of the task under risk and did not know the probability under uncertainty. The left amygdala and the putamen were activated by the unpleasant images during the task under uncertainty. However, the anterior cingulate cortex was activated and amygdala was not activated during the task under risk. These results show that the activity of inhibitory system and amygdala under uncertainty may be different from that in risky situation.

View full abstract

About a point which affects the consumer behavior, we analyze the framing effect positively. On the same description expression, the consumer layer with a high experience to a point verified high feedback compared with the consumer layer with a low experience to a point. Depending on experience to a point, we demonstrated the framing effect impacted the consumer behavior.

View full abstract

We demonstrated that hyperbolicity in time discounting is due to non-linearity in psychological time for both gain and loss. We examined how psychological time influenced time discounting of gain and loss in 50 Japanese college students. Psychological time of gain and loss was nonlinear with physical time. Once we introduced psychological time, the time discount functions of both gain and loss were closer to exponential models rather than hyperbolic models.

View full abstract

This paper investigates the interplay between economic incentives and social norms in formulating rice planting contracts of the Philippines. Intriguingly, in our study area, despite the potential of infestation of opportunistic behaviors by workers, a fixed wage (FW) contract has been dominant for rice planting since the 1960s. To account for such a seemingly-inefficient contractual arrangement, we conduct field experiments by randomly assigning three distinct labor contracts, i.e., FW, individual piece rate (IPR), and group piece rate (GPR) contracts. Individual workers_p’ /performance data from field experiments are then combined with data on social preferences elicited by laboratory experiments. Five main empirical findings emerge. First, our basic results show the positive incentive effects in IPR, moral hazard problems in FW, and free-riding behavior in GPR, which are consistent with standard theoretical implications. Second, while, under FW, social preferences such as altruism and guilt aversion play an important role in stimulating incentives, introducing monetary incentives crowds out such intrinsic motivations. Third, other non-monetary factors such as self-selection of team members and social connections significantly change incentives under FW contract. Fourth, as alternative hypotheses, our empirical results are consistent with the hypothesis of intertemporal incentives arising from performance based contract renewal probabilities. Our results are also supportive to implications of the interlinked contract of labor and credit transactions in mitigating moral hazard problems. Yet, we reject the optimality of FW contract due to large effort measurement errors.

View full abstract

[in Japanese]

View full abstract

Under the Financial Instruments and Exchange Act, the managers of an IPO firm are not allowed to sell their own shares for a certain time period after the IPO, which is well known as the lockup period. We examine whether the first fiscal year end of an IPO firm lies before the expiration date of the lockup period affects the earnings management decision and therefore stock market reactions. Our main results are as follows. For IPO firms whose fiscal ends lie within the lockup period, the discretionary accruals are negatively correlated with the firm age and the size of the auditing firms. However such relations are not observed for other IPO firms. Though the stock markets are temporarily misled by the information about discretionary accruals, it is not permanent. Higher managerial ownership after the IPO is favorably priced in the markets.

View full abstract

This paper presents the results of a longitudinal survey study (N=11,984) that examines how collective (group) action lawsuit, in particular opt-in or opt-out, affects decision-making by individuals if they participate in consumer detriment cases. This dataset was made up of Japanese in their 20s and 30s from all prefectures. When consumers suffer consumer detriments, their appropriate actions through courts or other alternative dispute resolution system contribute to eliminate unconscionable business practices and to correct market failure. However, even if consumers have this important role, it is wonder whether these consumer victims are always rational to take action. Behavioral economics reveals that default effect is one of behavioral bias and a review in the UK suggests that consumer collective action may have default effect through victims’ decision-making by choosing “opt-in” or “opt-out” basis in a country.
The results here show existing default effect because rates to participate in hypothetical consumer cases in opt-out scheme are statistically higher than in opt-in scheme. Logit analysis with other factors also supports this conclusion. This suggests that policy makers should take into account of individual behavioral bias and opt-out scheme is better for consumer collective action to obtain enough participation rates.

View full abstract

This paper investigates whether smokers exhibit greater time discounting than non-smokers, and how short-term nicotine deprivation affects time discounting. A unique feature of our experiment is that our subjects receive rewards not only of money, but also of actual tobacco. This is done in order to elicit smokers’true preferences. Smokers are more impatient than non- smokers, consistent with previous studies. Additionally, nicotine deprivation makes smokers even more impatient. These results suggest that nicotine concentration has different effects on time preferences in the short and long runs.

View full abstract

This paper uses recent 6 years stock data, to measure the herd behavior of institutional investors and foreign investors in China Stock Market. Although we find little evidence of foreign investors' herding, we document higher level of institutional investors' herding. We also find that institutional investors' herding impacts prices to a greater extent than foreign investors' herding. Moreover, institutional investors seem to follow negative-feedback trading strategies.

View full abstract

This paper presents how people under money illusion are affected by currency’s real and nominal values. The most fundamental question in this paper is whether or not individuals pay attention to real values even when they are under the influence of money illusion. The experiment conducted in Japan showed that people are indifferent to the slight difference of real and nominal values, but as the difference becomes greater, they become more conscious of it and begin to incorporate real values. In addition, inflation and deflation have asymmetric effects: people hate nominal salary decreases in deflation more than they enjoy nominal salary increases in inflation, which can be defined as nominal loss aversion. Nominal loss aversion implies that money illusion is more serious under deflation than under inflation.

View full abstract

This thesis is devoted to the study of whether or not a traditional double auction trading process in a model with many securities and money can converge to a general equilibrium price. In addition to the traditional presumption of double auction markets we assume in several experiments that artificial subjects with least rationality buy or sell such that their utility never decrease and choose calling prices randomly from a certain possible range which is given by the past history of calling prices and their utility function. This thesis asserts that a double auction process under this assumption tends to approach a general equilibrium price, while the distribution of final allocations may be somewhat dispersed.

View full abstract

[in Japanese]

View full abstract

While it is common to estimate the age effect on happiness with parametric terms (such as age and age- squared), this paper applies a semiparametric regression model that imposes much milder restrictions on the shape of age-happiness profile. Using data from the British Household Panel Study, the paper confirmed that the age-happiness profile remained U-shaped in the semiparametric specification as well. To trace sources of the U-shape, I applied the varying coefficient model of Hastie and Tibshirani (1993), and estimated differentiated age-profiles for major life circumstances, such as differences in marital status, the presence of children at home, and whether children were dependent or not. After introducing these differentiated age effects, the shape of the overall age-happiness profile changed in a notable way: it was no longer U-shaped, but flat. In contrast, the differentiated age profiles continued to have significant effects on happiness for most life circumstances. Evidently, the common finding that happiness is U-shaped in age may reflect a composite effect from differences in people’s adjustment to major life circumstances over the life cycle.

View full abstract

We experimentally examine whether consulting with other persons before making investment decisions can prevent elderly people from becoming victims of fraudulent investments. Elderly subjects are faced with deciding a hypothetical investment allocation between a fraudulent investment and an ordinary stock investment trust. The fraudulent investment’s principal is guaranteed and has a far higher expected return compared to the current financial market condition. Subjects are asked to decide two times for different combinations of the two products. We set up two treatment groups. One group is such that subjects have to consult with each other about investments before deciding the allocations, and the other group is such that subjects have to decide by themselves. We compare the investment allocations of the two groups. We find that, for the first decision, subjects who consult with each other have a higher allocation to the fraudulent investment. This suggests that consulting with families or other close relations may not help prevent elderly people from becoming victims of fraudulent investment. We also find that, for the second decision, investment allocation to fraudulent investment is less than that of the first decision for subjects who consult with each other. This suggests that experience may be important for effective consulting. It may be helpful to expose elderly people to the details of fraudulent investment technique in order to reduce the number of victims. It may be also useful to point out specific contents of consulting such as comparing current and past saving interest rates.

View full abstract

This paper experimentally investigates the effect of information structure on the possibility of cooperation in the Prisoner’s Dilemma. We modify the information structure of the usual 2-person Prisoner’s Dilemma as follows: Nature chooses the order of moves with fifty-fifty chance and only the first mover’s Defection is observed by the second mover. When the payoffs of the modified Prisoner’s Dilemma satisfy some conditions, there exists a Nash equilibrium in which both players take Cooperation, in addition to the non-cooperative equilibrium (Nishihara (1997)). We find that this modification of information structure raises the possibility of cooperation when the cooperative equilibrium risk-dominates the non-cooperative one.

View full abstract

[in Japanese]

View full abstract

This paper analyzes the micro-level data to identify the individual characteristics tolerating the bribery behavior in a developing economy. As an attempt to analyze the suspected states of severe corruption, this analysis employs a survey on the people’s recognition and values regarding the corruption in the Philippines. The results are as follows. First, people become more unwilling to justify the bribery if they completed their secondary and tertiary education, compared to the graduates of primary education solely. Second, the believers of a spiritual world, or religiously devout people, are more unwilling to tolerate such misconduct.

View full abstract