共查询到20条相似文献,搜索用时 26 毫秒
1.
Najam U. Saqib 《Experimental Economics》2006,9(2):177-178
The literature in psychology and behavioral economics offers abundant instances of anomalies to the rational choice paradigm.
One of the most prominent works attempting to reconcile these is Kahneman and Tversky’s Prospect Theory. Its well-known S-shaped
value function accounts for some of the anomalies such as reference dependence, loss aversion, and diminishing sensitivity. Although Prospect Theory describes the manner in which individuals are loss averse, it does not explain why people show loss aversion. This dissertation investigates the factors that affect the cognitive processes behind loss aversion.
We find an anomaly in the S-shaped value function. Specifically, the studies demonstrate that the degree of involvement affects
the slope of the value curve both for atemporal and intertemporal choices. In addition, we also test the relationship between
loss aversion and involvement with varying vividness of outcomes (i.e., when outcomes are related to more versus less vivid
stimuli). Testing the vividness effects further extends and confirms our proposed relationship between involvement and loss
aversion.
The data from several experiments show that there is a difference in the slopes of the value function for low and high involvement
decisions. For low involvement conditions, the value curve has roughly the same steepness for losses as for gains close to
the neutral reference point (i.e., contrary to the diminishing sensitivity characteristic). By contrast, in the high involvement conditions this is not the case: there is a distinct difference in
the slopes of the loss and gain curves. This leads us to propose that different value functions exist for people in the low
and high involvement conditions. This important finding suggests that in cases where people are not highly involved with a
product, they display significantly less loss aversion than predicted by Prospect Theory.
Three experiments investigate the relationship of loss aversion to subjects’ level of involvement in atemporal choice, intertemporal
choice, and differential vividness of stimuli situations, respectively. The first study uses a 2 (involvement: low and high)
by 2 (outcome: gain and loss) between subjects design. The results show that loss aversion significantly attenuates in the
low involvement condition for atemporal choice.
Study two replicates the results of study one in the context of intertemporal choice, where timing of outcomes (now versus
three months) is introduced as another factor.
Finally, the third study manipulates the vividness of outcomes and finds an interaction effect of vividness and involvement
on loss aversion.
Dissertation Committee: Norman Frohlich (Co- Chair), I.H. Asper School of Business, University of Manitoba Edward Bruning (Co- Chair), I.H. Asper
School of Business, University of Manitoba Namita Bhatnagar, I.H. Asper School of Business, University of Manitoba Wayne Simpson,
Department of Economics, University of Manitoba Michael Hu, Department of Marketing, Kent State University 相似文献
2.
Sandro Brusco 《Journal of Economic Theory》1998,80(2):185-200
In auctions with correlated types it is possible to design mechanisms such that full surplus extraction can be obtained as the outcome of an equilibrium in which agents use (weakly) dominant strategies. However, it is not assured that the outcome is unique. We present an example in which no mechanism can yield the full surplus extraction outcome as the unique Bayesian equilibrium outcome. Next we show that in the standard auction model the multiplicity problem can be fully resolved using sequential mechanisms, i.e., we show that it is possible to obtain the full surplus extraction outcome as the unique perfect Bayesian equilibrium outcome.Journal of Economic LiteratureClassification Numbers: D44; D70. 相似文献
3.
Alexandre M. Baptista 《Economic Theory》2007,31(2):205-212
In a seminal paper, Ross (Q J Econ 90:75–89, 1976) shows that if security markets are resolving, then there exist (non-redundant)
options that generate complete security markets. Complementing his work, Aliprantis and Tourky (2002) show that if security
markets are strongly resolving and the number of primitive securities is less than half the number of states, then every option is non-redundant. Our paper extends Aliprantis and Tourky’s result to the case when
their condition on the number of primitive securities is not imposed. Specifically, we show that if there exists no binary
payoff vector in the asset span, then for each portfolio there exists a set of exercise prices of full measure such that any
option on the portfolio with an exercise price in this set is non-redundant. Since the condition that there exists no binary
payoff vector in the asset span holds generically, redundant options are thus rare.
I am grateful to an anonymous referee for very helpful comments. Research support from the School of Business at The George
Washington University is gratefully acknowledged 相似文献
4.
Auctions with costly information acquisition 总被引:1,自引:0,他引:1
We characterize optimal selling mechanisms in auction environments where bidders must incur a cost to learn their valuations.
These mechanisms specify for each period, as a function of the bids in previous periods, which new potential buyers should
be asked to bid. In addition, these mechanisms must induce the bidders to acquire information about their valuations and to
reveal this information truthfully. Using a generalized Groves principle, we prove a very general “full extraction of the
surplus” result: the seller can obtain the same profit as if he had full control over the bidders’ acquisition of information
and could have observed directly their valuations once they are informed. We also present appealing implementations of the
optimal mechanism in special cases.
For helpful comments we thank George Deltas, David Martimort, an anonymous referee, and seminar participants in Mannheim,
Rutgers, Tel Aviv, Toulouse, the Society for Economic Design 2002 conference in New York, and the 2003 North American Summer
Meetings of the Econometric Society in Evanston, IL. Yossi Spiegel thanks the IIBR for financial assistance and Charles Zheng
thanks the NSF for grant SES-0214471. 相似文献
5.
We study the design of profit maximizing single unit auctions under the assumption that the seller needs to incur costs to contact prospective bidders and inform them about the auction. With independent bidders’ types and possibly interdependent valuations, the seller's problem can be reduced to a search problem in which the surplus is measured in terms of virtual utilities minus search costs. Compared to the socially efficient mechanism, the optimal mechanism features fewer participants, longer search conditional on the same set of participants, and inefficient sequence of entry. 相似文献
6.
Summary. We study a financial market economy with a continuum of borrowers and pooling of borrowers promises. Under these conditions and in the absence of designing costs, utility-maximizing decisions of price-taking borrowers may lead to financial market incompleteness. Parametrizing equilibria through the borrowers no-arbitrage beliefs, we link expectations to the financial market structure. Markets are complete if and only if borrowers beliefs are homogeneous. Price-taking behavior causes a coordination problem which in turn yields indeterminacy and inefficiency of equilibrium allocations.Received: 29 May 2003, Revised: 13 February 2004, JEL Classification Numbers:
D50, D52.Correspondence to: Alessandro CitannaWe would like to thank David Cass, John Geanakoplos, Thorsten Hens, Atsushi Kajii, and an anonymous referee for their comments. The first author also thanks CERMSEM (Paris I) and Columbia University Graduate School of Business for the hospitality. A first version of this paper has appeared as GSIA Working Paper #1997-E137, Carnegie Mellon University, which itself revised Citanna and Villanacci (1995). 相似文献
7.
Viral Acharya Jing-zhi Huang Marti Subrahmanyam Rangarajan K. Sundaram 《Economic Theory》2006,29(2):363-378
Recent work in corporate finance has suggested that strategic debt-service by equity-holders works to lower debt values and raise yield spreads substantially. We show that this is not quite correct. With optimal cash management, defaults occassioned by deliberate underperformance (strategic defaults) and those forced by inadequate cash (liquidity defaults) work as substitutes: allowing for strategic debt-service leads to a decline in the equilibrium likelihood of liquidity defaults. In some cases, this decline is sufficiently sharp that equilibrium debt values actually increase and yield spreads decline. We provide an intuitive explanation for these results in terms of an interaction of optionalitiesExpanded versions of this paper were presented in conferences and seminars at the Scottish Institute for Research in Finance, European Finance Association, Western Finance Association, Financial Management Association, 10th Derivative Securities Conference, Santa Clara University, Virginia Tech, the Norwegian School of Management, the Norwegian School of Business and Economics, Duke University, and Carnegie-Mellon University. We benefitted greatly from the comments of participants at these seminars and would particularly like to thank Francesca Cornelli, Kose John, Pete Kyle, Sanjay Unni, and Raman Uppal in this context 相似文献
8.
We study worker turnover to investigate to what extent the length of time a worker has been employed by a firm shapes the turnover process in a transition economy. Using survey data, we compare the pattern of turnover with a Western economy, Britain. We show that tenure-turnover rates are higher in Russia and lower in Poland than in Britain. The characteristics of workers hired in the state and private sectors do not look very different. State and private sector firms in Poland offer the same wages to new recruits, but new private sector jobs in Russia appear to offer wage premia relative to new state jobs. We argue that these observations are consistent with a framework in which the value of seniority in jobs begun under the old order may be small and the value of a continued job match unsure, offset, in Poland at least, by insider resistance to layoffs.J. Comp. Econom., December 2000, 28(4), pp. 639–664. Heriot-Watt University, Edinburgh, IZA, Bonn, The William Davidson Institute, University of Michigan Business School, Ann Arbor, and EERC, Kiev; Centre for Economic Performance, London School of Economics, Royal Holloway College, University of London, IZA, Bonn, and The William Davidson Institute, University of Michigan Business School, Ann Arbor. 相似文献
9.
We develop rules for pricing and capacity choice for an interruptible service that recognize the interdependence between consumers’
perceptions of system reliability and their market behavior. Consumers post ex ante demands, based on their expectations on aggregate demand. Posted demands are met if ex post supply capacity is sufficient. However, if supply is inadequate all ex ante demands are proportionally interrupted. Consumers’ expectations of aggregate demand are assumed to be rational. Under reasonable
values for the consumer’s degrees of relative risk aversion and prudence, demand is decreasing in supply reliability. We derive
operational expressions for the optimal pricing rule and the capacity expansion rule. We show that the optimal price under
uncertainty consists of the optimal price under certainty plus a markup that positively depends on the degrees of relative
risk aversion, relative prudence and system reliability. We also show that any reliability enhancing investment—though lowering
the operating surplus of the public utility—is socially desirable as long as it covers the cost of investment. 相似文献
10.
We study household formation in a model where collective consumption decisions of a household depend on the strategic choices
of its members. The surplus of households is determined by individual choices of levels of friendliness to each other. A strategic
conflict arises from a coupling condition that ceteris paribus, a person’s friendlier attitude reduces the individual’s influence in the household’s collective decision
on how to divide the ensuing surplus. While partners in an isolated household choose the minimum level of friendliness, competition
for partners tends to promote friendliness. We find that affluence does not buy affection, but can lead to withholding of
affection by an affluent partner who can afford to do so. In general, the equilibrium degree of friendliness proves sensitive
to the socio-economic composition of the population.
We would like to thank Clive Bell, Edward Glaeser, Roger Lagunoff, Eva Terberger and seminar audiences in Berlin, Birmingham,
Blacksburg, Exeter, Heidelberg, Manchester and at IHS in Vienna for helpful comments. We greatly appreciate the thoughtful
comments of a referee. 相似文献
11.
Antoine Martin 《Economic Theory》2006,29(1):197-211
Equilibrium bidding strategies under most multi-unit auction rules cannot be obtained as closed form expressions. Research in multi-unit auctions has, therefore, depended on implicit characterization of equilibrium strategies using the first-order conditions of the bidders’ expected payoff maximization problem. In this paper we consider the pay-as-bid auction with diminishing marginal values for two units and show that any symmetric equilibrium in continuous strategies has the necessary properties to allow such a characterization. Moreover, any increasing solution to the system of differential equations that is used to characterize the equilibrium strategies describes an equilibrium strategy.Generous suggestions and comments from Richard Engelbrecht-Wiggans, Charles M. Kahn, and an anonymous referee are gratefully acknowledged. 相似文献
12.
We introduce a bidding strategy which allows the seller to extract the full surplus of the high bidder in eBay auctions. We call this a “Discover-and-Stop” bidding strategy and estimate that 1.39 percent of all bids in eBay auctions are placed by sellers (or accomplices) who execute this strategy. We argue that this kind of shill bidding is unnecessarily effective due to eBay’s proxy system and the predictability of other bidders’ bids. We also model eBay auctions with shill bidding and find that, in equilibrium, eBay’s profits are higher with shilling than without it. Finally, to determine whether bidders have an incentive to bid on their own items, we mimic the bidding behavior of shill bidders in actual eBay auctions and find some evidence of the strategy’s success. 相似文献
13.
Inflation is always an important indicator to measure whether economy is stable and healthy. This paper provides a substantive
survey of the research on the welfare cost of inflation, and uses the methods of consumer’s surplus and neo-classical general
equilibrium models respectively to estimate the welfare cost of inflation in China. The results show that high inflation will
cause huge welfare cost in China, so keeping low inflation is beneficial to the entire economic welfare of China.
__________
Translated from Jingji Yanjiu 经济研究 (Economic Research Journal), 2007, (4): 30–42, 159 相似文献
14.
Rupert Gatti Timo Goeschl Ben Groom Timothy Swanson 《Environmental and Resource Economics》2011,48(4):609-628
We employ cooperative bargaining theory and Nash’s ‘rational threats’ idea to cast light on the biodiversity bargaining problem. The problem of global environmental negotiations is argued to be of the nature of a bargaining problem, in which bargainers
must agree on the distribution of cooperative surplus in order to move to the bargaining frontier. We discuss the importance
of both efficiency (bargaining frontier) and fairness (recognition of characteristics of bargainers) in the choice of the
appropriate contract. We show that the incremental cost contract, used to resolve the biodiversity bargaining problem, is
of the form of an extreme point contract that fails to recognise the contributions of the South to the production of cooperative
surplus. A rational response to such a contract is the use of threats of biodiversity destruction. Contracts must evince both
efficiency and fairness in order to represent lasting solutions. 相似文献
15.
Recent studies have found unmeasured intangible capital to be large and important. In this paper we observe that by nature
intangible capital is also very different from physical capital. We find it plausible to argue that the accumulation process
for intangible capital differs significantly from the process by which physical capital accumulates. We study the implications
of this hypothesis for rational firm valuation and asset pricing using a two-sector general equilibrium model. Our main finding
is that the properties of firm valuation and stock prices are very dependent on the assumed accumulation process for intangible
capital. If one entertains the possibility that intangible investments translates into capital stochastically, we find that
plausible levels of macroeconomic volatility are compatible with highly variable corporate valuations, P/E ratios and stock returns.
We thank Ellen McGrattan, Edward Prescott, Rene Stulz and an anonymous referee for their helpful comments as well as workshop
participants at FAME, the 5th Conference of the Swiss Society for Financial Market Research, the European Central Bank, Columbia
Business School Finance Free Lunch and the University of Zürich. This research has benefited from financial support from the
National Center for Competence in Research “Financial Valuation and Risk Management”. The National Centers of Competence in
Research are managed by the Swiss National Science Foundation on behalf of the Federal Authorities. 相似文献
16.
Claudio Mezzetti 《Economic Theory》2007,31(3):473-488
If valuations are interdependent and agents observe their own allocation payoffs, then two-stage revelation mechanisms expand
the set of implementable decision functions. In a two-stage revelation mechanism agents report twice. In the first stage -
before the allocation is decided - they report their private signals. In the second stage - after the allocation has been
made, but before final transfers are decided - they report their payoffs from the allocation. Conditions are provided under
which an uninformed seller can extract (or virtually extract) the full surplus from a sale to privately informed buyers, in
spite of the buyers’ signals being independent random variables.
This research was started when I was visiting the Department of Applied Mathematics of the University of Venice, and continued
while visiting the European University Institute in Florence. Their financial support is gratefully acknowledged. 相似文献
17.
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence 总被引:1,自引:1,他引:0
Analyzing equity market co-movements is important for risk diversification of an international portfolio. Copulas have several
advantages compared to the linear correlation measure in modeling co-movement. This paper introduces a copula ARMA-GARCH model
for analyzing the co-movement of international equity markets. The model is implemented with an ARMA-GARCH model for the marginal
distributions and a copula for the joint distribution. After goodness of fit testing, we find that the Student’s t copula ARMA(1,1)-GARCH(1,1) model with fractional Gaussian noise is superior to alternative models investigated in our study
where we model the simultaneous co-movement of nine international equity market indexes. This model is also suitable for capturing
the long-range dependence and tail dependence observed in international equity markets.
Rachev’s research was supported by grants from Division of Mathematical, Life and Physical Science, College of Letters and
Science, University of California, Santa Barbara, and the Deutschen Forschungsgemeinschaft (DFG). Sun’s research was supported
by grants from the Deutschen Forschungsgemeinschaft (DFG) and Chinese Government Award for Outstanding Ph.D Students Abroad
2006, No. 2006-180. Kalev’s research was supported with a NCG grant from the Faculty of Business and Economics, Monash University.
Data are supplied by Securities Industry Research Center of Asia-Pacific (SIRCA) on behalf of Reuters. The constructive comments
of two anonymous referees, the Associate Editor, A.S. Wirjanto, and the Editor-in-charge, Baldev Raj, are gratefully acknowledged.
The reviewers and editors are not responsible for any residual errors and omissions. 相似文献
18.
Abuse of EU Emissions Trading for Tacit Collusion 总被引:1,自引:0,他引:1
Karl-Martin Ehrhart Christian Hoppe Ralf Löschel 《Environmental and Resource Economics》2008,41(3):347-361
In this paper, we show that loopholes in EU emissions trading law foster tacit collusion that impacts oligopolistic product
markets. The abuses originate from the covert misuse of EU emissions trading institutions, such as pooling or project-based
mechanisms. We analyse two types of these loopholes by means of game theoretical methods to show how oligopolistic firms establish
output restrictions, even if those firms are price takers on the~permit market (which might actually be the case for the majority
of obligated firms in the EU). The identified misuse of emissions trading law increases firms’ profits, decreases the consumers’
surplus and has negative effects on social welfare for specified parameter ranges. Consequently, public authorities should
not allow emissions trading’s overall good reputation—based upon its efficient abatement of pollution—to blind them to options
in European emissions trading legislation that would eventually restrict competition.
相似文献
19.
Joseph G. Eisenhauer 《Forum for Social Economics》2008,37(2):103-113
The concept of a middle class is prevalent in both common parlance and the social sciences; concern is frequently expressed
that the middle class is shrinking, and politicians often position themselves as champions of the middle class. Yet the phrase
“middle class” is extremely ambiguous; no consensus exists on either the upper bound or the lower bound separating the middle
class from other classes. The present paper employs the government’s official poverty line as the demarcation between the
poor and the middle class, and develops an equivalent distinction to separate the middle class from the wealthy. Based on
the new definition, the paper provides some rough empirical estimates of the size of the American middle class over the 1989–2004
period.
Joseph G. Eisenhauer is Professor and Chair of Economics at Wright State University. A past president and Distinguished Fellow of the New York State Economics Association, he has also been a Huebner Fellow at the University of Pennsylvania’s Wharton School, a visiting scholar at the Catholic University of America, and a visiting professor at the University of Rome. His research focuses on risk aversion, precautionary saving, insurance, ethics, and social class. He has been published in numerous professional journals, including Review of Social Economy, Journal of Socio-Economics, International Journal of Social Economics, Review of Political Economy, Eastern Economic Journal, Journal of Risk and Insurance, Journal of Insurance Issues, Applied Economics, Empirical Economics, International Journal of Health Care Finance and Economics, and Economics Bulletin, among others. 相似文献
Joseph G. EisenhauerEmail: |
Joseph G. Eisenhauer is Professor and Chair of Economics at Wright State University. A past president and Distinguished Fellow of the New York State Economics Association, he has also been a Huebner Fellow at the University of Pennsylvania’s Wharton School, a visiting scholar at the Catholic University of America, and a visiting professor at the University of Rome. His research focuses on risk aversion, precautionary saving, insurance, ethics, and social class. He has been published in numerous professional journals, including Review of Social Economy, Journal of Socio-Economics, International Journal of Social Economics, Review of Political Economy, Eastern Economic Journal, Journal of Risk and Insurance, Journal of Insurance Issues, Applied Economics, Empirical Economics, International Journal of Health Care Finance and Economics, and Economics Bulletin, among others. 相似文献
20.
Sushil Bikhchandani 《Journal of Economic Theory》2010,145(6):2282-2308
It is well known that when agents' types are correlated, the mechanism designer can extract the entire surplus. This creates an incentive for agents to acquire information about other agents' types. Robust lotteries (are payment schemes that) support full extraction and partially robust lotteries support efficient implementation in the presence of information acquisition opportunities. Necessary and sufficient conditions for existence of robust and partially robust lotteries are derived. If an agent's information signal spans other agents' types then robust lotteries do not exist. However, if all agents report their signal realizations then robust lotteries exist in an extended type space. 相似文献