Belief changes and expectation heterogeneity in buy- and sell-side professionals in the Japanese stock market

We document the determinants of the expectation heterogeneity of stock price forecasters on TOPIX. Monthly panel data collected by QUICK Corporation in the Nikkei Group via surveys is utilized in the process. We examine the determinants of expectation heterogeneity by categorizing our sample into buy-side and sell-side professionals and demonstrate that the co-existence of different types of professionals contributes to the expectation heterogeneity. We show that buy-side and the sell-side professionals, who possess different business goals, differentiate the information contents as well as their interpretations of the same information in their forecasts, contributing to the expectation heterogeneity. In addition, we investigate the interactive expectation formulation of buy-side and sell-side professionals and find that buy-side professionals incorporate the sell side's ideas regarding future stock prices into their own forecasts, but refer exclusively to their own ideas when relating foreign exchange rates to future stock prices. Meanwhile, sell-side professionals tend to utilize buy-side professionals' ideas about future prices in order to improve their research and ingratiate themselves to their clients, that is, to the buy-side professionals. We demonstrate that this interactive expectation formulation also contributes to the generation of the expectation heterogeneity.     

The effect of collaboration network on inventors' job match,productivity and tenure

It has been argued in the economic literature that job search through informal job networks improves the employer–employee match quality. This paper argues that inventors' research collaboration networks reduce the uncertainty of firms about the match qualities of inventors prior to hiring. We estimate the effect of inventors' collaboration networks on their productivity and mobility using the U.S. patent application database. It is found that networked inventors are more productive and have longer tenure than non-networked inventors. The evidence from fixed-effect regressions shows that the higher productivity and longer tenure of networked inventors are not solely attributable to unobserved ability of inventors or unobserved characteristics of firms. These results are consistent with the job match hypothesis between inventors and firms through their collaboration networks.     

日本经济起飞时期农村劳动力供给机制研究

20世纪60年代,伴随着日本经济起飞,城市加工产业对劳动力的需求急剧扩大,在城乡巨大收入差距的诱惑下,日本农村的青壮年劳动力大量涌入城市,造成农村劳动力严重短缺,在农户家庭内部劳动力互补机制的作用下,缓解了劳动力不足,在一定程度上稳定了农业生产.从分析日本经济起飞时期农村劳动力的结构变动入手,通过实证分析把握劳动力供给结构变化的经济影响;进而分析未来日本劳动力供给结构变化的趋势,在此基础上结合中国的实际情况说明农村劳动力互补机制对于城市化进程中中国农村的借鉴意义.     

Trading profitability from learning and adaptation on the Tokyo Stock Exchange

This study proposes unexamined technical trading rules, which are dynamically switching strategies among filter, moving average and trading-range breakout rules. The dynamically switching strategy is formulated based on a discrete choice theory consistent with the concept of myopic utility maximization. We utilize the transaction data of the individual stocks listed on the Nikkei 225 from September 1, 2005 to August 31, 2007. We demonstrate that switching strategies produce positive returns and their performance is better than those from the buy-and-hold and non-switching strategies over our sample periods. We also demonstrate equivalent performance for switching with different learning horizons, implying that behavioural heterogeneity of stock investors arises from the coexistence of different strategies with varying degrees of learning horizons. Our result supports several research assumptions and results on agent-based theoretical models that successfully replicate empirical features in financial markets, such as fat tails of return distributions and volatility clustering. However, upon considering the effects of data-snooping bias superior performance disappears.     

The Economic Impact of Herd Behavior in the Japanese Loan Market

This paper investigates whether inefficient herd behavior of Japanese financial institutions in the domestic loan market affected the real economy during the period between 1975 and 1999. By using Japanese loan data, arranged by geographical area, we show that loans stemming from inefficient herd behavior of Japanese financial institutions tended to have destabilizing effects on the GDP and land prices in the following years, while ordinary loans of those financial institutions had a more positive impact. Our results indicate that the deterioration of the real economy in the 1990s may have been attributable partly to the inefficient herd behavior in the Japanese loan market during the period of the economic bubble in the late 1980s.     

Order aggressiveness, pre-trade transparency, and long memory in an order-driven market

Recent empirical research has documented that the state of the limit order book influences stock investors' strategies. Investors place more aggressive orders when the same side of the order book is thicker, and less aggressive orders when it is thinner. We conjecture and demonstrate that this behavior is related to long memories of trading volume, volatility, and order signs in stock markets. We investigate our conjecture in two types of artificial stock markets: a transparent market, in which agents observe all limit orders on both sides of the book and order volumes at those prices before they trade; and a less transparent market, in which agents observe only the best five bid and ask quotes with the depth available at these limit prices. The first market structure resembles certain actual stock exchanges in the level of pre-trade transparency, such as the Australian Stock Exchange, NYSE OpenBook, and the London Stock Exchange, whereas the second market structure is consistent with stock exchanges such as Euronext Paris, the Toronto Stock Exchange, the Tokyo Stock Exchange, and Hong Kong Exchanges and Clearing. We demonstrate that our long memory results are robust with different levels of pre-trade transparency, implying that the strategy constructed by the state of the order book is key for explaining long memories in many actual stock exchanges.     

Does the diversity of human capital increase GDP? A comparison of education systems

This paper examines how different education systems affect GDP by influencing the diversity of human capital. We construct an overlapping generation model in which agents are heterogeneous in income and innate ability, and the final goods are produced with differentiated intermediate goods. It is shown that under a realistic condition, the diversity of human capital induced by income inequality always lowers the GDP of the next period, while the diversity of human capital induced by heterogeneous ability can increase GDP, if the produced intermediate goods are sufficiently substitutable and firms have a large span of control. Hence, as public education equalizes education resources across households, it mitigates the negative effect of income inequality on GDP, while the effects of ability tracking crucially depend on the production structure of the economy.     

日本经济起飞时期农村劳动力供给机制研究

20世纪60年代,伴随着日本经济起飞,城市加工产业对劳动力的需求急剧扩大,在城乡巨大收入差距的诱惑下,日本农村的青壮年劳动力大量涌入城市,造成农村劳动力严重短缺,在农户家庭内部劳动力互补机制的作用下,缓解了劳动力不足,在一定程度上稳定了农业生产。从分析日本经济起飞时期农村劳动力的结构变动入手,通过实证分析把握劳动力供给结构变化的经济影响;进而分析未来日本劳动力供给结构变化的趋势,在此基础上结合中国的实际情况说明农村劳动力互补机制对于城市化进程中中国农村的借鉴意义。     

Strategy switching in the Japanese stock market

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.     

Timing of trade liberalization

Abstract

This paper studies the effects of trade liberalization on growth and long-run global income inequality using a two-country model of human capital accumulation by credit-constrained households. I show that the timing of trade liberalization is a crucial determinant of its effects on growth. Moreover, I show that the size of the long-run income gap between the two countries depends on the difference in domestic income inequality when they open up to trade. Based on these results, I analyze the effects of redistributive policy within a country. I show that redistribution in one country may increase income per capita of its trading partner if it is undertaken in a steady state, while the opposite is true if the policy is undertaken during transition.