| dc.description.abstract | Abstract
In this dissertation, there are three essays concerning the cooperative or coordinated outcomes under the agents’ rationality. They belong to different fields: industrial organization (firms form R&D coalition), international trade (countries form standardization union), and stock market (investors’ behaviors form the stock price index).
In the first essay, I want to analyze the stability of R&D coalition structures. In contrast with other papers in the literature, I only use the solution concept of pure strategy Nash equilibrium to build up this stability. That is, the stability of R&D coalition structure can be transformed into the issue of existence of pure Nash strategy Nash equilibrium if a proper strategic form game is set up. To find the pure strategy Nash equilibrium, I propose the Topkis (1979) idea of fixed point theorem to prove the existence of pure strategy Nash equilibrium. Since our strategic game is in the supermodular game framework, the set of Nash equilibria is a nonempty complete sublattice. As a result, a coalition structure existence or stability depends on the value of , which means the information spillover among one-member coalitions. In addition, we give a numerical calculation in the two-firm and three-firm example, and compare the results with those of Yi and Shin (2000). We find that according to either exclusive membership rule or open membership rule our stable R&D coalition structures are not the same with Yi and Shin (2000) given the spillover rates.
The second essay proposes a simple vertical differentiation world economy specification to investigate what endogenous standardization policy would be adopted by each government assuming exogenously there exists product heterogeneity in quality. In order to investigate this issue in detail, both two-country, two-variety and three-country, three-variety models are examined, where the latter allows countries to form standardization union. We find that first in the two-country model the unique pure Nash equilibrium is the low-quality country recognizes foreign standard while the high-quality one not. Second, when we extend to the three-country model, there would be no pure Nash equilibrium if the governments’ strategies were restricted to either recognize or non-recognize; however, when forming standardization union is possible, low-quality and high-quality countries would form a standardization union, and the middle-quality country would not recognize any foreign standards if the conversion cost is large enough in the pure Nash equilibrium.
The third essay talks about the specification of asset pricing. In this essay, we explore the possibility that risk aversion leads to greater dispersion of stock prices than does risk neutrality. This is done by comparing the empirical performance of the asset pricing models with time varying discount factor to the benchmark one with constant discount factor. We employ an extended noise ratio method to demonstrate the relative degree to which each null model approximates the data. This econometric specification test are applied to the data of S & P 500 as well as of modified Dow-Jones, and we find evidence that asset pricing model with time varying discount factor is superior to that with constant discount factor. To make sure that the time varying discount factor model from which we abstract noise is really the one that best approximating the stock investors’’ behaviors, we use our signal-extraction statistical procedures to test it. These statistical procedures include standard distribution tests (t test and Wilcoxon Signed-Ranks test) and Monte-Carlo distribution test using the same statistics; the latter, in order to make the test robust, constructs stock prices through the risk-neutral specification. Finally, we conclude that there do exist some time varying discount factor models in S&P 500 data set which are superior to the benchmark. | en_US |