| The 20th Workshop |
Date: Jan. 24th(Wed.), 2018, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Akitoshi Ito
Affiliation: Hitotsubashi University, Graduate School of International Corporate Strategy
Using the 779 IPO samples over the 2002-2012 period in Japan, we find strong retail orientation in new share allocation. As long as the institutional allocation is concerned, the most complete universal banking form of underwriting provides neither merit nor demerit to the investors in the affiliated mutual funds initially as well as in the aftermarket. One incomplete form of underwriting with non-bank lenders only involved in pre-IPO financing yields the long-run merit to the investors in the affiliated funds. These results are consistent with the information advantage hypothesis on the IPO pricing and share allocation under regulation overreach and under-reach, respectively. We find little evidence of the conflict of interest in institutional allocation of IPO shares by main bank underwriters. In addition, we show that financial conglomerates have helped many small firms to go public and stay in the market even with poor performance.
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| The 19th Workshop |
Date: Dec. 21th(Thu.), 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Miki Seko
Affiliation: Keio University (emeritus professor), Musashino University
本研究は、日本の東証一部、二部、マザーズ、ジャスダックに上場する企業の取締役会
における女性の活躍が、企業の業績を向上させる効果を有するか分析する。その際、取締
役ではない執行役、執行役員のデータは除き、純粋な取締役会構成メンバーである女性割
合を用いている。更に、女性取締役割合を女性社内取締役割合、女性社外取締役割合に分 けて分析することで、それぞれがガバナンスに与える影響も分析する。 内生性を考慮した分析の結果、一部上場企業において女性取締役割合、女性社内取締役 割合、女性社外取締役割合、それぞれが ROE を向上させる効果がみられ、特に女性社外取 締役割合は多ければ多いほど効果が高まるわけではなく、男女間のバランスが重要である
ことが示唆された。一方、二部、マザーズ、ジャスダック上場企業においてはそうした傾
向はみられず、特にコーポレートガバナンス・コードによって女性の活躍促進が促されて いる二部上場企業においては、コード適用の効果はみられなさそうであった。
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| The 18th Workshop |
Date: Dec. 14th(Thu.), 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Yoichiro Fujii
Affiliation: Osaka Sangyo University
Accumulated medical information is necessary to determine comorbidity risk between primary and its additional diseases. However, medical decisions often have to be made before obtaining conclusive evidences because of lack of information. This paper describes such situation by introducing ambiguity in to comorbidity uncertainty. This paper examines conditions that the willingness to pay for health improvements increases by the introduction of comorbidity ambiguity compared with the corresponding risk case.
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| The 17th Workshop |
Date: Dec. 7th(Thu.), 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Taeko Yasutake
Affiliation: Soka University
We provide insights into a corporate activity that directly targeting individual/retail investors from a survey on shareholder perks, which are periodical noncash gift to shareholders offered by more than a third of listed companies in Japan. Our results I illustrate that Japanese companies provide shareholder perks as a way of payout but independent from dividend policy, with a goal to increase individual, retail shareholders and make them long term holders. Japanese companies use shareholder perks also as an Investor Relations activity, which is an important channel to reach out to potential investors and enhance relationship between the shareholders and the company. While there are concerns that shareholder perks violate the principle of equal treatment of all shareholders because shareholder perks favor retail investors, voices that address this issue is rarely heard even from institutional investors.
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| The 16th Workshop |
Date: Nov. 13th(Mon.), 17:00-18:30
Venue: Conference room 105 on the 1st floor of Faculty Bldg. 2
Speaker: Martin Glaum
Affiliation: WHU–Otto Beisheim School of Management
This article studies the effect of extreme catastrophes on expectations regarding the likelihood of future events by investigating the earthquake insurance take-up of Japanese households after the two costliest disasters in history. Direct loss experiences caused the strongest reactions to extreme catastrophes, while risk belief updates were a nationwide phenomenon. Sharing personalized information contributed to strong and persistent indirect experience effects. Both the availability bias and representativeness help explain the effect of past loss experiences. Furthermore, the gambler’s fallacy, as proposed by Tversky and Kahneman (1971), had a strong effect after an indirect experience with a 1000-year earthquake.
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| The 15th Workshop |
Date: Nov. 9th(Thu.), 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Noriyoshi Yanase
Affiliation: Tokyo University of Science
This article studies the effect of extreme catastrophes on expectations regarding the likelihood of future events by investigating the earthquake insurance take-up of Japanese households after the two costliest disasters in history. Direct loss experiences caused the strongest reactions to extreme catastrophes, while risk belief updates were a nationwide phenomenon. Sharing personalized information contributed to strong and persistent indirect experience effects. Both the availability bias and representativeness help explain the effect of past loss experiences. Furthermore, the gambler’s fallacy, as proposed by Tversky and Kahneman (1971), had a strong effect after an indirect experience with a 1000-year earthquake.
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| The 14th Workshop |
Date: Nov. 2th(Thu.), 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Hideaki Miyajima
Affiliation: Waseda University
This paper provides evidence that management in Japan uses share repurchases to change the ownership of their companies to protect them against unfriendly changes in control by outside shareholders. The paper documents the time series of stock repurchases made by Japanese companies over the period 2001-2014. We find that almost half of listed companies engage in share repurchases, and almost one third of those cumulatively repurchased more than 10 percent of their shares outstanding. The repurchases often take the form of block purchases from insiders, including banks, business partners and families, who wish to cash out. For example, the Toyota Motor Co. repurchased more than 15.9 percent of its stock and in most years its treasury stock rarely fell below 10 percent of shares outstanding. Regression results suggest that repurchases increase in response to higher levels of foreign ownership, and a decrease in insider shareholdings. We also find that disposed shares are in one third of cases sold directly to insiders taking the form of private placements. Other results show that the stock market response to repurchase and cancellation is significantly higher than those retained as treasury stock, 3.0 versus 1.6 percent. These results are consistent with case studies documented in the paper that repurchases associated with treasury stocks are more likely to be associated with preserving insider control.
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| The 13th Workshop |
Date: Oct. 26th(Thu.), 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Kaoru Hosono
Affiliation: Gakushuin University
It has been an important open question why firms hold seemingly “excess” liquidity (e.g., cash). Using Japanese firm-level large panel data accounting for 40,000 firms over the period 2000-2013, first, we find a positive correlation between firms’ liquidity holding as measured by the ratio of liquidity assets to total assets and the ratio of intangible to tangible assets held by the firms. This result is consistent with the empirical implication of our theoretical model based on collateral constraints for borrowing, and suggests that the increasing importance of nonpledgeable intangible assets in firms’ production process partly explains firms’ liquidity holding. Second, we also find that such positive correlation is stronger for the firms in industries associated with higher complementarity between tangible and intangible assets. This result suggests that the firms’ liquidity holding reflects the technological heterogeneity among industries.
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| The 12th Workshop |
Date: Oct. 5th(Thu.), 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Yoshikatsu Shinozawa
Affiliation: SOAS, Univ. of London
The objective of this paper is to identify what characteristics of a firm attract the large sovereign wealth fund investing in Japanese shares and to examine the possible impact on the target share performance. The focus of this paper is on the sovereign wealth fund ranked as the fifth largest shareholder in the Tokyo stock market whereas the published literature on this subject usually uses the aggregated data of various sovereign wealth funds investing in many host countries. Using sample firms from the top 500 companies in the Tokyo market from 2008 to 2013, the panel data analysis shows that the SWF prefers relatively small value shares with high ROE from the large cap market index. The analysis also provides little evidence of superior returns of the target firms, suggesting no impact on these target firms. All in all, the investment strategy and subsequent impact of the SWF in Japan should not cause concerns about political interference.
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| The 11th Workshop |
Date: Sep. 28th(Thu.), 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Re-Jin Gao
Affiliation: University of Illinois at Chicago Business
Using a large panel data of corporate directors of S＆P 1500 firms over
the period of 1996 to 2010, we report that innovative firms with large
patent portfolios are more central in the network of corporate boards.
Directors serving on central boards and innovative firms are more likely
to receive higher compensation and be hired as directors for other firms.
We find that firms with increased centrality from adding directors inside
the network are more likely to improve subsequent innovation capability.
Overall, our results are consistent with the hypothesis that diffusion
of information on innovation activities via shared director(s) can be a
major driving force of the formation and dynamics of the network of corporate
boards.
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| The 10th Workshop |
Date: Sep. 27th(Wed.), 13:30-16:25
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
PhD's reports (Hitotsubashi University Graduate School of Commerce and Management):
1:30PM / Le Wang (Title: TBA)
2:15PM / Tetsuya Hada (Title: TBA)
3:00PM / Pengfei Luo (Title: TBA)
3:45PM / Kunitoshi Yamazaki (Title: TBA)
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| The 9th Workshop |
Date: Sep. 21th(Thu.), 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Hong Feng Zhang
Affiliation: Deakin University
Using a large sample of publicly listed U.S. firms over the period of 1971 to 2015, we study how firm allocate internally and externally generated funds across various uses, and how the allocation changes over time. Contrary to recent findings that internal cash flow allocated to investment declines and disappears over time, we document that the fraction of cash flow used for investment increases slightly over our sample period. Firms increasingly allocate more internal and external funds to cash savings and debt retirement. On the other hand, the allocation of both funds to working capital has declined sharply. These time trends are driven by both the change in sample composition due to the addition of newly listed firms, and the change in firms’ allocation decisions over time. Finally, we find that the time-series change in allocation is closely related to a number of economic and financial factors.
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| The 8th Workshop |
Date: July 13th, 17:00-18:30
Venue: GSCM Conference Room (Room #3403) on the 4th floor of Mercury Tower
Speaker: Hidetomo Takahashi
Affiliation: Hosei University
Focusing on reduction of the capital gains tax rate in Japan, this paper examines whether tax-loss selling by individual investors affects turn-of-the-year returns. The capital gains tax reduction law decays benefits to realize capital losses and results in lower relationships between tax-loss selling and turn-of-the-year returns. Empirical findings in this study lend support for the prediction. Considering that stocks with larger capital losses (gains) are more (less) likely to be subject to tax-loss selling, I find that the long-short portfolio which longs in stocks with larger capital losses and shorts in stocks with larger capital gains yields higher turn-of-the-year returns in the pre-tax-reduction period than in the post-tax-reduction period.
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| The 7th Workshop |
Date: June 29th, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Randall Morck
Affiliation: University of Alberta
Pyramidal business groups, prominent in most countries, are virtually absent in the US today. Newly- assembled data show that, until the mid-twentieth century, such groups dominated the US as well. Their demise follows a barrage of New Deal regulatory reforms. Of these, the Public Utility Holding Company Act, inter-corporate dividend taxation and the Investment Companies Act aimed directly at pyramids. Enhanced investor protection, estate taxes may also have contributed. Antitrust enforcement was not (directly) linked to the process. We conclude that sustained regulatory pressure on multiple fronts, supported by a sustaiuned anti-big business political climate, largely eliminated US pyramidal groups.
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| The 6th Workshop |
Date: June 22rd, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Wako Watanabe
Affiliation: Keio University
Using the contract level data, we find that the lending by a Japanese state owned lending institution during the period of the credit crunch mitigated a firm’s loss of borrowing from its main bank. We further find that the state owned institution’s lending instrumented by the main bank’s lending supply growth as explained by the bank’s capital adequacy, which captures the lending to mitigate the loss of borrowing, had negative effects on a firm’s profitability and investment rate and that the JASME’s lending had an weak effect to mitigate the cash sensitivity of cash that captures the firm’s financial constraint.
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| The 5th Workshop |
Date: June 15th, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Daisuke Miyagawa
Affiliation: Hitotsubashi University
Using online stock trading records in Japan for 461 individual investors and 2,779 stocks over the periods from October 2014 to September 2015 and high-frequency data for the individual stock prices, we estimate the investors’ trading activities of buying and selling stocks conditional on the observed returns of those stocks. The results obtained from our estimation show, first, that the individual investors make contrarian trades, i.e., tend to buy stocks exhibiting lower past return. Second, we also found that the individuals are disposition investors that are willing to realize their capital gain but reluctant to realize losses. Third, we confirm that not only the daily-level return measure but also the intraday return largely explains investment actions. Fourth, through the rigorous test for the out-of- sample prediction power of our model, we confirm that the intraday return is the most important factor driving individual investors’ buying activities. These result jointly suggest not only that the two systematic patterns reported in the extant studies are confirmed for online stock trading but also that individuals’ investment is largely governed by short period returns. Fifth, the prices of stocks tend to decline after the individual investors sell. This result suggests that individual investors provide liquidity to market.
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| The 4th Workshop |
Date: May 25, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Burcin Yurtoglu
Affiliation: WHU Otto Beisheim School of Management
Title: Convenience Yield Risk Premiums
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| The 3th Workshop |
Date: May 18rd, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker＆Title:
1. Kiichi Kitajima (Ph. D. Student, Hitotsubashi University)
Prices are quoted using discrete values, not continuous values. Every exchange sets up its tick size, which is the minimum increment of the price in the limit order book. Most studies that show how the tick size influences investors’ transaction costs are empirical, and do not support a unified argument. We consider the theoretical relationship between the tick size and the transaction cost by introducing a discrete limit order book model, and then compute the optimal tick size. These results support a warning that too many reductions in the tick size as a result of exchanges may be harmful to investors.
2. Xuezhi Zhou (Ph. D. Student, Hitotsubashi University)
Since July 2005, the RMB has experienced both appreciation and depreciation cycles. By using rolling currency basket regressions with a variable of exchange market pressure (EMP), we found that the flexibility of the RMB exchange rate against a currency basket often changed. When the RMB was in a stable region and an appreciation trend, foreign exchange reserves played a major role in absorbing the EMP, while its influence decreased when the RMB shifted into a devaluation trend. From the perspective of capital flows, although China’s capital account remains controlled, it can still positively affect the EMP through a VAR model. Foreign reserves can play a stabilizing role in hedging capital flows, however, when the RMB shifted into a depreciation trend, the smaller amount of foreign reserves made it difficult for the Chinese authorities to hedge the capital flows as before. This means that the RMB would need to exhibit more flexibility if the Chinese authorities want to eliminate or reduce their foreign reserves loss.
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| The 2th Workshop |
Date: Apr. 27rd, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker: Zui Seien
Affiliation: Yokohama City University
2002 年 3 期まで，公表された不良債権が増加し続けており，銀⾏は不良債権の存在と関係な く配当政策を維持していた．不良債権が顕著に減少した 2003 年 3 ⽉以降の時期において， 不良債権が有意に銀⾏配当に負の影響をするようになった．われわれの結果は，銀⾏業ガバ ナンスに対する規制のあり⽅の重要性を⽰唆する．
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| The 1th Workshop |
Date: April 20rd, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower
Speaker:Stefan Truck
Affiliation: Macquaire University
The convenience yield is an important risk factor for commodity derivatives, but very little is known about how convenience yield risk is priced. In this paper, we construct portfolios of commodity futures that track the convenience yield risk premium. Our empirical results for a variety of different commodities show that premiums are consistently positive, as suggested by an argument based on hedging demand. However, the magnitude of the premium varies strongly between groups of commodities. Such differences can be explained by different market structures. Our study has implications for the risk management of commodity positions and demonstrates the value of convenience yield risk premiums for investors. For grains, a risk-averse investor realizes monetary utility gains over a risk-free investment of up to 11% per year from a trading strategy that tracks the premium.
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