| The 8th Workshop |
Date: July 26th, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower 【Access】
Speaker: Ryo Kinoshita
Affiliation: Tokyo Keizai University
Title: TBA
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| The 7th Workshop |
Date: July 12th, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower 【Access】
Speaker: Kazuhiro Yasuda
Affiliation: Hosei University
Title: TBA
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| The 6th Workshop |
Date: June 28rd, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower 【Access】
Speaker: Reiko Tobe
Affiliation: Waseda University
Title: TBA
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| The 5th Workshop |
Date: June 14th, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower 【Access】
Speaker: David Vera
Affiliation: California State University Fresno
Title: Old Boy network, Capital Injection and Banks' Returns: Evidence from Japanese Banks
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| The 4th Workshop |
Date: May 24, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower 【Access】
Speaker & Title:
1. Tetsuya Hada (Ph. D. Student, Hitotsubashi University)
株主価値志向が日本製造業の広義の投資に与える影響
2. Tomofumi Honda (Ph. D. Student, Hitotsubashi University)
金融危機と融資枠 －コミットメントライン、当座貸越がもたらした効果の検証－
3. Cai Yue (Ph. D. Student, Waseda University)
Competitive Position and Cash Holdings
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| The 3th Workshop |
Date: May 10rd, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower 【Access】
Speaker: Joseph French
Affiliation: University of Northern Colorado
We dissect the impact of liquidity on returns of firms in Brazil, Chile, Colombia, Mexico, and Peru, using a detailed data set of firm characteristics over various market cycles. We find that firm-level liquidity (illiquidity) is positively (negatively) associated with returns, and that global illiquidity and endogenously determined crisis periods are negatively associated with returns. In contrast to the majority of the literature on developed markets, our results indicate that liquidity is a less important risk factor in Latin America. Our findings suggest that improvements in firm-level liquidity will enhance returns and reduce the vulnerability of returns to global illiquidity.
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| The 2th Workshop |
Date: Apr. 26rd, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower 【Access】
Speaker: Akira Yamazaki
Affiliation: Hosei University
This paper suggests incorporating investor probability weighting and the default risk of individual firms into a consumption-based asset pricing model. The extended model provides a unified solution for several anomalous patterns observed on financial markets. The analysis addresses not only widely-recognized asset pricing puzzles, such as the equity premium puzzle, but also less studied anomalies on financially distressed stocks. The simulation, under which the model is calibrated according to U.S. historical data, shows the combination of mild overweighting of probability on tail events and nonlinearity of equity values caused by default risk has the potential to resolve these patterns.
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| The 1th Workshop |
Date: April 12rd, 17:00-18:30
Venue: Conference Room 2 (Room #3501) on the 5th floor of Mercury Tower 【Access】
Speaker & Title:
1. Toru Igarashi (Ph. D. Student, Hitotsubashi University)
本論文は連続時間モデルにおいて二基金分離が成立する条件に関する研究である．離散時間では Cass and Stiglitz (1970) や Dybvig and Liu (2018)
などで二基金分離が常に成立する効用関数の条件が知られており，連続時間においても無リスク金利が 0 の場合などには類似の結果が得られている．
一方で連続時間モデルでは二基金分離が投資家間で常に成立する市場があることも知られ，無リスク金利が 0 の場合などにはこのような市場の条件も得られている．
本研究では無リスク金利が確率的に変動する場合の二基金分離のための効用関数または市場の条件を，Malliavin 解析を用いて解析的に導出する．
2. Akinobu Nagira (Ph. D. Student, Hitotsubashi University)
名目株価の変化がリターンのhsん同に与える影響
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