Expertise
Commodity Markets, Financial Innovation and Intermediation, J-REIT
Research Projects
- Economic and Financial Analysis of Commodity Markets (August 22, 2016 - March 31, 2018)
Education
1993 Ph.D. in Finance, Sloan School of Management, MIT
1988 M.A. Graduate School of Economics, Hitotsubashi University
1986 B.A. Department of Economics, Hitotsubashi University
Experience
2010 - 2012 Visiting Scholar, Institute for Monetary and Economic Studies, Bank of Japan
2007 Professor, Graduate School of International Corporate Strategy (ICS), Hitotsubashi University
1999 Associate Professor, ICS, Hitotsubashi University
1999 - 2000 Visiting Scholar, Graduate School of Business, University of Chicago
1996 Assistant Professor, Department of Commerce, Hitotsubashi University
1994 Assistant Professor, Institute of Socio-Econ Planning, University of Tsukuba
Selected Publications and Papers
Working Papers
- "Multiple Lenders, Temporary Debt Restructuring, and Firm Performance: Evidence from contract-level data," 2016, RIETI Discussion Paper Series 16-E-030 (co-authored with Daisuke Miyakawa)
- "Detrimental Effects of Retention Regulation: Incentives for Loan Screening in Securitization under Asymmetric Information," 2011, IMES Discussion Paper Series 2011-E-17, Institute for Monetary and Economic Studies, Bank of Japan (co-authored with Masazumi Hattori)
Papers Published in Refereed Journals
- "Increasing Trends in the Excess Comovement of Commodity Prices," Journal of Commodity Markets Vol. 1, 2016, pp.48-64, DOI: 10.1016/j.jcomm.2016.02.001 (Co-authored with Tatsuyoshi Okimoto)
- "Commodity Spread Option with Cointegration," Asian-Pacific Financial Markets Vol. 23, March 2016, pp.1-44, DOI: 10.1007/s10690-015-9207-1 (Co-authored with Katsushi Nakajima)
- "The Relative Asset Pricing Model: Toward a Unified Theory of Asset Pricing," (2014) Journal of Investment Consulting Vol. 15 (1), pp.51-66 (Co-authored with Arun Muralidhar and Sunghwan Shin) (Awarded IMCA(Investment Management Consultants Association)2015 Edward D. Baker III Journal Award Honorable Distinction)
- "Emission Allowance as a Derivative on Commodity-Spread," 2013, Asia-Pacific Financial Markets Vol.20, pp.183-217 (Co-authored with Katsushi Nakajima)
- "A Cointegrated Commodity Pricing Model," 2012, Journal of Futures Markets 32, pp.995-1033 (Co-authored with Katsushi Nakajima)
- "Pricing Summer Days Options by Good-Deal Bounds," 2009, Energy Economics 31, pp.289-297 (Co-authored with Takashi Kanamura)
- "On Transition Probabilities of Regime Switching in Electricity Prices," 2008, Energy Economics 30, pp.1158-1172 (Co-authored with Takashi Kanamura)
- "A structural model for electricity prices with spikes: Measurement of spike risk and optimal policies for hydropower plant operation," 2007, Energy Economics 29, pp.1010-1032 (Co-authored with Takashi Kanamura)
- "Security-Innovation on Several Assets under Asymmetric Information," 1999, Japanese Economic Review, Vol.50, pp.76‐96
- "Optimal Futures Innovation in a Dynamic Economy - The Discrete Time Case -," 1997, Journal of Economic Theory, Vol.74, pp.448‐465
- "Endogenous Determination of the Degree of Market-Incompleteness in Futures Innovation," 1995, Journal of Economic Theory, Vol.65, pp.198-217
- "A Note on the Terminal Date Security Prices in a Continuous Time trading Model with Dividends," 1991, Journal of Mathematical Economics, Vol.20, pp.219-323
Others
2015- Outside Board Member, Japan Securities Clearing Corporation
2011- Fellow, Association for Real Estate Securitization
2008-10 and 2014-16 President, Nippon Finance Association