大橋 和彦

大橋 和彦顔写真

大橋 和彦 OHASHI Kazuhiko

ファカルティフェロー (2018年3月31日まで)

一橋大学大学院国際企業戦略研究科教授

RIETIでの活動

研究分野 主な関心領域

ファイナンス(商品市場、証券創造と金融仲介、J-REIT等)

研究プロジェクト

学歴

1993年 MITスローン経営大学院博士課程修了、Ph.D. (Finance)取得
1988年 一橋大学大学院経済学研究科修士課程修了
1986年 一橋大学経済学部卒業

職歴

2010年 - 2012年 日本銀行金融研究所客員研究員
2007年 - 一橋大学大学院国際企業戦略研究科教授
1999年 - 2007年 一橋大学大学院国際企業戦略研究科助教授
1999年 - 2000年 シカゴ大学ビジネススクール客員研究員
1996年 - 1999年 一橋大学大学商学部助教授
1994年 - 1996年 筑波大学社会工学系専任講師

主な著作物

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

その他

2015年より 日本証券クリアリング機構 社外取締役
2011年より 不動産証券化協会 フェロー
2008-10年および2014-16年 日本ファイナンス学会 会長