Akiko Watanabe

University of Alberta - School of Business

Associate Professor of Finance

3-30A Business Building

University of Alberta

Edmonton, Alberta T6G 2R6

Canada

http://www.bus.ualberta.ca/awatanabe

University of Alberta - Department of Finance and Statistical Analysis

Associate Professor of Finance

2-32C Business Building

Edmonton, Alberta T6G 2R6

Canada

http://www.bus.ualberta.ca/awatanabe

SCHOLARLY PAPERS

13

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118

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Scholarly Papers (13)

Time-Varying Liquidity Risk and the Cross Section of Stock Returns

8th Annual Texas Finance Festival , EFA 2005 Moscow Meetings Paper
Number of pages: 53 Posted: 07 Apr 2006 Last Revised: 27 Jan 2013
Akiko Watanabe and Masahiro Watanabe
University of Alberta - School of Business and University of Alberta - School of Business
Downloads 1,296 (13,993)

Abstract:

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Time-varying liquidity beta, liquidity risk premium, preference uncertainty, cross-sectional asset pricing test, regime switching model

Time-Varying Liquidity Risk and the Cross Section of Stock Returns

Review of Financial Studies, Forthcoming
Posted: 06 Dec 2006
Akiko Watanabe and Masahiro Watanabe
University of Alberta - School of Business and University of Alberta - School of Business

Abstract:

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time-varying liquidity beta, liquidity risk premium, preference uncertainty, cross-sectional asset pricing test, regime switching model

Time-Varying Liquidity Risk and the Cross Section of Stock Returns

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2449-2486, 2008
Posted: 15 Dec 2008
Akiko Watanabe and Masahiro Watanabe
University of Alberta - School of Business and University of Alberta - School of Business

Abstract:

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G12

2.

Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk

AFA 2009 San Francisco Meetings Paper, EFA 2007 Ljubljana Meetings Paper, Yale ICF Working Paper
Number of pages: 56 Posted: 25 Mar 2008 Last Revised: 27 Jan 2013
Yale School of Management - International Center for Finance, University of Alberta - School of Business and University of Alberta - School of Business
Downloads 1,132 (17,579)

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conditional CAPM, beta-instability risk, value and growth betas, time-varying premium, business cycle, Livingston Survey, investor expectations

3.

Procyclical Stocks Earn Higher Returns

AFA 2011 Denver Meetings Paper
Number of pages: 45 Posted: 15 Mar 2010 Last Revised: 27 Jan 2013
Yale School of Management - International Center for Finance, University of Alberta - School of Business and University of Alberta - School of Business
Downloads 1,019 (20,569)

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Procyclical and countercyclical stocks, business cycle, scaled factor model, Livingston Survey, investor expectations

4.

Share Issuance and Cross-Sectional Returns: International Evidence

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 48 Posted: 22 Aug 2007 Last Revised: 27 Jan 2013
R. David McLean, Jeffrey Pontiff and Akiko Watanabe
Georgetown University - Department of Finance, Boston College - Department of Finance and University of Alberta - School of Business
Downloads 797 (29,311)

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Return Predictability, Market Efficiency, International Asset Pricing, Corporate Finance

The Asset Growth Effect: Insights from International Equity Markets

Number of pages: 58 Posted: 16 Mar 2011 Last Revised: 27 Jan 2013
Akiko Watanabe, Yan Xu, Tong Yao and Tong Yu
University of Alberta - School of Business, HKU, Faculty of Business and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate
Downloads 793 (29,030)

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asset growth effect, investment-based asset pricing, international capital market

The Asset Growth Effect: Insights from International Equity Markets

Journal of Financial Economics (JFE), Volume 108, Issue 2, May 2013, Pages 529-563, University of Alberta School of Business Research Paper No. 2013-913
Posted: 21 Feb 2013 Last Revised: 14 Jun 2013
Akiko Watanabe, Yan Xu, Tong Yao and Tong Yu
University of Alberta - School of Business, HKU, Faculty of Business and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Abstract:

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asset growth effect, international stock markets

6.

Macroeconomic Sources of Systematic Liquidity

Number of pages: 50 Posted: 04 Oct 2004
Akiko Watanabe
University of Alberta - School of Business
Downloads 687 (35,942)

Abstract:

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Systematic liquidity, macroeconomic factors, vector autoregression

7.

Liquidity and Conditional Heteroscedasticity in Stock Returns

EFA 2006 Meetings Paper
Number of pages: 31 Posted: 08 Jun 2006
Akiko Watanabe and Masahiro Watanabe
University of Alberta - School of Business and University of Alberta - School of Business
Downloads 322 (91,626)

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liquidity, volume and conditional heteroscedasticity, GARCH models, stochastic Kyle's lambda

8.

Looking Forward: Management Earnings Forecasts and the Value Effect

Number of pages: 54 Posted: 23 Jan 2012 Last Revised: 04 Aug 2018
Takato Hiraki, Akiko Watanabe and Masahiro Watanabe
Tokyo University of Science - School of Management, University of Alberta - School of Business and University of Alberta - School of Business
Downloads 258 (116,638)

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Management earnings forecasts, value premium, residual income valuation model

9.

Investment Shocks and Asset Returns: International Evidence

University of Alberta School of Business Research Paper No. 2016-511, Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 42 Posted: 01 Oct 2016 Last Revised: 17 Mar 2019
Queensland University of Technology - School of Economics and Finance, University of Alberta - School of Business and University of Alberta - School of Business
Downloads 154 (187,869)

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investment-specific technology shocks, investment-minus-consumption factor, international equity markets, economic development, value premium

10.

Style Evolution, Equity Issuance, and International Value Premium

Number of pages: 46 Posted: 10 Sep 2008 Last Revised: 27 Jan 2013
Akiko Watanabe
University of Alberta - School of Business
Downloads 139 (204,239)

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Net Share Issuance, Value Premium, International Equity Markets

11.

External Financing and Cross-Sectional Returns: A Global Analysis

Number of pages: 50 Posted: 24 Aug 2010
Akiko Watanabe
University of Alberta - School of Business
Downloads 110 (243,884)

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External Financing, Market Timing, Investment, International Equity Markets

12.

Does Restructuring Pay in Japan? Evidence Following the Lost Decade

Number of pages: 34 Posted: 23 Jul 2008
Dick Beason, Ken Gordon, Vikas Mehrotra and Akiko Watanabe
University of Alberta - Department of Marketing, Business Economics & Law, JapanInvest, University of Alberta - Department of Finance and Statistical Analysis and University of Alberta - School of Business
Downloads 96 (267,574)

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Japanese corporate restructuring, restructuring announcements

13.

Time-Varying Liquidity Risk and the Cross Section of Stock Returns

Review of Financial Studies, Vol. 21, Issue 6, 2008, University of Alberta School of Business Research Paper No. 2013-231
Posted: 26 May 2013 Last Revised: 04 Jun 2013
Akiko Watanabe and Masahiro Watanabe
University of Alberta - School of Business and University of Alberta - School of Business

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conditional pricing of systematic liquidity risk, preference uncertainty, cross sectional asset pricing, regime switching models