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

  • University of Alberta - School of Business

    • Email
    • Tel: 780-492-0385
    • Fax: 780-492-3325

  • University of Alberta - Department of Finance and Statistical Analysis

SCHOLARLY PAPERS

14

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8,545

SSRN CITATIONS
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Top 5,026

in Total Papers Citations

168

CROSSREF CITATIONS

156

Scholarly Papers (14)

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1.

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

Downloads 1,366 (24,426)
Citation 26

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 1,366 (24,041)
Citation 26

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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

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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

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G12

2.

Procyclical Stocks Earn Higher Returns

AFA 2011 Denver Meetings Paper
Number of pages: 45 Posted: 15 Mar 2010 Last Revised: 27 Jan 2013
William N. Goetzmann, Akiko Watanabe and Masahiro Watanabe
Yale School of Management - International Center for Finance, University of Alberta - School of Business and University of Alberta - School of Business
Downloads 1,343 (25,089)
Citation 4

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

3.

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
William N. Goetzmann, Akiko Watanabe and Masahiro Watanabe
Yale School of Management - International Center for Finance, University of Alberta - School of Business and University of Alberta - School of Business
Downloads 1,189 (30,026)
Citation 9

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

4.

The Asset Growth Effect: Insights from International Equity Markets

Downloads 1,013 (37,683)
Citation 45

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 1,013 (37,122)
Citation 45

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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

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asset growth effect, international stock markets

5.

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 - McDonough School of Business, Boston College - Department of Finance and University of Alberta - School of Business
Downloads 974 (39,805)
Citation 105

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

6.

Macroeconomic Sources of Systematic Liquidity

Number of pages: 50 Posted: 04 Oct 2004
Akiko Watanabe
University of Alberta - School of Business
Downloads 898 (44,682)
Citation 1

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Systematic liquidity, macroeconomic factors, vector autoregression

7.

Corporate R&D and Stock Returns: International Evidence

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 89 Posted: 12 Nov 2020 Last Revised: 26 Oct 2021
Kewei Hou, Po-Hsuan Hsu, Shiheng Wang, Akiko Watanabe and Yan Xu
Ohio State University (OSU) - Department of Finance, National Tsing Hua University - Department of Quantitative Finance, Hong Kong University of Science & Technology (HKUST), University of Alberta - School of Business and HKU, Faculty of Business and Economics
Downloads 443 (111,518)
Citation 6

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R&D; Cross-section of stock returns; Innovation

8.

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 350 (143,875)

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

9.

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
International University of Japan, University of Alberta - School of Business and University of Alberta - School of Business
Downloads 320 (158,345)
Citation 1

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Management earnings forecasts, value premium, residual income valuation model

10.

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
Ruchith Dissanayake, Akiko Watanabe and Masahiro Watanabe
Queensland University of Technology - School of Economics and Finance, University of Alberta - School of Business and University of Alberta - School of Business
Downloads 243 (209,615)
Citation 1

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

11.

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 154 (316,108)

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Net Share Issuance, Value Premium, International Equity Markets

12.

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 138 (345,232)

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External Financing, Market Timing, Investment, International Equity Markets

13.

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 114 (398,064)
Citation 1

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Japanese corporate restructuring, restructuring announcements

14.

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

Abstract:

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