Katsumasa Nishide

Graduate School of Economics, Hitotsubashi University

Professor

2-1 Naka Kunitachi-shi

Tokyo 186-8601

Japan

http://www1.econ.hit-u.ac.jp/nishide/

SCHOLARLY PAPERS

20

DOWNLOADS

647

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (20)

1.

Hostile Takeovers or Friendly Mergers?: A Real Options Analysis

Number of pages: 34 Posted: 14 Aug 2019 Last Revised: 16 Apr 2020
Takeshi Ebina, Yuya Kumakura and Katsumasa Nishide
Meiji University - School of Commerce, Hamagin Research Institute, Ltd. and Graduate School of Economics, Hitotsubashi University
Downloads 191 (220,808)

Abstract:

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Merger and acquisition, Real option, Nash bargaining

2.

Default Contagion and Systemic Risk with Cross-Ownership of Equities, Debts, and Financial Derivatives

Number of pages: 25 Posted: 01 Feb 2017 Last Revised: 06 Mar 2020
Katsumasa Nishide, Teruyoshi Suzuki and Kyoko Yagi
Graduate School of Economics, Hitotsubashi University, Hokkaido Univeristy and Tokyo Metropolitan University
Downloads 185 (227,003)

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cross-ownership, default cost, clearing payment, credit default swap, default contagion, systemic risk

3.

Demand Uncertainty, Product Differentiation, and Entry Timing Under Spatial Competition

ISER Discussion Paper No. 1007
Number of pages: 44 Posted: 06 Jul 2017 Last Revised: 04 Feb 2020
Takeshi Ebina, Noriaki Matsushima and Katsumasa Nishide
Meiji University - School of Commerce, Osaka University - Institute of Social and Economic Research (ISER) and Graduate School of Economics, Hitotsubashi University
Downloads 119 (322,610)
Citation 1

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product positioning; Hotelling model; continuous-time; entry timing; real options

4.

Strategic Liquidity Provision in High Frequency Trading

Number of pages: 29 Posted: 19 Oct 2019 Last Revised: 08 Dec 2020
Takaki Hayashi and Katsumasa Nishide
Keio University and Graduate School of Economics, Hitotsubashi University
Downloads 114 (332,512)

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High Frequency Trading, Market Micro-Structure, Strategic Liquidity Provision

5.

Sequential Product Positioning and Entry Timing under Differential Costs in a Continuous-Time Model

Number of pages: 27 Posted: 16 Mar 2020
Takeshi Ebina and Katsumasa Nishide
Meiji University - School of Commerce and Graduate School of Economics, Hitotsubashi University
Downloads 38 (584,135)

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Product Positioning, Hotelling model, Continuous-time, Entry timing, Differential costs

6.

Heston-Type Stochastic Volatility with a Markov Switching Regime

Journal of Futures Markets, Vol.36, No.9, pp.902-919.
Posted: 24 Sep 2014 Last Revised: 05 Sep 2016
Robert J. Elliott, Katsumasa Nishide and Carlton Osakwe
University of Calgary - Haskayne School of Business, Graduate School of Economics, Hitotsubashi University and Mount Royal University - Bissett School of Business

Abstract:

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Option price, Stochastic volatility, Markov switching

7.

Brokered Versus Dealer Markets: Impact of Proprietary Trading With Transaction Fees

International Review of Financial Analysis, Forthcoming
Posted: 23 Jul 2014 Last Revised: 16 Apr 2020
Katsumasa Nishide and Yuan Tian
Graduate School of Economics, Hitotsubashi University and Faculty of Economics, Ryukoku University

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proprietary trading, dealer/broker system, transaction fees

8.

Investment under Regime Uncertainty: Impact of Competition and Preemption

International Journal of Industrial Organization, Vol.45, pp.47-58.
Posted: 25 Sep 2012 Last Revised: 05 Sep 2016
Katsumasa Nishide and Kyoko Yagi
Graduate School of Economics, Hitotsubashi University and Tokyo Metropolitan University

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bad news principle, investment timing, competition, real options

9.

Pricing of Discount Bonds with a Markov Switching Regime

Annals of Finance, Vol.10, No.3, pp.509-522.
Posted: 07 Mar 2012 Last Revised: 23 Jul 2014
Robert J. Elliott and Katsumasa Nishide
University of Calgary - Haskayne School of Business and Graduate School of Economics, Hitotsubashi University

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Bond pricing, term structure, Markov switching regime, CIR model, stochastic flows

10.

Market Selection: Hungry Misers and Bloated Bankrupts

Mathematics and Financial Economics, Vol. 5, No. 1, pp. 47-66.
Posted: 30 Nov 2010 Last Revised: 09 Nov 2011
Katsumasa Nishide and L. C. G. Rogers
Graduate School of Economics, Hitotsubashi University and University of Cambridge - Centre for Mathematical Sciences

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market seleciton, asset pricing, heterogeneous beliefs

11.

Leaders, Followers and Equity Risk Premiums in Booms and Busts

Journal of Banking and Finance, Forthcoming
Posted: 13 Oct 2010 Last Revised: 05 Sep 2016
Makoto Goto, Katsumasa Nishide and Ryuta Takashima
Hokkaido University - Graduate School of Economics & Business Administration, Graduate School of Economics, Hitotsubashi University and Chiba Institute of Technology

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Real options, Competition, Timing game, Regime switch

12.

Economic Models for the Environmental Kuznets Curve: A Survey

Journal of Economic Dynamics and Control, Vol. 34, No. 7, pp. 1187-1201, 2010
Posted: 08 May 2010 Last Revised: 15 Dec 2013
Masaaki Kijima, Katsumasa Nishide and Atsuyuki Ohyama
Kyoto University - Graduate School of Economics, Graduate School of Economics, Hitotsubashi University and affiliation not provided to SSRN

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Environmental Kuznets curve, Pollution, Turning point,0 Inverted-U-shape, N-shape, Λ-shape, Economic growth, Real option

13.

Concentrated Equilibrium and Intraday Patterns in Financial Markets

Applied Mathematical Finance, Vol.20, No.1, pp.50-68.
Posted: 22 Jan 2010 Last Revised: 05 Sep 2016
Ryosuke Ishii and Katsumasa Nishide
Independent and Graduate School of Economics, Hitotsubashi University

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Kyle's model, endogenous market making, discretionary liquidity trading

14.

Optimal Time to Exchange Two Baskets

Journal of Applied Probability, Vol. 48, No. 1, pp. 21-30, March 2011
Posted: 18 Dec 2009 Last Revised: 10 Jan 2012
Katsumasa Nishide and L. C. G. Rogers
Graduate School of Economics, Hitotsubashi University and University of Cambridge - Centre for Mathematical Sciences

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Geometric Brownian motion, optimal stopping time, continuation region, convex hull

15.

EKC-Type Transitions and Environmental Policy under Pollutant Uncertainty and Cost Irreversibility

Journal of Economic Dynamics and Control, Vol.35, No.5, pp.746-763, May 2011
Posted: 01 Oct 2009 Last Revised: 10 Jan 2012
Masaaki Kijima, Katsumasa Nishide and Atsuyuki Ohyama
Kyoto University - Graduate School of Economics, Graduate School of Economics, Hitotsubashi University and affiliation not provided to SSRN

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Environmental Kuznets curve, real option, alternating renewal process

16.

Insider Trading with Correlation between Liquidity Trading and a Public Signal

Quantitative Finance, Vol. 9, No. 3, pp. 297-304, 2009
Posted: 29 Sep 2009 Last Revised: 06 Oct 2009
Katsumasa Nishide
Graduate School of Economics, Hitotsubashi University

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Market microstructure, Financial economics, Market manipulation, Insider trading

17.

Using Real Options Theory to a Country's Environmental Policy: Considering the Economic Size and Growth

Operational Research: An International Journal, Vol. 9, No. 3, pp.229-250, 2009
Posted: 08 Sep 2009 Last Revised: 02 Oct 2009
Katsumasa Nishide and Atsuyuki Ohyama
Graduate School of Economics, Hitotsubashi University and affiliation not provided to SSRN

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environmental policy, GDP, real options, emission trading market

18.

Compensation Measures for Alliance Formation: A Real Options Analysis

Economic Modelling, Vol.28, No.1-2, 219-228, January 2011.
Posted: 07 Jul 2009 Last Revised: 05 Jan 2011
Katsumasa Nishide and Yuan Tian
Graduate School of Economics, Hitotsubashi University and Kyoto University - Graduate School of Economics

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real options, alliance, flow payment, lump-sum payment

19.

Regime Uncertainty and Optimal Investment Timing

Journal of Economic Dynamics and Control, Vol. 33, No. 10, pp. 1796-1807, October 2009
Posted: 12 Mar 2009 Last Revised: 29 Sep 2009
Katsumasa Nishide and Ernesto Kazuhiro Nomi
Graduate School of Economics, Hitotsubashi University and affiliation not provided to SSRN

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Investment timing, real options, policy change, regime uncertainty

20.

Equilibrium Pricing of Contingent Claims in Tradable Permit Markets

Journal of Futures Markets, Vol.30, No.6, 559-589, June 2010
Posted: 21 Feb 2009 Last Revised: 13 Apr 2010
Masaaki Kijima, Akira Maeda and Katsumasa Nishide
Kyoto University - Graduate School of Economics, Kyoto University and Graduate School of Economics, Hitotsubashi University

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Tradable permits, emission trading, state price density, Esscher transform