Yoshio Nozawa

Hong Kong University of Science and Technology

Assistant Professor

Clearwater Bay Road

Sai Kun, NT

Hong Kong

SCHOLARLY PAPERS

14

DOWNLOADS
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SSRN RANKINGS

Top 12,746

in Total Papers Downloads

4,428

SSRN CITATIONS
Rank 11,988

SSRN RANKINGS

Top 11,988

in Total Papers Citations

67

CROSSREF CITATIONS

30

Scholarly Papers (14)

1.

Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, 27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 55 Posted: 11 Aug 2014 Last Revised: 09 Jun 2017
Emory University - Department of Finance, University of Lausanne, Hong Kong University of Science and Technology, University of California, Los Angeles (UCLA) - Finance Area and School of Business, Renmin University of China
Downloads 833 (33,580)
Citation 30

Abstract:

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2.

Corporate Bond Market Reactions to Quantitative Easing During the COVID-19 Pandemic

Number of pages: 48 Posted: 21 Apr 2020 Last Revised: 12 Aug 2020
Yoshio Nozawa and Yancheng Qiu
Hong Kong University of Science and Technology and Hong Kong University of Science & Technology (HKUST)
Downloads 801 (35,406)
Citation 12

Abstract:

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Coronavirus, Event Study, Corporate Bond, Federal Reserve, Quantitative Easing, COVID-19 Pandemic

3.
Downloads 691 ( 43,251)
Citation 16

Option-Based Credit Spreads

Chicago Booth Research Paper No. 15-49, Fama-Miller Working Paper
Number of pages: 44 Posted: 17 Dec 2014 Last Revised: 12 Sep 2017
Johns Hopkins University - Institute for Applied Economics, Global Health, and Study of Business Enterprise, Hong Kong University of Science and Technology and University of Chicago - Booth School of Business
Downloads 670 (44,508)

Abstract:

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credit spreads, credit risk, default, bonds, Merton model

Option-Based Credit Spreads

NBER Working Paper No. w20776
Number of pages: 45 Posted: 22 Dec 2014
Johns Hopkins University - Institute for Applied Economics, Global Health, and Study of Business Enterprise, Hong Kong University of Science and Technology and University of Chicago - Booth School of Business
Downloads 21 (613,814)
Citation 2

Abstract:

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4.

What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach

Journal of Finance, Forthcoming
Number of pages: 39 Posted: 03 Aug 2014 Last Revised: 04 Oct 2016
Yoshio Nozawa
Hong Kong University of Science and Technology
Downloads 593 (53,072)
Citation 13

Abstract:

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Credit Risk, Variance Decomposition, Fixed Income

5.

Liquidity Supply in the Corporate Bond Market

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 17 Jul 2018 Last Revised: 30 Mar 2020
Jonathan E. Goldberg and Yoshio Nozawa
Board of Governors of the Federal Reserve System and Hong Kong University of Science and Technology
Downloads 504 (64,957)
Citation 11

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Corporate bond liquidity and returns, dealer intermediation, return predictability

6.

Managerial Hedging Opportunities and Brand Capital Investment

Number of pages: 59 Posted: 15 Jan 2018 Last Revised: 04 Jan 2021
Po-Hsuan Hsu, Fengfei Li and Yoshio Nozawa
National Tsing Hua University - Department of Quantitative Finance, The University of Hong Kong - Faculty of Business and Economics and Hong Kong University of Science and Technology
Downloads 234 (153,223)

Abstract:

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managerial hedging; option trading; trademark; brand capital development

7.

Is There Froth in the Corporate Bond Market?

Number of pages: 59 Posted: 21 Aug 2017 Last Revised: 30 Jan 2019
Yoshio Nozawa
Hong Kong University of Science and Technology
Downloads 234 (152,617)

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Credit Risk, Fixed Income Asset Pricing, Credit Cycle, Empirical Asset Pricing

Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns

WBS Finance Group Research Paper
Number of pages: 64 Posted: 13 Oct 2020 Last Revised: 28 Jan 2021
Söhnke M. Bartram, Mark Grinblatt and Yoshio Nozawa
Warwick Business School - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Hong Kong University of Science and Technology
Downloads 154 (222,770)

Abstract:

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Credit Risk, Corporate Bonds, Book-to-Market, Market Efficiency, Transaction Costs, Point-in-Time

Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns

WBS Finance Group Research Paper
Number of pages: 64 Posted: 11 Oct 2020 Last Revised: 28 Jan 2021
Söhnke M. Bartram, Mark Grinblatt and Yoshio Nozawa
Warwick Business School - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Hong Kong University of Science and Technology
Downloads 40 (499,960)
Citation 1

Abstract:

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Credit Risk, Corporate Bonds, Book-to-Market, Market Efficiency, Transaction Costs, Point-in-Time

Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns

NBER Working Paper No. w27655
Number of pages: 58 Posted: 10 Aug 2020
Söhnke M. Bartram, Mark Grinblatt and Yoshio Nozawa
Warwick Business School - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Hong Kong University of Science and Technology
Downloads 6 (730,172)
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9.

Fire-Sale Risk in the Leveraged Loan Market

Rotman School of Management Working Paper No. 3635086
Number of pages: 84 Posted: 17 Jul 2020 Last Revised: 22 Oct 2020
Redouane Elkamhi and Yoshio Nozawa
University of Toronto - Rotman School of Management and Hong Kong University of Science and Technology
Downloads 178 (196,552)

Abstract:

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Collateralized Loan Obligation, Fire sales, Leveraged loan, Shadow banking, Stress test, Systemic risk

10.

A One-Factor Model of Corporate Bond Premia

Number of pages: 79 Posted: 22 Sep 2020 Last Revised: 08 Jan 2021
Redouane Elkamhi, Chanik Jo and Yoshio Nozawa
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and Hong Kong University of Science and Technology
Downloads 86 (338,011)
Citation 1

Abstract:

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Corporate Bond, Long-Run Consumption Risk, Cross-Section Test

11.

A Benchmark for Collateralized Loan Obligations

Number of pages: 59 Posted: 09 Jan 2021
Redouane Elkamhi, Ruicong Li and Yoshio Nozawa
University of Toronto - Rotman School of Management, Hong Kong University of Science & Technology (HKUST) - HKUST Business School and Hong Kong University of Science and Technology
Downloads 52 (440,196)

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Corporate credit spreads, Structural credit risk models, the Merton model, Fixed income asset pricing

12.

Does the Long-Run Risk Explain the Cross-Section of Corporate Bond Returns?

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 52 Posted: 14 Oct 2020
Redouane Elkamhi, Chanik Jo and Yoshio Nozawa
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and Hong Kong University of Science and Technology
Downloads 22 (587,646)

Abstract:

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13.

The Global Credit Spread Puzzle

PBCSF-NIFR Research Paper
Posted: 24 Sep 2019 Last Revised: 29 Oct 2020
Jing-Zhi Huang, Yoshio Nozawa and Zhan Shi
Pennsylvania State University - University Park - Department of Finance, Hong Kong University of Science and Technology and Tsinghua University - PBC School of Finance

Abstract:

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Corporate credit spreads, Credit spread puzzle, Structural credit risk models, Merton model, Black and Cox model, CDS, Fixed income asset pricing

14.

The Effects of FOMC Communications Before Policy Tightening in 1994 and 2004

FEDS Notes No. 2015-09-24 https://doi.org/10.17016/2380-7172.1559
Posted: 24 Oct 2015
Board of Governors of the Federal Reserve System, Hong Kong University of Science and Technology, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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