Yoshio Nozawa

University of Toronto

Assistant Professor

105 St George St

Toronto, ON M5S3E6

Canada

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 7,426

SSRN RANKINGS

Top 7,426

in Total Papers Downloads

10,316

SSRN CITATIONS
Rank 6,084

SSRN RANKINGS

Top 6,084

in Total Papers Citations

230

CROSSREF CITATIONS

33

Scholarly Papers (19)

1.

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

Journal of Banking and Finance, Forthcoming
Number of pages: 54 Posted: 21 Apr 2020 Last Revised: 18 Apr 2021
Yoshio Nozawa and Yancheng Qiu
University of Toronto and Hong Kong University of Science & Technology (HKUST)
Downloads 1,267 (27,382)
Citation 13

Abstract:

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

2.

Duration-Based Valuation of Corporate Bonds

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 63 Posted: 01 Sep 2021 Last Revised: 21 Apr 2023
University of Pennsylvania - The Wharton School, University of Toronto and AQR Arbitrage, LLC
Downloads 1,099 (33,593)

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corporate bonds, duration, capital asset pricing model

3.

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, University of Toronto, University of California, Los Angeles (UCLA) - Finance Area and Shanghai LiLi Technology Co.,Ltd.
Downloads 1,058 (35,530)
Citation 34

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4.

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 University of Toronto
Downloads 949 (41,406)
Citation 10

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Corporate bond liquidity and returns, dealer intermediation, return predictability

5.
Downloads 835 (49,316)
Citation 39

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, University of Toronto and University of Chicago - Booth School of Business
Downloads 787 (52,744)

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 Last Revised: 09 Apr 2023
Johns Hopkins University - Institute for Applied Economics, Global Health, and Study of Business Enterprise, University of Toronto and University of Chicago - Booth School of Business
Downloads 48 (664,552)
Citation 4

Abstract:

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6.

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
University of Toronto
Downloads 811 (51,412)
Citation 40

Abstract:

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Credit Risk, Variance Decomposition, Fixed Income

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

WBS Finance Group Research Paper
Number of pages: 82 Posted: 13 Oct 2020 Last Revised: 14 Aug 2023
Söhnke M. Bartram, Mark Grinblatt and Yoshio Nozawa
University of Warwick, University of California, Los Angeles (UCLA) - Finance Area and University of Toronto
Downloads 593 (76,431)

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: 63 Posted: 10 Aug 2020 Last Revised: 26 Jul 2023
Söhnke M. Bartram, Mark Grinblatt and Yoshio Nozawa
University of Warwick, University of California, Los Angeles (UCLA) - Finance Area and University of Toronto
Downloads 19 (892,758)
Citation 2

Abstract:

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

WBS Finance Group Research Paper
Number of pages: 82 Posted: 11 Oct 2020 Last Revised: 14 Aug 2023
Söhnke M. Bartram, Mark Grinblatt and Yoshio Nozawa
University of Warwick, University of California, Los Angeles (UCLA) - Finance Area and University of Toronto
Downloads 11 (975,292)

Abstract:

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

8.

A One-Factor Model of Corporate Bond Premia

Management Science, forthcoming
Number of pages: 113 Posted: 22 Sep 2020 Last Revised: 05 Apr 2023
Redouane Elkamhi, Chanik Jo and Yoshio Nozawa
University of Toronto - Rotman School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Toronto
Downloads 600 (76,060)
Citation 2

Abstract:

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

9.

Fire-Sale Risk in the Leveraged Loan Market

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 73 Posted: 17 Jul 2020 Last Revised: 26 May 2022
Redouane Elkamhi and Yoshio Nozawa
University of Toronto - Rotman School of Management and University of Toronto
Downloads 561 (82,741)
Citation 7

Abstract:

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

10.

Disagreement and Bond PEAD

Number of pages: 89 Posted: 07 Feb 2022 Last Revised: 19 Jul 2023
Yoshio Nozawa, Yancheng Qiu and Yan Xiong
University of Toronto, Hong Kong University of Science & Technology (HKUST) and The Hong Kong University of Science and Technology
Downloads 429 (114,394)
Citation 1

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Disagreement, Liquidity, Informational Efficiency, Corporate Bonds, Post Earnings Announcement Drift

11.

The Global Credit Spread Puzzle

PBCSF-NIFR Research Paper
Number of pages: 173 Posted: 24 Sep 2019 Last Revised: 30 Mar 2022
Jing-Zhi Huang, Yoshio Nozawa and Zhan Shi
Pennsylvania State University - University Park - Department of Finance, University of Toronto and Tsinghua University - PBC School of Finance
Downloads 398 (124,808)

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Corporate credit spreads, Credit spread puzzle, Structural credit risk models, Endogenous Liquidity, Search, Credit default swaps, Fixed income asset pricing

12.

A Benchmark for Collateralized Loan Obligations

HKUST Business School Research Paper No. 2020-012
Number of pages: 69 Posted: 09 Jan 2021 Last Revised: 01 Aug 2023
Redouane Elkamhi, Ruicong Li and Yoshio Nozawa
University of Toronto - Rotman School of Management, Hong Kong University of Science & Technology (HKUST) - Department of Finance and University of Toronto
Downloads 396 (125,534)

Abstract:

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

13.

Option Trading, Managerial Risk-taking, and Brand Development

Number of pages: 59 Posted: 15 Jan 2018 Last Revised: 17 Sep 2021
Po-Hsuan Hsu, Fengfei Li and Yoshio Nozawa
National Tsing Hua University - Department of Quantitative Finance, Deakin University - Deakin Business School and University of Toronto
Downloads 392 (126,994)
Citation 1

Abstract:

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option trading; trademark; brand development

14.

Is There Froth in the Corporate Bond Market?

Number of pages: 59 Posted: 21 Aug 2017 Last Revised: 30 Jan 2019
Yoshio Nozawa
University of Toronto
Downloads 304 (167,350)

Abstract:

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

Option-Implied Spreads and Option Risk Premia

Chicago Booth Research Paper No. 21-19, Fama-Miller Working Paper
Number of pages: 43 Posted: 22 Jun 2021
John Hopkins University, School of Advanced International Studies, Independent, University of Toronto and University of Chicago - Booth School of Business
Downloads 157 (311,686)

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Option-Implied Spreads and Option Risk Premia

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-71
Number of pages: 44 Posted: 23 Jun 2021
John Hopkins University, School of Advanced International Studies, Independent, University of Toronto and University of Chicago - Booth School of Business
Downloads 105 (425,506)

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Option-Implied Spreads and Option Risk Premia

NBER Working Paper No. w28941
Number of pages: 43 Posted: 21 Jun 2021 Last Revised: 29 Jan 2023
Johns Hopkins University - Institute for Applied Economics, Global Health, and Study of Business Enterprise, Independent, University of Toronto and University of Chicago - Booth School of Business
Downloads 13 (954,291)

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16.

Over-the-Counter Markets for Non-Standardized Assets

Number of pages: 88 Posted: 27 Feb 2015 Last Revised: 10 Aug 2023
Yoshio Nozawa and Anton Tsoy
University of Toronto and University of Toronto - Department of Economics
Downloads 188 (266,722)
Citation 2

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over-the-counter markets, search friction, bargaining delay, standardized assets, broker-dealers

17.

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, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Toronto
Downloads 85 (485,472)

Abstract:

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18.

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

Number of pages: 52 Posted: 04 Aug 2015
Emory University - Department of Finance, University of Lausanne, University of Toronto, University of California, Los Angeles (UCLA) - Finance Area and Shanghai LiLi Technology Co.,Ltd.
Downloads 46 (662,094)
Citation 12

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19.

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, University of Toronto, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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