Yoshio Nozawa

University of Toronto

Assistant Professor

105 St George St

Toronto, ON M5S3E6

Canada

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 9,661

SSRN RANKINGS

Top 9,661

in Total Papers Downloads

6,844

SSRN CITATIONS
Rank 9,794

SSRN RANKINGS

Top 9,794

in Total Papers Citations

96

CROSSREF CITATIONS

31

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 1,179 (24,652)
Citation 13

Abstract:

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

2.

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 929 (34,700)
Citation 34

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3.
Downloads 759 ( 45,720)
Citation 23

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 728 (47,774)

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 2022
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 31 (625,348)
Citation 4

Abstract:

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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 758 (45,891)
Citation 10

Abstract:

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Corporate bond liquidity and returns, dealer intermediation, return predictability

5.

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 701 (50,969)
Citation 18

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: 65 Posted: 13 Oct 2020 Last Revised: 18 Oct 2021
Söhnke M. Bartram, Mark Grinblatt and Yoshio Nozawa
University of Warwick, University of California, Los Angeles (UCLA) - Finance Area and University of Toronto
Downloads 398 (101,640)

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: 65 Posted: 11 Oct 2020 Last Revised: 18 Oct 2021
Söhnke M. Bartram, Mark Grinblatt and Yoshio Nozawa
University of Warwick, University of California, Los Angeles (UCLA) - Finance Area and University of Toronto
Downloads 56 (496,359)

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: 64 Posted: 10 Aug 2020 Last Revised: 18 Nov 2021
Söhnke M. Bartram, Mark Grinblatt and Yoshio Nozawa
University of Warwick, University of California, Los Angeles (UCLA) - Finance Area and University of Toronto
Downloads 7 (826,271)
Citation 1
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7.

Fire-Sale Risk in the Leveraged Loan Market

Rotman School of Management Working Paper No. 3635086
Number of pages: 104 Posted: 17 Jul 2020 Last Revised: 01 Mar 2022
Redouane Elkamhi and Yoshio Nozawa
University of Toronto - Rotman School of Management and University of Toronto
Downloads 362 (113,801)

Abstract:

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

8.

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 323 (128,900)
Citation 1

Abstract:

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option trading; trademark; brand development

9.

A One-Factor Model of Corporate Bond Premia

Number of pages: 114 Posted: 22 Sep 2020 Last Revised: 11 Apr 2022
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 302 (138,269)
Citation 2

Abstract:

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

10.

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 264 (158,647)

Abstract:

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

11.

A Benchmark for Collateralized Loan Obligations

HKUST Business School Research Paper No. 2020-012
Number of pages: 71 Posted: 09 Jan 2021 Last Revised: 11 Jan 2022
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 203 (203,923)

Abstract:

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

12.

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 162 (247,857)

Abstract:

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

13.

Disagreement, Liquidity, and Price Drifts in the Corporate Bond Market

Number of pages: 86 Posted: 07 Feb 2022 Last Revised: 28 Mar 2022
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 149 (265,514)

Abstract:

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

14.

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, University of Chicago - Booth School of Business, University of Toronto and University of Chicago - Booth School of Business
Downloads 134 (288,491)

Abstract:

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15.

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, University of Chicago - Booth School of Business, University of Toronto and University of Chicago - Booth School of Business
Downloads 66 (451,245)

Abstract:

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16.

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 61 (469,324)

Abstract:

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17.

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 23 (662,804)
Citation 3

Abstract:

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18.

Option-Implied Spreads and Option Risk Premia

NBER Working Paper No. w28941
Number of pages: 43 Posted: 21 Jun 2021 Last Revised: 29 Jan 2022
Johns Hopkins University - Institute for Applied Economics, Global Health, and Study of Business Enterprise, University of Chicago - Booth School of Business, University of Toronto and University of Chicago - Booth School of Business
Downloads 8 (785,530)
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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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