Masahiro Watanabe

University of Alberta - School of Business

Associate Professor of Finance

School of Business - FMS

University of Alberta

Edmonton, Alberta T6G 2R6

Canada

http://www.ualberta.ca/~masa/

University of Alberta - Department of Finance and Statistical Analysis

Associate Professor

2-32C Business Building

Edmonton, Alberta T6G 2R6

Canada

  • University of Alberta - School of Business

    • Email
    • Tel: 780-492-7343
    • Fax: 780-492-3325

  • University of Alberta - Department of Finance and Statistical Analysis

SCHOLARLY PAPERS

18

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Top 5,114

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14,005

SSRN CITATIONS
Rank 8,156

SSRN RANKINGS

Top 8,156

in Total Papers Citations

54

CROSSREF CITATIONS

140

Scholarly Papers (18)

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1.

Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

Downloads 2,878 ( 7,925)
Citation 13

Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

Yale ICF Working Paper No. 02-09; AFA 2003 Washington, DC Meetings, EFA 2002 Berlin Meetings Presented Paper
Number of pages: 46 Posted: 11 Mar 2002
Stephen J. Brown, William N. Goetzmann, Takato Hiraki, Noriyoshi Shiraishi and Masahiro Watanabe
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 2,579 (9,237)
Citation 7

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Investor Sentiment, Mutual Fund Flows, Bull and Bear Funds, Factor Pricing Mod

Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

NYU Working Paper No. SC-AM-02-02
Number of pages: 35 Posted: 13 Nov 2008
Stephen J. Brown, William N. Goetzmann, Takato Hiraki, Noriyoshi Shiraishi and Masahiro Watanabe
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 120 (397,625)

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Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

NBER Working Paper No. w9470
Number of pages: 45 Posted: 02 Feb 2003 Last Revised: 18 Nov 2022
Stephen J. Brown, William N. Goetzmann, Takato Hiraki, Noriyoshi Shiraishi and Masahiro Watanabe
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 110 (424,734)
Citation 2

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Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

NYU Working Paper No. FIN-02-011
Number of pages: 35 Posted: 03 Nov 2008
Stephen J. Brown, William N. Goetzmann, Takato Hiraki, Noriyoshi Shiraishi and Masahiro Watanabe
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 69 (571,928)

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2.

Price Impact Costs and the Limit of Arbitrage

EFA 2002 Berlin Meetings Presented Paper; Yale ICF Working Paper No. 00-66
Number of pages: 60 Posted: 10 Jul 2002
Zhiwu Chen, Werner Stanzl and Masahiro Watanabe
University of Hong Kong, Faculty of Business Economics (HKU Business School), Yale University - International Center for Finance and University of Alberta - School of Business
Downloads 2,149 (12,592)
Citation 31

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Stock market anomaly, Price-impact function, Arbitrage, Fund size limit

3.

A Model of Stochastic Liquidity

Yale ICF Working Paper No. 03-18, EFA 2003 Glasgow Annual Conference Paper
Number of pages: 54 Posted: 06 Jun 2003 Last Revised: 29 Jan 2014
Masahiro Watanabe
University of Alberta - School of Business
Downloads 1,428 (23,721)
Citation 1

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Kyle model, liquidity, stochastic and realized volatility, Bayesian Markov-Chain Monte-Carlo (MCMC), GARCH, trading volume

4.

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

Downloads 1,376 (25,054)
Citation 27

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 1,376 (24,681)
Citation 27

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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

5.

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 1,359 (25,540)
Citation 4

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

6.

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 1,199 (30,716)
Citation 9

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

7.

Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry

Downloads 1,176 (31,580)
Citation 43

Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry

AFA 2003 Washington, DC Meetings, Yale ICF Working Paper No. 02-12
Number of pages: 48 Posted: 07 May 2002
Masahiro Watanabe
University of Alberta - School of Business
Downloads 1,117 (33,510)
Citation 1

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overlapping generations, noisy rational expectations equilibrium, excessive volatility, comovement, trend-following behavior, contrarians

Price Volatility and Investor Behavior in an Overlapping-Generations Model With Information Asymmetry

Journal of Finance, Forthcoming
Number of pages: 48 Posted: 15 Feb 2007 Last Revised: 10 Dec 2013
Masahiro Watanabe
University of Alberta - School of Business
Downloads 59 (622,393)
Citation 6

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overlapping generations, noisy rational expectations equilibrium, excessive volatility, comovement, trend-following behavior, contrarians

8.

Strategic Disclosure and Stock Returns: Theory and Evidence from U.S. Cross-Listing

Review of Financial Studies, Forthcoming, EFA 2007 Ljubljana Meetings Paper
Number of pages: 50 Posted: 06 Jun 2006 Last Revised: 27 Jan 2013
Shingo Goto, Masahiro Watanabe and Yan Xu
University of Rhode Island - College of Business Administration, University of Alberta - School of Business and HKU, Faculty of Business and Economics
Downloads 728 (61,388)

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Strategic disclosure, international financial markets, ADR cross-listing, return-news decomposition, panel VAR

9.

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 360 (144,061)

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

10.

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 331 (157,666)
Citation 1

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Management earnings forecasts, value premium, residual income valuation model

11.

Product Market Competition and Equity Returns

Number of pages: 42 Posted: 12 Mar 2012
Evgeny Lyandres and Masahiro Watanabe
Tel Aviv University and University of Alberta - School of Business
Downloads 317 (165,676)
Citation 2

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12.

Dynamic Corporate Capital Stocks: Cross-sectional and Inter-temporal Stock Return Patterns

AFA 2011 Denver Meetings Paper
Number of pages: 54 Posted: 26 Jul 2009 Last Revised: 27 Jan 2013
Jacob S. Sagi, Matthew I. Spiegel and Masahiro Watanabe
University of North Carolina Kenan-Flagler Business School, Yale University - Yale School of Management, International Center for Finance and University of Alberta - School of Business
Downloads 272 (195,003)
Citation 1

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capital investment, profitability of capital, equity issuance, expected return, overlapping generations model, supply shocks

13.

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 251 (209,676)
Citation 1

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

14.

Rational-Expectations Whiplash

University of Alberta School of Business Research Paper No. 2933935
Number of pages: 57 Posted: 17 Mar 2017 Last Revised: 26 Jul 2018
Efstathios Avdis and Masahiro Watanabe
University of Alberta - Department of Finance and Statistical Analysis and University of Alberta - School of Business
Downloads 145 (342,582)

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Rational expectations equilibria, information hierarchy, market stability, risk premium.

15.

Cohort Effects on Expected Co-Movement

NBER Working Paper No. w29949
Number of pages: 31 Posted: 18 Apr 2022 Last Revised: 01 May 2023
William N. Goetzmann, Akiko Watanabe and Masahiro Watanabe
Yale School of Management - International Center for Finance, University of Alberta and University of Alberta - School of Business
Downloads 18 (901,871)

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16.

Evidence on Retrieved Context: How History Matters

NBER Working Paper No. w29849
Number of pages: 27 Posted: 21 Mar 2022 Last Revised: 14 Apr 2023
William N. Goetzmann, Akiko Watanabe and Masahiro Watanabe
Yale School of Management - International Center for Finance, University of Alberta and University of Alberta - School of Business
Downloads 18 (901,871)
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17.

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

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

18.

Strategic Disclosure and Stock Returns: Theory and Evidence from Us Cross-Listing

The Review of Financial Studies, Vol. 22, Issue 4, pp. 1585-1620, 2009
Posted: 23 Mar 2009
Shingo Goto, Masahiro Watanabe and Yan Xu
University of Rhode Island - College of Business Administration, University of Alberta - School of Business and HKU, Faculty of Business and Economics

Abstract:

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G14, G15, F30