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

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 2,462

SSRN RANKINGS

Top 2,462

in Total Papers Downloads

11,839

CITATIONS
Rank 4,707

SSRN RANKINGS

Top 4,707

in Total Papers Citations

112

Scholarly Papers (16)

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
New York University - Stern School of Business, Yale School of Management - International Center for Finance, Tokyo University of Science - School of Management, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 2,436 (3,928)
Citation 30

Abstract:

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

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

NBER Working Paper No. w9470
Number of pages: 45 Posted: 02 Feb 2003
New York University - Stern School of Business, Yale School of Management - International Center for Finance, Tokyo University of Science - School of Management, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 76 (269,695)
Citation 30

Abstract:

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
New York University - Stern School of Business, Yale School of Management - International Center for Finance, Tokyo University of Science - School of Management, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 76 (269,695)
Citation 30

Abstract:

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
New York University - Stern School of Business, Yale School of Management - International Center for Finance, Tokyo University of Science - School of Management, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 37 (381,230)
Citation 30

Abstract:

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, Yale University - International Center for Finance and University of Alberta - School of Business
Downloads 1,849 (6,021)
Citation 20

Abstract:

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

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 1,249 (12,052)
Citation 31

Abstract:

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

Abstract:

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

Abstract:

G12

4.

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 1,211 (11,907)
Citation 3

Abstract:

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

5.

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 1,083 (14,826)
Citation 3

Abstract:

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

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 1,017 (16,612)
Citation 12

Abstract:

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 23 (447,337)
Citation 12

Abstract:

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

7.

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 737 (20,670)
Citation 1

Abstract:

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

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 South Carolina - Darla Moore School of Business, University of Alberta - School of Business and HKU, Faculty of Business and Economics
Downloads 639 (31,110)
Citation 9

Abstract:

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 302 (78,896)

Abstract:

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

10.

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 212 (116,128)
Citation 2

Abstract:

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

11.

Looking Forward: Management Earnings Forecasts and the Value Effect

Number of pages: 53 Posted: 23 Jan 2012 Last Revised: 17 Mar 2017
Takato Hiraki, Akiko Watanabe and Masahiro Watanabe
Tokyo University of Science - School of Management, University of Alberta - School of Business and University of Alberta - School of Business
Downloads 159 (116,660)

Abstract:

Management earnings forecasts, value premium, residual income valuation model

12.

Product Market Competition and Equity Returns

Number of pages: 42 Posted: 12 Mar 2012
Evgeny Lyandres and Masahiro Watanabe
Boston University and University of Alberta - School of Business
Downloads 151 (123,283)
Citation 1

Abstract:

13.

Financial Markets with Hierarchical Information

University of Alberta School of Business Research Paper No. 2933935
Number of pages: 51 Posted: 17 Mar 2017
Efstathios Avdis and Masahiro Watanabe
University of Alberta - Department of Finance and Statistical Analysis and University of Alberta - School of Business
Downloads 0 (400,426)

Abstract:

Rational Expectations Equilibria, Information Hierarchy, Market Stability, Risk Premium, Information Acquisition, Complementarities

14.

Investment Shocks and Asset Returns: International Evidence

University of Alberta School of Business Research Paper No. 2016-511
Number of pages: 42 Posted: 01 Oct 2016 Last Revised: 17 Jun 2017
Ruchith Dissanayake, Akiko Watanabe and Masahiro Watanabe
Queensland University of Technology, Business School - School of Economics and Finance, University of Alberta - School of Business and University of Alberta - School of Business
Downloads 0 (291,399)

Abstract:

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

15.

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

Abstract:

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

16.

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 South Carolina - Darla Moore School of Business, University of Alberta - School of Business and HKU, Faculty of Business and Economics

Abstract:

G14, G15, F30