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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13,386

SSRN CITATIONS
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SSRN RANKINGS

Top 7,250

in Total Papers Citations

42

CROSSREF CITATIONS

138

Scholarly Papers (18)

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1.

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

Downloads 2,791 ( 6,648)
Citation 12

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 2,551 (7,518)
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 101 (362,955)

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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: 19 May 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 95 (377,616)
Citation 1

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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 44 (563,689)

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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 2,098 (10,451)
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 1,393 (19,794)
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 1,348 ( 20,753)
Citation 23

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 1,348 (20,456)
Citation 23

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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 1,232 (23,831)
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 1,155 (26,166)
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 1,131 ( 26,981)
Citation 40

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 1,094 (27,880)
Citation 2

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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 37 (602,117)
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 703 (52,110)

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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 338 (125,858)

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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 297 (144,126)
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 290 (147,820)
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 251 (170,834)
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 216 (197,112)
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 126 (309,068)

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

15.

Evidence on Retrieved Context: How History Matters

NBER Working Paper No. w29849
Number of pages: 27 Posted: 21 Mar 2022 Last Revised: 24 Jul 2022
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 11 (780,705)
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16.

Cohort Effects on Expected Co-Movement

NBER Working Paper No. w29949
Number of pages: 31 Posted: 18 Apr 2022 Last Revised: 23 Apr 2022
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 6 (830,822)
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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

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G14, G15, F30